PET - Plain English Taxonomy

Label:	Financial Risk Market Stress Testing Equity Scenarios Amount
TREF ID:	DE8064
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 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.

Usage

Form	Labels
ARF_116_0_17	Label: Guidance:	Stress Testing - Equity Scenarios 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%.

Form

Labels

ARF_116_0_17

Label:

Guidance:

Stress Testing - Equity Scenarios
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%.