Regulatory Alerts2022-05-17
Consultation Paper on Solo Capital Ratios for IRB Banks under Basel II
The Reserve Bank of New Zealand proposes requiring Internal Ratings-Based banks to calculate and disclose solo-consolidated capital ratios using the Basel II framework instead of the outdated Basel I approach. The document outlines specific methodologies for allocating credit, market, and operational risk capital from group figures to the solo level, including a pro-rating formula for operational risk. It invites submissions on these calculation details and potential transitional arrangements before finalizing revisions to the BS2B prudential framework.
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