Regulatory Alerts2024-06-26
BPR132 - Credit Risk Mitigation
The Reserve Bank of New Zealand issued BPR132 to specify the types of credit risk mitigation recognized when banks calculate risk-weighted assets. The document mandates methodologies for recognizing collateral, on-balance sheet netting, guarantees, and credit derivatives under both standardized and internal ratings-based approaches. It establishes strict legal and operational conditions for mitigation recognition, including eligibility criteria for collateral and requirements to adjust for currency, asset, and maturity mismatches.
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