✨ Credit Risk Disclosure Requirements
512 NEW ZEALAND GAZETTE, No. 21 21 FEBRUARY 2014
Based Approach) (BS2B) is used, the information in subclause (2) in respect of the registered bank’s banking group.
(2) The following information as at the reporting date in respect of specialised exposures subject to the slotting approach:
On-balance sheet exposures
| Total exposures after credit risk mitigation | Risk weight | Risk weighted assets | Minimum Pillar 1 capital requirement |
|---|---|---|---|
| 70% | |||
| 90% | |||
| 115% | |||
| 250% |
Off-balance sheet exposures
| EAD | Average risk weight | Risk weighted assets | Minimum Pillar 1 capital requirement | |
|---|---|---|---|---|
| Undrawn commitments and | ||||
| other off-balance sheet | ||||
| exposures |
(3) For the purpose of the disclosure required by subclause (2), average risk weight means the EAD-weighted average of the risk weights of individual exposures determined according to the counterparty or type of asset or issuer as appropriate.
6 Credit risk exposures subject to the standardised approach
(1) The information in subclause (2)—
(a) in respect of the registered bank’s banking group; and
(b) in respect of any credit risk exposures that are not subject to the IRB approach or the slotting approach to specialised lending and do not arise from equity holdings.
(2) The following information as at the reporting date:
Credit risk exposures subject to the standardised approach
On-balance sheet exposures
| Total exposure after credit risk mitigation | Average risk weight | Risk weighted exposure | Minimum Pillar 1 capital requirement | |
|---|---|---|---|---|
| Cash and gold bullion | ||||
| Sovereigns and central banks | ||||
| Multilateral development banks | ||||
| and other international | ||||
| organisations | ||||
| Public sector entities | ||||
| Banks | ||||
| Corporate | ||||
| Residential mortgages | ||||
| Past due assets | ||||
| Other assets |
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NZ Gazette 2014, No 21
✨ LLM interpretation of page content
💰
Credit Risk Disclosure Requirements
(continued from previous page)
💰 Finance & RevenueCredit Risk, IRB Approach, Capital Adequacy, Banking, Exposure-weighted PD grade, LGD, Risk Weight, Residential Mortgages, Loan-to-valuation Ratio, Specialised Lending