✨ Banking Regulations
NEW ZEALAND GAZETTE, No. 154
22 NOVEMBER 2013
| Name of exposure class | Exposure-weighted PD grade | Exposure amounts | Exposure-weighted LGD (%) used for the capital calculation | Exposure-weighted risk weight (%) | Risk weighted assets | Minimum capital requirement |
|---|---|---|---|---|---|---|
| Exposure-weighted PD grade 1 (%) | ||||||
| Exposure-weighted PD grade 2 (%) | ||||||
| ... | ||||||
| ... | ||||||
| Default PD grade | ||||||
| AGGREGATE EXPOSURE-WEIGHTED PD GRADE | TOTAL EXPOSURES | AGGREGATE EXPOSURE-WEIGHTED LGD GRADE (%) | AGGREGATE EXPOSURE-WEIGHTED RISK WEIGHT (%) | TOTAL RISK WEIGHTED ASSETS | TOTAL MINIMUM CAPITAL REQUIREMENT |
(3) For the purpose of the disclosure required by subclause (2),—
(a) the exposure-weighted value in any box in the first, third and fourth column of the table is given by the following formula:
$$
\frac{\sum{i}(exposure{i} \times multiplier{i})}{\sum{i}(exposure_{i})}
$$
where—
(i) "exposure(_{i})" is the value of the (i^{th}) exposure in the relevant box;
(ii) "multiplier({i})" is the value, as applicable, of the risk-weight, LGD or PD that corresponds to exposure({i}); and
(iii) "(i)" indexes all exposures for the box.
(b) the PD grades must either be those used internally for rating exposures in that exposure class or aggregated from those used internally, provided that where PD grades are aggregated:
(i) the disclosure must be based on a minimum of five non-default aggregated PD grades and one default aggregated PD grade; and
(ii) the aggregated PD grades should be reasonably evenly distributed across the range of PD grades used in the internal rating system; and
(iii) the PD disclosed for each aggregated grade must be the exposure-weighted average of the PDs included in the aggregation; and
(c) the exposures disclosed must comprise outstanding loans, and EAD on undrawn commitments and other off-balance sheet exposures that are used in the calculation of regulatory capital.
(4) For each exposure class the following information as at the reporting date:
(a) total value of undrawn commitments and other off-balance sheet amounts excluding market related contracts;
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NZ Gazette 2013, No 154
✨ LLM interpretation of page content
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Capital adequacy under the internal models based approach
(continued from previous page)
💰 Finance & RevenueCapital adequacy, Internal models, Banking regulations, Capital structure, Risk management