✨ Financial Regulations
2502 NEW ZEALAND GAZETTE, No. 88 24 JUNE 2011
Schedule 5
Concentration of credit exposures to individual counterparties
Contents
| Page | ||
|---|---|---|
| 1 | Credit exposure information: general requirements | 2502 |
| 2 | Calculation of credit exposure information | 2502 |
| 3 | Comparative figures | 2502 |
| 4 | Overseas banking group’s equity: general requirements | 2502 |
| 5 | Large bank exposures | 2503 |
| 6 | Large non-bank exposures | 2503 |
| 7 | Peak end-of-day aggregate credit exposure | 2503 |
| 8 | Aggregate credit exposure | 2503 |
| 9 | Meaning of credit rating | 2504 |
| 10 | Meaning of investment grade credit rating | 2505 |
1 Credit exposure information: general requirements
(1) In this schedule, credit exposure information must be disclosed on the basis of—
(a) actual credit exposures; or
(b) internal limits that were not materially exceeded during the first quarter accounting period or the third quarter accounting period (as applicable).
(2) A statement of the method used for disclosing the credit exposure information required by this schedule.
2 Calculation of credit exposure information
The credit exposure information required by this schedule must—
(a) relate only to exposures held in the financial records of the banking group; and
(b) be calculated as the amount that best represents the banking group’s maximum exposure to credit risk taking account of the guidance in paragraphs B9 and B10 of NZ IFRS7; and
(c) exclude credit exposures to the central government of any country with a long-term credit rating of A- or A3 or above, or its equivalent.
3 Comparative figures
The information that is required to be disclosed under this schedule must include comparative figures for the previous corresponding period.
4 Overseas banking group’s equity: general requirements
(1) For the purposes of this schedule, the overseas banking group’s equity must be—
(a) determined as at the off-quarter balance date; or
(b) the most recently publicly disclosed amount.
(2) If the overseas banking group’s equity is not determined as at the off-quarter balance date, a statement of the date to which the measure of equity relates.
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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, Peak end-of-day, Accounting period, Comparative figures
💰 Schedule 5 - Concentration of credit exposures to individual counterparties
💰 Finance & RevenueCredit exposure, Financial records, Comparative figures, Credit risk, Banking group