β¨ Risk-weighted credit risk exposures
1132 NEW ZEALAND GAZETTE, No. 40 27 FEBRUARY 2008
Risk-weighted credit risk exposures
(1) The information in subclause (2)β
(a) in respect of the registered bank and banking group; and
(b) derived in accordance with the Capital Adequacy Framework (Basel I Approach) (BS2).
(2) The following information as at the off-quarter balance date:
Risk weighted exposures
(1) Calculation of balance sheet exposures
| Amount | Risk weight | Risk weighted exposure | |
|---|---|---|---|
| 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% | ||
| 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 sub-underwriting 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% | ||||
| Other commitments with an original maturity of less than 1 year or which can be unconditionally cancelled at any time | 0% | ||||
| Market related contracts(4)(a) foreign exchange contracts(b) interest rate contracts(c) other | NA | ||||
| Total off-balance sheet exposures | |||||
| Risk weighted exposures |
2 Additional mortgage information
(1) The information in subclause (2) β
(a) in respect of the banking group; and
(4) Specify whether the current exposure or original exposure method was used to calculate the credit equivalent amount on these contracts.
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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
β¨ LLM interpretation of page content
π°
Schedule 4: Credit and market risk exposures and capital adequacy
(continued from previous page)
π° Finance & RevenueCredit Risk, Market Risk, Capital Adequacy, Mortgage Information, Capital Ratios