23 FEBRUARY 2007

NEW ZEALAND GAZETTE, No. 21

459

2. If, since the Publication Date of the previous Disclosure Statement, the Banking Group has become exposed to a new category of risk specified in clause 1 of this Schedule to which the Banking Group was not previously exposed, the General Short Form Disclosure Statement shall contain a general description of:

(a) the nature of that risk and the activities of the Banking Group which give rise to that risk;

(b) the methods used to identify and monitor exposure to that risk, including the frequency with which exposures are monitored;

(c) the systems and procedures for controlling that 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.

Eighth 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 9 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 First Quarter Accounting Period or the Third Quarter Accounting Period. For the avoidance of doubt, where a Registered Bank discloses the Aggregate Market Risk Exposure of the Banking Group on the basis of internal operating limits, then subclauses 1(b), 8(b), and 11(b) of the Ninth Schedule also apply.

(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.

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

3. 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 to 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

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.