PET - Plain English Taxonomy

Label:	Financial Risk Market Stress Testing Yield Curve Scenarios Amount
TREF ID:	DE8062
Data Type:	xbrli:monetaryItemType
Period Type:	instant
Balance Type:	debit
Business Description & 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.

Usage

Form	Labels
ARF_116_0_15	Label: Guidance:	Stress Testing - Yield Curve Scenarios 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.

Form

Labels

ARF_116_0_15

Label:

Guidance:

Stress Testing - Yield Curve Scenarios
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.