Regulatory Alerts2022-05-17
BS 6 - Market Risk Guidance Notes
The Reserve Bank of New Zealand issued this guidance to define the methodology for measuring market risk exposure and determining capital adequacy for registered banks. It mandates disclosure of capital charges for interest rate, currency, and equity risks, while excluding fixed assets, commodities, and shareholders' equity from the framework. The document details the standard models for calculating capital charges, including specific rules for interest rate repricing schedules, derivatives, and netting, alongside audit requirements for financial statements.
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