New Zealand Gazette – 2008 – No. 40

Page 984

✨ Banking Regulations

984

NEW ZEALAND GAZETTE, No. 40

27 FEBRUARY 2008

exposure that equals or exceeds 10% of the banking group’s equity.

5
(1) The information in subclause (2) in successive ranges of 10% of equity, commencing at 10% of equity —
(a) as at the balance date; and
(b) in respect of peak end-of-day aggregate credit exposure for the most recent quarter of the accounting period or interim accounting period (as applicable).

(2) The number of individual non-bank counterparties (which are not members of a group of closely related counterparties) and groups of closely related counterparties of which a bank is not the parent to which the banking group has an aggregate credit exposure that equals or exceeds 10% of the banking group’s equity.

6
(1) For the purposes of clauses 4 and 5, peak end-of-day aggregate credit exposure to each individual counterparty or a group of closely related counterparties for the most recent quarter of the interim accounting period or the accounting period (as applicable) is derived by—
(a) determining the maximum end-of-day aggregate amount of credit exposure over the quarter; and
(b) then dividing that amount by—
(i) the banking group’s equity as at the end of the quarter; or
(ii) the banking group’s equity at the date the maximum end-of-day aggregate amount of credit exposure occurred.

(2) A statement of the method used to derive peak ratio information.

7
(1) The following information as at the balance date and in respect of the individual bank counterparties and groups of closely related counterparties of which a bank is the parent referred to in clause 4(2):
(a) the total amount of credit exposures to those counterparties that have a credit rating that is of investment grade:
(b) the total amount of credit exposures to those counterparties that have a credit rating that is below investment grade:
(c) the total amount of credit exposures to those counterparties that do not have a credit rating:
(d) the percentage each of the amounts referred to in paragraphs (a) to (c) represents in relation to the aggregate of the amounts referred to in paragraphs (a) to (c).

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