Document ID: chunk:federal_register_of_legislation:F2024L01073:front:0:p3
Version: federal_register_of_legislation:F2024L01073
Segment Type: other
Provision Reference: 
Character Range: 5799–8935

121 Covered Bonds; and
         4.           items that are subject to capital requirements under Prudential Standard APS 116 Capital Adequacy: Market Risk that do not have 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) for any credit 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 the credit exposures of an overseas banking subsidiary that is prudentially regulated by a prescribed New Zealand authority, an ADI must calculate RWA using the prescribed New Zealand authority's equivalent prudential rules as in force from time to time.[2], [3]

Definitions
 1.          The following definitions are used in this Prudential Standard:
         1.           bank – means an ADI or overseas bank;
         2.           commitment – has the meaning given in paragraphs 1 to 3 of Attachment C to this Prudential Standard;
         3.           commodities finance – has the meaning given in paragraph 27(c) of Attachment B to this Prudential Standard;
         4.           corporate exposure – has the meaning given in paragraph 18 of Attachment B to this Prudential Standard and includes general corporate exposures and specialised lending exposures;
         5.           counterparty credit risk – means the risk that the counterparty to a transaction could default before the final settlement of the transaction's cash flows. An economic loss would occur if the transactions, or portfolio of transactions, with the counterparty has a positive economic value at the time of default;
         6.            credit conversion factor (CCF) – means the percentage value used to convert an off-balance sheet exposure into an on-balance sheet equivalent;
         7.           credit protection – means the extent of credit risk transference from the party buying credit protection to the party selling credit protection under the terms of a guarantee or credit derivative contract;
         8.           defaulted exposure – means a non-performing exposure as defined in Prudential Standard APS 220 Credit Risk Management (APS 220);
         9.             domestic public sector entity (PSE) – has the meaning given in paragraph 6 of Attachment B to this Prudential Standard;
        10.             eligible bilateral netting agreement – means a netting agreement that meets the requirements set out in paragraph 9 of Attachment H to this Prudential Standard;
         1.           eligible credit risk mitigation (CRM) – means any of the credit risk mitigation techniques detailed in Attachments G to J of this Prudential Standard;
         1.             eligible financial collateral – means collateral listed in paragraphs 14 or 22 of Attachment G to this Prudential Standard;
         2.         equity exposure – has the meaning given in paragraphs 34 to 37