✨ Banking Disclosure Requirements
1092 NEW ZEALAND GAZETTE, No. 40 27 FEBRUARY 2008
(2)
(b) derived in accordance with clause 5.
The following information in respect of peak end-of-day
notional capital charges for market risk for the most recent
quarter of the accounting period or interim accounting period
(as applicable):
| Market Risk | Implied risk weighted exposure | Notional capital charge | Notional capital charge as a percentage of the overseas banking group’s equity |
|---|---|---|---|
| Interest rate risk | |||
| Foreign currency risk | |||
| Equity risk |
(3)
For the purpose of the disclosure required by subclause (2)
implied risk-weighted exposure must be calculated as 12.5 x
notional capital charge.
(4)
The information that is required to be disclosed under
subclause (2) must include comparative figures for the previous
corresponding period.
5
Method for deriving peak end-of-day notional capital charges
(1)
For the purpose of the disclosure required by clause 4, peak
end-of-day notional capital charge for each category of market
risk is derived by determining the maximum over the relevant
period of the aggregate capital charge for that category at the
close of each business day derived in accordance with—
(a) Capital Adequacy Framework (Standardised Approach)
(BS2A); or
(b) any other method, but only if the aggregate capital
charge derived in accordance with that method is not, in
the opinion of the registered bank (such opinion to be
based on reasonable grounds), materially lower than the
amount derived under paragraph (a).
(2)
For the purpose of the disclosure required by clause 4, peak
end-of-day notional capital charge as a percentage of the
overseas banking group’s equity is derived by dividing peak
end-of-day notional capital charge by—
(a) the overseas banking group’s equity as at the end of the
quarter; or
(b) the most recently publicly disclosed amount of the
overseas banking group’s equity; or
(c) the overseas banking group’s equity at the date to which
the maximum end-of-day notional capital charge
applied.
(3)
A statement of the method used to derive peak end-of-day
notional capital charge, and peak end-of-day notional capital
charge as a percentage of the overseas banking group’s equity,
for each category of market risk.
6
Capital ratios
(1)
The most recent publicly available information specified in
respect of the capital ratios of the overseas bank and the
overseas banking group, including the following information:
(a) tier one capital ratio:
Next Page →
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