Document ID: chunk:federal_register_of_legislation:F2024L01518:body:0:p22
Version: federal_register_of_legislation:F2024L01518
Segment Type: other
Provision Reference: 
Character Range: 58311–61030

the limits set out in Attachment I to APS 111.

[9]  For risk-weighted credit exposures under APS 180, refer to sub-paragraph 13(a) of APS 180. For capital charges under APS 180, refer to sub-paragraphs 13(b) and 13(c) of APS 180.
[10]  Refer to sub-paragraph 13(a) of APS 180.
[11]  Refer to sub-paragraphs 13(b) and 13(c) of APS 180.
[12]  For the avoidance of doubt, an IRB ADI in this calculation must determine all credit RWA in accordance with APS 112, APS 120 and APS 180 only, and the capital charge for market risk as the sum of the capital charges for traded market risk, foreign exchange and commodities (TFC) calculated under the standard method in accordance with APS 116.
[13]  For the purpose of determining exposures of an overseas banking subsidiary that is prudentially regulated by a prescribed New Zealand authority, an ADI must calculate exposures using the prescribed New Zealand authority's equivalent prudential rules as in force from time to time. prescribed New Zealand authority has the meaning given in subsection 5(1) of the Banking Act.
[14]  Off-balance sheet items have the meaning given in APS 112.
[15]  Netting set has the meaning given in paragraph 8(s) of APS 180.

[16]  QCCP has the meaning given in paragraph 8(w) of APS 180.

[17]  MNA includes any netting agreement that provides legally enforceable rights of offset and also satisfies the criteria for bilateral netting agreements as set out in Attachment H to APS 112. A master MNA, which is an overarching agreement that provides a legally enforceable right to net across more than one MNA, may be treated as a single MNA.

[18]  CCP has the meaning given in paragraph 8(b) of APS 180.

[19]  In situations where a margin dispute arises, the amount of non-disputed variation margin that has been exchanged can be recognised.

[20]  Clearing member has the meaning given in paragraph 8(c) of APS 180.

[21]  For the purposes of paragraphs 25 to 28 of this Attachment, trade exposures includes initial margin irrespective of whether or not it is posted in a manner that makes it remote from the insolvency of the CCP.

[22]  The effective notional amount is obtained by adjusting the notional amount to reflect the true exposure of contracts that are leveraged or otherwise enhanced by the structure of the transaction.

[23]  Two reference names are considered identical only if they refer to the same legal entity.

[24]  Material terms include the level of subordination or seniority, optionality, strike price, credit events, reference name and any other characteristics relevant to the valuation of the derivative.

[25]  SFT has the meaning given in paragraph 14(aa) of APS 112.

[26]  For SFT assets subject to novation