PET - Plain English Taxonomy

Attribute: CS10076
Concept:
Label: Stress Testing - Soft Commodities Scenarios
Concept Guidance:
This is the value, as at the relevant date, of the effect on positions in soft commodities 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.All positions in soft commodities (e.g. wool, wheat, corn, and sugar) must be included in the stress test portfolio revaluations.For the purposes of this item, in assessing the change in portfolio value, positions in the same soft commodity, but with differing maturities, may be netted. 
Form-Specifc Guidance:
The price shifts should be applied to each commodity separately; a separate scenario matrix should be completed for each commodity. 

The scenario representing a 75% decrease in the implied volatility only needs to be reported where the corresponding change in price scenario is 0%.
Dimensions
Dimension Member Description
(MarkToMarketOrMarkToModel)
This dimension categorises the reported data according to the measurement scenario under which the reported value was calculated.
The value reported is the market value of a position, calculated as either: - the mark-to-market value, using readily-available, independently sourced closed-out prices, appropriately in accordance with relevant accounting standards; or, where marking-to-market is not possible - the mark-to-model value, as determined in accordance with relevant prudential standards.
This dimension is used to categorise reported information, based on the commodity to which the information relates.
(ImpliedVolatility200PctIncrease)
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.
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.
This dimension is used to represent the relevant stress testing scenario to which the reported information is based upon.