Regulatory Alerts2024-06-26
BPR131 - Standardised Credit Risk RWAs
The Reserve Bank of New Zealand issued BPR131 to mandate the standardised approach for calculating risk-weighted assets (RWAs) on credit risk exposures for registered banks. This document requires banks to apply specific risk-weighting methodologies, standardized rating grades, and credit equivalent amount calculations for on-balance sheet, off-balance sheet, and derivative exposures. It establishes the regulatory framework for determining capital adequacy compliance, including provisions for counterparty credit risk, credit valuation adjustments, and central counterparty treatments.
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