Document ID: chunk:federal_register_of_legislation:F2024L01074:body:0:p3
Version: federal_register_of_legislation:F2024L01074
Segment Type: other
Provision Reference: 
Character Range: 5772–8874

Standard APS 112 Capital Adequacy: Standardised Approach to Credit Risk (APS 112);
        2.           assets or investments that are required to be deducted from Common Equity Tier 1 Capital, Tier 1 Capital or Total Capital under Prudential Standard APS 111 Capital Adequacy: Measurement of Capital (APS 111);
        3.           securitisation exposures that are subject to the requirements of Prudential Standard APS 120 Securitisation (APS 120), excluding funding-only or synthetic securitisations for which an ADI must include the underlying exposures in the pool in its calculation of the Regulatory Capital requirement for credit risk under this Prudential Standard;
        4.           liabilities of a covered bond special purpose vehicle to an issuing ADI as specified in Prudential Standard APS 121 Covered Bonds (APS 121); and
        5.           items that are subject to capital requirements under Prudential Standard APS 116 Capital Adequacy: Market Risk (APS 116) which do not have a counterparty credit risk exposure under Prudential Standard APS 180 Capital Adequacy: Counterparty Credit Risk (APS 180).
 2.          Subject to paragraph 13 of this Prudential Standard, an ADI must apply the requirements set out in this Prudential Standard to calculate risk-weighted assets (RWA) and expected loss (EL) for any exposures of overseas banking subsidiaries that form part of the Level 2 group.
 3.          For the purpose of calculating the Level 2 Regulatory Capital requirement for exposures of an overseas banking subsidiary that is prudentially regulated by a prescribed New Zealand authority, an ADI must calculate RWA and EL using the prescribed New Zealand authority's equivalent prudential rules as in force from time to time except that, in calculating RWA, the ADI must not apply the prescribed New Zealand authority's:[3]
        1.           scalar for IRB RWA, and instead must apply a scaling factor of 1.1; and
        2.           floor value and calculation that is equivalent to paragraph 4 of Attachment A to Prudential Standard APS 110 Capital Adequacy (APS 110), and instead must only apply the floor value and calculation in APS 110.

Definitions
 1.          The following definitions are used in this Prudential Standard:
        1.           capital requirement (K) – means the capital requirement for unexpected loss derived from inputting the risk components to the risk-weight functions;
        2.           commitment – has the meaning given in APS 112;
        3.           commodities finance – has the meaning given in APS 112;
        4.           corporate exposure – has the meaning given in paragraph 30 of this Prudential Standard;
        5.           credit conversion factor (CCF) – means the percentage value used to convert an off-balance sheet exposure into an on-balance sheet equivalent;
        6.            credit obligation – means a contractual agreement in which a borrower receives something of value now (usually cash) with the agreement to repay the ADI at some stated date;
        7.           credit risk mitigation (CRM) –