✨ Banking Regulations
27 FEBRUARY 2008 NEW ZEALAND GAZETTE, No. 40 1031
Adequacy Framework (Standardised Approach) (BS2A)
(as applicable).
(2) The following information at the off-quarter balance date:
Credit risk mitigation
| Exposure class | Total value of on- and off-balance sheet exposures covered by eligible collateral (after haircutting) | Total value of on- and off-balance sheet exposures covered by guarantees or credit derivatives |
|---|---|---|
| Sovereign or central bank | ||
| Multilateral development bank | ||
| Public sector entities | ||
| Bank | ||
| Corporate | ||
| Residential mortgage | ||
| Other |
5 Operational 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:
Operational risk capital requirement
| Operational risk | Implied Risk Weighted Exposure | Total operational risk capital requirement |
|---|---|---|
| Operational risk |
(3) For the purpose of the disclosure required by subclause (2), implied risk weighted exposure must be calculated as 12.5 x total operational risk capital requirement.
6 Market risk end-period capital charges
(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:
Market Risk
| Market Risk | Implied risk weighted exposure | Aggregate capital charge | Aggregate capital charge as a percentage of the banking group’s equity |
|---|---|---|---|
| Interest rate risk | |||
| Foreign currency risk | |||
| Equity risk |
(3) For the purpose of the disclosure required by subclause (2) implied risk weighted exposure must be calculated as 12.5 x aggregate capital charge.
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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
✨ LLM interpretation of page content
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Credit Risk Calculations for Banking Group
(continued from previous page)
💰 Finance & RevenueCredit risk, Risk weights, Capital requirements, Banking regulations, Disclosure requirements