Document ID: chunk:federal_register_of_legislation:F2024L01519:body:0:p54
Version: federal_register_of_legislation:F2024L01519
Segment Type: other
Provision Reference: 
Character Range: 148735–151481

with credit rating grade (refer to APS 112) of three or better.
    [12]  Where the ADI has guaranteed or accepted the instrument, capital must also be held against the credit risk of the issuer (refer to APS 112).
    [13]  Refer to Prudential Standard APS 120 Securitisation (APS 120) for the definitions of 'securitisation exposure' and 'resecuritisation exposure'.
    [14]  Refer to APS 120 for the definitions of 'senior' and 'granular' positions.
    [15]  This will include commonly traded indices based on these reference entities. A two-way market is deemed to exist where there are independent bona fide offers to buy and sell so that a price reasonably related to the last sales price or current bona fide competitive bid and offer quotations can be determined within one day and settled at such price within a relatively short time conforming to trade custom.
    [16]  In some cases, in permitting delivery of a security against a futures contract the full value of the contract is not recognised, but rather some pre-specified fraction of the value is recognised; that fraction is termed the 'conversion factor'.
    [17]  Delta measures the sensitivity of an option's value to a change in the price of the underlying asset.
    [18]  Forward and futures contracts where the ADI has a right to substitute cash settlement for physical delivery and the price on settlement is calculated with reference to a general market price indicator are exempt from specific risk charges, but cannot be offset against specific securities (including those securities making up the market index).
    [19]  This excludes offsetting between a matched position in a future or forward and its underlying, which is governed by paragraphs 38 and 39 of this Attachment.
    [20]  The separate legs of different swaps may also be 'matched' subject to the same conditions.
    [21]  Spot or cash positions in the same currency may be offset subject to these same conditions.
    [22] The zones for coupons less than three per cent are zero to one year, over one to 3.6 years, and over 3.6 years.
    [23]  An equity position is the net of short and long exposures to an individual company. Hence, specific risk is assessed on the gross position across companies rather than individual transactions.
    [24]  To determine whether a basket of shares represents at least 90 per cent of the index, the relative weight of each stock in the physical basket is compared to the weight of each stock in the index to calculate a percentage slippage from the index weights. Stocks that comprise the index but are not held in the physical basket have a slippage equal to their percentage weight in the index. The sum of these slippages across each stock in the index