PET - Plain English Taxonomy

Attribute:	CS10066
Concept:	Financial Risk Market Stress Testing Exchange Rate Scenarios Amount
Label:	Stress Testing - Exchange Rate Scenarios
Concept Guidance:	This is the value, as at the relevant date, of the effect on all exchange rate sensitive positions (excluding positions in gold), as determined in accordance with relevant prudential standards, 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.
Form-Specifc Guidance:	All exchange rate sensitive positions (as specified in APS 116) must be included in the stress test portfolio revaluations. Positions in gold, however, should be excluded. A separate scenario matrix should be completed for each material currency. For example, the USD scenario should include all spot and forward positions in USD (as specified in APS 116), options on USD/AUD and options on USD against all non-AUD currencies. A decrease in price should be interpreted as a depreciation in the USD. Similarly, for the other currency scenarios, a decrease in price should be interpreted as a depreciation in the specified currency. No separate AUD scenario matrix is needed. The scenario representing a 50% decrease in the implied volatility only needs to be reported where the corresponding change in price scenario is 0%.

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	(CS00459)	Information categorised according to the currency transactions were originally denominated in.
StressTestingChangeInImpliedVolatilityDimension	(ImpliedVolatility50PctDecrease)	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 50 % decrease in the implied volatility used in the valuation calculations of the relevant positions.
StressTestingChangeInPriceDimension	(CS10063)	This dimension is used to represent the relevant stress testing scenario to which the reported information is based upon.