✨ Financial Regulations
27 FEBRUARY 2008 NEW ZEALAND GAZETTE, No. 40 1133
(b) in respect of total residential mortgage loans and
derived in accordance with the definition of loan-to-
valuation ratio specified in Capital Adequacy
Framework (Standardised Approach) (BS2A).
(2) The following information as at the balance date:
Residential mortgages by loan-to-valuation ratio
| LVR range | 0%-80% | 80%-90% | Over 90% |
|---|---|---|---|
| Value of exposures |
3 Market risk end-period notional capital charges
(1) The information in subclause (2)—
(a) in respect of the banking group; and
(b) derived on the basis that the notional capital charge for
each category of market risk is the aggregate capital
charge for that category of market risk derived in
accordance with the Capital Adequacy Framework
(Standardised Approach) (BS2A).
(2) The following information as at the balance date:
| 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.
4 Market risk peak end-of-day notional capital charges
(1) The information in subclause (2)—
(a) in respect of the banking group; and
(b) derived in accordance with clause 5.
(2) The following information in respect of peak end-of-day
notional capital charges for market risk for the first quarter
accounting period or the most recent quarter of the third quarter
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.
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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
💰
Schedule 4: Credit and market risk exposures and capital adequacy
(continued from previous page)
💰 Finance & RevenueCredit Risk, Market Risk, Capital Adequacy, Mortgage Information, Capital Ratios