New Zealand Gazette – 2008 – No. 40

Page 1036

✨ Banking Regulations



1036

NEW ZEALAND GAZETTE, No. 40

27 FEBRUARY 2008

any) specified in the conditions of registration relating
to capital adequacy.

For each exposure class the following information at the off-quarter balance date:

(a) total value of undrawn commitments and other off-balance sheet amounts excluding market related contracts:

(b) the total value of market related contracts:

(c) the EAD of undrawn commitments and other off-balance sheet amounts:

(d) the EAD of market related contracts.

For the purpose of the disclosure required by subclauses (2) and (4) the exposure classes to be disclosed are those defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B) except that:

(a) if qualifying revolving retail exposures are material relative to overall credit exposures, the retail exposure class must be disclosed as if the following three exposure sub-classes of the retail exposure class were each a separate exposure class:

(i) lending secured by mortgages over residential property; and

(ii) qualifying revolving retail exposures; and

(iii) all other retail lending; and

(b) otherwise the retail exposure class must be disclosed as if the following two exposure sub-classes of the retail exposure class were each a separate exposure class:

(i) lending secured by mortgages over residential property; and

(ii) all other retail lending.

3 Additional mortgage information

(1) The information in subclause (2) —

(a) in respect of the banking group; and

(b) in respect of total exposures secured by residential mortgages as used to calculate the Registered Bank’s pillar one capital requirement for credit risk, categorised by loan-to-valuation ratio.

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

Residential mortgages by loan-to-valuation ratio

LVR range 0%-60% 60%-70% 70%-80% 80%-90% Over 90%
Value of exposures

4 Specialised lending subject to the slotting approach

(1) If the slotting approach for specialised lending exposures as defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B) is used, the information in subclause (2) in respect of the banking group.

(2) The following information at the off-quarter balance date in respect of specialised exposures subject to the slotting approach:



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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

💰 Schedule 4B: Capital Adequacy Under the Internal Models Based Approach (continued from previous page)

💰 Finance & Revenue
Capital adequacy, Internal models, Banking regulations, Risk management, Disclosure requirements, Credit risk, IRB approach, Exposure classes