✨ Financial Risk Management Disclosures
3318 NEW ZEALAND GAZETTE, No. 121 30 AUGUST 2013
7 Credit risk mitigation
Where applicable, the following information, to the extent not otherwise disclosed to comply with paragraph 33 of NZ IFRS 7:
(a) the policies and processes for on- and off-balance sheet netting;
(b) an indication of the extent to which the registered bank’s banking group makes use of on- and off-balance sheet netting;
(c) whether the simple or comprehensive method is used to measure the mitigating effects of collateral;
(d) the main types of guarantor and credit derivative counterparty and their creditworthiness; and
(e) any material market and credit risk concentrations that might arise as a result of the mitigation taken.
8 Additional information about credit risk
(1) If a registered bank has partly, but not fully adopted the Foundation Internal Ratings Based (IRB) approach or the Advanced IRB approach to credit risk, the following information:
(a) a description of the nature of credit exposures within each exposure class subject to the Standardised, Foundation, and Advanced IRB approaches; and
(b) if relevant, management’s plans and timing for migrating credit exposures to full implementation of the applicable approach.
(2) If a registered bank has implemented the Foundation IRB approach or Advanced IRB approach to credit risk, information giving a broad overview of the model approaches and methods used for the estimation of Probability of Default and, if relevant, Loss Given Default and Exposure at Default, for the following exposure classes or sub-classes as defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B):
(a) any exposure class other than the retail exposure class which includes exposures of a material total value;
(b) exposures classified as retail mortgage lending by the registered bank for the purpose of its internal credit risk modelling; and
(c) retail exposures other than those referred to in paragraph (b).
9 Additional information about operational risk
If a registered bank has implemented the Advanced Measurement Approach to operational risk, the following information:
(a) a general description of the methodology used in the advanced measurement approach including a discussion of relevant internal and external factors considered in the bank’s measurement approach, and whether economic capital is allocated across business lines; and
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NZ Gazette 2013, No 121
✨ LLM interpretation of page content
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Schedule 17—Full year Risk management policies
(continued from previous page)
💰 Finance & RevenueRisk management, Credit risk mitigation, Operational risk, Banking group, Financial instruments, Capital adequacy