✨ Banking Regulations
27 FEBRUARY 2008 NEW ZEALAND GAZETTE, No. 40
1027
(2) The following information as at the off-quarter balance date:
Risk weighted exposures
(1) Calculation of balance sheet exposures
| Amount | Risk weight | Risk weighted exposure | |
|---|---|---|---|
| Cash and short term claims on | 0% | ||
| Government | |||
| Long term claims on | 10% | ||
| Government | |||
| Claims on banks | 20% | ||
| Claims on public sector entities | 20% | ||
| Residential mortgages | 50% | ||
| Other | 100% | ||
| Total assets |
(2) Calculation of off-balance sheet exposures
| Amount | Credit conversion factor | Credit equivalent amount | Average counterparty risk weight | Risk weighted exposure | |
|---|---|---|---|---|---|
| Direct credit substitutes | 100% | ||||
| Asset sales with recourse | 100% | ||||
| Commitments with certain | 100% | ||||
| drawdown | |||||
| Underwriting and sub- | 50% | ||||
| underwriting facilities | |||||
| Transaction related | 50% | ||||
| contingent items | |||||
| Short term, self | 20% | ||||
| liquidating trade related | |||||
| contingencies | |||||
| Other commitments to | 50% | ||||
| provide financial services | |||||
| which have an original | |||||
| maturity of 1 year or more | |||||
| Other commitments with | 0% | ||||
| an original maturity of | |||||
| less than 1 year or which | |||||
| can be unconditionally | |||||
| cancelled at any time | |||||
| Market related contracts² | NA | ||||
| (a) foreign exchange | |||||
| contracts | |||||
| (b) interest rate contracts | |||||
| (c) other | |||||
| Total off-balance sheet | |||||
| exposures | |||||
| Risk weighted exposures |
3 Capital ratios
(1)
The information in subclause (2) derived in accordance with
either the conditions of registration relating to capital adequacy
or the Capital Adequacy Framework (Basel I Approach) (BS2)
(as applicable).
(2)
The following information in respect of the banking group as at
the off-quarter balance date:
(a) tier one capital ratio; and
(b) total capital ratio.
² Specify whether the current exposure or original exposure method was used to calculate the credit
equivalent amount on these contracts.
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Online Sources for this page:
VUW Te Waharoa —
NZ Gazette 2008, No 40
Gazette.govt.nz —
NZ Gazette 2008, No 40
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Risk Weighted Exposures and Capital Adequacy under Basel I Approach
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💰 Finance & RevenueCapital adequacy, Risk weighted exposures, Basel I, Banking regulations, Tier one capital, Tier two capital