Regulatory Alerts2022-05-17
Response to Submissions on Internal Models Based Approach Capital Adequacy Framework
The Reserve Bank of New Zealand issued this document to address submissions on its draft capital adequacy framework for internal models. The Bank aligned definitions for retail SME exposures and lease products with Australian Prudential Regulation Authority standards and amended observation period requirements for probability of default estimation. Key areas such as double default recognition, credit conversion factor recognition, and downturn condition definitions remained unchanged to maintain regulatory consistency and risk sensitivity.
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