✨ Market Risk Regulations
NEW ZEALAND GAZETTE, No. 121
30 AUGUST 2013
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.
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):
| 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.
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NZ Gazette 2013, No 121
✨ LLM interpretation of page content
💰
Market risk end-period capital charges
(continued from previous page)
💰 Finance & RevenueMarket risk, Capital charges, Reporting date, Banking group
💰 Market risk peak end-of-day capital charges
💰 Finance & RevenueMarket risk, Capital charges, Peak end-of-day, Banking group
💰 Method for deriving peak end-of-day aggregate capital charge
💰 Finance & RevenueMarket risk, Capital charge calculation, Banking group