New Zealand Gazette – 2011 – No. 88

Page 2452

✨ Banking Financial Disclosures

NEW ZEALAND GAZETTE, No. 88 24 JUNE 2011

Schedule 5

Credit and market risk exposures and capital adequacy

	Page
1	Risk-weighted credit risk exposures
2	Additional mortgage information
3	Market risk end-period notional capital charges
4	Market risk peak end-of-day notional capital charges
5	Method for deriving peak end-of-day notional capital charges
6	Capital ratios
7	Minimum capital requirements

1 Risk-weighted credit risk exposures

(1) The information in subclause (2)—

(a) in respect of the registered bank and banking group; and

(b) derived in accordance with the Capital Adequacy Framework (Basel I Approach) (BS2).

(2) The following information as at the balance date:

Risk weighted exposures

Calculation of balance sheet exposures

	Amount	Risk weight	Risk weighted exposure
Cash and short term claims on Government		0%
Long term claims on Government		10%
Claims on banks		20%
Claims on public sector entities		20%
Residential mortgages		50%
Other		100%
Total assets

Calculation of off-balance sheet exposures

	Amount	Credit conversion factor	Credit equivalent amount	Average counterparty risk weight	Risk weighted exposure
Direct credit substitutes		100%
Asset sales with recourse		100%
Commitments with certain drawdown		100%
Underwriting and sub-underwriting facilities		50%
Transaction related contingent items		50%
Short term, self liquidating trade related contingencies		20%
Other commitments to provide financial services which have an original maturity of 1 year or more		50%

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

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✨ LLM interpretation of page content

💰 Registered Bank Disclosure Statement Order 2011 (continued from previous page)

Domain💰 Finance & Revenue
KeywordsFinancial regulation, Disclosure statements, Banking terms, Publication requirements, Reserve Bank

💰 Schedule 5: Credit and Market Risk Exposures and Capital Adequacy

Domain💰 Finance & Revenue
KeywordsCredit risk, Market risk, Capital adequacy, Risk-weighted exposures, Banking regulations

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