28 AUGUST NEW ZEALAND GAZETTE

3091

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 Short Form 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 Off Quarter Balance Date.

6. The General Short Form 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 Off Quarter Balance Date.

Sixth Schedule

Securitisation, Funds Management, and Other Fiduciary Activities

1. The General Short Form Disclosure Statement shall contain the information required to be disclosed pursuant to clauses 3 to 7 of this Schedule in respect of the Banking Group.

2. The information required to be disclosed pursuant to clauses 4 and 6 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 the following activities:

(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. 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 First Quarter Accounting Period or the most recent quarter of the Third Quarter 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.

5. For the purposes of clause 4 of this Schedule, the peak end-of-day aggregate amount of funding over the First Quarter Accounting Period or the most recent quarter of the Third Quarter 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 Short Form Disclosure Statement which of these methods it has used to derive peak ratio information.

6. 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 First Quarter Accounting Period or the most recent quarter of the Third Quarter 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.

7. For the purposes of clause 6 of this Schedule, the peak end-of-day aggregate amount of funding provided to any individual entity over the First Quarter Accounting Period or the most recent quarter of the Third Quarter Accounting Period shall be derived by determining the maximum end-of-day aggregate amount of funding provided 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 Short Form Disclosure Statement which of these methods it has used to derive peak ratio information.

Seventh Schedule

Risk Management Policies

1. Where there has been a Material change in the three months prior to the Off Quarter Balance Date in the Banking Group’s policies for managing any of the following risks:

(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 Short Form Disclosure Statement shall contain a statement of the nature of those changes.

2. If, in the three months prior to the Off Quarter Balance Date, the Banking Group has become exposed to a new category of risk specified in clause 1 of this Schedule to which the Banking Group was not previously exposed, the General Short Form Disclosure Statement shall contain a general description of:

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

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

(c) the systems and procedures for controlling that 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.

Eighth 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 9 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