✨ Banking Capital Adequacy
1090
NEW ZEALAND GAZETTE, No. 40
27 FEBRUARY 2008
Schedule 5
Credit and market risk exposures and capital adequacy
Contents
Page
1 Risk-weighted credit risk exposures ........................................................ 1090
2 Additional mortgage information............................................................. 1091
3 Market risk end-period notional capital charges ...................................... 1091
4 Market risk peak end-of-day notional capital charges ............................. 1091
5 Method for deriving peak end-of-day notional capital charges................ 1092
6 Capital ratios ............................................................................................ 1092
7 Minimum capital requirements ................................................................ 1093
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1
(1)
(2)
Risk-weighted credit risk exposures
The information in subclause (2)—
(a) in respect of the registered bank and banking group; and
(b) derived in accordance with the Capital Adequacy Framework (Basel I Approach) (BS2).
The following information as at the balance date:
Risk weighted exposures
(1) Calculation of balance sheet exposures
Amount
Risk weight
Cash and short term claims on Government
0%
Long term claims on Government
10%
Claims on banks
20%
Claims on public sector entities
20%
Residential mortgages
50%
Other
100%
Risk weighted exposure
Total assets
(2) Calculation of off-balance sheet exposures
Amount
Credit conversion factor
Credit equivalent amount
Average counterparty risk weight
Risk weighted exposure
Direct credit substitutes
100%
Asset sales with recourse
100%
Commitments with certain drawdown
100%
Underwriting and subunderwriting facilities
50%
Transaction related contingent items
50%
Short term, self liquidating trade related contingencies
20%
Other commitments to provide financial services which have an original maturity of 1 year or more
50%
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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
💰
Banking Disclosure Requirements
(continued from previous page)
💰 Finance & RevenueCredit Risk, Market Risk, Capital Adequacy, Risk-Weighted Exposures, Mortgage Information, Capital Charges, Capital Ratios, Minimum Capital Requirements