Document ID: chunk:federal_register_of_legislation:F2023L00583:front:0:p6
Version: federal_register_of_legislation:F2023L00583
Segment Type: other
Provision Reference: 
Character Range: 14404–17628

allowed in insurance liabilities determined under HPS 340 to avoid double counting.

                                           This amount must be consistent with claims payable reported in HRS 112.0.
Counterparty grade                         This is the classification applied to an investment or exposure as per the requirements of HPS 001. Assets guaranteed by an Australian state or territory government must be reported in the counterparty grade that applies after rating up one grade in accordance with HPS 114.
Credit spread fair value amount            This is the fair value of assets that are subject to credit spreads stress.
Credit spread stressed amount              This is the stressed value of assets that are subject to credit spreads stress.
Credit spreads stress                      This is the impact on the health benefits fund's or general fund's capital base of an increase in credit spreads and the risk of default and is calculated in accordance with HPS 114.

(Stress scenario type)                     This stress 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 fund's capital base of downward changes in foreign currency exchange rates and is calculated in accordance with HPS 114.

(Stress scenario type)
Currency upwards stress                    This is the impact on the health benefits fund's or general fund's capital base of upward changes in foreign currency exchange rates and is calculated in accordance with HPS 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 the health benefits fund's or general fund's capital base of the risk of counterparty default and is calculated in accordance with HPS 114. 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 HPS 114, only the central estimates of reinsurance assets are to be subject to default stress.

(Stress scenario type)
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