Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p25
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 25/27)
Character Range: 88731–91525

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