✨ Banking Regulations
22 NOVEMBER 2013 NEW ZEALAND GAZETTE, No. 154 4287
(b) the total value of market related contracts;
(c) the EAD of undrawn commitments and other off-balance sheet amounts; and
(d) the EAD of market related contracts.
(5) For the purpose of the disclosure required by subclauses (2) and (4) the exposure classes to be disclosed are those defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B) except that:
(a) if qualifying revolving retail exposures are material relative to overall credit exposures, the retail exposure class must be disclosed as if the following three exposure sub-classes of the retail exposure class were each a separate exposure class:
(i) exposures secured by residential mortgages;
(ii) qualifying revolving retail exposures; and
(iii) all other retail lending; and
(b) otherwise the retail exposure class must be disclosed as if the following two exposure sub-classes of the retail exposure class were each a separate exposure class:
(i) exposures secured by residential mortgages; and
(ii) all other retail lending.
4 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 exposures secured by residential mortgages as used to calculate the Pillar 1 capital requirement for credit risk, categorised by loan-to-valuation ratio.
(2) The following information as at the reporting date:
Residential mortgages by loan-to-valuation ratio
| Loan-to-valuation ratio | Does not exceed 60% | Exceeds 60% and not 70% | Exceeds 70% and not 80% | Exceeds 80% and not 90% | Exceeds 90% |
|---|---|---|---|---|---|
| Value of exposures |
(3) For the purpose of the disclosure required by subclause (2)—
(a) exposure amounts for which no loan-to-valuation ratio is available must be included in the category for loan-to-valuation ratios that exceed 90%;
(b) in calculating the total exposure amount in relation to any residential mortgage loan, the registered bank must include the credit equivalent amount of any off-balance sheet exposures as used in the capital calculation; and
(c) the valuation used in the calculation of each loan-to-valuation ratio must be the valuation of the associated residential property at the date of origination of the loan.
(4) A description of the main assumptions used in preparing the information required by subclause (2).
5 Specialised lending subject to the slotting approach
(1) If the slotting approach for specialised lending exposures as defined in Capital Adequacy Framework (Internal Models
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NZ Gazette 2013, No 154
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Capital adequacy under the internal models based approach
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💰 Finance & RevenueCapital adequacy, Internal models, Banking regulations, Capital structure, Risk management