✨ Banking Regulations
24 JUNE 2011
NEW ZEALAND GAZETTE, No. 88
2401
parent to which the banking group has an aggregate credit exposure that equals or exceeds 10% of the banking group’s equity.
5
Large non-bank exposures
(1) The information in subclause (2) in successive ranges of 10% of equity, commencing at 10% of equity—
(a) as at the off-quarter balance date; and
(b) in respect of peak end-of-day aggregate credit exposure for the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable).
(2) The number of individual non-bank counterparties (which are not members of a group of closely related counterparties) and groups of closely related counterparties of which a bank is not the parent to which the banking group has an aggregate credit exposure that equals or exceeds 10% of the banking group’s equity.
6
Peak end-of-day aggregate credit exposure
(1) For the purposes of clauses 4 and 5, peak end-of-day aggregate credit exposure to each individual counterparty or a group of closely related counterparties for the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable) is derived by—
(a) determining the maximum end-of-day aggregate amount of credit exposure over the quarter; and
(b) then dividing that amount by—
(i) the banking group’s equity as at the end of the quarter; or
(ii) the banking group’s equity at the date the maximum end-of-day aggregate amount of credit exposure occurred.
(2) A statement of the method used to derive peak ratio information.
7
Aggregate credit exposure
(1) The following information as at the off-quarter balance date and in respect of the individual bank counterparties, and groups of closely related counterparties of which a bank is the parent, referred to in clause 4(2):
(a) the total amount of credit exposures to those counterparties that have a credit rating that is of investment grade:
(b) the total amount of credit exposures to those counterparties that have a credit rating that is below investment grade:
(c) the total amount of credit exposures to those counterparties that do not have a credit rating:
(d) the percentage each of the amounts referred to in paragraphs (a) to (c) represents in relation to the aggregate of the amounts referred to in paragraphs (a) to (c).
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NZ Gazette 2011, No 88
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Concentration of credit exposures to individual counterparties
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💰 Finance & RevenueCredit exposure, Banking regulations, Financial disclosure, Comparative figures, Risk management