Regulatory Alerts2022-05-17
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Summary of and response to submissions received on the Consultation Paper: Basel III Enhanced Risk Coverage
The Reserve Bank of New Zealand issued this document to summarize stakeholder feedback on its proposed implementation of Basel III enhanced risk coverage requirements for counterparty credit risk. Respondents generally supported the alignment with international standards but raised concerns about the implementation timetable and specific technical details regarding Credit Valuation Adjustments and Asset Value Correlation multipliers. In response, the Reserve Bank decided to delay the implementation date by three months to 31 March 2013, set the large financial institution threshold at NZ$ 120bn, and clarified that no simplified CVA method will be introduced.
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