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propertystress_changesecurity

stress_change


The stress_change represents the level of variation in the security’s price or haircut during a 30-day calendar market stress period as defined in in Article 12(1)(c)(iii) of the Liquidity Regulations.

The stress_change should be recorded as a percentage in decimal format. ie. 3.5% should be represented as 3.5 and not 0.035. There is no restriction to the precision of the number (number of decimal places). Independently if the variation is an increase or a decline, the stress_change must be a positive number.