✨ Financial Regulations
2898 NEW ZEALAND GAZETTE, No. 102 24 AUGUST 2012
12 Market risk peak end-of-day capital charges
(1) The information in subclause (2)—
(a) in respect of the registered bank’s banking group; and
(b) derived in accordance with clause 13.
(2) The following information in respect of peak end-of-day aggregate capital charges for the half year accounting period or for the then remaining part of the full year accounting period (as applicable):
| Market risk | Implied risk weighted exposure | Aggregate capital charge |
|---|---|---|
| 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 aggregate capital charge.
13 Method for deriving peak end-of-day aggregate capital charge
(1) For the purpose of the disclosure required by clause 12, 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 (Internal Models Based Approach) (BS2B); 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.
14 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 | Total capital requirement | |
|---|---|---|---|
| Total credit risk | |||
| Operational risk | n/a | n/a | |
| Market risk | n/a | ||
| Supervisory adjustment | n/a | n/a | |
| TOTAL | n/a |
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NZ Gazette 2012, No 102
✨ LLM interpretation of page content
💰
Market risk peak end-of-day capital charges
(continued from previous page)
💰 Finance & RevenueMarket risk, Capital charge, Interest rate risk, Foreign currency risk, Equity risk
💰 Method for deriving peak end-of-day aggregate capital charge
💰 Finance & RevenueAggregate capital charge, Market risk, Business day
💰 Total capital requirements
💰 Finance & RevenueCapital requirements, Credit risk, Operational risk, Market risk, Supervisory adjustment