Document ID: chunk:federal_register_of_legislation:F2023L00690:front:0:p8
Version: federal_register_of_legislation:F2023L00690
Segment Type: other
Provision Reference: 
Character Range: 18857–21199

other assets, the fall in value is to be determined by increasing the dividend yield on the ASX 200 index at the reporting date by 3 per cent. The same proportionate fall in value must be applied to all unlisted equities and other assets. The ASX 200 dividend yield must be determined using dividends for the 12 months prior to the reporting date and asset values at the reporting date.
    47.         For assets whose value is affected by movements in equity volatility, an addition of 15 per cent must be made to the forward-looking equity volatility parameter for all durations.

Property stress
    48.         This stress measures the impact on the capital base of changes in property and infrastructure asset values.
    49.         The fall in value of the assets must be determined by increasing the rental yield for property assets or earnings yield for infrastructure assets by 2.75 per cent.
    50.         For property assets, the rental yields are to be based on the most recent leases in force and are determined net of expenses.
    51.         For infrastructure assets, the yields to be used are the earnings yields before tax.
    52.         The rental yields and fall in value may be determined separately for each asset, or on a portfolio basis.

Credit spreads stress
    53.         This stress measures the impact on the capital base of an increase in credit spreads and the risk of default.
    54.         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.
    55.         The stressed value of an asset must be determined by adding the spread specified in Table 1 to the current yield on the asset and then multiplying the reduced value of the asset by (1 – default factor). The credit spreads and default factors depend on the counterparty grade and the nature of the asset:
    Table 1: Credit spreads and default factors
Counterparty grade  Default (%)  Bonds[6]  Structured/          Re-securitised
                                 spread    securitised spread   spread
                                 (%)       (%)                  (%)
1 (government)      0.0          0.0       0.0                  0.0
1 (other)           0.2          0.6       1.0                  1.8