Document ID: chunk:federal_register_of_legislation:F2024L01124:body:0:p24
Version: federal_register_of_legislation:F2024L01124
Segment Type: other
Provision Reference: 
Character Range: 65524–68415

equivalent amount of the IRRBB capital requirement, as captured in Reporting Form ARF 117.1 IRRBB (ARF 117.1).
Item 3.2  Report Traded market risk, foreign exchange and commodities – Standard method.
          Report the RWA equivalent amount of the traded market risk, foreign exchange and commodities (TFC) capital requirement calculated using the standard method (refer to APS 116), as captured in Reporting Form ARF 116.0 – Market risk (ARF 116.0).
Item 3.3  Report Traded market risk, foreign exchange and commodities – Internal model approach.
          Report the RWA equivalent amount of the TFC capital requirement calculated using the internal model approach (refer to APS 116), as captured in ARF 116.0.
Item 3.4  Report Total RWA for market risk.
          This is a derived field calculating the total RWA amount for an ADI's TFC and IRRBB capital requirement, irrespective of the approach (or approaches) it is using.

     1.      Credit risk New Zealand Subsidiaries (Level 2 only)

Column 1  Report Exposure, defined as the sum of on-balance sheet and off-balance sheet (after credit conversion) exposures that is multiplied by an appropriate risk-weight. It is calculated after recognising credit risk mitigation benefits.
Column 2  Report the RWA value.
          The reported RWA value must include any RWA overlay and the ADI must not report the RWA overlay again in item 5.1.

Item 4.1  Report Sovereign credit risk.
          For ADIs with IRB approval, this item captures sovereign exposures, as defined in the Reserve Bank of New Zealand (RBNZ)'s BPR 133 - IRB Credit Risk RWAs version 1 July 2024 (BPR 133), of a New Zealand banking subsidiary but are risk-weighted in accordance with the RBNZ's BPR 131 – Standardised Credit Risk RWAs version 1 July 2024 (BPR 131).[8]

          For ADIs without IRB approval, this item captures claims on sovereigns, central banks and multilateral development banks and other international organisations as defined in the RBNZ's BPR 131.

Item 4.2  Report Bank credit risk.
          For ADIs with IRB approval, this item captures bank exposures, as defined in the RBNZ's BPR 133, of a New Zealand banking subsidiary but are risk-weighted in accordance with the RBNZ's BPR 131.
          For ADIs without IRB approval, this item captures claims on banks as defined in the RBNZ's BPR 131.
Item 4.3  Report Corporate – Farm lending credit risk.
          This item only applies to ADIs with IRB approval. This item captures corporate – farm lending exposures, as defined in the RBNZ's BPR 133, of a New Zealand banking subsidiary.
Item 4.4  Report Corporate – IPRE credit risk.
          This item only applies to ADIs with IRB approval. This item captures corporate - IPRE exposures, as defined in the RBNZ's BPR 133, of a New Zealand banking subsidiary.
Item 4.5  Report Corporate – other credit risk.
          For ADIs