✨ Credit Risk Disclosure Requirements
21 FEBRUARY 2014
NEW ZEALAND GAZETTE, No. 21
513
Off-balance sheet exposures
| Total exposure or principal amount | Average credit conversion factor | Credit equivalent amount | Average risk weight | Risk weighted exposure | Minimum Pillar I capital requirement | |
|---|---|---|---|---|---|---|
| Total off balance sheet exposures subject to the standardised approach | ||||||
| Market-related contracts subject to the standardised approach | ||||||
| (a) Foreign exchange contracts | n/a | |||||
| (b) Interest rate contracts | n/a | |||||
| (c) Other - OTC etc | n/a |
(3) For the purpose of the disclosure required by subclause (2)—
(a) average risk weight means the exposure-weighted average of the risk weights of individual exposures determined according to the counterparty or type of asset or issuer as appropriate; and
(b) average credit conversion factor means the exposure-weighted average of the credit conversion factors for individual exposures.
7 Credit risk mitigation
(1) The information in subclause (2)—
(a) in respect of the registered bank’s banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting date:
Credit risk mitigation
| Exposure class | For portfolios subject to the standardised or foundation IRB approach as defined by BS2B: total value of exposures covered by eligible financial or IRB collateral (after haircutting) | For all portfolios: total value of exposures covered by guarantees or credit derivatives |
|---|---|---|
| Sovereign | ||
| Bank | ||
| Corporate (including specialised lending) | ||
| Residential mortgage | ||
| Other |
8 Equity exposures
(1) The information in subclause (2)—
(a) in respect of the registered bank’s banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting date:
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NZ Gazette 2014, No 21
✨ LLM interpretation of page content
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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