Part Table 14: Largest daily losses over the - Financial Sector (Collection of Data) (reporting standard) determination No. 1 of 2012 - ARS 116.0 - Market Risk - Table 14: Largest daily losses over the quarter | Zoe
Financial Sector (Collection of Data) (reporting standard) determination No. 1 of 2012 - ARS 116.0 - Market Risk
Table 14: Largest daily losses over the Table 14: Largest daily losses over the quarter
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Report the five largest daily losses experienced by the total trading book over the reporting period. Report the losses in order of magnitude with the largest loss in row 1, the second largest loss in row 2, and so forth. Report the dates corresponding to each of the losses in column 2. Report the corresponding VaR number for each loss in column 3 (i.e. the 99 per cent one-day VaR number calculated as at the previous business day).
Table 15: Yield curve scenarios
All positions forming part of the trading book in debt or other interest rate related securities must be included in the stress test calculations. Using the scenarios set out in Table 15, separate stress test results should be presented (in a separate row) for positions in each material currency. Positions in immaterial currencies need not be included in the stress testing scenarios. Within each material currency, ADIs may net across all positions when applying the stress scenarios. In applying these yield curve shifts, ADIs should use the same interpolation method used within their internal model to obtain intermediate points on the yield curve.
It should be noted that the stress tests are expressed in terms of proportional changes in interest rates. An example of the yield curves that would result from the two scenarios, given a hypothetical initial yield curve, is shown in the table below.
Cash
90 days
180 days
1 year
3 years
5 years
10 years
15 years
Hypothetical initial yield curve
5.40
5.00
5.10
5.30
5.60
5.90
6.40
6.60
Yield curve scenario 1 (Yield x 1.2)
6.48
6.00
6.12
6.36
6.72
7.08
7.68
7.92
Yield curve scenario 2 (Yield x 0.8)
4.32
4.00
4.08
4.24
4.48
4.72
5.12
5.28
Table 16: Interest rate volatility scenarios
ADIs with interest rate options must complete this table. Separate stress results should be reported for interest rate options in different material currencies. Within each currency, ADIs may net across all options. Positions in immaterial currencies need not be included in the stress testing scenarios.
Table 17: Equity scenarios
All equity positions within the trading book must be included in the stress test portfolio revaluations. In assessing the change in portfolio value arising from the pre-specified scenarios, ADIs may net all positions within each national market (refer to paragraphs 42 and 43 of Attachment B to APS 116). A separate scenario matrix should be completed for each national market.
In column 3 (representing a negative change in volatility), only the entry corresponding to a zero per cent change in price needs to be completed. The changes in price in column 1 should be -50%, -25%, 0%, +10%, +20%.
Table 18: Exchange rate scenarios
All exchange rate sensitive positions (as specified in paragraph 58 of Attachment B to 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 paragraphs 14(a) to (d) of Attachment A to 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.
In column 3 (representing a negative change in volatility), only the entry corresponding to a zero per cent change in price needs to be completed. The changes in price in column 1 should be -20%, -10%, 0%, +10%, +20%.
Table 19: Gold and other precious metals scenarios
All positions in gold and other precious metals (including silver, platinum and palladium) must be included in the stress test portfolio revaluations. The price shifts should be applied to each commodity separately; a separate scenario matrix should be completed for each commodity. In assessing the change in portfolio value for each commodity, positions of differing maturity may be netted.
In column 3 (representing a negative change in volatility), only the entry corresponding to a zero per cent change in price needs to be completed. The changes in price in column 1 should be -30%, -15%, 0%, +15%, +30%.
Table 20: Base metals scenarios
All positions in base metals (including copper, aluminium, zinc, nickel and tin) must be included in the stress test portfolio revaluations. The price shifts should be applied to each commodity separately; a separate scenario matrix should be completed for each base metal. In assessing the change in portfolio value for each base metal, positions of differing maturity may be netted.
In column 3 (representing a negative change in volatility), only the entry corresponding to a zero per cent change in price needs to be completed. The changes in price in column 1 should be -50%, -25%, 0%, +25%, +50%.
Table 21: Soft commodities scenarios
All positions in soft commodities (e.g. wool, wheat, corn, and sugar) must be included in the stress test portfolio revaluations. The price shifts should be applied to each commodity separately; a separate scenario matrix should be completed for each commodity. In assessing the change in portfolio value for each commodity, positions of differing maturity may be netted.
In column 3 (representing a negative change in volatility), only the entry corresponding to a zero per cent change in price needs to be completed. The changes in price in column 1 should be -30%, -15%, 0%, +20%, +40%.
Table 22: Energy commodity scenarios
All positions in energy commodities (including oil, gas, and electricity) must be included in the stress test portfolio revaluations. The price shifts should be applied to each commodity separately; a separate scenario matrix should be completed for each energy commodity. In assessing the change in portfolio value for each commodity, positions of differing maturity may be netted.
In column 3 (representing a negative change in volatility), only the entry corresponding to a zero per cent change in price needs to be completed. The changes in price in column 1 should be -40%, -20%, 0%, +20%, +40%.
Table 23: Credit spread risk
All trading book positions which have credit spread risk (including, but not limited to: corporate bonds, floating rate notes, credit derivatives, credit indices, and securitisations) must be included in the credit spread stress test portfolio revaluations.
Columns 1 and 2 are to be completed for exposures which have an external credit assessment (as described in paragraph 5 of Attachment B to APS 116) of BBB- or higher. Column 3 is to be completed for exposures which are either unrated or have an external credit assessment below BBB-.
Long credit exposures (exposures for which credit deterioration causes a loss – table 1) are to be reported separately from short credit exposures (table 2). In table 1, the shocks are related to credit deterioration and losses should be reported as the table applies to long credit exposures only. In table 2, the shocks are related to credit improvement and losses should be reported as the table applies to short credit exposures only.
In Column 1, the price shock applied is either a doubling of the credit spread (table 1) or a halving of the credit spread (table 2). In columns 2 and 3 the price shock is either a 10% fall in market price (table 1) or a 5% increase in market price (table 2).
Refer to APS 120 for the definition of ‘securitisation exposure’ and ‘resecuritisation exposure’.
Under ‘non-securitisation (physicals)’ include all physical exposures which have credit spread risk and are neither securitisation nor resecuritisation exposures. For example: corporate bonds and floating rate notes.
Under ‘non-securitisation (derivatives, excluding credit indices)’ include exposures to derivatives (not including indices) which have credit spread risk and are neither securitisation nor resecuritisation exposures. For example: credit default swaps.
Under ‘non-securitisation credit indices’ include exposures to credit indices such as Itraxx , CDX and LCDX, other than exposures to tranches of those indices.
Under ‘securitisation (physicals)’ include exposures to physical exposures which have credit spread risk and are securitisation exposures. For example: CLOs, CBOs, ABS, RMBS, and CMBS.
Under ‘resecuritisation (physicals)’ include exposures to physical exposures which have credit spread risk and are resecuritisation exposures. For example: ABS CDOs, CRE CDOs.
Under ‘securitisation (derivatives, excluding credit indices)’ include exposures to derivatives (not including indices) which have credit spread risk and are securitisation exposures. For example: synthetic CDOs, credit derivatives referencing synthetic CDOs.
Under ‘resecuritisation (derivatives, excluding credit indices)’ include exposures to derivatives (not including indices) which have credit spread risk and are resecuritisation exposures. For example: synthetic CDO-Squared
Under ‘securitisation (indices)’ include exposures to securitisation indices such as ABX, and exposures to tranches of indices, such as CDX or ABX index tranches.
In summing the exposure within each category, if there is a matched position in the same security (i.e. both the issuer and issue are identical), the matching positions may be offset and omitted from the calculation.