||Stress Testing - Soft Commodities Scenarios
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.
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%.