New Zealand Gazette – 2011 – No. 88

Page 2386

✨ Banking Regulations

NEW ZEALAND GAZETTE, No. 88

24 JUNE 2011

Calculation of Off-Balance sheet exposures

	Total exposure	Credit conversion factor	Credit equivalent amount	Average risk weight	Risk weighted exposure	Minimum pillar one capital requirement
Direct credit substitute		100%
Asset sale with recourse		100%
Forward asset purchase		100%
Commitment with certain drawdown		100%
Note issuance facility		50%
Revolving underwriting facility		50%
Performance-related contingency		50%
Trade-related contingency		20%
Placements of forward deposits		100%
Other commitments where original maturity is more than one year		50%
Other commitments where original maturity is less than or equal to one year		20%
Other commitments that cancel automatically when the creditworthiness of the counterparty deteriorates or that can be cancelled unconditionally at any time without prior notice		0%

Market related contracts

	Total exposure
(a) Foreign exchange contracts	N/A
(b) Interest rate contracts	N/A
(c) Other - OTC etc	N/A

(3) For the purpose of the disclosure required by subclause (2), average risk weight means the exposure-weighted average of the risk weights of individual exposures determined according to the counterparty or type of asset or issuer as appropriate.

3 Additional mortgage information

(1) The information in subclause (2)—

(a) in respect of the banking group; and

(b) in respect of total residential mortgage loans 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 at the off-quarter balance date:

Residential mortgages by loan-to-valuation ratio

LVR range	0%-80%	80%-90%	Over 90%
Value of exposures

4 Credit risk mitigation

(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

Gazette.govt.nz — NZ Gazette 2011, No 88

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✨ LLM interpretation of page content

💰 Credit Risk Disclosure Requirements (continued from previous page)

Domain💰 Finance & Revenue
Dated20 June 2011
KeywordsCredit risk, Exposure calculation, Banking regulations, Financial reporting

💰 Calculation of Off-Balance Sheet Exposures

Domain💰 Finance & Revenue
KeywordsOff-balance sheet, Credit conversion, Risk weight, Banking

💰 Market Related Contracts

Domain💰 Finance & Revenue
KeywordsMarket contracts, Foreign exchange, Interest rate, OTC

💰 Additional Mortgage Information

Domain💰 Finance & Revenue
KeywordsResidential mortgages, Loan-to-valuation ratio, Banking

💰 Credit Risk Mitigation

Domain💰 Finance & Revenue
KeywordsCredit risk mitigation, Capital adequacy, Banking

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