New Zealand Gazette – 2011 – No. 88

Page 2453

✨ Banking Regulations, Capital Adequacy

24 JUNE 2011 NEW ZEALAND GAZETTE, No. 88 2453

| Other commitments with an original maturity of less than 1 year or which can be unconditionally cancelled at any time | 0% |
|----------------------------------------------------------------------------------------------------------------------| |
| Market related contracts³ | |
| (a) foreign exchange contracts | N/A |
| (b) interest rate contracts | |
| (c) other | |
| Total off-balance sheet exposures | |
| Risk weighted exposures | |

2 Additional mortgage information

(1) The information in subclause (2)—

(a) in respect of the banking group; and
(b) in respect of total residential mortgage loans and derived in accordance with the definition of loan-to-valuation ratio specified in Capital Adequacy Framework (Standardised Approach) (BS2A).

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

Residential mortgages by loan-to-valuation ratio

LVR range	0%-80%	80%-90%	Over 90%
Value of exposures

3 Market risk end-period notional capital charges

(1) The information in subclause (2)—

(a) in respect of the banking group; and
(b) derived on the basis that the notional capital charge for each category of market risk is the aggregate capital charge for that category of market risk derived in accordance with the Capital Adequacy Framework (Standardised Approach) (BS2A).

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

Market risk	Implied risk weighted exposure	Notional capital charge	Notional capital charge as a percentage of the overseas 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 notional capital charge.

(4) The information that is required to be disclosed under subclause (2) must include comparative figures for the previous corresponding period.

³ Specify whether the current exposure or original exposure method was used to calculate the credit equivalent amount on these contracts.

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

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✨ LLM interpretation of page content

💰 Schedule 5: Credit and Market Risk Exposures and Capital Adequacy (continued from previous page)

Domain💰 Finance & Revenue
KeywordsCredit risk, Market risk, Capital adequacy, Risk-weighted exposures, Banking regulations, Off-balance sheet exposures, Mortgage information, Loan-to-valuation ratio, Market risk notional capital charges

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