11 FEBRUARY 2005

NEW ZEALAND GAZETTE, No. 35

949

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.

Eighth Schedule

Measurement of Market Risk Exposure

1. Aggregate Interest Rate Exposure—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