Regulatory Alerts2024-06-26
BPR130 - Credit Risk RWAs [Final version]
The Reserve Bank of New Zealand issued BPR130 to establish the high-level framework for calculating total risk-weighted assets for credit risk, which is essential for determining regulatory capital ratio compliance. The document mandates that banks utilize either the standardised approach or the accredited internal-ratings based (IRB) approach, with specific methodologies detailed in supporting documents BPR131 through BPR133. It further outlines the transition rules and calculation formulas for IRB banks effective from 2022, including the introduction of a standardised equivalent RWA floor to limit capital relief from internal models.
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