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NEW ZEALAND GAZETTE, No. 21

23 FEBRUARY 2007

(c) an investment grade credit rating means a credit rating of BBB- or Baa3 or above, or its equivalent;

(d) in respect of the counterparties to which either subclause 4(a) or 4(b) relates, the percentage of aggregate Credit Exposure shall be derived by:

(i) taking the aggregate Credit Exposure as at the Off-Quarter Balance Date to each individual Counterparty (not being members of a Group of Closely Related Counterparties) and to each Group of Closely Related Counterparties and adding all those amounts;

(ii) taking the aggregate Credit Exposure as at the Off-Quarter Balance Date to each individual Counterparty (not being members of a Group of Closely Related Counterparties) and to each Group of Closely Related Counterparties that meet the criteria specified in subclauses 6(a), 6(b), and 6(c) respectively, and adding all the amounts in respect of each subclause;

(iii) dividing each sum derived in accordance with subclause 7(d)(ii) of this clause by the sum derived in subclause 7(d)(i) of this clause, and representing this information as a percentage.

Sixth Schedule

Risk Management Policies

1. Where, since the Publication Date of the previous Disclosure Statement, there has been a Material change in the Banking Group’s policies for managing any of the following risks:

   (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 Short Form Disclosure Statement shall contain a statement of the nature of those changes.

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; and

   (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.

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 First Quarter Accounting Period or the Third Quarter Accounting Period. For the avoidance of doubt, where a Registered Bank discloses the Aggregate Market Risk Exposures of the Banking Group on the basis of internal operating limits, then subclauses 1(b), 8(b), and 11(b) of the Eighth 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 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 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 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 Off-Quarter Balance Date, or the most recently publicly disclosed amount. Where the Overseas Banking Group’s Equity is not determined as at the Off-Quarter Balance Date, the General Short Form Disclosure Statement shall state the date to which the measure of Equity relates.

4. 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 the Overseas Banking Group’s Equity:

    (i) as at the Off-Quarter Balance Date; and
   
    (ii) in respect of peak end-of-day exposure for the First Quarter Accounting Period or the most recent quarter of the Third Quarter Accounting Period.