✨ Financial Regulations and Disclosures
24 JUNE 2011 NEW ZEALAND GAZETTE, No. 88 2499
| Market related contracts(a) | |
|---|---|
| foreign exchange contracts(b) | |
| interest rate contracts(c) | N/A |
| 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.
4
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 first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable):
4 Specify whether the current exposure or original exposure method was used to calculate the credit equivalent amount on these contracts.
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NZ Gazette 2011, No 88
✨ LLM interpretation of page content
💰
Risk-weighted credit risk exposures
(continued from previous page)
💰 Finance & RevenueCredit risk, Risk-weighted exposures, Balance sheet, Off-balance sheet, Capital adequacy
💰 Additional mortgage information
💰 Finance & RevenueResidential mortgages, Loan-to-valuation ratio, Banking group, Balance date
💰 Market risk end-period notional capital charges
💰 Finance & RevenueMarket risk, Interest rate risk, Foreign currency risk, Equity risk, Capital charges
💰 Market risk peak end-of-day notional capital charges
💰 Finance & RevenueMarket risk, Notional capital charges, Peak end-of-day, Accounting period