PET - Plain English Taxonomy

ARF_116_0_23: Market risk table 23
Australian Business Number Institution Name
   
Reporting Period Scale Factor  
Quarterly Millions to two decimal places
Reporting Consolidation
Level 1 / Level 2
STRESS TESTING
Credit spread scenarios
External rating category
1. Long credit exposures (exposures for which credit deterioration causes a loss) Investment grade Sub investment grade or unrated
Credit spread +100% Price -10% Price -10%
Price shock (1) (2) (3)
1.1. Non-securitisation (physicals)
1.2. Non-securitisation (derivatives, excluding credit indices)
1.3. Non-securitisation credit indices
1.4. Securitisation (physicals)
1.5. Resecuritisation (physicals)
1.6. Securitisation (derivatives, excluding credit indices)
1.7. Resecuritisation (derivatives, excluding credit indices)
1.8. Securitisation (indices)
  External rating category
2. Short credit exposures (exposures for which credit improvement causes a loss) Investment grade Sub investment grade or unrated
Credit spread -50% Price +5% Price +5%
Price shock (1) (2) (3)
2.1. Non-securitisation (physicals)
2.2. Non-securitisation (derivatives, excluding credit indices)
2.3. Non-securitisation credit indices
2.4. Securitisation (physicals)
2.5.   Resecuritisation (physicals)
2.6. Securitisation (derivatives, excluding credit indices)
2.7. Resecuritisation (derivatives, excluding credit indices)
2.8. Securitisation (indices)
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