PET - Plain English Taxonomy

Label:	Financial Risk Market Stress Testing Exchange Rate Scenarios Amount
TREF ID:	DE8065
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 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.

Usage

Form	Labels
ARF_116_0_18	Label: Guidance:	Stress Testing - Exchange Rate Scenarios 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%.

Form

Labels

ARF_116_0_18

Label:

Guidance:

Stress Testing - Exchange Rate Scenarios
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%.