27 FEBRUARY 2008 NEW ZEALAND GAZETTE, No. 40 1029

2

Credit risk

(1) The information in subclause (2) —

(a) in respect of the banking group; and

(b) derived in accordance with either the conditions of
registration relating to capital adequacy or Capital
Adequacy Framework (Standardised Approach) (BS2A)
(as applicable).

(2) The following information at the off-quarter balance date:

(1)

Calculation of on-balance-sheet exposures

| | Total exposure after
credit risk mitigation | Risk Weight | Risk
Weighted
Exposure | Minimum Pillar
One Capital
Requirement |
|-------------------------------|----------------------------------|------------|-------------------------|------------------------------------|
| Cash and gold bullion | | 0% | | |
| Sovereigns and Central Banks | | 0% |
| | | 20% |
| | | 50% |
| | | 100% |
| | | 150% |
| Multilateral Development Banks and Other | | 0% |
| International Organisations | | 20% |
| | | 50% |
| | | 100% |
| | | 150% |
| Public Sector Entities | | 20% |
| | | 50% |
| | | 100% |
| | | 150% |
| Banks | | 20% |
| | | 50% |
| | | 100% |
| | | 150% |
| Corporate | | 20% |
| | | 50% |
| | | 100% |
| | | 150% |
| Residential Mortgages not past due | | 35% |
| | | 50% |
| | | 75% |
| Past due residential mortgages | | 100% |
| Other past due assets | | 100% |
| | | 150% |
| Equity holdings (not deducted from capital) that are
publicly traded | | 300% |
| All other equity holdings (not deducted from capital) | | 400% |
| Other assets | | 100% |

(1)

Calculation of on-balance-sheet exposures

| | Total exposure after
credit risk mitigation | Risk Weight | Risk
Weighted
Exposure | Minimum Pillar
One Capital
Requirement |
|-------------------------------|----------------------------------|------------|-------------------------|------------------------------------|
| Cash and gold bullion | | 0% |
| Sovereigns and Central Banks | | 0% |
| | | 20% |
| | | 50% |