NEW ZEALAND GAZETTE

No. 21

single foreign currency which would occur as a result of a change in the rate of exchange applicable to that foreign currency.

‘Interest Rate Exposure’ means the amount of the change in the economic value of the Financial Assets (excluding equity instruments) and Financial Liabilities (excluding equity instruments) of the Banking Group in a single currency which would occur as a result of a change in interest rates in that currency.

‘Interest Rate Repricing Date’, as that term applies to a Financial Instrument or to a proportion of a Financial Instrument, means the earlier of the date on which, in accordance with the terms of the Financial Instrument:

(a) the interest rate reset date next occurs (being the date on which the rate of interest payable in respect of the Financial Instrument can or will alter); or

(b) the principal sum is due and payable or, where no principal sum is due and payable, the maturity date occurs.

‘Market Risk Exposure’ means exposure to any, or all, of Equity Exposure, Foreign Currency Exposure and Interest Rate Exposure.

‘Rate Insensitive Retail Assets’ means that amount of the Financial Assets held by the Banking Group which the Registered Bank reasonably believes is unlikely to be diminished or increased as a result of a Material change in market interest rates if the interest rate applicable to that Financial Asset (which may be zero) does not change or does not change Materially.

‘Rate Insensitive Retail Liabilities’ means that amount of the Financial Liabilities held by the Banking Group which the Registered Bank reasonably believes is unlikely to be diminished or increased as a result of a Material change in market interest rates if the interest rate applicable to that Financial Liability (which may be zero) does not change or does not change Materially.

‘Rate Insensitive Retail Product’ means either or both of a Rate Insensitive Retail Asset or a Rate Insensitive Retail Liability.

3. Schedules—The principal Order is hereby amended by inserting, after the “Sixth Schedule Risk Management Policies” the following Schedules:

Seventh Schedule

Exposures to Market Risk

1. (1) A Registered Bank shall disclose the amount of Aggregate Market Risk Exposures of the Banking Group in respect of each category of Aggregate Market Risk Exposure on the basis of:

(a) Aggregate Market Risk Exposures derived in accordance with Schedule 8 of this Order; or

(b) the Banking Group’s internal operating limits applicable to the relevant category of Aggregate Market Risk Exposure, but only if the Aggregate Market Risk Exposure in that category has not Materially exceeded those limits at any time during the First Quarter Accounting Period or the Third Quarter Accounting Period.

(2) The General Short Form Disclosure Statement shall state which of the above methods is used, and, where the method used is that set out in clause 1 (1)(a) of this Schedule, shall also state which of the methods described in clauses 1, 8 and 11 of the Eighth Schedule (for deriving Aggregate Interest Rate Exposure, Aggregate Foreign Currency Exposure and Aggregate Equity Exposure respectively) is used.

(3) Where, in respect of a category of Aggregate Market Risk Exposure, a Registered Bank uses different methods to derive Aggregate Market Risk Exposure in that category as at the Off Quarter Balance Date, and in respect of peak end-of-day exposure since the commencement of the Accounting Period, the Registered Bank shall identify, in relation to each of the disclosures made pursuant to this Schedule, the method used.

2. The information required to be disclosed pursuant to clause 4 of this Schedule shall include comparative figures for the previous corresponding period.

3. For the purposes of this Schedule, peak end-of-day exposure to each category of Aggregate Market Risk Exposure over the First Quarter Accounting Period or the Third Quarter Accounting Period shall be measured as follows:

(a) within each quarter, by determining the maximum end-of-day Aggregate Market Risk Exposure during the quarter, and dividing that amount by the amount of the Banking Group’s Equity as at the end of the quarter; and

(b) for the First Quarter Accounting Period or the Third Quarter Accounting Period by calculating the ratio for each quarter in the First Quarter Accounting Period or the Third Quarter Accounting Period pursuant to clause 3 (a) of this Schedule and then taking the maximum of such ratios.

4. The General Short Form Disclosure Statement shall contain, in respect of the Banking Group:

(a) a statement of Aggregate Interest Rate Exposure, expressed both as an amount and as a percentage of Equity;

(b) a statement of Aggregate Foreign Currency Exposure, expressed both as an amount and as a percentage of Equity; and

(c) a statement of Aggregate Equity Exposure, expressed both as an amount and as a percentage of Equity.

5. The information required to be disclosed pursuant to clause 4 of this Schedule shall be made:

(a) as at the Off Quarter Balance Date; and

(b) in respect of peak end-of-day exposure since the commencement of the Accounting Period.

Eighth Schedule

Measurement of Market Risk Exposure

Aggregate Interest Rate Exposure

1. The Registered Bank shall derive the amount of Aggregate Interest Rate Exposure of the Banking Group in accordance with either:

(a) clauses 2 to 7 of this Schedule; or

(b) any other method, but only if the Aggregate Interest Rate 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 1 (a) of this Schedule.

2. Interest Rate Exposure in a Single Currency—Interest Rate Exposure in a single currency is the total of:

(a) the directional interest rate risk;

(b) the vertical disallowance; and

(c) the horizontal disallowance;

in that currency.

3. Exposure to Directional Interest Rate Risk in a Single Currency—(1) The amount of directional interest rate risk in a single currency shall be derived by subtracting the aggregate amount of the change in the value of each