✨ Banking Regulations
2404 NEW ZEALAND GAZETTE, No. 88 24 JUNE 2011
Peak end-of-day aggregate exposure
(1) For the purposes of this schedule, peak end-of-day aggregate credit exposure to connected persons 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 tier one capital as at the end of the quarter; or
(ii) the banking group’s tier one capital 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.
Rating-contingent limit
5 The following information:
(a) the rating-contingent limit that applies to the banking group as at the off-quarter balance date:
(b) a statement whether any limit changes have occurred over the most recent quarter, and if so, the nature of those changes, and the dates on which they occurred:
(c) a statement that, within the overall rating-contingent limit, there is a sub-limit of 15% of tier one capital that applies to the aggregate credit exposure to non-bank connected persons.
Additional requirements for aggregate credit exposure to connected persons
6 (1) A statement whether aggregate credit exposure to connected persons has been calculated on a gross or a bilateral net basis.
(2) If any part of the calculation has been undertaken on a bilateral net basis, then the following additional information:
(a) in respect of aggregate credit exposure to connected persons as at the off-quarter balance date, and in respect of peak end-of-day aggregate credit exposure to connected persons over the most recent quarter—
(i) the gross amount, as a percentage of tier one capital, before any netting has taken place; and
(ii) the amount, as a percentage of tier one capital, that has been netted off in determining the net exposure:
(b) a statement that there is a limit of 125% of banking group tier one capital in respect of the gross amount of aggregate credit exposure to connected persons that can be netted off in determining the net exposure:
(c) a statement that the registered bank’s most recent supplemental disclosure statement contains—
(i) a copy of the bilateral netting agreement; and
(ii) if an industry standard agreement is not used, a copy of the advice from an independent third party expert validating the robustness of the agreement:
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NZ Gazette 2011, No 88
✨ LLM interpretation of page content
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Credit exposures to connected persons
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💰 Finance & RevenueCredit exposure, Banking regulations, Financial disclosure, Comparative figures, Risk management, Connected persons