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

—————————

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 PDF NZ Gazette 2008, No 40


Gazette.govt.nz PDF NZ Gazette 2008, No 40





✨ LLM interpretation of page content

💰 Banking Disclosure Requirements (continued from previous page)

💰 Finance & Revenue
Credit Risk, Market Risk, Capital Adequacy, Risk-Weighted Exposures, Mortgage Information, Capital Charges, Capital Ratios, Minimum Capital Requirements