✨ Banking Regulations
978
NEW ZEALAND GAZETTE, No. 40
27 FEBRUARY 2008
(2) The following information as at the balance date:
Credit risk exposures subject to the standardised approach
On-balance sheet exposures
| Total exposure after credit risk mitigation | Average Risk Weight | Risk Weighted Exposure | Minimum Pillar One Capital Requirement | |
|---|---|---|---|---|
| Cash and gold bullion | ||||
| Sovereigns and Central Banks | ||||
| Multilateral Development Banks and Other International Organisations | ||||
| Public Sector Entities | ||||
| Banks | ||||
| Corporate | ||||
| Residential Mortgages | ||||
| Past due assets | ||||
| Other assets |
Off-balance sheet exposures
| Total Exposure or Principal Amount | Average Credit Conversion Factor | Credit Equivalent Amount | Average risk weight | Risk Weighted Exposure | Minimum Pillar One Capital Requirement | |
|---|---|---|---|---|---|---|
Total off balance sheet exposures subject to the standardised approach
Market-related contracts subject to the standardised approach
| (a) Foreign exchange contracts | N/A |
| (b) Interest rate contracts | N/A |
| (c) Other - OTC etc | N/A |
(3) For the purpose of the disclosure required by subclause (2)—,
(a) average risk weight means the exposure-weighted average of the risk weights of individual exposures determined according to the counterparty or type of asset or issuer as appropriate; and
(b) average credit conversion factor means the exposure-weighted average of the credit conversion factors for individual exposures.
7
Credit risk mitigation
(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 (Internal Models Based Approach) (BS2B) (as applicable).
(2) The following information as at the balance date:
Credit risk mitigation
| Exposure Class | For portfolios subject to the standardised or foundation IRB approach as defined by BS2B: Total value of exposures covered by eligible financial or IRB collateral (after haircutting) | For all portfolios: Total value of exposures covered by guarantees or credit derivatives |
|---|---|---|
| Sovereign | ||
| Bank | ||
| Corporate (including specialised lending) | ||
| Residential mortgage | ||
| Other |
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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
💰
Credit risk exposures subject to the standardised approach
(continued from previous page)
💰 Finance & RevenueCredit risk, Standardised approach, Banking group, Risk weights, Exposures
💰 Credit risk mitigation
💰 Finance & RevenueCredit risk mitigation, Banking group, Collateral, Guarantees, Credit derivatives