✨ Capital Adequacy Framework Disclosures
24 JUNE 2011 NEW ZEALAND GAZETTE, No. 88 2327
(a) total value of undrawn commitments and other off-balance sheet amounts excluding market related contracts;
(b) the total value of market related contracts;
(c) the EAD of undrawn commitments and other off-balance sheet amounts;
(d) the EAD of market related contracts.
(5) For the purpose of the disclosure required by subclauses (2) and (4) the exposure classes to be disclosed are those defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B) except that:
(a) if qualifying revolving retail exposures are material relative to overall credit exposures, the retail exposure class must be disclosed as if the following three exposure sub-classes of the retail exposure class were each a separate exposure class:
(i) exposures secured by residential mortgages; and
(ii) qualifying revolving retail exposures; and
(iii) all other retail lending; and(b) otherwise the retail exposure class must be disclosed as if the following two exposure sub-classes of the retail exposure class were each a separate exposure class:
(i) exposures secured by residential mortgages; and
(ii) all other retail lending.4 Additional mortgage information
(1) The information in subclause (2)—
(a) in respect of the banking group; and
(b) in respect of total exposures secured by residential mortgages as used to calculate the registered bank’s pillar one capital requirement for credit risk, categorised by loan-to-valuation ratio.(2) The following information as at the balance date:
Residential mortgages by loan-to-valuation ratio
| LVR range | 0%-60% | 60%-70% | 70%-80% | 80%-90% | Over 90% |
|---|---|---|---|---|---|
| Value of exposures |
5 Specialised lending subject to the slotting approach
(1) If the slotting approach for specialised lending exposures as defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B) is used, the information in subclause (2) in respect of the banking group.
(2) The following information as at the balance date in respect of specialised exposures subject to the slotting approach:
On balance sheet exposures
| Total exposures after credit risk mitigation | Risk weight | Risk weighted assets | Minimum pillar one capital requirement |
|---|---|---|---|
| 70% | |||
| 90% | |||
| 115% | |||
| 250% |
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NZ Gazette 2011, No 88
✨ LLM interpretation of page content
💰
Capital Adequacy Framework (Internal Models Based Approach)
(continued from previous page)
💰 Finance & RevenueCapital adequacy, Banking group, Internal models, Risk exposure, Capital ratios, Equity share capital, Credit risk, IRB approach
💰 Additional mortgage information disclosure
💰 Finance & RevenueResidential mortgages, Loan-to-valuation ratio, Credit risk, Banking group
💰 Specialised lending subject to the slotting approach
💰 Finance & RevenueSpecialised lending, Slotting approach, Credit risk mitigation, Risk weight, Risk weighted assets