✨ Banking Regulations
2334 NEW ZEALAND GAZETTE, No. 88 24 JUNE 2011
Schedule 6
Concentration of credit exposures to individual counterparties
Contents
| Page |
|---|
1 Credit exposure information; general requirements 2334
2 Calculation of credit exposure information 2334
3 Comparative figures 2334
4 Large bank exposures 2334
5 Large non-bank exposures 2335
6 Peak end-of-day aggregate credit exposure 2335
7 Aggregate credit exposure 2335
8 Meaning of credit rating 2336
9 Meaning of investment grade credit rating 2336
1 Credit exposure information: general requirements
(1) In this schedule, credit exposure information must be disclosed either on the basis of—
(a) actual credit exposures; or
(b) internal limits that were not materially exceeded during the accounting period or the interim accounting period (as applicable).(2) A statement of the method used for disclosing the credit exposure information required by this schedule.
2 Calculation of credit exposure information
The credit exposure information required by this schedule must—
(a) be calculated as the amount that best represents the banking group’s maximum exposure to credit risk taking account of the guidance in paragraphs B9 and B10 of NZ IFRS7; and
(b) exclude credit exposures to connected persons; and
(c) exclude credit exposures to the central government of any country with a long-term credit rating of A- or A3 or above, or its equivalent.3 Comparative figures
The information that is required to be disclosed under this schedule must include comparative figures for the previous corresponding period.
4 Large bank exposures
(1) The information in subclause (2) in successive ranges of 10% of equity, commencing at 10% of equity—
(a) as the balance date; and
(b) in respect of peak end-of-day aggregate credit exposure for the most recent quarter of the accounting period or interim accounting period (as applicable).(2) The number of individual bank counterparties (which are not members of a group of closely related counterparties) and groups of closely related counterparties of which a bank is the parent to which the banking group has an aggregate credit
Next Page →
NZ Gazette 2011, No 88
✨ LLM interpretation of page content
💰
Concentration of credit exposures to individual counterparties
(continued from previous page)
💰 Finance & RevenueCredit exposure, Banking regulations, Financial disclosures, Risk management