21 FEBRUARY 2014

NEW ZEALAND GAZETTE, No. 21

507

Schedule 11—Full year and half year

Capital adequacy under the internal models based approach

Contents

1 Capital........................................................................................................ 507
2 Capital structure ......................................................................................... 509
3 Credit risk subject to the IRB approach ..................................................... 509
4 Additional mortgage information............................................................... 511
5 Specialised lending subject to the slotting approach.................................. 511
6 Credit risk exposures subject to the standardised approach ....................... 512
7 Credit risk mitigation ................................................................................. 513
8 Equity exposures........................................................................................ 513
9 Scalar ......................................................................................................... 514
10 Operational risk.......................................................................................... 514
11 Market risk end-period capital charges...................................................... 514
12 Market risk peak end-of-day capital charges ............................................. 515
13 Method for deriving peak end-of-day aggregate capital charge................. 515
14 Total capital requirements.......................................................................... 515
15 Capital ratios.............................................................................................. 516
16 Solo capital adequacy ................................................................................ 516
17 Capital for other material risks................................................................... 516
18 Information about ultimate parent bank and ultimate parent banking group.......................................................................................................... 517

1 Capital

(1) The information in subclause (2) in respect of the registered bank’s banking group.

(2) The following information as at the reporting date:

Capital

Tier 1 capital

Common Equity Tier 1 (“CET1”) capital

Paid-up ordinary shares issued by [the registered bank] plus related share premium

[amount]

Retained earnings (net of appropriations)

[amount]

Accumulated other comprehensive income and other disclosed reserves

[amount]

[itemise the interests arising from ordinary shares issued by fully consolidated subsidiaries and held by third parties, adding rows as needed, for example, for each instrument to show ordinary shares, as well as any associated retained earnings or other reserves]

[amount]

Less deductions from CET1 capital [if there are no deductions, this line and its associated itemisation may be omitted]

[itemise each deduction from CET1 capital, adding rows as needed]

[deduction amount] [subtotal: CET1 capital amount]

Additional Tier 1 (“AT1”) capital

[itemise any AT1 capital instruments not subject to phase-out from AT1 capital under the Reserve Bank of New Zealand’s Basel III transitional arrangements, adding rows as needed]

[amount for each instrument including any related share premium]