We need an amendment Order in Council to implement the disclosure changes summarised in the feedback statement. We are publishing an exposure draft of the required amendment Order to seek feedback on the drafting details. We want to ensure that the text achieves the intended outcomes in the feedback statement.
The exposure draft also covers some other disclosure changes, relating to recently announced policy changes on connected exposures, mutual capital instruments, and new risk-weight categories for credit risk. We would like feedback on these proposed changes as well.
How you can have your say
You can email your submission to Tobias Irrcher or Kurt Christoffersen.
Email: [email protected]
Email: [email protected]
Alternatively, you can send it by post to:
Prudential Policy Department
Reserve Bank of New Zealand
PO Box 2498
When you can have your say
You can have your say from Monday 2 October 2023 to 5pm Monday 30 October 2023.
Once we have taken on board any feedback on the exposure draft, we will start the process of getting the amendment Order in Council made. We expect the changes to come into force for disclosure statements with reporting dates of 31 March 2024 or later.
Background to consultation
We consulted on changes to the information that New Zealand-incorporated registered banks must publish in their six-monthly disclosure statements.
The main changes are to introduce ‘dual reporting’, which was one element of the Capital Review final policy decisions published in December 2019.
Our capital adequacy framework allows for some banks to be accredited to use their own internal models to calculate some of the risk-weighted assets (RWAs) for credit risk: we refer to such banks as modelling banks. Banks otherwise have to calculate their RWAs using the standardised approach, with risk-weights prescribed by us.
Dual reporting refers to additional information that a modelling bank would include in its disclosure statements. The additional information would be the bank’s RWAs and resulting capital ratios recalculated as if the bank was subject to the standardised approach. The main objective of dual reporting is to show how the use of internal models affects a bank’s RWA outcomes compared to using the standardised approach.
We also proposed some other additions to modelling banks’ disclosure requirements, to provide greater clarity around changes to their capital ratio calculations that came into force on 1 January 2022.
In addition, we consulted on some other minor additions to disclosure statements for all New Zealand-incorporated banks, whether or not they are modelling banks. These additions are to provide more detail in the disclosure of RWAs for counterparty credit risk: this refers to a bank’s risk of loss from the failure of a counterparty to a derivative contract.
In the Consultation Paper, we proposed that these changes would take effect for disclosure statements with reporting dates of 30 September 2022 or later.
Requirements currently in force
The current version of the required disclosure of information on capital adequacy can be seen in our ‘working copy’ of the disclosure Order in Council for New Zealand-incorporated registered banks, available from the following page: