Capital Adequacy Framework




24 AUGUST 2012 NEW ZEALAND GAZETTE, No. 102 2887

9 Method for deriving peak end-of-day aggregate capital charge

(1) For the purpose of the disclosure required by clause 8, peak end-of-day aggregate capital charge for each category of market risk is derived by determining the maximum over the relevant period of the aggregate capital charge 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 market risk 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) A statement of the method used to derive peak end-of-day aggregate capital charge for each category of market risk.

10 Total capital requirements

(1) The information in subclause (2)—

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

(b) derived in accordance with the conditions of registration relating to capital adequacy.

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

Total exposure after credit risk mitigation Risk weighted exposure or implied risk weighted exposure Capital requirement
Total credit risk + equity
Operational risk n/a
Market risk n/a
TOTAL n/a

11 Capital ratios

(1) The information in subclause (2)—

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

(b) derived in accordance with the conditions of registration relating to capital adequacy.

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

(a) tier one capital ratio; and

(b) total capital ratio.

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

12 Solo capital adequacy

(1) The information in subclause (2)—

(a) in respect of the registered bank; and

(b) derived in accordance with Capital Adequacy Framework (Standardised Approach) (BS2A).

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

(a) tier one capital ratio; and

(b) total capital ratio.

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



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Online Sources for this page:

Gazette.govt.nz PDF NZ Gazette 2012, No 102





✨ LLM interpretation of page content

💰 Market risk peak end-of-day capital charges (continued from previous page)

💰 Finance & Revenue
Market risk, Capital charges, Interest rate risk, Foreign currency risk, Equity risk, Banking, Financial regulation

💰 Method for deriving peak end-of-day aggregate capital charge

💰 Finance & Revenue
Capital adequacy, Market risk, Capital charge, Banking regulation

💰 Total capital requirements

💰 Finance & Revenue
Capital requirements, Credit risk, Operational risk, Market risk, Banking group

💰 Capital ratios

💰 Finance & Revenue
Capital ratios, Tier one capital, Total capital, Banking group

💰 Solo capital adequacy

💰 Finance & Revenue
Capital adequacy, Tier one capital, Total capital, Banking