✨ Banking Regulations
27 FEBRUARY 2008
NEW ZEALAND GAZETTE, No. 40
| Market Risk | Implied risk weighted exposure | Aggregate capital charge | Aggregate capital charge as a percentage of the 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 aggregate capital charge.
(4) The information that is required to be disclosed under subclause (2) must include comparative figures for the previous corresponding period.
9 Method for deriving peak end-of-day aggregate capital charge
(1) For the purpose of the disclosure required by clause 8, peak end-of-day aggregate capital charge for each category of market risk is derived by determining the maximum over the relevant period of the aggregate capital charge 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 market risk 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 8, peak end-of-day aggregate capital charge as a percentage of the banking group’s equity is derived by dividing peak end-of-day aggregate capital charge by—
(a) the banking group’s equity as at the end of the quarter; or
(b) the banking group’s equity at the date to which the maximum end-of-day aggregate capital charge applied.
(3) A statement of the method used to derive peak end-of-day aggregate capital charge, and peak end-of-day aggregate capital charge as a percentage of the banking group’s equity, for each category of market risk.
10 Total capital requirements
(1) The information in subclause (2)—
(a) in respect of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Standardised Approach) (BS2A) (as applicable).
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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
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Registered Bank Disclosure Statement Order 2008
(continued from previous page)
💰 Finance & RevenueBanking, Disclosure Statements, Financial Information, Capital Adequacy, Equity Share Capital, Capital Instruments, Reserves, Risk Weighted Exposures, Operational Risk, Market Risk