NEW ZEALAND GAZETTE

No. 126

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 Ninth 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.

4. The information required to be disclosed pursuant to clause 3 of this Schedule shall include comparative figures for the previous corresponding period.

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

(a) Aggregate Interest Rate Exposure;

(b) Aggregate Foreign Currency Exposure; and

(c) Aggregate Equity Exposure;

expressed both as an amount and as a percentage of Equity:

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

(ii) in respect of peak exposures for the First Quarter Accounting Period or the most recent quarter of the Third Quarter Accounting Period.

4. For the purposes of this Schedule, peak end-of-day exposure for each category of Aggregate Market Risk Exposure for 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 Market risk 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 Market Risk Exposure 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.

Ninth 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 Financial Liability (excluding equity instruments) of the Banking Group arising from a directional change in interest rates in that currency from the aggregate amount of the change in the value of each Financial Asset (excluding equity instruments) of the Banking Group, arising from a directional change in interest rates in that currency.

(2) The value of a Financial Instrument is:

(a) in the case of an unrecognised Financial Instrument and a recognised Financial Instrument which is a market related contract, the face or contract amount of the Financial Instrument expressed in New Zealand dollars using the relevant spot exchange rate; and

(b) in the case of other Financial Instruments, the carrying amount of the Financial Instrument expressed in New Zealand dollars using the relevant spot exchange rate.

(3) The change in the value of a Financial Instrument is derived by multiplying the value, or proportion of the value, of the Financial Instrument allocated to the applicable time band specified in Table 1, in accordance with clause 3(4), by the risk weight specified for that time band in Table 1.

Table 1: Time Bands, Risk Weights, and Assumed Interest Rate Changes

(4) Subject to clauses 3(5) and 3(6) of this Schedule, the value of each Financial Instrument, or a proportion of it, shall be allocated to the time band specified in Table 1 in a manner which the Registered Bank believes, on reasonable grounds, reflects the date on which the interest rate applicable to the Financial Instrument, or proportion of the Financial Instrument, will be altered, or the date at which the principal, or a proportion of the principal, will be paid, notwithstanding the Interest Rate Repricing Date of the Financial Instrument.

(5) Notwithstanding clause 3(4) of this Schedule:

(a) A Registered Bank may exclude from the application of clause 3(4) of this Schedule the value, or the appropriate proportion of the value, of those Financial Instruments which meet the netting criteria contained in clause 4; and

(b) the aggregate value, or the appropriate proportion of the aggregate value, of all Rate Insensitive Retail Assets and of all Rate Insensitive Retail Liabilities shall be allocated to the time bands specified in Table 2 in accordance with the percentages set out in Table 2.

Table 2: Allocation of the value of Rate Insensitive Retail Products across time bands

(6) A Registered Bank may exclude the value of options and, instead, use its own methodology to determine the Interest Rate Exposure in any currency arising from options and add the amount so derived to the total Interest Rate Exposure in that currency.

4. Netting Criteria—A Registered Bank may exclude the value of Financial Instruments in respect of which it has matched positions which meet any one of the following criteria: