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 PDF NZ Gazette 2008, No 40


Gazette.govt.nz PDF NZ Gazette 2008, No 40





✨ LLM interpretation of page content

💰 Risk Weighted Exposures and Capital Adequacy under Basel I Approach (continued from previous page)

💰 Finance & Revenue
Capital adequacy, Risk weighted exposures, Basel I, Banking regulations, Tier one capital, Tier two capital