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)	CS22533	CS22534	CS22535
1.2. Non-securitisation (derivatives, excluding credit indices)	CS22536	CS22537	CS22538
1.3. Non-securitisation credit indices	CS22539	CS22540	CS22541
1.4. Securitisation (physicals)	CS22542	CS22543	CS22544
1.5. Resecuritisation (physicals)	CS22545	CS22546	CS22547
1.6. Securitisation (derivatives, excluding credit indices)	CS22548	CS22549	CS22550
1.7. Resecuritisation (derivatives, excluding credit indices)	CS22551	CS22552	CS22553
1.8. Securitisation (indices)	CS22554	CS22555	CS22556

	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)	CS22557	CS22558	CS22559
2.2. Non-securitisation (derivatives, excluding credit indices)	CS22560	CS22561	CS22562
2.3. Non-securitisation credit indices	CS22563	CS22564	CS22565
2.4. Securitisation (physicals)	CS22566	CS22567	CS22568
2.5. Resecuritisation (physicals)	CS22569	CS22570	CS22571
2.6. Securitisation (derivatives, excluding credit indices)	CS22572	CS22573	CS22574
2.7. Resecuritisation (derivatives, excluding credit indices)	CS22575	CS22576	CS22577
2.8. Securitisation (indices)	CS22578	CS22579	CS22580

Comments
CS22581