✨ Banking Regulations
NEW ZEALAND GAZETTE, No. 27
8 MARCH 2013
Schedule 13—All periods
Concentration of credit exposures to individual counterparties
Contents
| Page | ||
|---|---|---|
| 1 | Credit exposure information: general requirements | 806 |
| 2 | Calculation of credit exposure information | 806 |
| 3 | Large exposures at the reporting date | 806 |
| 4 | Peak end-of-day aggregate credit exposure | 807 |
| 5 | Method of calculating peak end-of-day aggregate credit exposure | 808 |
| 6 | Meaning of credit rating | 808 |
1 Credit exposure information: general requirements
(1) In this Schedule, credit exposure information must be disclosed either on the basis of—
(a) actual credit exposures; or
(b) internal limits that were not materially exceeded between the reporting date for the previous disclosure statement and the reporting date for the disclosure statement.
(2) A statement of the method used for disclosing the credit exposure information required by this Schedule.
2 Calculation of credit exposure information
The credit exposure information required by this Schedule must—
(a) be calculated as the amount that best represents the registered bank’s banking group’s maximum exposure to credit risk taking account of the guidance in paragraphs B9 and B10 of NZ IFRS 7;
(b) exclude credit exposures to connected persons;
(c) exclude credit exposures to the central government of any country with a long-term credit rating of A- or A3 or above, or its equivalent; and
(d) exclude credit exposures to any bank with a long-term credit rating of A- or A3 or above, or its equivalent.
3 Large exposures at the reporting date
(1) The information in subclauses (2) and (4)—
(a) as at the reporting date; and
(b) in successive ranges of 5% of the registered bank’s banking group’s equity, commencing at 10% of equity.
(2) The number of bank counterparties described by subclause (3) to which the registered bank’s banking group has an aggregate credit exposure that equals or exceeds 10% of the registered bank’s banking group’s equity, showing separately—
(a) those counterparties that have a long-term credit rating of at least BBB- or Baa3, or its equivalent, and at most BBB+ or Baa1, or its equivalent, and
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NZ Gazette 2013, No 27
✨ LLM interpretation of page content
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Solo capital adequacy for registered banks
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💰 Finance & RevenueSolo capital adequacy, Common Equity Tier 1, Tier 1 capital, Additional Tier 1 capital, Tier 2 capital, Total capital, banking regulations, disclosure requirements, internal capital allocation, material risks, credit exposure information, general requirements, calculation of credit exposure, large exposures, peak end-of-day aggregate credit exposure, credit rating