Name: | StressTestingChangeInImpliedVolatilityDimension |
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Label: | Stress Testing Change In Implied Volatility |

TREF ID: | DM381 |

Type: | Predefined |

Description: |
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. |

Usage: |

Dimension Members

Name | Label | TREF ID | Description |

ImpliedVolatility100PctIncrease | Implied Volatility 100 Pct Increase | DV4138 |
The information reported is based upon the application of a stress testing scenario representinga 100 % increase in the implied volatility used in the valuation calculations of the relevant positions. |

ImpliedVolatility200PctIncrease | Implied Volatility 200 Pct Increase | DV4136 |
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. |

ImpliedVolatility250PctIncrease | Implied Volatility 250 Pct Increase | DV4140 |
The information reported is based upon the application of a stress testing scenario representinga 250 % increase in the implied volatility used in the valuation calculations of the relevant positions. |

ImpliedVolatility50PctDecrease | Implied Volatility 50 Pct Decrease | DV4137 |
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. |

ImpliedVolatility75PctDecrease | Implied Volatility 75 Pct Decrease | DV4139 |
The information reported is based upon the application of a stress testing scenario representinga 75 % decrease in the implied volatility used in the valuation calculations of the relevant positions. |

ImpliedVolatilityNoChange | Implied Volatility No Change | DV4135 |
The information reported is based upon the application of a stress testing scenario representingno change in the implied volatility used in the valuation calculations of the relevant positions. |