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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Online Sources for this page:

Gazette.govt.nz PDF NZ Gazette 2013, No 121





✨ LLM interpretation of page content

💰 Additional Financial Disclosures (continued from previous page)

💰 Finance & Revenue
Financial disclosure, Credit risk, Market risk, Capital adequacy, Banking group

💰 Additional Mortgage Information

💰 Finance & Revenue
Mortgage information, Loan-to-valuation ratio, Residential mortgages, Banking group

💰 Market Risk End-Period Notional Capital Charges

💰 Finance & Revenue
Market risk, Notional capital charges, Interest rate risk, Foreign currency risk, Equity risk