670 NEW ZEALAND GAZETTE No. 21

in New Zealand dollars using the relevant spot exchange rate; or

(b) the present value of that Financial Instrument expressed in New Zealand dollars using the relevant spot exchange rate.

(3) Notwithstanding clause 9 (2) of this Schedule, the value of options in a single foreign currency shall be either the delta equivalent value, or a value derived using the Registered Bank’s own method for valuing the open position arising from options in that foreign currency.

(4) For the purposes of clause 9(1) of this Schedule, Financial Instruments which have been issued by associates of the Registered Bank or which have been included in the Capital of the Banking Group shall not be included in the calculation of the Banking Group’s Foreign Currency Exposure.

10. Aggregate Foreign Currency Exposure—A Banking Group’s Aggregate Foreign Currency Exposure is the absolute value of the greater of the sum of any positive Foreign Currency Exposures and the sum of any negative Foreign Currency Exposures.

Aggregate Equity Exposure

11. The Registered Bank shall derive the amount of its Aggregate Equity Exposure in accordance with either:

(a) clauses 12 and 13 of this Schedule; or

(b) any other method, but only if the Aggregate Equity Exposure derived in accordance with that method is not, in the opinion of the Registered Bank (such opinion to be based on reasonable grounds), Materially lower than the amount derived pursuant to clause 11(a) of this Schedule.

12. Equity Exposure in a Single Currency—(1) Subject to clauses 12 (2) and 12 (3) of this Schedule a Banking Group’s Equity Exposure in a single currency is derived by:

(a) subtracting the aggregate amount of the value of all of the equity instruments (whether recognised or unrecognised) of the Banking Group in that currency that are Financial Liabilities from the aggregate amount of the value of all the equity instruments (whether recognised or unrecognised) of the Banking Group in that currency that are Financial Assets; and

(b) multiplying the amount derived in clause 12(a) of this Schedule by 0.08.

(2) Notwithstanding clause 12 (1) of this Schedule, the value of equity instruments issued by associates of the Registered Bank shall not be included in the calculation of the Banking Group’s Equity Exposure.

(3) Subject to clause 12 (4) of this Schedule, the value of an equity instrument is:

(a) in the case of an unrecognised equity instrument and a recognised equity instrument which is a market related contract, the face or contract amount of the equity instrument expressed in New Zealand dollars using the relevant spot exchange rate; and

(b) in the case of other equity instruments, the carrying amount of the equity instrument expressed in New Zealand dollars using the relevant spot exchange rate.

(4) Notwithstanding clause 12 (3) of this Schedule, the value of:

(a) a net equity futures position is the marked-to-market value of the notional underlying equity position; and

(b) a net equity option position is the delta equivalent value.

13. Aggregate Equity Exposure—The Banking Group’s Aggregate Equity Exposure is the sum of the absolute values of the Equity Exposures in each currency.

14. Miscellaneous Amendments to Order in Council—The principal Order shall be amended as follows:

(a) clause 1 (4) of the principal Order is hereby amended by inserting after the words “which occurs after 1 January 1996” the following words:

“or in respect of a Registered Bank which becomes a Registered Bank after 1 January 1996 shall be in respect of such date (whether before or after the date of registration) as the Reserve Bank shall determine.”.

(b) clause 1 of the principal Order is hereby amended by the addition of the following clause 1 (5):

“(5) Where the Reserve Bank, pursuant to clause 1 (4) of this Order, determines the date in respect of which a Disclosure Statement shall be published, a reference in this Order to a Balance Date shall be read as if it were a reference to that date.”.

(c) clause 3 (1) of the principal Order is hereby deleted and replaced with the following:

“(1) Subject to the Act, every Registered Bank shall Publish not later than three months after each Balance Date (or in the case of the first Disclosure Statement required by this Order for a Registered Bank which becomes a Registered Bank after 1 January 1996, within such period as the Reserve Bank shall specify) a Disclosure Statement which shall:

(a) contain the information that is prescribed in Part II to Part V of this Order; and

(b) comply with the Act.”.

(d) clause 5 (7) of the principal Order is hereby amended by inserting after the words “the number of individual Counterparties” the words “(not being members of a Group of Closely Related Counterparties)”, and by replacing the succeeding word “or” with the word “and”.

(e) clause 6 of the Third Schedule to the principal Order is hereby deleted and replaced with the following:

“6. The General Disclosure Statement shall disclose the number of individual Bank Counterparties (not being members of a Group of Closely Related Counterparties) and Groups of Closely Related Counterparties of which a Bank is the parent to whom the Banking Group has a Credit Exposure which equals or exceeds 10% of the Banking Group’s Equity over the Interim Accounting Period or Accounting Period in successive ranges of 10% of Equity, commencing at 10% of Equity.”.

(f) clause 8 of the Third Schedule to the principal Order is hereby deleted and replaced with the following:

“8. The General Disclosure Statement shall disclose the number of individual non Bank Counterparties (not being members of a Group of Closely Related Counterparties) and Groups of Closely Related Counterparties of which a Bank is not the parent to whom the Banking Group has a Credit Exposure which equals or exceeds 10% of the Banking Group’s Equity over the Interim Accounting Period or Accounting Period in successive ranges of 10% of Equity, commencing at 10% of Equity.”.

DIANE WILDERSPIN, Acting for Clerk of the Executive Council.