Document ID: chunk:federal_register_of_legislation:F2023L00568:front:0:p8
Version: federal_register_of_legislation:F2023L00568
Segment Type: other
Provision Reference: 
Character Range: 19996–23213

applies to interest bearing assets, including cash deposits and floating rate assets. Credit derivatives and zero-coupon instruments such as bank bills must also be included.
Currency downwards stress                  This is the impact on the capital base of downward changes in foreign currency exchange rates and is calculated in accordance with GPS 114.

(Stress scenario type)
Currency upwards stress                    This is the impact on an insurer's capital base of upward changes in foreign currency exchange rates and is calculated in accordance with GPS 114.

(Stress scenario type)
Current tax assets                         This is the value of current tax assets determined in accordance with Australian Accounting Standards.

(Items subject to Asset Risk Charge type)

D
Default stress                                         This is the impact on an insurer's capital base of the risk of counterparty default and is calculated in accordance with GPS 114.

(Stress scenario type)                                 It applies to reinsurance assets, over the counter derivatives, unpaid premiums and all other credit or counterparty exposures that have not been affected by the credit spreads stress. In accordance with GPS 114, only the central estimates of reinsurance assets are to be subject to default stress.
Deferred tax assets                                    This is the value of tax benefits that may be recognised in future financial periods, as consistent with the asset risk scenario under consideration.

(Items subject to Asset Risk Charge type)
Deferred tax liabilities                               This is the value of taxes payable in future periods in respect of taxable temporary differences. The definition is interpreted consistently with Australian Accounting Standard AASB 112 - Income Taxes (AASB 112).

(Items subject to Asset Risk Charge type)
Derivatives (assets)                                   This is the value of all open derivative positions reported as assets.

(Items subject to Asset Risk Charge type)
Derivatives (liabilities)                              This is the value of all open derivatives positions reported as liabilities.

(Items subject to Asset Risk Charge type)
Dividend yield used in determination of equity stress  This is the dividend yield of the ASX 200 index used in determining the reduction in equity asset values under the equity stress scenario.

(Yields used in stress scenarios type)

E
Earnings yield used in determination of property stress  This is the average earnings yield before taxes used in determining the reduction in infrastructure asset values under the property stress scenario.

(Yields used in stress scenarios type)
Equities (direct)                                        This is the value, as at the relevant date, of equity securities and of subordinated debt securities. Equity securities are, as defined by the Australian Accounting Standards, contracts that evidence a residual interest in the assets of an entity after deducting all its liabilities. This includes equity securities lent or sold by the entity under repurchase agreements, where the transaction does not result in the transfer of the