✨ Financial Disclosure Tables
30 AUGUST 2013
NEW ZEALAND GAZETTE, No. 121
3367
Schedule 9—All periods
Credit and market risk exposures and capital adequacy
Contents
| Page | |
|---|---|
| 1 Additional mortgage information | 3367 |
| 2 Market risk end-period notional capital charges | 3367 |
| 3 Market risk peak end-of-day notional capital charges | 3368 |
| 4 Method for deriving peak end-of-day notional capital charges | 3368 |
| 5 Capital ratios | 3368 |
| 6 Minimum capital requirements | 3369 |
1 Additional mortgage information
(1) The information in subclause (2)—
(a) in respect of the registered bank’s banking group; and
(b) in respect of total residential mortgage loans and derived in accordance with the definition of loan-to-valuation ratio specified in Capital Adequacy Framework (Standardised Approach) (BS2A).
(2) The following information as at the reporting date:
Residential mortgages by loan-to-valuation ratio
| Loan-to-valuation ratio | Does not exceed 80% | Exceeds 80% and not 90% | Exceeds 90% |
|---|---|---|---|
| Value of exposures |
(3) For the purpose of the disclosure required by subclause (2), any residential mortgage loan for which no loan-to-valuation ratio is available must be included in the category for loan-to-valuation ratios that exceed 90%.
2 Market risk end-period notional capital charges
(1) The information in subclause (2)—
(a) in respect of the registered bank’s banking group; and
(b) derived on the basis that the notional capital charge for each category of market risk is the aggregate capital charge for that category of market risk derived in accordance with the Capital Adequacy Framework (Standardised Approach) (BS2A).
(2) The following information as at the reporting date:
Market risk
| Implied risk weighted exposure | Notional 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 notional capital charge.
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✨ LLM interpretation of page content
💰
Additional Financial Disclosures
(continued from previous page)
💰 Finance & RevenueFinancial disclosure, Credit risk, Market risk, Capital adequacy, Banking group
💰 Additional Mortgage Information
💰 Finance & RevenueMortgage information, Loan-to-valuation ratio, Residential mortgages, Banking group
💰 Market Risk End-Period Notional Capital Charges
💰 Finance & RevenueMarket risk, Notional capital charges, Interest rate risk, Foreign currency risk, Equity risk
NZ Gazette 2013, No 121