PET - Plain English Taxonomy

Attribute:	CS10060
Concept:	Financial Risk Market Stress Testing Equity Scenarios Amount
Label:	Stress Testing - Equity Scenarios
Concept Guidance:	This is the value, as at the relevant date, of the effect on equity positions (both short and long) due to movements in prices and volatilities as specified in stress testing scenarios. This represents the change in the portfolio value of these positions given stress testing scenarios applied.For the purposes of this item the reporting party may report long and short positions in instruments relating to the same issuer on a net basis.
Form-Specifc Guidance:	All equity positions within the trading book must be included in the stress test portfolio revaluations. In assessing the change in portfolio value arising from the pre-specified scenarios, ADIs may net all positions within each national market (refer to APS 116). A separate scenario matrix should be completed for each national market. The scenario representing a 75% decrease in the implied volatility only needs to be reported where the corresponding change in price scenario is 0%.

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.
PrimaryListingCountryDimension	(CS11337)	This dimension is used to categorise reported information in relation to securities issued, based on the national market in which the securities are listed. Where securities are listed in more than one market, the country of primary listing applies.
StressTestingChangeInImpliedVolatilityDimension	(ImpliedVolatility200PctIncrease)	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 200 % increase in the implied volatility used in the valuation calculations of the relevant positions.
StressTestingChangeInPriceDimension	(CS10059)	This dimension is used to represent the relevant stress testing scenario to which the reported information is based upon.