BPR001 Glossary - 1 October 2026

Ref #20590820 v1.0 UNCLASSIFIED UNCLASSIFIED BPR001 Glossary Purpose of document This document is intended to provide a collection of abbreviations and defined terms that are used throughout the BPR series of documents issued by the Reserve Bank. The document does not currently contain all the abbreviations and definitions used in the BPR series, but the aim is that it will be amended from time to time to expand its ambit, so that it will ultimately become a comprehensive collection of all abbreviations and defined words and phrases used in the BPR-series documents. This glossary is for use only with BPR-series documents, and the abbreviations and definitions it contains do not necessarily apply to other Reserve Bank documents. Banking Prudential Requirements October 2026

Glossary 1 Document version history 1 July 2021 First Issue date 1 October 2023 Technical changes 1 October 2026 Technical changes Conditions of registration The Banking (Prudential Supervision) Act 1989 (the Act) permits the Reserve Bank to impose conditions of registration (conditions) on registered banks1 . The Reserve Bank publishes documents that are cross-referred to in individual conditions of registration, and in that way form part of the requirements imposed by those conditions. This document BPR001: Glossary provides definitions for a number of terms. The definition of a term gives the meaning a term has for the purpose of determining the nature of the requirement imposed by any of the documents the term appears in, and for ensuring that a bank complies with the related conditions of registration. As an interim measure, terms in the Glossary are only applicable to those documents referred to in banks’ conditions of registration that belong to the new-style documents in the BPR series.

• All of the material set out in this document forms part of the requirements of the applicable conditions, except material that is expressly identified as guidance by being included in a shaded box like this.

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1 The conditions can relate to any of the matters referred to in sections 73 – 73B, 78 and 81. The standard conditions are contained in Appendix 1 of document BS1: Statement of Principles.

Glossary 2 BPR001: Glossary Part A: Introduction Part B: Glossary Contents Part A: Introduction A1 Purpose and use of glossary A1.1 Purpose of document A1.2 Explanation and use of glossary A1.3 Conflict between glossary definition and other definitions Part B: Glossary B1 Abbreviations B1.1 Meaning of abbreviations B2 Words and phrases B2.1 Meaning of words and phrases

Glossary 3 Part A: Introduction A1 Purpose and use of glossary A1.1 Purpose of document The glossary contains meanings of abbreviations, and of defined words and phrases, used throughout the BPR-headed documents. A1.2 Explanation and use of glossary

1. The terms and definitions appear in alphabetical order and, where relevant, the abbreviated form of the defined term is shown.
2. Words in bold type within a definition are defined elsewhere in this glossary.
3. Part B1 contains the abbreviations, and Part B2 contains the defined words and terms.
4. Text marked “Guidance” does not form part of the definition, but is intended to expand on the meaning. A1.3 Conflict between glossary definition and other definitions Where there is any conflict between a definition given in Part B2 and a corresponding definition given in a specific BPR document, the applicable OiC, or in any other relevant legislation or document, that other definition prevails over the definition given in Part B2. Guidance: The principle source for a number of the definitions is the OiC applicable to the registered bank. In these cases, the term is defined by reference to the OiC, but for convenience, the wording of the definition in the OiC is provided in a guidance box.

Glossary 4 Part B: Glossary B1 Abbreviations B1.1 Meaning of abbreviations For the purposes of interpreting the abbreviations used in the BPR-series documents, the following abbreviated terms have the corresponding meaning: AT1 means Additional Tier 1 AVCM means asset value correlation multiplier BPR followed by a number means the Reserve Bank document Bank Prudential Requirement of that number CBRF means capital buffer response framework CCF means credit conversion factor CCP means central counterparty CCR means counterparty credit risk CDS means credit default swap CEA means credit equivalent amount CET1 means Common Equity Tier 1 CPMI means the Committee on Payments and Market Infrastructures CRM means credit risk mitigation CVA means credit valuation adjustment D-SIB means a Domestic Systemically Important Bank EAD means exposure at default EL means expected Loss ESAS means exchange settlement account system FMA means the Financial Markets Authority GAAP means Generally Accepted Accounting Practice

Glossary 5 ICAAP means an internal capital adequacy assessment process IOSCO means the International Organisation of Securities Commissions IPRE means income-producing real estate IRB means internal ratings-based LGD means loss given default LMI means lender’s mortgage insurance M means effective maturity MDB means multilateral development bank NBDT means non-bank deposit taker NZ IAS followed by a number, means the New Zealand equivalent of the International Accounting Standard with that number NZ IFRS followed by a number, means the New Zealand equivalent of the International Financial Reporting Standard with that number OiC means Order in Council OTC means over-the-counter PCB means prudential capital buffer PD means probability of default PFCE means potential future credit exposure PSE means public sector entity QCCP means qualifying central counterparty QSDB means quasi-sovereign development bank RBNZ means the Reserve Bank of New Zealand RML means residential mortgage loan RWA means risk-weighted asset SFT means securities financing transaction

Glossary 6 SL means specialised lending SME means small or medium-sized enterprise SPV means special purpose vehicle UL means unexpected loss

Glossary 7 B2 Words and phrases B2.1 Meaning of words and phrases For the purposes of interpreting the words and phrases used in the BPR-series documents, the following words and phrases have the corresponding meaning: Act has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: Act means the Banking (Prudential Supervision) Act 1989 Additional Tier 1 capital (AT1 capital) has the meaning given in the local OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: Additional Tier 1 capital has the same meaning as in BPR110: Capital Definitions affiliated insurance entity has the meaning given in the local OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: affiliated insurance entity has the same meaning as in BPR160: Insurance, Securitisation and Loan Transfers affiliated insurance group has the meaning given in the local OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: affiliated insurance group has the same meaning as in BPR160: Insurance, Securitisation and Loan Transfers applicable OiC– a. for a New Zealand-incorporated registered bank, means the local OiC; and b. for an overseas-incorporated registered bank, means the branch OiC asset sale with recourse means an arrangement under which a loan, or other asset, is sold to a third party, and under which the seller retains an obligation to assume the credit risk on the asset under certain prescribed circumstances Guidance: Such circumstances may include, for example, a deterioration in the value or credit quality of the asset.

Glossary 8 bank has the meaning given in the local OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: bank means a registered bank or an overseas bank banking group has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: banking group, in relation to a registered bank,– (a) means the financial reporting group; or (b) if the Reserve Bank has, by notice in writing to the registered bank, after consultation with the registered bank, agreed to or required the inclusion or exclusion of any entity or any part of any entity, means the financial reporting group including or excluding that entity or that part of that entity, as the case may be. Basel II has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: Basel II, as the context requires, refers either to the capital adequacy framework set out in the paper “International Convergence of Capital Measurement and Capital Standards” (issued by the Basel Committee on Banking Supervision in June 2006) or to a country’s or jurisdiction’s implementation of prudential requirements derived from that framework Basel III has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: Basel III, as the context requires, refers either to Basel II as issued by the Basel Committee on Banking Supervision as supplemented by the Committee’s paper Basel III: A global regulatory framework for more resilient banks and banking systems (issued by the Basel Committee on Banking Supervision in June 2011) or to a country’s or jurisdiction’s implementation of prudential requirements derived from that framework branch OiC means the Registered Bank Disclosure Statements (Overseas Incorporated Registered Banks) Order 2014 buffer trigger ratio means the percentage figure referred to in a condition of registration imposed on a New Zealand-incorporated registered bank, to specify the level of the bank’s prudential capital buffer ratio below which the bank is subject to restrictions or requirements specified in the condition

Glossary 9 commitment with certain draw-down means an agreement to purchase assets or acquire claims which are certain to be drawn down at a future date, and includes– a. a forward asset purchase; and b. a partly paid-up share or security; and c. a forward deposit commodity– a. means something that is traded; and b. includes— i. precious metals; and ii. base metals; and iii. non-precious metals; and iv. energy; and v. agricultural assets; and vi. other physical things. commodity derivative means a derivative in respect of which the amount of consideration payable, or the value of the derivative, is ultimately determined, is derived from, or varies by reference to the value or amount of a commodity or commodity index Common Equity Tier 1 capital (CET1 capital) has the meaning given in the local OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: Common Equity Tier 1 capital has the same meaning as in BPR110: Capital Definitions Common Equity Tier 1 capital ratio (CET1 capital ratio) has the meaning given in the local OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: Common Equity Tier 1 capital ratio has the same meaning as in BPR110: Capital Definitions connected person has the meaning given in the Reserve Bank of New Zealand document BS8: Connected Exposures Policy contract of insurance has the meaning given in section 7 of the Insurance (Prudential Supervision) Act 2010 control or significant influence, for the purpose of defining eligible capital, has the meaning given in section A2.1 of BPR110 core rate-insensitive asset has the meaning given in section A1.3 of BPR140

Glossary 10 core rate-insensitive liability has the meaning given in section A1.3 of BPR140 core rate-insensitive product has the meaning given in section A1.3 of BPR140 corporate finance activities has the meaning given in subsection A1.2(1) of BPR150 corresponding deductions approach has the meaning given in subpart C1 of BPR110 covered bond SPV has the meaning in section 139B of the Act credit derivative means a derivative in respect of which the amount of consideration payable, or the value of the derivative, is ultimately determined, is derived from, or varies by reference to the value of one or more reference obligations of a reference entity credit default swap means a credit derivative under which the protection buyer makes a payment to the protection seller in return for compensation in the event of a default (or similar credit event) by a reference entity credit risk has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: credit risk has the same meaning as in NZ IFRS 7. credit valuation adjustment (CVA) means a capital charge calculated in accordance with Part F of BPR131 Guidance: The purpose of the CVA is to cover the risk of mark-to-market losses on the expected counterparty credit exposures arising from a bank’s bilaterally-settled derivative contracts. Crown has the meaning given in section 2(1) of the Public Finance Act 1989 Crown entity has meaning given in section 7(1) of the Crown Entities Act 2004 currency derivative means a derivative in respect of which the amount of consideration payable, or the value of the derivative, is ultimately determined, is derived from, or varies by reference to the amount of an exchange rate, and– a. includes– i. a forward foreign exchange contract; and ii. a cross-currency forward rate agreement; and iii. a currency option contract; but b. does not include– i. a contract that has an original maturity which is less than or equal to 14 calendar days; or ii. a currency derivative entered into as part of a swap deposit arrangement

Glossary 11 currency risk has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: currency risk has the same meaning as in NZ IFRS 7. debt security has the meaning given in section 8(1) of the Financial Markets Conduct Act 2013 default, for the purpose of IRB credit risk modelling, has the meaning given in subpart E2 of BPR134 derivative has meaning given in section 8(4) of the Financial Markets Conduct Act 2013 dilution risk in relation to a pool of purchased receivables has the meaning given in section E4.1 of BPR133 direct credit substitute means an off-balance sheet exposure with a specified nominal principal amount that has a risk of loss that is equivalent to a direct claim on the counterparty for that amount Guidance: A direct credit substitute will include, for example,– (a) bills of exchange; (b) guarantees of financial obligations; (c) standby letters of credit; and (d) risk participations. disclosure statement has the meaning given in section 2(1) of the Act Domestic Systemically Important Bank (D-SIB) means a bank designated by the Reserve Bank as a D-SIB. The list of banks designated as D-SIBs, and the framework for determining that designation, are set out on the Reserve Bank website at Requirements for domestic systemically important banks - Reserve Bank of New Zealand - Te Pūtea Matua effective maturity (M), for the purpose of calculating the risk-weight on a credit exposure subject to the IRB approach for which M is a required input, means the value of M for that exposure determined under the applicable methodology for the exposure specified in BPR133 equity has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: equity has the same meaning as “equity” given in “New Zealand Equivalent to the IASB Conceptual Framework for Financial Reporting” issued in 2018 (2018 NZ Conceptual Framework) equity derivative means a derivative in respect of which the amount of consideration payable, or the value of the derivative, is ultimately determined, is derived from, or varies by reference to the value or amount of an equity instrument or equity index

Glossary 12 equity instrument has the meaning given in NZ IAS 32 Financial Instruments: Presentation equity risk has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: equity risk means the risk arising from changes in the prices of equity instruments exposure at default (EAD) has the meaning given in the local OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: EAD (“exposure at default”), for the purpose of calculating the risk-weight on a credit exposure subject to the IRB approach, means the value of EAD for that exposure determined under the applicable EAD methodology for the exposure specified in BPR133: IRB Credit Risk RWAs financial asset has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: financial asset has the same meaning as in NZ IAS 32 Financial Instruments: Presentation financial institution has the meaning given in section 2(1) of the Act financial instrument has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: financial instrument has the same meaning as in NZ IAS 32 Financial Instruments: Presentation financial liability has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: financial liability has the meaning as in NZ IAS 32 Financial Instruments: Presentation financial reporting group– a. for a New Zealand-incorporated registered bank has the meaning given in the local OiC; and b. for an overseas incorporated registered bank has the meaning given in the branch OiC

Glossary 13 Guidance: The definition in clause 4(1) of the local OiC is as follows: financial reporting group has the same meaning as “group” in section 6(1) of the Financial Markets Conduct Act 2013. The definition in clause 4(1) of the branch OiC is as follows: financial reporting group means the New Zealand business of the registered bank and its subsidiaries as required to be reported in group financial statements under section 461B(2) of the Financial Markets Conduct Act 2013. forward rate agreement means an agreement between two parties to exchange payment at a future date based on interest payments and receipts on different interest rate bases on a notional principal amount over a specified period generally accepted accounting practice (GAAP) has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: generally accepted accounting practice has the same meaning as in section 8 of the Financial Reporting Act 2013 holding company has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: holding company has the same meaning as in section 5 of the Companies Act 1993, but with the word “subsidiary” taking the meaning it has in this Order. The OiCs define subsidiary as taking the meaning given in the Financial Reporting Act 2013. The effect of the OiCs’ definition of holding company is therefore that a company is another company’s holding company, if, but only if, that other company is its subsidiary. A subsidiary is defined in section 5(1) of the Financial Reporting Act 2013 as follows: subsidiary means a subsidiary within the meaning of sections 5 to 8 of the Companies Act 1993; and includes any entity that is classified as a subsidiary in any applicable financial reporting standard. insurance business means the undertaking or assumption of liability as an insurer under a contract of insurance insurance entity means any entity whose business predominantly consists of insurance business insurer has the meaning given in section 6(1) of the Insurance (Prudential Supervision) Act 2010 interest rate derivative– a. means a derivative in respect of which the amount of consideration payable, or the value of the derivative, is ultimately determined, is derived from, or varies by reference to the amount of an interest rate; and

Glossary 14 b. includes– i. a single-currency forward rate agreement; and ii. an interest rate swap contract; and iii. an interest rate option contract interest rate repricing date has the meaning given in section A1.3 of BPR140 interest rate risk has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: interest rate risk has the same meaning as in NZ IFRS 7 IRB approach has the meaning given in the local OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: IRB approach means the internal ratings-based approach for modelling credit risk, as provided for in BPR100: Capital Adequacy IRB bank means a New Zealand-incorporated registered bank that is accredited by the Reserve Bank to use the IRB approach to credit risk for capital adequacy purposes issuer has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: issuer has the same meaning as in section 11 of the Financial Markets Conduct Act 2013 joint venture has the meaning given in NZ IFRS 11 (Joint Arrangements) local OiC means the Registered Bank Disclosure Statements (New Zealand Incorporated Registered Banks) Order 2014 locally-incorporated bank means a registered bank that is incorporated in New Zealand loss allowance has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: loss allowance has the same meaning as in NZ IFRS 9 loss given default (LGD), has the meaning given in the local OiC

Glossary 15 Guidance: The definition in clause 4(1) of the local OiC is as follows: LGD (“loss given default”), for the purpose of calculating the risk-weight on a credit exposure subject to the IRB approach, means the value of LGD for that exposure determined under the applicable LGD methodology for the exposure specified in BPR133: IRB Credit Risk RWA lowest-risk multilateral development banks and supranationals has the meaning given in section C2.4(1) of BPR131 modelled exposure class has the meaning given in section C1.5 of BPR130 multilateral development bank means a supranational institution set up by two or more sovereign states, with a remit to reflect the development aid and cooperation policies established by those states. non-bank deposit taker (NBDT) has the meaning given (for NBDT) in section 5 of the Non￾bank Deposit Takers Act 2013 non-modelled exposure class has the meaning given in section C1.5 of BPR130 non property-investment residential mortgage loan has the meaning given in section C3.4 of BPR131 non-viability trigger event for an Additional Tier 1 or Tier 2 capital instrument has the meaning given in section D2.1 of BPR120 note issuance facility or revolving underwriting facility means an arrangement where– a. a borrower may draw down funds up to a prescribed limit over a pre-defined period by making repeated note issues to the market; and b. if the issue is not fully taken up by the market, the unplaced amount is to be taken up, or funds made available, by the facility provider operational risk means the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events, and– a. includes legal risk; but Guidance: legal risk includes, but is not limited to, exposure to fines, penalties, or punitive damages resulting from regulatory actions, as well as private settlements. b. does not include strategic risk and reputational risk other development banks has the meaning given in section C2.4(2) of BPR131 original maturity of a financial instrument is the time between the issue and the maturity date of the instrument, or if the instrument has no specified maturity date, the time between the issue date and the earliest date on which the bank can cancel the facility or withdraw its funds.

Glossary 16 Guidance: Instruments with no specified maturity date include for example credit cards, overdrafts and non-term deposit accounts. other material risk has the meaning given in section D1.1 of BPR100 overseas bank has the meaning given in section 2(1) of the Act owner-occupied residential property has the meaning given in section C3.4 of BPR131 past due has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: past due has the same meaning as in NZ IFRS 9 and an asset that is a specified number of days past due includes an asset for which, in relation to the contracted terms, conditions, or limits that applied to the asset immediately before non￾performance commenced– (a) any payment of principal, interest or other forms of monies owing is overdue, or has not been paid in accordance with the asset’s terms and conditions, for at least the specified number of days; or (b) amounts owing under revolving facilities have been continuously outside of limits for at least the specified number of days. performance-related contingent item– a. means an exposure involving an irrevocable obligation to pay a third party in the event that a counterparty fails to fulfil or perform a contractual non-monetary obligation such as delivery of goods by a specified date; and b. includes– i. performance bonds; and ii. bid bonds; and iii. warranties and indemnities; and iv. performance related standby letters of credit; and v. other guarantees that support obligations relating to a particular transaction placement of forward deposit means an agreement to place a deposit with another party at an agreed rate of interest on a predetermined future date precious metal means gold, silver, platinum, or palladium precious metal derivative means a commodity derivative in respect of which the relevant commodity is a precious metal probability of default (PD) has the meaning given in the local OiC

Glossary 17 Guidance: The definition in clause 4(1) of the local OiC is as follows: PD (“probability of default”), for the purpose of calculating the risk-weight on a credit exposure subject to the IRB approach, means the value of PD for that exposure determined under the applicable PD methodology for the exposure specified in BPR133: IRB Credit Risk RWAs property-investment residential mortgage loan has the meaning given in section C3.4 of BPR131 prudential capital buffer ratio (PCB) has the meaning given in the local OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: prudential capital buffer ratio has the same meaning as in BPR100: Capital Adequacy public sector entity means: a. in the case of New Zealand entities, a local authority (as defined in section 5 of the Local Government (Rating) Act 2002) or the Local Government Funding Agency. b. in all other cases, a non-national level government in a country (such as a state, province or region) that has powers to raise revenue and borrow money. qualifying central counterparty (QCCP) has the meaning given in section G1.2 of BPR131 qualifying interest, in relation to a specified security, has the meaning given in section 2(1) of the Act quasi-sovereign development bank (QSDB) means any institution set up by a sovereign state, with a remit to reflect the sovereign’s development policies. rate-insensitive asset has the meaning given in section A1.3 of BPR140 rate-insensitive liability has the meaning given in section A1.3 of BPR140 rate-insensitive product has the meaning given in section A1.3 of BPR140 rating system, for the purposes of an IRB bank modelling credit risk, has the meaning given in section B1.1 of BPR134 registered bank has the meaning given in section 2(1) of the Act repay, in relation to a capital instrument issued by a bank, has the meaning given in section A2.1 of BPR110, and repayment and repaid have corresponding meanings repurchase transaction means a transaction in which a person agrees to sell a security to a counterparty for an amount of money and repurchase the security from the counterparty, at an agreed price, on an agreed future date residential mortgage loan (RML) has the meaning given in section C3.2 of BPR131

Glossary 18 residual value risk, in relation to a lease, has the meaning given in section C2.17 of BPR131 reverse repurchase transaction means a transaction in which a person agrees to buy a security from a counterparty for an amount of money and resell the security to the counterparty, at an agreed price, on an agreed future date reverse residential mortgage loan (reverse RML) has the meaning given in section C3.4 of BPR131 revolving underwriting facility has the meaning given under note issuance facility seasonal rate-insensitive asset has the meaning given in section A1.3 of BPR140 seasonal rate-insensitive liability has the meaning given in section A1.3 of BPR140 seasonal rate-insensitive product has the meaning given in section A1.3 of BPR140 securities borrowing transaction means a transaction in which a person agrees to borrow a security from a counterparty and provide an amount of money, or other securities, to the counterparty as collateral securities financing transaction (SFT) means a repurchase transaction, a reverse repurchase transaction, a securities lending transaction, or a securities borrowing transaction Guidance: To avoid doubt, margin lending is not included in the definition of SFT, because it is part of retail customer business in New Zealand. securities lending transaction means a transaction in which a person agrees to lend a security to a counterparty and receive an amount of money, or other securities, from the counterparty as collateral sister company, in relation to a company (A), means a company that is a subsidiary of a holding company of A, but is neither a holding company of A nor a subsidiary of A solo basis has the meaning given in the local OiC Guidance: The definition in clause 4(1) of the Local OiC is as follows: solo basis, in relation to the calculation of a registered bank’s capital ratios, has the same meaning as in Subpart B2 of BPR100: Capital Adequacy sovereign means the Crown in the case of New Zealand and in all other instances means the central, national government of a country other than New Zealand. It does not include governments of subdivisions such as states, provinces and regions. standard residential mortgage loan has the meaning given in section C3.4 of BPR131 standardised bank means a New Zealand-incorporated registered bank that is not accredited by the Reserve Bank to use the IRB approach to credit risk for capital adequacy purposes state enterprise has the meaning given in section 2 of the State-Owned Enterprises Act 1986

Glossary 19 statutory management means statutory management under section 117 of the Act subsidiary has the meaning given in the applicable OiC Guidance: The definition of subsidiary in clause 4(1) of each of the OiCs is that it has the meaning given in the Financial Reporting Act 2013. The definition in section 5(1) of that Act is as follows: subsidiary means a subsidiary within the meaning of sections 5 to 8 of the Companies Act 1993; and includes any entity that is classified as a subsidiary in any applicable financial reporting standard surplus CET1 Capital, in relation to the prudential capital buffer ratio, has the meaning given in section B2.6(5) of BPR100 swap deposit arrangement means an arrangement under which– a. a party sells foreign currency at the spot rate against another currency to a counterparty; and b. at the same time, that counterparty deposits the foreign currency with the selling party and enters into a currency derivative with the party to sell the foreign currency back to the party against another currency, at a specified exchange rate, on a future date third party, for the purpose of calculating a registered bank’s capital ratios, means an entity that is not the registered bank or a member of the registered bank’s banking group Tier 1 capital has the meaning given in the local OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: Tier 1 capital has the same meaning as in BPR110: Capital Definitions Tier 1 capital ratio has the meaning given in the local OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: Tier 1 capital ratio has the same meaning as in BPR100: Capital Adequacy Tier 2 capital has the meaning given in the local OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: Tier 2 capital has the same meaning as in BPR110: Capital Definitions Total capital has the meaning given in the local OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: Total capital has the same meaning as in BPR110: Capital Definitions

Glossary 20 Total capital ratio has the meaning given in the local OiC Guidance: The definition in clause 4(1) of the local OiC is as follows: Total capital ratio has the same meaning as in BPR100: Capital Adequacy total return swap means a credit derivative under which a protection buyer, during the term of the contract– a. pays a protection seller all cash flows arising from a reference obligation together with any appreciation in the market value of the reference obligation; and b. receives, in return, a spread over a specified index together with any depreciation in the value of the reference obligation total RWA equivalents has the meaning given in section B2.5 of BPR100 Guidance: Total RWA equivalents is the denominator for the purpose of calculating capital adequacy ratios. trade-related contingent item– a. means a contingent liability arising from trade-related obligations which are secured against an underlying shipment of goods; and b. includes documentary letters of credit issued, acceptances on trade bills, shipping guarantees issued and other trade-related contingencies. transitional AT1 capital instrument has the meaning given in section A2.3 of BPR110 transitional Tier 2 capital instrument has the meaning given in section A2.3 of BPR110 ultimate holding company, in relation to a company, means a body corporate that– a. is a holding company of the company; but b. is itself not a subsidiary of any body corporate Guidance: This definition matches the definition in the Companies Act 1993, but with the terms holding company and subsidiary having the meaning they are given in this Glossary. ultimate parent bank has the meaning given in the applicable OiC Guidance: The definition in clause 4(1) of each of the OiCs is as follows: ultimate parent bank, in relation to a registered bank, means the bank that– (a) is the registered bank’s holding company; and (b) is not itself a subsidiary of another bank. unassessed claim has the meaning given in section B1.5 of BPR131