✨ Banking Regulations
27 FEBRUARY 2008 NEW ZEALAND GAZETTE, No. 40
977
4
Additional mortgage information
(1) The information in subclause (2) —
(a) in respect of the banking group; and
(b) in respect of total exposures secured by residential
mortgages as used to calculate the Registered Bank’s
pillar one capital requirement for credit risk, categorised
by loan-to-valuation ratio.
(2) The following information as at the balance date:
Residential mortgages by loan-to-valuation ratio
| LVR range | 0%-60% | 60%-70% | 70%-80% | 80%-90% | Over 90% |
|---|---|---|---|---|---|
| Value of exposures |
5
Specialised lending subject to the slotting approach
(1) If the slotting approach for specialised lending exposures as
defined in Capital Adequacy Framework (Internal Models
Based Approach) (BS2B) is used, the information in subclause
(2) in respect of the banking group.
(2) The following information as at the balance date in respect of
specialised exposures subject to the slotting approach:
On balance sheet exposures
| Total Exposures after credit risk mitigation | Risk weight | Risk weighted Assets | Minimum pillar one capital requirement |
|---|---|---|---|
| 70% | |||
| 90% | |||
| 115% | |||
| 250% |
Off balance sheet exposures
| EAD | Average risk weight | Risk weighted Assets | Minimum pillar one capital requirement | |
|---|---|---|---|---|
| Undrawn commitments and other off-balance sheet exposures |
(3) For the purpose of the disclosure required by subclause (2)—
(a) average risk weight means the EAD-weighted average
of the risk weights of individual exposures determined
according to the counterparty or type of asset or issuer
as appropriate; and
(b) 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.
6
Credit risk exposures subject to the standardised approach
(1) The information in subclause (2)—
(a) in respect of the banking group; and
(b) in respect of any credit risk exposures that are not
subject to the IRB approach or the slotting approach to
specialised lending.
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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
💰
Additional mortgage information
(continued from previous page)
💰 Finance & RevenueResidential mortgages, Loan-to-valuation ratio, Banking group, Capital requirement
💰 Specialised lending subject to the slotting approach
💰 Finance & RevenueSpecialised lending, Slotting approach, On balance sheet exposures, Off balance sheet exposures, Credit risk mitigation
💰 Credit risk exposures subject to the standardised approach
💰 Finance & RevenueCredit risk, Standardised approach, IRB approach, Banking group