β¨ Banking Regulation Tables
2328 NEW ZEALAND GAZETTE, No. 88 24 JUNE 2011
Off balance sheet exposures
| EAD | Average risk weight | Risk weighted assets | Minimum pillar one capital requirement | |
|---|---|---|---|---|
| Undrawn commitments and other off-balance sheet exposures |
(3) For the purpose of the disclosure required by subclause (2)β
(a) average risk weight means the EAD-weighted average of the risk weights of individual exposures determined according to the counterparty or type of asset or issuer as appropriate; and
(b) risk-weighted assets and minimum capital requirements must be the amounts after multiplying by the scalar (if any) specified in the conditions of registration relating to capital adequacy.
6 Credit risk exposures subject to the standardised approach
(1) The information in subclause (2)β
(a) in respect of the banking group; and
(b) in respect of any credit risk exposures that are not subject to the IRB approach or the slotting approach to specialised lending.
(2) The following information as at the balance date:
Credit risk exposures subject to the standardised approach
On-balance sheet exposures
| Total exposure after credit risk mitigation | Average risk weight | Risk weighted exposure | Minimum pillar one capital requirement | |
|---|---|---|---|---|
| Cash and gold bullion | ||||
| Sovereigns and Central Banks | ||||
| Multilateral Development Banks and Other International Organisations | ||||
| Public Sector Entities | ||||
| Banks | ||||
| Corporate | ||||
| Residential Mortgages | ||||
| Past due assets | ||||
| Other assets |
Off-balance sheet exposures
| Total exposure or principal amount | Average credit conversion factor | Credit equivalent amount | Average risk weight | Risk weighted exposure | Minimum pillar one capital requirement | |
|---|---|---|---|---|---|---|
| Total off balance sheet exposures subject to the standardised approach |
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 |
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β¨ LLM interpretation of page content
π° Off balance sheet exposures disclosure
π° Finance & RevenueOff balance sheet, Exposures, Risk weight, Capital requirement
π° Credit risk exposures under standardised approach
π° Finance & RevenueCredit risk, Standardised approach, On-balance sheet, Off-balance sheet, Market-related contracts
NZ Gazette 2011, No 88