✨ Market Risk Capital Charges
24 JUNE 2011 NEW ZEALAND GAZETTE, No. 88 2397
10 Market risk peak end-of-day capital charges
(1) The information in subclause (2)—
(a) in respect of the banking group; and
(b) derived in accordance with clause 11.
(2) The following information in respect of peak end-of-day aggregate capital charges for the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable):
| 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.
(4) The information that is required to be disclosed under subclause (1) must include comparative figures for the previous corresponding period.
11 Method for deriving peak end-of-day aggregate capital charge
(1) For the purpose of the disclosure required by clause 10, 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 10, 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.
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NZ Gazette 2011, No 88
✨ LLM interpretation of page content
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Market risk peak end-of-day capital charges
(continued from previous page)
💰 Finance & RevenueMarket risk, Peak capital charges, Banking group, Interest rate risk, Foreign currency risk, Equity risk
💰 Method for deriving peak end-of-day aggregate capital charge
💰 Finance & RevenueCapital charge calculation, Banking group equity, Internal models, Market risk disclosure