✨ Market Risk Disclosure Requirements
980 NEW ZEALAND GAZETTE, No. 40 27 FEBRUARY 2008
(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 (1) must include comparative figures for the previous
corresponding period.
11 Market risk peak end-of-day capital charges
(1) The information in subclause (2)—
(a) in respect of the banking group; and
(b) derived in accordance with clause 12.
(2) The following information in respect of peak end-of-day
aggregate capital charges for the most recent quarter of the
accounting period or interim accounting period (as applicable):
| 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 (1) must include comparative figures for the previous
corresponding period.
12 Method for deriving peak end-of-day aggregate capital charge
(1) For the purpose of the disclosure required by clause 11, 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 (Internal Models Based
Approach) (BS2B); 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 11, 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.
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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
💰
Market Risk End-Period Capital Charges
(continued from previous page)
💰 Finance & RevenueMarket risk, Capital charge, Interest rate risk, Foreign currency risk, Equity risk, Banking group, BS2B
💰 Market Risk Peak End-of-Day Capital Charges
💰 Finance & RevenueMarket risk, Peak capital charge, Interest rate risk, Foreign currency risk, Equity risk, Banking group, BS2B
💰 Method for Deriving Peak End-of-Day Aggregate Capital Charge
💰 Finance & RevenueMarket risk, Peak capital charge, Derivation method, Banking group, BS2B