✨ Banking Regulations
24 JUNE 2011 NEW ZEALAND GAZETTE, No. 87 2255
(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.
5 Market risk peak end-of-day notional capital charges
(1) In the full year and half year disclosure statement, the information in subclause (2)—
(a) in respect of the registered bank’s banking group; and
(b) derived in accordance with clause 6.(2) The following information in respect of peak end-of-day notional capital charges for market risk for the half year accounting period or the then remaining part of the full year accounting period (as applicable):
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.
6 Method for deriving peak end-of-day notional capital charges
(1) For the purpose of the disclosure required by clause 5, peak end-of-day notional capital charge for each category of market risk is derived by determining the maximum over the relevant period of the aggregate capital charge for that category at the close of each business day derived in accordance with—
(a) Capital Adequacy Framework (Standardised Approach) (BS2A); or
(b) any other method, but only if the aggregate capital charge derived in accordance with that method is not, in the opinion of the registered bank (where such opinion is based on reasonable grounds), materially lower than the amount derived under paragraph (a).(2) A statement of the method used to derive peak end-of-day notional capital charge, for each category of market risk.
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NZ Gazette 2011, No 87
✨ LLM interpretation of page content
💰
Market Risk Disclosure Requirements
(continued from previous page)
💰 Finance & RevenueBanking, Market risk, Disclosure requirements, Risk-weighted exposure, Capital charge, Interest rate risk, Foreign currency risk, Equity risk
💰
Market Risk Peak End-of-Day Notional Capital Charges
(continued from previous page)
💰 Finance & RevenueBanking, Market risk, Peak end-of-day capital charges, Disclosure requirements, Interest rate risk, Foreign currency risk, Equity risk
💰
Method for Deriving Peak End-of-Day Notional Capital Charges
(continued from previous page)
💰 Finance & RevenueBanking, Market risk, Capital charge calculation, Standardised Approach, Disclosure requirements