New Zealand Gazette – 2008 – No. 40

Page 976

✨ Finance & Revenue Notices

976

NEW ZEALAND GAZETTE, No. 40

27 FEBRUARY 2008

(value of that item for that exposure) x (value of that exposure)
(total value of all exposures falling within that box);

(4)

(5)

and
(b) the PD grades must either be those used internally for
rating exposures in that exposure class or aggregated
from those used internally, provided that where PD
grades are aggregated:
(i) the disclosure must be based on a minimum of
five non-default aggregated PD grades and one
default aggregated PD grade: and
(ii) the aggregated PD grades should be reasonably
evenly distributed across the range of PD grades
used in the internal rating system: and
(iii) the PD disclosed for each aggregated grade must
be the exposure-weighted average of the PDs
included in the aggregation; and
(c) the exposures disclosed must comprise outstanding
loans, and EAD on undrawn commitments and other
off-balance sheet exposures that are used in the
calculation of regulatory capital; and
(d) risk-weighted assets and minimum capital requirements
must be the amounts after multiplying by the scalar (if
any) specified in the conditions of registration relating
to capital adequacy.

For each exposure class the following information as at the
balance date:
(a) total value of undrawn commitments and other off-
balance sheet amounts excluding market related
contracts:
(b) the total value of market related contracts:
(c) the EAD of undrawn commitments and other off-
balance sheet amounts:
(d) the EAD of market related contracts.

For the purpose of the disclosure required by subclauses (2) and
(4) the exposure classes to be disclosed are those defined in
Capital Adequacy Framework (Internal Models Based
Approach) (BS2B) except that:
(a) if qualifying revolving retail exposures are material
relative to overall credit exposures, the retail exposure
class must be disclosed as if the following three
exposure sub-classes of the retail exposure class were
each a separate exposure class:
(i) exposures secured by residential mortgages; and
(ii) qualifying revolving retail exposures; and
(iii) all other retail lending; and
(b) otherwise the retail exposure class must be disclosed as
if the following two exposure sub-classes of the retail
exposure class were each a separate exposure class:
(i) exposures secured by residential mortgages; and
(ii) all other retail lending.