Document ID: chunk:federal_register_of_legislation:F2023L01572:front:0:p3
Version: federal_register_of_legislation:F2023L01572
Segment Type: other
Provision Reference: 
Character Range: 5705–8614

the purpose of calculating the Level 2 Regulatory Capital requirement, for the underlying exposures in the pool or the securitisation exposures, of an overseas banking subsidiary that is prudentially regulated by a prescribed New Zealand authority, an ADI must calculate risk-weighted assets using the prescribed New Zealand authority's equivalent prudential rules as in force from time to time.[1] An ADI must still make deductions from Common Equity Tier 1 Capital that are required to be deducted under this Prudential Standard.

Definitions
12.         The following definitions are used in this Prudential Standard:
(a)          asset-backed commercial paper (ABCP) securitisation — a securitisation that predominantly issues commercial paper to investors with an original maturity of one year or less;
(b)          basis swap — an interest rate swap aimed at limiting basis risk in a securitisation. For the purposes of this Prudential Standard, a basis swap includes a payment stream on one leg of the swap based on an observable market rate or index, and a payment stream on the other leg based on rates set by a party to the swap, typically the originating ADI;
(c)          clean-up call — an option that permits the securitisation exposures to be called by the originating ADI or the special purpose vehicle (SPV) before all of the underlying exposures in the pool or securitisation exposures have been repaid or have matured. In the case of a traditional securitisation, this is generally accomplished by the purchase of the remaining securitisation exposures once the pool balance or outstanding securities issued by an SPV have fallen below some specified level. In the case of a synthetic securitisation, a clean-up call may take the form of a clause that extinguishes the credit protection provided by the securitisation;
(d)          credit enhancement — a contractual arrangement in which an ADI or other entity provides some degree of protection against credit losses to other parties holding a securitisation exposure;
(e)          date-based call — an option that permits securitisation exposures to be called by the originating ADI or the SPV on a predetermined date before all of the underlying exposures in the pool or securitisation exposures have been repaid or have matured;
(f)           early amortisation provision — a mechanism in a securitisation of revolving credit facilities that, once triggered, accelerates the reduction of the investor interest in the underlying exposures and allows investors to be paid out, in full or in part, prior to the originally stated maturity of the securities issued;
(g)          excess spread (or future margin income) — finance charge collections and other income received by the SPV net of costs, interest and expenses;
(h)          facility — a contractual arrangement between an ADI and an SPV for purposes including, but not limited to,