✨ Financial Disclosure Requirements
24 JUNE 2011 NEW ZEALAND GAZETTE, No. 88 2331
(4) The information that is required to be disclosed under subclause (1) must include comparative figures for the previous corresponding period.
12 Method for deriving peak end-of-day aggregate capital charge
(1) For the purpose of the disclosure required by clause 11, peak end-of-day aggregate capital charge for each category of market risk is derived by determining the maximum over the relevant period of the aggregate capital charge at the close of each business day derived in accordance with—
(a) Capital Adequacy Framework (Internal Models Based Approach) (BS2B); or
(b) any other method, but only if the aggregate market risk capital charge derived in accordance with that method is not, in the opinion of the registered bank (such opinion to be based on reasonable grounds), materially lower than the amount derived under paragraph (a).
(2) For the purpose of the disclosure required by clause 11, peak end-of-day aggregate capital charge as a percentage of the banking group’s equity is derived by dividing peak end-of-day aggregate capital charge by—
(a) the banking group’s equity as at the end of the quarter; or
(b) the banking group’s equity at the date to which the maximum end-of-day aggregate capital charge applied.
(3) A statement of the method used to derive peak end-of-day aggregate capital charge, and peak end-of-day aggregate capital charge as a percentage of the banking group’s equity, for each category of market risk.
13 Total capital requirements
(1) The information in subclause (2)—
(a) in respect of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Internal Models Based Approach) (BS2B) (as applicable).
(2) The following information as at the balance date:
| Total exposure after credit risk mitigation | Risk weighted exposure or implied risk weighted exposure | Total capital requirement | |
|---|---|---|---|
| Total credit risk | |||
| Operational risk | N/A | ||
| Market risk | N/A | ||
| Supervisory adjustment | N/A | ||
| TOTAL | N/A |
(3) For the purpose of the disclosure required by subclause (2) supervisory adjustment means an additional capital requirement (if any) imposed in the conditions of registration.
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NZ Gazette 2011, No 88
✨ LLM interpretation of page content
💰
Market risk peak end-of-day capital charges disclosure
(continued from previous page)
💰 Finance & RevenueMarket risk, Capital charges, Banking group, Disclosure, Comparative figures
💰 Method for deriving peak end-of-day aggregate capital charge
💰 Finance & RevenueCapital charge, Market risk, Banking group, Equity
💰 Total capital requirements
💰 Finance & RevenueCapital requirements, Credit risk, Operational risk, Market risk, Supervisory adjustment