3076 NEW ZEALAND GAZETTE No. 126

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 in the marketing or servicing of securitisation schemes.

4. 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. A statement of the amount as at the Balance Date represented by each of the activities specified in clause 3 of this Schedule (where practicable in the case of custodial activities), disclosed according to the nature of the activity.

6. A statement as to whether over the Accounting Period or Interim Accounting Period:

(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 end-of-day 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 most recent quarter of 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 end-of-day aggregate amount of funding 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 funding 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 as at the date the maximum end-of-day aggregate amount of funding occurred.

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

9. The peak end-of-day 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 most recent quarter of 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 end-of-day aggregate amount of funding provided to any individual entity 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 funding over the quarter, and then dividing that amount by:

(a) the amount of the entity’s assets as at the end of the quarter; or

(b) the amount of the entity’s assets as at the date the maximum end-of-day aggregate amount of funding occurred.

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

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;

the General Disclosure Statement shall contain the information set out in clause 2 of this Schedule.

2. In relation to each risk identified in clause 1 of this Schedule, the General Disclosure Statement shall contain:

(a) an explanation of the nature of the risk and the activities of the Banking Group which give rise to that risk;

(b) a general description of the methods used to identify and monitor exposure to the risk, including the frequency with which exposures are monitored; and

(c) a general description of the systems and procedures for controlling the risk, including, where applicable, whether exposure limits are employed, any policies with respect to collateral or other security, and any policies on the use of Financial Instruments to mitigate or hedge risks.

3. The General Disclosure Statement shall contain a statement as to the nature and frequency of any reviews conducted in respect of the Banking Group’s risk management systems, including a statement as to whether any such reviews were conducted by a party external to the Banking Group, Ultimate Parent Bank or Ultimate Holding Company.

4. The General Disclosure Statement shall contain a statement as to whether the Banking Group has an internal audit function and, if so, its nature, including:

(a) organisational status, including formal and administrative reporting procedures;

(b) reference to the existence of an audit committee and, if applicable, the nature and scope of that committee; and

(c) scope of the internal audit function, including type and frequency of audits.

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