11 FEBRUARY 2005

NEW ZEALAND GAZETTE, No. 35

973

(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.

8. Aggregate Foreign Currency Exposure—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.\n9. 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.

11. Aggregate Equity Exposure—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.