PET - Plain English Taxonomy

Attribute:	CS10056
Concept:	Financial Risk Market Stress Testing Yield Curve Scenarios Amount
Label:	Stress Testing - Yield Curve Scenarios
Concept Guidance:	This is the value, as at the relevant date, of the effect on debt or other interest rate related securities due to interest rate movements as specified in yield curve scenarios. This represents the change in value of these positions given stress testing scenarios applied.All positions forming part of the trading book in debt or other interest rate related securities must be included in the stress test calculations. The reporting party should use the same interpolation method used within their internal model to obtain intermediate points on the yield curve.
Form-Specifc Guidance:	Using the scenarios set out, separate stress test results should be presented for positions in each material currency. Positions in immaterial currencies need not be included in the stress testing scenarios. Within each material currency ADIs may net across all positions when applying the stress scenarios. Stress tests are expressed in terms of proportional changes in interest rates.

Dimensions

Dimension	Member	Description
ADIBookTypeDimension	(TradingBook)	This dimension categorises an Authorised Deposit-taking Institution's holdings of financial instruments based on the 'book type' ('Banking Book' or 'Trading Book') to which the instrument belongs, as determined in accordance with relevant prudential standards. The information reported relates to an Authorised Deposit-taking Institution's holdings of financial instruments in the trading book, as agreed with APRA.
BalanceTypeDimension	(MarkToMarketOrMarkToModel)	This dimension categorises the reported data according to the measurement scenario under which the reported value was calculated. The value reported is the market value of a position, calculated as either: - the mark-to-market value, using readily-available, independently sourced closed-out prices, appropriately in accordance with relevant accounting standards; or, where marking-to-market is not possible - the mark-to-model value, as determined in accordance with relevant prudential standards.
SourceCurrencyDimension	(CS02062)	Information categorised according to the currency transactions were originally denominated in.
StressTestingChangeInYieldDimension	(YieldCurve20PctDecrease)	This dimension is used to represent the stress testing scenario in which there has been a change in yield applied to the reported information. The information reported is based upon the application of a yield curve scenario representing a 20% decrease in yield.This stress testing scenario is based on a yield curve expressed in terms of proportional changes in interest rates, and uses the same interpolation method used within the reporting party's internal model to obtain intermediate points on the yield curve.