3126

NEW ZEALAND GAZETTE

No. 126

zones 2 and 3, and allocating to that amount, if any,
the sign of the residual position in time zone 3,
(if the net residual position in a time zone is positive
this is a net residual long position and if it is negative
this is a net residual short position);

(g) there is a matched position between time zones 1 and
3 if there is a net residual long position in one time
zone and a net residual short position in the other. The
matched position is either the smaller of the absolute
value of the net residual long position and the absolute
value of the net residual short position, or, if the
absolute values of those positions are equal, that
absolute value. If there is no matched position, the
amount of horizontal disallowance is zero. If there is a
matched position then the amount of horizontal
disallowance between time zones 1 and 3 is the value
of the matched position multiplied by the disallowance
factor for time zones 1 and 3 specified in Table 5.

(5) The amount of the horizontal disallowance in a single
currency is the aggregate of the amounts of intra-zone
disallowances and inter-zone disallowances in that
currency.

(6) The horizontal disallowance in a currency shall have the
same sign (positive or negative) as the directional risk
calculated for that currency.

7. Aggregate Interest Rate Exposure For All
   Currencies—A Banking Group’s Aggregate Interest Rate
   Exposure is the greater of the absolute value of the sum
   of any positive Interest Rate Exposures and the absolute
   value of the sum of any negative Interest Rate Exposures.

Aggregate Foreign Currency Exposure

8. The Registered Bank shall derive the amount of
   Aggregate Foreign Currency Exposure in accordance with
   either:

(a) clauses 9 and 10 of this Schedule; or

(b) any other method, but only if the Aggregate Foreign
Currency 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 8(a) of this Schedule.

9. Foreign Currency Exposure in a Single Foreign
   Currency—(1) Subject to clauses 9(2) and 9(4) of this
   Schedule, a Banking Group’s Foreign Currency Exposure
   in a single foreign currency is derived by:

(a) subtracting the aggregate amount of the value of
Financial Liabilities (whether recognised or
unrecognised) of the Banking Group in that foreign
currency from the aggregate amount of the value of
the Financial Assets (whether recognised or
unrecognised) of the Banking Group in that foreign
currency; and

(b) multiplying the amount derived in clause 9 (a) of this
Schedule by 0.08.

(2) Subject to clause 9(3), the value of a Financial
Instrument is either:

(a) (i) 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

(ii) 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; or

(b) the present value of that Financial Instrument
expressed in New Zealand dollars using the relevant
spot exchange rate.

(3) Notwithstanding clause 9(2) of this Schedule, the value
of options in a single foreign currency shall be either the
delta equivalent value, or a value derived using the
Registered Bank’s own method for valuing the open
position arising from options in that foreign currency.

(4) For the purposes of clause 9(1) of this Schedule,
Financial Instruments which have been issued by associates
of the Registered Bank or which have been included in the
Capital of the Overseas Banking Group shall not be
included in the calculation of the Banking Group’s Foreign
Currency Exposure.

10. Aggregate Foreign Currency Exposure—A Banking
    Group’s Aggregate Foreign Currency Exposure is the
    absolute value of the greater of the sum of any positive
    Foreign Currency Exposures and the sum of any negative
    Foreign Currency Exposures.

Aggregate Equity Exposure

11. The Registered Bank shall derive the amount of its
    Aggregate Equity Exposure in accordance with either:

(a) clauses 12 and 13 of this Schedule; or

(b) any other method, but only if the Aggregate Equity
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 11(a) of this Schedule.

12. Equity Exposure in a single currency—(1) Subject to
    clauses 12(2) and 12(3) of this Schedule a Banking Group’s
    Equity Exposure in a single currency is derived by:

(a) subtracting the aggregate amount of the value of all
of the equity instruments (whether recognised or
unrecognised) of the Banking Group in that currency
that are Financial Liabilities from the aggregate
amount of the value of all the equity instruments
(whether recognised or unrecognised) of the Banking
Group in that currency that are Financial Assets; and

(b) multiplying the amount derived in clause 12(a) of this
Schedule by 0.08.

(2) Notwithstanding clause 12(1) of this Schedule, the
value of equity instruments issued by associates of the
Registered Bank shall not be included in the calculation
of the Banking Group’s Equity Exposure.

(3) Subject to clause 12(4) of this Schedule, the value of an
equity instrument is:

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

(b) in the case of other equity instruments, the carrying
amount of the equity instrument expressed in New
Zealand dollars using the relevant spot exchange rate.

(4) Notwithstanding clause 12(3) of this Schedule, the
value of:

(a) a net equity futures position is the marked-to-market
value of the notional underlying equity position; and

(b) a net equity option position is the delta equivalent
value.

13. Aggregate Equity Exposure—The Banking Group’s
    Aggregate Equity Exposure is the sum of the absolute
    values of the Equity Exposures in each currency.