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NEW ZEALAND GAZETTE, No. 21

23 FEBRUARY 2007

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.

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.

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.

(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.

Explanatory Note

This note is not part of the Order in Council, but is intended to indicate its general effect.

This Order in Council is promulgated pursuant to section 81(1) of the Reserve Bank of New Zealand Act 1989 and applies to a
registered bank which is incorporated in a country other than New Zealand, and which operates in New Zealand as a branch
of the overseas bank, in respect of each such bank’s “off-quarters” (i.e. the first and third quarters of the bank’s financial
year). It replaces the Registered Bank Disclosure Statement (Off-Quarter - Overseas Incorporated Registered Banks) Order
2005, and comes into force on 30 March 2007.