New Zealand Gazette – 2011 – No. 87

Page 2254

✨ Banking Risk Disclosures

NEW ZEALAND GAZETTE, No. 87

24 JUNE 2011

	Amount	Credit conversion factor	Credit equivalent amount	Average counterparty risk weight	Risk weighted exposure
Short term, self liquidating trade related contingencies		20%
Other commitments to provide financial services which have an original maturity of 1 year or more		50%
Other commitments with an original maturity of less than 1 year or which can be unconditionally cancelled at any time		0%
Market related contracts¹
(a) foreign exchange contracts		n/a
(b) interest rate contracts
(c) other
Total off-balance sheet exposures

Total on- and off-balance sheet exposures

Total risk weighted credit exposures

3 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%.

4 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).

¹ Specify whether the current exposure or original exposure method was used to calculate the credit equivalent amount on these contracts.

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

The Executive Wing of Parliament (depicted) is universally known as The Beehive. It was completed in 1977 and remains the primary office for the elected Government of the day.

✨ LLM interpretation of page content

💰 Credit and Market Risk Exposures and Capital Adequacy (continued from previous page)

Domain💰 Finance & Revenue
KeywordsBanking, Credit risk, Market risk, Capital adequacy, Disclosure requirements, Basel I Approach, Risk-weighted exposures, Capital ratios, Minimum capital requirements, Off-balance sheet exposures, Mortgage loans, Loan-to-valuation ratios

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