New Zealand Gazette – 2008 – No. 40

Page 987

✨ Banking Regulations



27 FEBRUARY 2008 NEW ZEALAND GAZETTE, No. 40 987

4

Peak end-of-day aggregate exposure

(1) For the purposes of this schedule, peak end-of-day aggregate
credit exposure to connected persons as a ratio to tier one
capital 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 tier one capital as at the end
of the quarter; or

(ii) the banking group’s tier one capital 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.

5

Rating-contingent limit
The following information:

(a) the rating-contingent limit that applies to the banking
group as at the balance date:

(b) a statement as to whether any limit changes have occurred
over the most recent quarter, and if so, the nature of those
changes, and the dates on which they occurred:

(c) a statement that, within the overall rating-contingent limit,
there is a sub-limit of 15% of tier one capital that applies
to the aggregate credit exposure to non-bank connected
persons:

6

Additional requirements for aggregate credit exposure to connected persons

(1) A statement as to whether aggregate credit exposure to connected
persons has been calculated on a gross or a bilateral net basis.

(2) If any part of the calculation has been undertaken on a bilateral
net basis, the following additional information:

(a) in respect of aggregate credit exposure to connected
persons as at the balance date, and in respect of peak end-
of-day aggregate credit exposure to connected persons
over the most recent quarter of the accounting period or
interim accounting period (as applicable)—

(i) the gross amount, as a percentage of tier one
capital, before any netting has taken place; and

(ii) the amount, as a percentage of tier one capital,
that has been netted off in determining the net
exposure:

(b) a statement that there is a limit of 125% of banking group
tier one capital in respect of the gross amount of
aggregate credit exposure to connected persons that can
be netted off in determining the net exposure:

(c) a statement that the registered bank’s most recent
supplemental disclosure statement contains—

(i) a copy of the bilateral netting agreement; and

(ii) if an industry standard agreement is not used, a
copy of the advice from an independent third



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Online Sources for this page:

VUW Te Waharoa — PDF NZ Gazette 2008, No 40


Gazette.govt.nz — PDF NZ Gazette 2008, No 40




✨ LLM interpretation of page content

💰 Concentration of Credit Exposures to Individual Counterparties (continued from previous page)

💰 Finance & Revenue
Credit exposure, Banking regulations, Risk management, Financial disclosures