Document ID: chunk:federal_register_of_legislation:F2023L00583:front:0:p12
Version: federal_register_of_legislation:F2023L00583
Segment Type: other
Provision Reference: 
Character Range: 35841–39398

HPS 114.

(Stress scenario type)

R

Real interest rates downwards stress                   The real interest rates stress measures the impact on the fund's capital base of downward changes in real interest rates. It also affects nominal interest rates.

(Stress scenario type)                                 This item is calculated in accordance with HPS 114.
Real interest rates upwards stress                     The real interest rates stress measures the impact on the health benefits fund's or general fund's capital base of upward changes in real interest rates. It also affects nominal interest rates.

(Stress scenario type)                                 This item is calculated in accordance with HPS 114.
Reinsurance recoverables on outstanding claims         This is the value of the central estimate of reinsurance recoverables in relation to reinsurance contracts for outstanding claims. This item does not include amounts that do not comprise an executed and legally binding reinsurance contract as per Prudential Standard HPS 112 Capital Adequacy: Measurement of Capital (HPS 112).

(Items subject to Asset Risk Charge type)
Rental yield used in determination of property stress  This is the average rental yield for the property assets, based on current leases, and net of expenses.

(Yields used in stress scenarios type)
Risk charge component                                  This item is calculated for each stress scenario type as the greater of zero and the impact on the fund's capital base amount.

                                                       If the impact on the fund's capital base is less than zero then the risk charge component is equal to the absolute value of the impact on the fund's capital base.

                                                       If the impact on the fund's capital base is greater than zero then the risk charge component is zero.

S

Stress scenario amount  This the contribution of the relevant items towards the change in capital base under the stress scenario types.

                        Specifications of the stresses are determined in accordance with HPS 114.

Stress scenario type    This consists of the stress scenarios that must be applied to individual items under HPS 114. The scenarios are:

                             * real interest rates upwards stress;
                             * real interest rates downwards stress;
                             * expected inflation upwards stress;
                             * expected inflation downwards stress;
                             * currency upwards stress;
                             * currency downwards stress;
                             * equity stress;
                             * property stress;
                             * credit spreads stress; and
                             * default stress.

Y
Yields used in stress scenarios percent  This is the percentage values of yields used in stress scenarios type.

Yields used in stress scenarios type     This consists of the types of yields used in stress scenarios that must be applied to individual items under HPS 114. The yield types are:

                                              * dividend yield used in determination of equity stress;
                                              * rental yield used in determination of property stress; and
                                              * earnings yield used in determination of property stress.

Specific instructions

Table 1: Adjusted Pre-Stress Amount