✨ Capital Adequacy Disclosure Requirements
27 FEBRUARY 2008
NEW ZEALAND GAZETTE, No. 40
1037
On balance sheet exposures
| Total Exposures after credit risk mitigation | Risk weight | Risk weighted Assets | Minimum pillar one capital requirement |
|---|---|---|---|
| 70% | |||
| 90% | |||
| 115% | |||
| 250% |
Off balance sheet exposures
| EAD | Average risk weight | Risk weighted Assets | Minimum pillar one capital requirement | |
|---|---|---|---|---|
| Undrawn commitments and other off-balance sheet exposures |
(3) For the purpose of the disclosure required by subclause (2) —
(a) average risk weight means the EAD-weighted average of the risk weights of individual exposures determined according to the counterparty or type of asset or issuer as appropriate; and
(b) risk-weighted assets and minimum capital requirements must be the amounts after multiplying by the scalar (if any) specified in the conditions of registration relating to capital adequacy.
5 (1) Credit risk exposures subject to the standardised approach
The information in subclause (2)—
(a) in respect of the banking group; and
(b) in respect of any credit risk exposures that are not subject to the IRB approach or the slotting approach to specialised lending.
The following information at the off-quarter balance date:
(2) Credit risk exposures subject to the standardised approach
On-balance sheet exposures
| Total exposure after credit risk mitigation | Average Risk Weight | Risk Weighted Exposure | Minimum Pillar One Capital Requirement | |
|---|---|---|---|---|
| Cash and gold bullion | ||||
| Sovereigns and Central Banks | ||||
| Multilateral Development Banks and Other International Organisations | ||||
| Public Sector Entities | ||||
| Banks | ||||
| Corporate | ||||
| Residential Mortgages | ||||
| Past due assets | ||||
| Other assets |
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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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Schedule 4B: Capital Adequacy Under the Internal Models Based Approach
(continued from previous page)
💰 Finance & RevenueCapital adequacy, Internal models, Banking regulations, Risk management, Disclosure requirements, Credit risk, IRB approach, Exposure classes, On-balance sheet exposures, Off-balance sheet exposures, Standardised approach