✨ Banking Regulations
3368 NEW ZEALAND GAZETTE, No. 121 30 AUGUST 2013
3 Market risk peak end-of-day notional capital charges
(1) In the full year and half year disclosure statement, the information in subclause (2)—
(a) in respect of the registered bank’s banking group; and
(b) derived in accordance with clause 4.(2) The following information in respect of peak end-of-day notional capital charges for market risk for the half year accounting period or the then remaining part of the full year accounting period (as applicable):
| 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.
4 Method for deriving peak end-of-day notional capital charges
(1) For the purpose of the disclosure required by clause 3, peak end-of-day notional capital charge for each category of market risk is derived by determining the maximum over the relevant period of the aggregate capital charge for that category at the close of each business day derived in accordance with—
(a) Capital Adequacy Framework (Standardised Approach) (BS2A); or
(b) any other method, but only if the aggregate capital charge derived in accordance with that method is not, in the opinion of the registered bank (where such opinion is 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 notional capital charge, for each category of market risk.
5 Capital ratios
(1) The most recent publicly available information specified in respect of the capital ratios of the registered bank and its overseas banking group, including the following information:
(a) the Common Equity Tier 1 capital ratio, if applicable;
(b) the Tier 1 capital ratio;
(c) the Total capital ratio; and
(d) the date to which the measures of Common Equity Tier 1 capital ratio (if applicable), Tier 1 capital ratio and Total capital ratio relate.(2) The information that is required to be disclosed under subclause (1) must include comparative figures for the previous corresponding period to the extent that the information is publicly available.
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NZ Gazette 2013, No 121
✨ LLM interpretation of page content
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Market risk peak end-of-day notional capital charges
(continued from previous page)
💰 Finance & RevenueMarket risk, Notional capital charges, Interest rate risk, Foreign currency risk, Equity risk
💰 Method for deriving peak end-of-day notional capital charges
💰 Finance & RevenueCapital adequacy, Standardised approach, Banking regulations
💰 Capital ratios disclosure
💰 Finance & RevenueCapital ratios, Common Equity Tier 1, Tier 1 capital, Total capital ratio