3108

NEW ZEALAND GAZETTE

No. 126

3. A statement of the nature of the Banking Group’s involvement in:

(a) trust, custodial, funds management, and/or 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.

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, Overseas 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 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 4 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. The General 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 the Overseas Banking Group’s Equity:

(i) as at the Balance Date; and

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

5. For the purposes of this Schedule, peak end-of-day exposure to each category of Aggregate Market Risk Exposure 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 Market Risk Exposure over the quarter, and then dividing that amount by:

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

(b) the Overseas 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 Disclosure Statement which of these methods it has used to derive peak ratio information.