27 FEBRUARY 2008 NEW ZEALAND GAZETTE, No. 40 1035

Credit Risk subject to the IRB approach

(1) The information in subclauses (2) and (4)—

(a) in respect of the capital of the banking group; and

(b) derived in accordance with either the conditions of
registration relating to capital adequacy or Capital
Adequacy Framework (Internal Models Based
Approach) (BS2B) (as applicable).

(2) For each exposure class where the IRB approach is applied the
following information at the off-quarter balance date:

| Name of
exposure class | Exposure amounts | Exposure-weighted
LGD (%) used for the
capital calculation | Exposure-weighted
Risk Weight (%) | Risk weighted assets | Minimum capital
requirement |
|-------------------|-------------------|-------------------------------------------|---------------------------------|-----------------------|---------------------------|
| | Exposure-weighted
PD grade 1 (%) | | | | |
| | Exposure-weighted
PD grade 2 (%) | | | | |
| | ... | | | | |
| | ... | | | | |
| | Default PD grade | | | | |
| AGGREGATE
EXPOSURE-
WEIGHTED PD
GRADE | TOTAL
EXPOSURES | AGGREGATE
EXPOSURE-
WEIGHTED LGD
GRADE (%) | AGGREGATE
EXPOSURE-
WEIGHTED RISK
WEIGHT (%) | TOTAL Risk
weighted assets | TOTAL Minimum
capital requirement |

(3) For the purpose of the disclosure required by subclause (2):

(a) the exposure-weighted value of an item in any box of
the table is calculated as the sum, across each exposure
falling within that box, of the following amount:

(value of that item for that exposure) x (value of that exposure)
(total value of all exposures falling within that box);

and

(b) the PD grades must either be those used internally for
rating exposures in that exposure class or aggregated
from those used internally, provided that where PD
grades are aggregated:

(i) the disclosure must be based on a minimum of 
    five non-default aggregated PD grades and one 
    default aggregated PD grade; and

(ii) the aggregated PD grades should be reasonably 
     evenly distributed across the range of PD grades 
     used in the internal rating system; and

(iii) the PD disclosed for each aggregated grade must 
      be the exposure-weighted average of the PDs 
      included in the aggregation; and

(c) the exposures disclosed must comprise outstanding
loans, and EAD on undrawn commitments and other
off-balance sheet exposures that are used in the
calculation of regulatory capital; and

(d) risk-weighted assets and minimum capital requirements
must be the amounts after multiplying by the scalar (if