✨ Banking Regulations
30 AUGUST 2013 NEW ZEALAND GAZETTE, No. 121 3305
(ii) those counterparties that do not have a long-term credit rating.
(3) A counterparty is a bank counterparty if it is—
(a) a bank that is not a member of a group of closely related counterparties; or
(b) a group of closely related counterparties of which a bank is the parent.
(4) The number of non-bank counterparties described by subclause (5) to which the registered bank’s banking group has a peak end-of-day aggregate credit exposure that equals or exceeds 10% of the registered bank’s banking group’s equity, showing separately—
(a) those counterparties that have a long-term credit rating of A- or A3 or above, or its equivalent;
(b) those counterparties that have a long-term credit rating of at least BBB- or Baa3, or its equivalent, and at most BBB+ or Baa1, or its equivalent; and
(c) if applicable—
(i) those counterparties that have a long-term credit rating lower than BBB- or Baa3, or its equivalent; and
(ii) those counterparties that do not have a long-term credit rating.
(5) A counterparty is a non-bank counterparty if it is—
(a) a non-bank that is not a member of a group of closely related counterparties; or
(b) a group of closely related counterparties of which a bank is not the parent.
5 Method of calculating peak end-of-day aggregate credit exposure
For the purposes of clause 4, peak end-of-day aggregate credit exposure to an individual counterparty or a group of closely related counterparties for the period between the reporting date for the previous disclosure statement and the reporting date for the disclosure statement is derived by—
(a) determining the maximum end-of-day aggregate amount of credit exposure over the period; and
(b) then dividing that amount by the registered bank’s banking group’s equity as at the reporting date for the disclosure statement.
6 Meaning of credit rating
(1) For the purposes of clauses 2 to 4, credit rating means a credit rating that meets the criteria in subclause (2) and that,—
(a) in the case of a group of closely related counterparties, applies to the entity heading the group of closely related counterparties; or
(b) in the case of an individual counterparty (excluding a member of a group of closely related counterparties), applies to the individual counterparty.
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NZ Gazette 2013, No 121
✨ LLM interpretation of page content
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Concentration of credit exposures to individual counterparties
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💰 Finance & RevenueCredit exposure, Banking regulations, Risk management, Financial reporting, Counterparty risk