✨ Banking Regulations
NEW ZEALAND GAZETTE, No. 169
4 NOVEMBER 2011
Schedule 9—All periods
Credit and market risk exposures and capital adequacy
Contents
| 1 | Additional mortgage information |
| 2 | Market risk end-period notional capital charges |
| 3 | Market risk peak end-of-day notional capital charges |
| 4 | Method for deriving peak end-of-day notional capital charges |
| 5 | Capital ratios |
| 6 | Minimum capital requirements |
1 Additional mortgage information
(1) The information in subclause (2)—
(a) in respect of the registered bank’s banking group; and
(b) in respect of total residential mortgage loans and derived in accordance with the definition of loan-to-valuation ratio specified in Capital Adequacy Framework (Standardised Approach) (BS2A).
(2) The following information as at the reporting date:
Residential mortgages by loan-to-valuation ratio
| Loan-to-valuation ratio | Does not exceed 80% | Exceeds 80% and not 90% | Exceeds 90% |
|---|---|---|---|
| Value of exposures |
(3) For the purpose of the disclosure required by subclause (2), any residential mortgage loan for which no loan-to-valuation ratio is available must be included in the category for loan-to-valuation ratios that exceed 90%.
2 Market risk end-period notional capital charges
(1) The information in subclause (2)—
(a) in respect of the registered bank’s banking group; and
(b) derived on the basis that the notional capital charge for each category of market risk is the aggregate capital charge for that category of market risk derived in accordance with the Capital Adequacy Framework (Standardised Approach) (BS2A).
(2) The following information as at the reporting date:
Market risk
| Implied risk weighted exposure | Notional capital charge | |
|---|---|---|
| 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 notional capital charge.
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NZ Gazette 2011, No 169
✨ LLM interpretation of page content
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Registered Bank Disclosure Statements (Overseas Incorporated Registered Banks) Order (No 4) 2011
(continued from previous page)
💰 Finance & RevenueBanking regulations, Disclosure statements, Financial statements, Asset quality, Past due assets, Impaired assets