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New Zealand Gazette – 2011 – No. 87

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✨ Banking Regulations

24 JUNE 2011

NEW ZEALAND GAZETTE, No. 87

2253

Schedule 9—All periods

Credit and market risk exposures and capital adequacy

		Page
1	Transitional	2253
2	Risk-weighted credit risk exposures	2253
3	Additional mortgage information	2254
4	Market risk end-period notional capital charges	2254
5	Market risk peak end-of-day notional capital charges	2255
6	Method for deriving peak end-of-day notional capital charges	2255
7	Capital ratios	2256
8	Minimum capital requirements	2256

1 Transitional

The information in clause 2 is not required to be included in disclosure statements for reporting dates on or after 31 December 2011.

2 Risk-weighted credit risk exposures

(1) The information in subclause (2)—

(a) in respect of the registered bank’s banking group; and

(b) derived in accordance with the Capital Adequacy Framework (Basel I Approach) (BS2).

(2) The following information as at the reporting date:

Risk weighted credit exposures

Calculation of on-balance sheet exposures

	Amount	Risk weight	Risk weighted exposure
Cash and short term claims on
Government		0%
Long term claims on
Government		10%
Claims on banks		20%
Claims on public sector
entities		20%
Residential mortgages		50%
Other		100%
Total assets

Calculation of off-balance sheet exposures

	Amount	Credit conversion factor	Credit equivalent amount	Average counterparty risk weight	Risk weighted exposure
Direct credit substitutes		100%
Asset sales with recourse		100%
Commitments with certain drawdown		100%
Underwriting and sub-underwriting
facilities		50%
Transaction related contingent
items		50%

Gazette.govt.nz — NZ Gazette 2011, No 87

Parliament House (depicted) was completed in 1918 and remains the primary seat of Parliament.

✨ LLM interpretation of page content

💰 Asset Quality Disclosure Requirements (continued from previous page)

Domain💰 Finance & Revenue
KeywordsBanking, Asset quality, Disclosure, Financial statements, Impairment, Past due assets, Credit risk, Lending commitments, Overseas banking group

💰 Credit and Market Risk Exposures and Capital Adequacy

Domain💰 Finance & Revenue
KeywordsBanking, Credit risk, Market risk, Capital adequacy, Disclosure requirements, Basel I Approach, Risk-weighted exposures, Capital ratios, Minimum capital requirements

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