Regulatory Alerts2024-06-26
BPR140 Market Risk
The Reserve Bank of New Zealand issued BPR140 to mandate the methodology all registered banks must use to calculate their total capital requirement for market risk exposure. This framework applies to both standardised and IRB banks, requiring them to compute aggregate capital charges for interest rate, currency, and equity risks to ensure compliance with minimum regulatory capital ratios. The document details specific calculation steps, including the treatment of derivatives, exclusion of matched positions, and allocation of instruments to time bands, while explicitly excluding internal model options and commodity risk.
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