✨ Credit Risk Disclosures
NEW ZEALAND GAZETTE, No. 87
24 JUNE 2011
Off-balance sheet exposures
| Total exposure or principal amount | Average credit conversion factor | Credit equivalent amount | Average risk weight | Risk weighted exposure | Minimum Pillar 1 capital requirement | |
|---|---|---|---|---|---|---|
| Total off balance sheet exposures subject to the standardised approach | n/a | |||||
| 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 registered bank’s banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting 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 |
8 Equity exposures
(1) The information in subclause (2)—
(a) in respect of the registered bank’s banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting date:
Equity exposures
| Total exposure | Risk weight | Risk weighted exposure | Minimum Pillar 1 capital requirement | |
|---|---|---|---|---|
| Equity holdings (not deducted from capital) that are publicly traded | 300% | |||
| All other equity holdings (not deducted from capital) | 400% |
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NZ Gazette 2011, No 87
✨ LLM interpretation of page content
💰
Credit Risk Exposures Subject to the Standardised Approach
(continued from previous page)
💰 Finance & RevenueCredit Risk, Standardised Approach, Off-balance Sheet Exposures, Market-related Contracts, Foreign Exchange, Interest Rate, Credit Conversion Factor, Risk Weight
💰 Credit Risk Mitigation Disclosures
💰 Finance & RevenueCredit Risk Mitigation, Eligible Financial Collateral, IRB Collateral, Guarantees, Credit Derivatives, Sovereign, Bank, Corporate, Residential Mortgage
💰 Equity Exposures Disclosures
💰 Finance & RevenueEquity Exposures, Publicly Traded Equity, Risk Weight, Capital Deduction