PET - Plain English Taxonomy

Attribute:	CS10057
Concept:	Financial Risk Market Stress Testing Interest Rate Volatility Scenario Amount
Label:	Stress Testing - Interest Rate Volatility Scenarios
Concept Guidance:	This is the value, as at the relevant date, of the effect on interest rate options due to interest rate volatility changes as specified in the stress testing scenarios. This represents the change in value of these positions given stress testing scenarios applied.An option provides the purchasing entity with the right but not the obligation to buy or sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.An interest rate contract is any contract that transfers the interest rate risk of an underlying asset from one party to another.
Form-Specifc Guidance:	Separate stress results should be presented for interest rate options in different material currencies. Within each currency ADIs may net across all options. Positions in immaterial currencies need not be included in the stress testing scenarios.

Dimensions

Dimension	Member	Description
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.
StressTestingChangeInImpliedVolatilityDimension	(ImpliedVolatility250PctIncrease)	This dimension is used to represent the relevant stress testing scenario to which a change in implied volatility is applied to the calculation of the reported information. The information reported is based upon the application of a stress testing scenario representinga 250 % increase in the implied volatility used in the valuation calculations of the relevant positions.