RBNZ accredits four NZ banks under Basel II Accord

Release date
10 December 2007

The Reserve Bank of New Zealand today announced that four banks have been accredited to adopt the internal models approach under the Basel II banking supervisory regime.

Reserve Bank Deputy Governor Grant Spencer said the banks that have been accredited to use internal models for credit and operational risk from the first quarter of 2008 are ANZ National Bank Limited, ASB Bank Limited, and Westpac New Zealand Limited. In addition, the Bank of New Zealand has been accredited to use internal models for operational risk from the first quarter of 2008. The Bank of New Zealand is expected to apply for accreditation of its credit risk models during 2008.

"A key feature of the Basel II regime is that it increases the sensitivity of capital requirements to key bank risks, particularly credit risk," Mr Spencer said.

Mr Spencer said that the banks that have been accredited are now able to calculate regulatory capital with their respective internal models. The other three locally incorporated registered banks in New Zealand did not apply for accreditation, and will operate on a ‘standardised' Basel II approach for calculating regulatory capital.

Mr Spencer added that in order for the four internal models banks to retain their accreditation status they must comply with a number of accreditation requirements.

"Some of these requirements are of a transitional nature, recognising that we have some way to go to fully embed the Basel II regime. In particular, there will be a transitional requirement to maintain capital at a level no less than 90 percent of the previous ‘Basel I' capital requirement.

"Other requirements relate to specific risk parameters to be used in some risk models, and improvements to be made to the banks risk models over time."

Contact:

Mike Hannah

Head of Communications

Ph 04 4713671, 021 497418, mike.hannah@rbnz.govt.nz