✨ Banking and Credit Risk Disclosures
24 JUNE 2011 NEW ZEALAND GAZETTE, No. 88 2395
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 |
(3) For the purpose of the disclosure required by subclause (2) —,
(a) 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; and
(b) average credit conversion factor means the exposure-weighted average of the credit conversion factors for individual exposures.
6 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 Adequacy Framework (Internal Models Based Approach) (BS2B) (as applicable).
(2) The following information at the off-quarter balance date:
Credit risk mitigation
| Exposure class | For portfolios subject to the standardised or foundation IRB approach as defined by BS2B: Total value of exposures covered by eligible financial or IRB collateral (after haircutting) | For all portfolios: Total value of exposures covered by guarantees or credit derivatives |
|---|---|---|
| Sovereign | ||
| Bank | ||
| Corporate (including specialised lending) | ||
| Residential mortgage | ||
| Other |
7 Equity exposures
(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 at the off-quarter balance date:
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NZ Gazette 2011, No 88
✨ LLM interpretation of page content
💰
Credit risk exposures subject to the standardised approach
(continued from previous page)
💰 Finance & RevenueCredit risk, Standardised approach, Banking group, Off-quarter balance date, Exposures, Average risk weight, Risk weighted exposure, Minimum capital requirement
💰 Credit risk mitigation
💰 Finance & RevenueCredit risk mitigation, Banking group, Capital adequacy, Eligible financial collateral, Guarantees, Credit derivatives
💰 Equity exposures
💰 Finance & RevenueEquity exposures, Banking group, Capital adequacy, Off-quarter balance date