Regulatory Alerts2026-07-27
Added · Updated
BPR133 IRB Credit Risk RWAs
This document establishes the mandatory methodology for accredited banks to calculate risk-weighted assets (RWAs) and expected losses (EL) for credit exposures using the internal-ratings based (IRB) approach. It defines specific exposure categories, including corporate, sovereign, bank, retail, and equity classes, and prescribes the formulae for estimating probability of default, loss given default, and exposure at default. The requirements apply to New Zealand-incorporated registered banks accredited by the Reserve Bank to determine their capital ratios and compliance with prudential capital buffers.