PET - Plain English Taxonomy

Attribute: CS00847
Concept:
Label: Internal Model Method - Value-at-Risk Method - Interest Rate Positions - Average VaR Over Past 60 Trading Days
Concept Guidance:
This is the average value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, for positions giving rise to interest rate risk.Interest rate positions include both on and off-balance sheet exposures which are affected by changes in interest rates. This includes holdings of, or positions in:     - debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities);     - forward transactions in foreign exchange, equities and commodities; and     - options that are subject to a change in value following a change in interest rates.VaR represents Value at Risk and is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the most recent 60 trading days prior to and including the relevant date. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio. 
Dimensions
Dimension Member Description
(GeneralMarketRisk)
This dimension categorises information reported based on the type of market risk (e.g. specific risk, general market risk) the reporting party is exposed to, as determined in accordance with relevant prudential standards.
The information reported relates to exposures which are subject to general market risk. General market risk represents the risk of loss owing to changes in the general level of market prices or interest rates. It arises from positions in interest rate, equities, foreign exchange and commodities.