Banking Capital Adequacy Framework




24 JUNE 2011 NEW ZEALAND GAZETTE, No. 88

2387

Adequacy Framework (Standardised Approach) (BS2A)

(as applicable).

(2) The following information at the off-quarter balance date:

Credit risk mitigation

Exposure class Total value of on- and off-balance sheet exposures covered by eligible collateral (after haircutting) Total value of on- and off-balance sheet exposures covered by guarantees or credit derivatives
Sovereign or central bank
Multilateral development bank
Public sector entities
Bank
Corporate
Residential mortgage
Other

5 Operational risk

(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 (Standardised Approach) (BS2A) (as applicable).

(2) The following information at the off-quarter balance date:

Operational risk capital requirement

Implied risk weighted exposure Total operational risk capital requirement
Operational risk

(3) For the purpose of the disclosure required by subclause (2), implied risk weighted exposure must be calculated as 12.5 x total operational risk capital requirement.

6 Market risk end-period capital charges

(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 (Standardised Approach) (BS2A) (as applicable).

(2) The following information at the off-quarter balance date:

Market risk

Implied risk weighted exposure Aggregate capital charge Aggregate capital charge as a percentage of the banking group’s equity
Interest rate risk
Foreign currency risk
Equity risk

(3) For the purpose of the disclosure required by subclause (2) implied risk weighted exposure must be calculated as 12.5 x aggregate capital charge.



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Online Sources for this page:

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





✨ LLM interpretation of page content

💰 Credit Risk Mitigation (continued from previous page)

💰 Finance & Revenue
Credit risk mitigation, Capital adequacy, Banking

💰 Operational Risk Capital Requirement

💰 Finance & Revenue
Operational risk, Capital requirement, Banking

💰 Market Risk End-Period Capital Charges

💰 Finance & Revenue
Market risk, Capital charges, Banking