Regulatory Alerts2024-06-26
BPR133 - IRB Credit Risk RWAs
The Reserve Bank of New Zealand issued BPR133 to mandate the internal-ratings based methodology for accredited banks to calculate risk-weighted assets and expected losses on credit exposures. The document defines specific exposure categories, including corporate, sovereign, bank, retail, and purchased receivables, while detailing the required estimation of probability of default, loss given default, and exposure at default. These calculations determine the capital ratios and buffer requirements necessary for banks to maintain compliance with minimum regulatory capital standards.
Share