PET - Plain English Taxonomy

Name: StressTestingChangeInYieldDimension
Label: Stress Testing Change In Yield
TREF ID: DM386
Type: Predefined
Description:
This dimension is used to represent the stress testing scenario in which there has been a change in yield applied to the reported information.
Usage:

Dimension Members
Name Label TREF ID Description
YieldCurve200BasisPointDecrease Yield Curve 200 Basis Point Decrease DV4162
The information reported is based upon the application of a yield curve scenario representing a 200 basis point decrease in interest rate yield.The yield curve must be modelled to appropriately capture variations in the volatility of interest rates along the curve.
YieldCurve200BasisPointIncrease Yield Curve 200 Basis Point Increase DV4208
The information reported is based upon the application of a yield curve scenario representing a 200 basis point increase in interest rate yield.The yield curve must be modelled to appropriately capture variations in the volatility of interest rates along the curve.
YieldCurve20PctDecrease Yield Curve 20 Pct Decrease DV4037
The information reported is based upon the application of a yield curve scenario representing a 20% decrease in yield.This stress testing scenario is based on a yield curve expressed in terms of proportional changes in interest rates, and uses the same interpolation method used within the reporting party's internal model to obtain intermediate points on the yield curve.
YieldCurve20PctIncrease Yield Curve 20 Pct Increase DV4209
The information reported is based upon the application of a yield curve scenario representing a 20% increase in yield.This stress testing scenario is based on a yield curve expressed in terms of proportional changes in interest rates, and uses the same interpolation method used within the reporting party's internal model to obtain intermediate points on the yield curve.