✨ Market Risk Capital Charges
2454 NEW ZEALAND GAZETTE, No. 88 24 JUNE 2011
Market risk peak end-of-day notional capital charges
(1) The information in subclause (2)—
(a) in respect of the banking group; and
(b) derived in accordance with clause 5.
(2) The following information in respect of peak end-of-day notional capital charges for market risk for the most recent quarter of the accounting period or interim accounting period (as applicable):
| 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.
Method for deriving peak end-of-day notional capital charges
(1) For the purpose of the disclosure required by clause 4, peak end-of-day notional capital charge for each category of market risk is derived by determining the maximum over the relevant period of the aggregate capital charge for that category at the close of each business day derived in accordance with—
(a) Capital Adequacy Framework (Standardised Approach) (BS2A); or
(b) any other method, but only if the aggregate 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 4, peak end-of-day notional capital charge as a percentage of the overseas banking group’s equity is derived by dividing peak end-of-day notional capital charge by—
(a) the overseas banking group’s equity as at the end of the quarter; or
(b) the most recently publicly disclosed amount of the overseas banking group’s equity; or
(c) the overseas banking group’s equity at the date to which the maximum end-of-day notional capital charge applied.
(3) A statement of the method used to derive peak end-of-day notional capital charge, and peak end-of-day notional capital charge as a percentage of the overseas banking group’s equity, for each category of market risk.
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NZ Gazette 2011, No 88
✨ LLM interpretation of page content
💰
Market Risk Peak End-of-Day Notional Capital Charges
(continued from previous page)
💰 Finance & RevenueMarket risk, Notional capital charges, Interest rate risk, Foreign currency risk, Equity risk
💰 Method for Deriving Peak End-of-Day Notional Capital Charges
💰 Finance & RevenueCapital charges, Market risk, Derivation method, Banking regulations