4 MARCH NEW ZEALAND GAZETTE

'Aggregate Interest Rate Exposure' means the aggregate amount of Interest Rate Exposure to all currencies.

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

'Equity Exposure' means the amount of the change in the economic value of equity instruments that are Financial Assets and Financial Liabilities of the Banking Group in a single currency, which would occur as a result of a change in the price of equity instruments in that currency.

'Foreign Currency Exposure' means the amount of the change in the economic value of the Financial Assets and Financial Liabilities of the Banking Group in a 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. Content of Financial and Supplementary Disclosures

Clause 12 (3) of the principal Order is hereby amended by omitting the words “Schedule 6”, and substituting the words “Schedules 6 to 8”.

4. 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 Accounting Period.

(2) The General 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 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 5 of this Schedule shall include comparative figures for the previous corresponding period.

3. For the purposes of this Schedule, the Overseas Banking Group’s Equity shall be either that group’s Equity determined as at the Balance Date, or the most recently publicly disclosed amount. Where the Overseas Banking Group’s Equity is not determined as at the Balance Date, the General Disclosure Statement shall state the date to which the measure of Equity relates.

4. For the purposes of this Schedule, peak end-of-day exposure to each category of Aggregate Market Risk Exposure over the Accounting Period or Interim 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 Overseas Banking Group’s Equity 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 4 (a) of this Schedule and then taking the maximum of such ratios.

5. The General 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 the Overseas Banking Group’s Equity;

(b) a statement of Aggregate Foreign Currency Exposure, expressed both as an amount and as a percentage of the Overseas Banking Group’s Equity;

(c) a statement of Aggregate Equity Exposure, expressed both as an amount and as a percentage of the Overseas Banking Group’s Equity.

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

(a) as at the Balance Date; and

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