✨ 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 PDF NZ Gazette 2008, No 40


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





✨ LLM interpretation of page content

πŸ’° Schedule 4: Credit and market risk exposures and capital adequacy (continued from previous page)

πŸ’° Finance & Revenue
Credit Risk, Market Risk, Capital Adequacy, Mortgage Information, Capital Ratios