4394

NEW ZEALAND GAZETTE

No. 135

Credit Exposure over the Accounting Period or Interim Accounting Period shall be measured as follows:

(a) within each quarter, by determining the maximum aggregate end-of-day Credit Exposure during the quarter, and dividing that amount by the Banking Group’s Tier One Capital, as at the end of the quarter; and

(b) for the Accounting Period or Interim Accounting Period, by calculating the ratio for each quarter in the Accounting Period or Interim Accounting Period pursuant to clause 5 (a) of this Schedule and then taking the maximum of such ratios.

6. The General Disclosure Statement shall contain:

(a) a statement of aggregate Credit Exposure to Connected Persons, expressed both as an amount and as a percentage of Tier One Capital; and

(b) a statement of aggregate Credit Exposure to Non-Bank Connected Persons, expressed both as an amount and as a percentage of Tier One Capital.

7. The information required to be disclosed pursuant to clause 6 of this Schedule shall be made:

(a) as at the Balance Date; and

(b) in respect of peak end-day Credit Exposures for the Accounting Period or Interim Accounting Period.

8. The General Disclosure Statement shall contain a statement of the aggregate amount of contingent exposures of the Banking Group to Connected Persons, arising from risk lay-off arrangements in respect of Credit Exposures to Counterparties (other than Counterparties which are Connected Persons), as at the Balance Date.

9. The General Disclosure Statement shall contain a statement of the aggregate amount of the Banking Group’s Specific Provisions provided against Credit Exposures to Connected Persons as at the Balance Date.

Fifth Schedule

Securitisation, Funds Management, and Other Fiduciary Activities

1. The General Disclosure Statement shall contain the information required to be disclosed pursuant to clauses 3 to 10 of this Schedule in respect of the Banking Group as at the Balance Date (unless otherwise stated).

2. The information required to be disclosed pursuant to clauses 5, 7 and 9 of this Schedule shall include comparative figures for the previous corresponding period.

3. A statement of the nature of the Banking Group’s involvement in:

(a) trust, custodial, funds management, and other fiduciary activities established, marketed, and/or sponsored by a member of the Banking Group; and

(b) the origination of securitised assets, and the marketing or servicing of securitisation schemes.

4. Where applicable, a statement as to whether arrangements have been put in place to ensure that difficulties arising from the activities specified in clause 3 of this Schedule would not impact adversely on the Banking Group, and if so, the nature of those arrangements.

5. Where applicable, a statement of the amount represented by the activities specified in clause 3 of this Schedule, disclosed according to the nature of the activity.

6. A statement as to whether:

(a) financial services provided by any member of the Banking Group to entities which conduct the activities specified in clause 3 of this Schedule have been provided on arms length terms and conditions and at fair value; and

(b) assets purchased from entities which conduct the activities specified in clause 3 of this Schedule have been purchased on arms length terms and conditions and at fair value.

7. The peak aggregate amount of funding (including funding provided by the purchase of securities issued by entities which conduct the activities specified in clause 3 of this Schedule) the Banking Group has provided over the Accounting Period or Interim Accounting Period to the entities which conduct the activities specified in clause 3 of this Schedule, expressed as an amount and as a percentage of Tier One Capital.

8. For the purposes of clause 7 of this Schedule, the peak aggregate amount of such funding over the Accounting Period or Interim Accounting Period shall be measured as follows:

(a) within each quarter, by determining the maximum amount of aggregate end-of-day funding during the quarter, and dividing that amount by the Banking Group’s Tier One Capital as at the end of the quarter; and

(b) for the Accounting Period or Interim Accounting Period, by calculating the ratio for each quarter in the Accounting Period or Interim Accounting Period pursuant to clause 8 (a) of this Schedule and then taking the maximum of such ratios.

9. The peak aggregate amount of funding (including funding provided by the purchase of securities issued by entities which conduct the activities specified in clause 3 of this Schedule) provided by the Banking Group over the Accounting Period or Interim Accounting Period to any individual entity which conducts the activities specified in clause 3 of this Schedule, expressed as an amount and as a percentage of the amount of securities issued by that particular entity.

10. For the purposes of clause 9 of this Schedule, the peak amount of such funding provided to any individual entity over the Accounting Period or Interim Accounting Period shall be measured as follows:

(a) within each quarter:

(i) by determining, for each entity which conducts the activities specified in clause 3 of this Schedule, the maximum amount of aggregate end-of-day funding provided by the Banking Group during the quarter and dividing that amount by that entity’s assets as at the end of the quarter;

(ii) by taking the maximum of the ratios determined in clause 10 (a) (i) of this Schedule; and

(b) for the Accounting Period or Interim Accounting Period, by taking the maximum of the ratios determined in clause 10 (a) (ii) of this Schedule for each quarter in the period.

Sixth Schedule

Risk Management Policies

1. In respect of the Banking Group, for each of the following categories of risk:

(a) Credit Risk, including concentrations of Credit Risk, intra-day Credit Risk, Credit Risk to Bank Counterparties and related party Credit Risk;

(b) Currency Risk;

(c) Interest Rate Risk;

(d) Equity Risk;

(e) liquidity risk;

(f) any other Material business risk to which the Banking Group is exposed;