28 AUGUST NEW ZEALAND GAZETTE 3075

below in respect of the Ultimate Parent Bank and the Ultimate Parent Bank group:

(i) Tier One Capital expressed as a percentage of risk weighted exposures;

(ii) Capital expressed as a percentage of risk weighted exposures; and

(iii) the date to which the measures of Tier One Capital and Capital relate;

(b) the General Disclosure Statement shall contain a statement as to:

(i) whether the Ultimate Parent Bank or Ultimate Parent Bank group is required by the appropriate banking supervisory authority in its country of domicile to hold minimum Capital at least equal to that specified under the Basel framework; and

(ii) to the extent that the information is publicly available, whether the Ultimate Parent Bank or Ultimate Parent Bank group meets those requirements imposed on it by the appropriate banking supervisory authority in its country of domicile as at the latest Balance Date.

Third Schedule

Concentration of Credit Exposures to Individual Counterparties

1. For the purposes of this Schedule, Credit Exposure information shall be disclosed either on the basis of:

(a) actual Credit Exposures; or

(b) internal limits provided that those limits were not Materially exceeded during the Accounting Period or the Interim Accounting Period.

The General Disclosure Statement shall state the method used.

2. For the purposes of this Schedule:

(a) the information disclosed shall include comparative figures for the previous corresponding period;

(b) Credit Exposure information shall be calculated net of Specific Provisions, and shall exclude Credit Exposures to Connected Persons and any OECD Government.

3. The General Disclosure Statement shall disclose:

(a) 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; and

(b) 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 an aggregate Credit Exposure which equals or exceeds 10% of the Banking Group’s Equity:

(i) as at the Balance Date; and

(ii) in respect of peak end-of-day aggregate Credit Exposure for the most recent quarter of the Accounting Period or Interim Accounting Period;

in successive ranges of 10% of Equity, commencing at 10% of Equity.

4. For the purposes of this Schedule, peak end-of-day aggregate Credit Exposure to each individual Counterparty or a Group of Closely Related Counterparties for the most recent quarter of the Interim Accounting Period or the Accounting Period shall be derived by determining the maximum end-of-day aggregate amount of Credit Exposure over the quarter, and then dividing that amount by:

(a) the Banking Group’s Equity as at the end of the quarter; or

(b) the Banking Group’s Equity at the date the maximum end-of-day aggregate amount of Credit Exposure occurred.

A Registered Bank shall state in the General Disclosure Statement which of the methods it has used to derive peak ratio information.

Fourth Schedule

Credit Exposures to Connected Persons

1. For the purposes of this Schedule, Credit Exposure information shall be disclosed either on the basis of:

(a) actual Credit Exposures; or

(b) internal limits, provided that those limits were not Materially exceeded during the Accounting Period or the Interim Accounting Period.

The General Disclosure Statement shall state the method used.

2. Information disclosed in accordance with this Schedule:

(a) shall be derived in accordance with the Conditions of Registration relating to Connected Persons; and

(b) shall include comparative figures for the previous corresponding period.

3. The General Disclosure Statement shall disclose the aggregate Credit Exposure of the Banking Group to:

(a) Connected Persons; and

(b) non-Bank Connected Persons;

expressed both as an amount and as a percentage of Tier One Capital:

(i) as at the Balance Date; and

(ii) in respect of peak end-of-day aggregate Credit Exposure for the most recent quarter of the Accounting Period or Interim Accounting Period.

The General Disclosure Statement shall contain a statement that the information on Credit Exposure to Connected Persons has been derived net of Specific Provisions, and gross of set-offs.

4. For the purposes of this Schedule, peak end-of-day aggregate Credit Exposure to Connected Persons for the most recent quarter of the Interim Accounting Period or the Accounting Period shall be derived by determining the maximum end-of-day aggregate amount of Credit Exposure over the quarter, and then dividing that amount by:

(a) the Banking Group’s Tier One Capital as at the end of the quarter; or

(b) the Banking Group’s Tier One Capital at the date the maximum end-of-day aggregate amount of Credit Exposure occurred.

A Registered Bank shall state in the General Disclosure Statement which of these methods it has used to derive peak ratio information.

5. 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.

6. 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.