ANAND SATYANAND, Governor-General
Order in Council
At Wellington this 20th day of June 2011
Present:
His Excellency the Governor-General in Council
Pursuant to section 81 of the Reserve Bank of New Zealand Act 1989, His Excellency the Governor-General, acting on the advice and with the consent of the Executive Council and on the advice of the Minister of Finance given in accordance with a recommendation of the Reserve Bank of New Zealand, makes the following order.
Contents
Page
1 Title 2351
2 Commencement 2351
3 Application 2351
4 Interpretation 2351
Part 1
Form, frequency, and publication of short form disclosure statements
5 Short form disclosure statement 2358
6 First short form disclosure statement 2358
7 Timing of first publication of short form disclosure statement 2358
8 First publication of short form disclosure statement 2358
9 Ongoing publication of short form disclosure statement 2359
Part 2
Content of short form disclosure statements
Subpart 1-General requirements
10 Information must be in English 2360
11 Short form disclosure statement not to be false or misleading 2360
12 Requirements when registered bank is unable to disclose information 2360
13 Information covering period less than stated period 2360
14 Comparative information 2361
15 Short form disclosure statement not to contain offer of securities 2361
16 Information about shareholders 2361
17 Disclosure of currency that is not New Zealand dollars 2361
Subpart 2-Content of key information summary, general short form disclosure
statement, and supplemental disclosure statement
Key information summary
18 Information to be included in key information summary 2361
General short form disclosure statement
19 Information to be included in general short form disclosure statement 2362
Supplemental disclosure statement
20 Information to be included in supplemental disclosure statement 2363
Part 3
Miscellaneous provisions
Length of first quarter accounting period or third quarter accounting
period (as applicable)
21 Length of first quarter accounting period or third quarter accounting
period (as applicable) 2364
Revocation
22 Revocation 2364
Schedule 1 2365
Information to be included in key information summary
Schedule 2 2370
Information to be included in general short form disclosure statement
Schedule 3 2376
Short form financial statements and asset quality
Schedule 4 2381
Risk weighted exposures and capital adequacy under the Basel I approach
Schedule 4A 2384
Capital adequacy under the standardised approach
Schedule 4B 2391
Capital adequacy under the internal models based approach
Schedule 5 2400
Concentration of credit exposures to individual counterparties
Schedule 6 2403
Credit exposures to connected persons
Schedule 7 2406
Securitisation, funds management, other fiduciary activities,
and marketing and distribution of insurance products
Schedule 8 2409
Risk management policies
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Order
1 Title
This order is the Registered Bank Disclosure Statement
(Off-Quarter-New Zealand Incorporated Registered Banks) Order 2011.
2 Commencement
This order comes into force on 30 June 2011.
3 Application
This order applies to every registered bank incorporated in New Zealand.
4 Interpretation
(1) In this order, unless the context otherwise requires,-
accounting period has the same meaning as in section 2(1) of the Companies Act 1993
Act means the Reserve Bank of New Zealand Act 1989
address for service, in relation to-
(a) an individual, means the address of their usual place of business in New Zealand or, if no such address exists, the address of their usual place of business outside New Zealand; or
(b) a company, means the address for service adopted by the company under section 192 of the Companies Act 1993; or
(c) any other entity, means the address of its principal office or principal place of business in New Zealand or, if no such address exists, its principal office or principal place of business outside New Zealand
affiliated insurance entity has the same meaning as in
the Capital Adequacy Framework (Standardised Approach) (BS2A)
affiliated insurance group has the same meaning as in
the Capital Adequacy Framework (Standardised Approach) (BS2A)
allowance for credit impairment loss means an amount which has been created against identified credit losses or in respect of an identified deterioration in the value of any asset or class of asset attributable to an increase in credit risk as set out in NZ IAS 39 paragraphs 58 to 62
applicable financial reporting standard has the same meaning as in section 2(1) of the Financial Reporting Act 1993
approved financial reporting standard has the same meaning as in section 2(1) of the Financial Reporting Act 1993
asset acquired through the enforcement of security means any asset that is legally owned as the result of enforcing security, other than a building occupied by the bank
associated person has the same meaning as in section 2(2) of the Act
bank means a registered bank or an overseas bank
banking group, in relation to a registered bank,-
(a) means the financial reporting group; but
(b) if the Reserve Bank has, by notice in writing to the registered bank, after consultation with the registered bank, agreed to or required the inclusion or exclusion of any entity or any part of any entity, means the financial reporting group including or excluding that entity or that part of that entity, as the case may be
capital, in relation to-
(a) an overseas bank or overseas banking group, means the amount of capital held by the overseas bank or overseas banking group, determined in accordance with the requirements of the authority having the power to impose minimum capital requirements on that overseas bank or overseas banking group in its country of domicile; and
(b) a banking group, means the amount of capital held by the banking group, determined in accordance with the conditions of registration relating to capital adequacy for the registered bank heading that banking group.
Capital Adequacy Framework (Basel I Approach) (BS2) means the current version of the Reserve Bank document entitled "Capital Adequacy Framework (Basel I Approach) (BS2)"
Capital Adequacy Framework (Standardised Approach) (BS2A) means the current version of the Reserve Bank document entitled "Capital Adequacy Framework (Standardised Approach) (BS2A)"
Capital Adequacy Framework (Internal Models Based Approach) (BS2B) means the current version of the Reserve Bank document entitled "Capital Adequacy Framework (Internal Models Based Approach) (BS2B)"
collective credit impairment allowance means an allowance for credit impairment loss on groups of financial assets
company-
(a) has the same meaning as in section 2(1) of the Companies Act 1993; and
(b) includes an overseas company within the meaning of that section
conditions of registration, in relation to a registered bank, means the current conditions of registration imposed on that registered bank by the Reserve Bank under section 74 of the Act
Connected Exposures Policy (BS8) means the current version of the Reserve Bank document entitled "Connected Exposures Policy (BS8)"
counterparty has the same meaning it has in the definition of "group of closely related counterparties" in NZ IFRS 7
credit risk has the same meaning as in NZ IFRS 7
currency risk has the same meaning as in NZ IFRS 7
director, in relation to a registered bank, means a person holding office as a director of the registered bank
disclosure statement has the same meaning as in section 2(1) of the Act
EAD refers to exposure at default determined in accordance with Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
equity has the same meaning as "equity" in the "New Zealand Equivalent to the IASB Conceptual Framework for Financial Reporting"
equity exposure, in relation to a banking group, means the amount of the change in the economic value of equity instruments that are financial assets and financial liabilities of the banking group in a single currency, which would occur as a result of a change in the price of equity instruments in that currency
equity risk means the risk arising from changes in the prices of equity instruments
fair value has the same meaning as in NZ IAS 32
financial asset has the same meaning as in NZ IAS 32
financial asset acquired through the enforcement of security has the same meaning as in NZ IFRS 7
financial instrument has the same meaning as in NZ IAS 32
financial liability has the same meaning as in NZ IAS 32
financial reporting group means-
(a) a registered bank (as reporting entity); and
(b) all other entities included in the group (as defined in section 2(1) of the Financial Reporting Act 1993)
first quarter accounting period means-
(a) the first 3 month period of an accounting period; or
(b) if clause 21 applies, the first quarter accounting period determined by the Reserve Bank
generally accepted accounting practice has the same meaning as in section 3 of the Financial Reporting Act 1993
government guarantee means a guarantee of all or some of a registered bank's obligations, or a similar arrangement, provided-
(a) under the New Zealand deposit guarantee scheme;
(b) under another guarantee or similar arrangement provided by the New Zealand government; or
(c) by a sovereign authority in an overseas jurisdiction
group of closely related counterparties has the same meaning as in NZ IFRS 7
holding company has the same meaning as in section 5 of the Companies Act 1993
immediate relative, in relation to any person, means their spouse, civil union partner, or de facto partner (as defined in the Property (Relationships) Act 1976), and any parent, brother, sister or child, in each case whether or not adoptive, of that person or of their spouse, civil union partner, or de facto partner
independent director, in relation to a registered bank, has the same meaning as in the conditions of registration for the registered bank
individual credit impairment allowance means an allowance for credit impairment loss on individual assets
individually impaired asset means a financial asset that is individually determined to be impaired at reporting date in accordance with NZ IAS 39 paragraphs 58 to 62
insurance business, in relation to a registered bank, has the same meaning as in the conditions of registration for the registered bank
interest rate repricing date, in relation to the whole or part of a financial instrument, means the earlier of the date on which, in accordance with the terms of the financial instrument,-
(a) the interest rate reset date next occurs (being the date on which the rate of interest payable in respect of the whole or part (as applicable) of the financial instrument can or will alter); or
(b) a principal sum is due and payable; or
(c) if no principal sum is due and payable, the maturity date occurs
interest rate risk has the same meaning as in NZ IFRS 7
IRB approach refers to an internal ratings-based approach as described in Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
issuer has the same meaning as in section 4 of the Financial Reporting Act 1993
LGD refers to loss given default determined in accordance with Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
material,-
(a) in relation to a statement, fact, or item to which generally accepted accounting practice applies, has the meaning given to it by generally accepted accounting practice; or
(b) in relation to a statement, fact, or item to which generally accepted accounting practice does not apply, means that the inclusion or omission of the statement, fact, or item, or the method of treating the disclosure of the statement, fact, or item, would be likely to influence a reasonable user of the short form disclosure statement
New Zealand deposit guarantee scheme means the deposit guarantee scheme announced by or on behalf of the Crown on and after 12 October 2008 relating to guarantees to be given by the Minister of Finance on behalf of the Crown in respect of certain financial institutions under section 65ZD of the Public Finance Act 1989
NZ IAS 24 means New Zealand Equivalent to International Accounting Standard 24 (Related Party Disclosures), approved under the Financial Reporting Act 1993
NZ IAS 32 means New Zealand Equivalent to International Accounting Standard 32 (Financial Instruments: Disclosure and Presentation), approved under the Financial Reporting Act 1993
NZ IAS 34 means New Zealand Equivalent to International Accounting Standard 34 (Interim Financial Reporting), approved under the Financial Reporting Act 1993
NZ IAS 39 means New Zealand Equivalent to International Accounting Standard 39 (Financial Instruments: Recognition and Measurement), approved under the Financial Reporting Act 1993
NZ IFRS 7 means New Zealand Equivalent to International Financial Reporting Standard 7 (Financial Instruments: Disclosures), approved under the Financial Reporting Act 1993
90 day past due asset has the same meaning as in NZ IFRS 7 and to avoid doubt includes an asset other than a restructured asset, other individually impaired asset, or financial asset acquired through the enforcement of security, for which, in relation to the contracted terms, conditions, or limits that applied to the asset immediately before non-performance commenced-
(a) any payment of principal, interest, or other forms of monies owing is overdue, or has not been paid in accordance with the asset's terms and conditions, for at least 90 days; or
(b) amounts owing under revolving facilities have been continuously outside of limits for at least 90 days
non-bank connected person, in relation to a registered bank, has the same meaning as in the conditions of registration for the registered bank or Connected Exposures Policy (BS8), as applicable
non-financial asset acquired through the enforcement of security means any asset which is legally owned as the result of enforcing security, other than a financial asset or a building occupied by the bank
off-quarter balance date means the last day of a first quarter accounting period or third quarter accounting period (as applicable)
other asset acquired through the enforcement of security means any asset which is legally owned as the result of enforcing security, other than a financial asset or a land or building asset
other asset under administration means any asset that is not an impaired asset or a 90 day past due asset, but where the counterparty-
(a) is in receivership, liquidation, bankruptcy, statutory management, a no asset procedure, voluntary administration, or any other form of administration in New Zealand; or
(b) is in any other equivalent form of voluntary or involuntary administration in an overseas jurisdiction
other individually impaired asset has the same meaning as in NZ IFRS 7
overseas bank means a financial institution incorporated outside New Zealand which has been authorised, registered, or licensed as a bank in its country of domicile by the appropriate banking supervisory authority
overseas banking group means an overseas bank and all other entities included in the group for the purposes of public reporting of group financial statements in the country of domicile of the overseas bank
PD refers to probability of default determined in accordance with Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
premises, in relation to a registered bank, means any staffed premises of the registered bank, or an agency of the registered bank, to which the registered bank's customers or potential customers have access in order to conduct banking business
qualifying interest has the same meaning as in section 2(1) of the Act
qualifying revolving retail exposures has the same meaning as in Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
rate insensitive assets means that amount of the financial assets held by the banking group that the registered bank reasonably believes is unlikely to be diminished or increased as a result of a material change in market interest rates if the interest rate applicable to that financial asset (which may be zero) does not change or does not change materially
rate insensitive liabilities means that amount of the financial liabilities held by the banking group that the registered bank reasonably believes is unlikely to be diminished or increased as a result of a material change in market interest rates if the interest rate applicable to that financial liability (which may be zero) does not change or does not change materially
rate insensitive product means a rate insensitive asset or a rate insensitive liability
real estate asset acquired through the enforcement of security means any land or building which is legally owned as the result of enforcing security, other than a building occupied by the bank
register means the register of registered banks maintained under section 69 of the Act
registered bank has the same meaning as in section 2(1) of the Act
related party has the same meaning as in NZ IAS 24
responsible person means a person authorised in writing by a director to sign the disclosure statement in accordance with section 82 of the Act
restructured asset has the same meaning as in NZ IFRS 7
short form disclosure statement means a disclosure statement that comprises the documents set out in clause 5(1)
subsidiary means a subsidiary within the meaning of sections 5 to 8 of the Companies Act 1993
third quarter accounting period means-
(a) the first 9 month period of an accounting period; or
(b) if clause 21 applies, the third quarter accounting period determined by the Reserve Bank
tier one capital, in relation to-
(a) an overseas bank or overseas banking group, means the amount of tier one capital held by the overseas bank or overseas banking group determined in accordance with the requirements of the authority having the power to impose minimum capital requirements on that overseas bank or overseas banking group in its country of domicile; and
(b) a banking group, means the amount of tier one capital held by the banking group, determined in accordance with the conditions of registration relating to capital adequacy for the registered bank heading that banking group, or with Capital Adequacy Framework (Standardised Approach) (BS2A), or with Capital Adequacy Framework (Internal Models Based Approach) (BS2B) (as applicable)
ultimate holding company, in relation to a registered bank, means the body corporate that-
(a) is the registered bank's holding company; and
(b) is not itself a subsidiary of another body corporate; and
(c) is not a bank
ultimate parent bank, in relation to a registered bank, means the bank that-
(a) is the registered bank's holding company; and
(b) is not itself a subsidiary of another bank
voting security has the same meaning as in section 2(1) of the Act
working day means a day of the week on which the head office of a registered bank is open for business.
(2) A term or expression that is used in this order, but not defined in it,-
(a) has, in relation to a registered bank whose conditions of registration define the term or expression, the same meaning as in those conditions of registration, as amended from time to time; or
(b) has, if paragraph (a) does not apply and the term or expression is defined in the Act, the same meaning as in the Act; or
(c) must, if neither paragraph (a) nor paragraph (b) applies, be interpreted in a way that complies with generally accepted accounting practice, where applicable.
(3) A reference in this order to material which is incorporated by reference under the Act refers to the material as it exists on the day this order commences together with any amendments to the material that are promulgated before or on the day this order commences.
(4) To avoid doubt, the promulgated amendments referred to in subsection (3) do not need to be in force or to apply when this order commences to have effect after the commencement of this order.
Part 1
Form, frequency, and publication of short form
disclosure statements
5 Short form disclosure statement
(1) The short form disclosure statement of a registered bank comprises-
(a) a key information summary; and
(b) a general short form disclosure statement; and
(c) a supplemental disclosure statement (if any).
(2) A requirement that applies to a short form disclosure statement applies to each of the documents referred to in subclause (1).
6 First short form disclosure statement
The first short form disclosure statement required by this order for a registered bank is for the first off-quarter balance date that occurs on or after 30 June 2011.
7 Timing of first publication of short form disclosure statement
(1) A registered bank must first publish its key information summary, general short form disclosure statement, and its supplemental disclosure statement (if any)-
(a) in the manner specified in clause 8; and
(b) on the same date.
(2) The date referred to in subclause (1)(b) must be no later than 2 months after each off-quarter balance date unless subclause (3) applies.
(3) The date referred to in subclause (1)(b) must be no later than 3 months after each off-quarter balance date if-
(a) the general short form disclosure statement is subject to review or audit by an external auditor; and
(b) the extent of review or audit is not less than that which is required in respect of a disclosure statement under the Registered Bank Disclosure Statement (Full and Half-Year-New Zealand Incorporated Registered Banks) Order 2011.
8 First publication of short form disclosure statement
On the applicable date referred to in clause 7, a registered bank must first publish its short form disclosure statement by-
(a) delivering a signed short form disclosure statement to the Reserve Bank; and
(b) prominently displaying a copy of its key information summary at-
(i) the registered bank's head office; and
(ii) every branch of the registered bank; and
(iii) every other premises of an agency of the registered bank primarily engaged in the business of the registered bank; and
(c) making a copy of its key information summary, general short form disclosure statement, and supplemental disclosure statement (if any), readily accessible on the registered bank's website.
9 Ongoing publication of short form disclosure statement
(1) During the publication period, a registered bank must publish its short form disclosure statement by-
(a) providing to any person who requests it a copy of its most recent key information summary immediately on request and at no charge; and
(b) providing to any person who requests it a copy of its most recent general short form disclosure statement at no charge and-
(i) immediately on request if the request is made at the registered bank's head office; or
(ii) within 5 working days if the request is made at
a branch of the registered bank, any other premises of the registered bank, or any premises of an agency of the registered bank primarily engaged in the business of the registered bank; and
(c) providing to any person who requests it a copy of its most recent supplemental disclosure statement, or such part of it as is requested, at no charge and-
(i) immediately on request if the request is made at the registered bank's head office; or
(ii) within 5 working days if the request is made at
a branch of the registered bank, any other premises of the registered bank, or any premises of an agency of the registered bank primarily engaged in the business of the registered bank; and
(d) prominently displaying a copy of its key information summary at-
(i) the registered bank's head office; and
(ii) every branch of the registered bank; and
(iii) every other premises of an agency of the registered bank primarily engaged in the business of the registered bank; and
(e) making a copy of its key information summary, general short form disclosure statement, and supplemental disclosure statement (if any), readily accessible on the registered bank's website; and
(f) if the registered bank provides banking accounts to customers through a branch that is not normally physically accessible by the customers of that branch,-
(i) notifying each customer of that branch of the availability of its most recent key information summary; and
(ii) stating that the key information summary is available immediately on request and at no charge.
(2) Subclause (1)(c) does not apply if the content of a supplemental disclosure statement is included in the general short form disclosure statement.
(3) For the purposes of subclause (1), publication period, in relation to a registered bank, means the period that-
(a) starts on the date on which the short form disclosure statement of the registered bank is first published; and
(b) ends on the date on which the next disclosure statement of the registered bank is first published.
Part 2
Content of short form disclosure statements
Subpart 1-General requirements
10 Information must be in English
(1) All information in the short form disclosure statement of a registered bank must be in English.
(2) Nothing in subclause (1) applies to copies of guarantee contracts.
11 Short form disclosure statement not to be false or misleading
In addition to the information that is required by this order, the short form disclosure statement of a registered bank-
(a) must contain such other information that, in the opinion of the directors, is necessary or desirable to ensure that the short form disclosure statement is not false or misleading in any material particular; and
(b) except as otherwise expressly provided in this order, may contain any other information that the directors consider appropriate.
12 Requirements when registered bank is unable to disclose information
Subject to clause 14(3), if a registered bank is unable because of systems limitations or because of circumstances beyond its control to disclose information under this order, the short form disclosure statement must-
(a) state that fact, and explain those limitations or circumstances; and
(b) contain the closest available alternative to the information that must be disclosed under this order.
13 Information covering period less than stated period
(1) A short form disclosure statement that contains information for a period that is less than the period for which the information is required under this order must identify the period for which the information is provided.
(2) A registered bank need not disclose information under this order about a person, business, or group for that part of a period during which the person, business, group or any part of the group did not exist.
14 Comparative information
(1) Any comparative information that is required to be disclosed under this order for the previous corresponding period must be restated so that it corresponds to the information disclosed for the current period.
(2) If there has been a material restatement of prior period amounts, the nature of, and the reason for, the restatement must be disclosed.
(3) A registered bank need not disclose comparative information that is not readily available in the 12 months after the date on which that information was first required to be published.
15 Short form disclosure statement not to contain offer of securities
A short form disclosure statement-
(a) must not contain any offer (within the meaning of section 2 of the Securities Act 1978) of securities; but
(b) may contain information required for the purposes of regulation 38(3) of the Securities Regulations 2009.
16 Information about shareholders
The short form disclosure statement of a registered bank must not state or imply that a person is, or intends to become, a shareholder of the registered bank, or of a member of the banking group, without also stating whether that person guarantees any of the obligations of the registered bank or any member of the banking group.
17 Disclosure of currency that is not New Zealand dollars
A registered bank must disclose the currency used if information is disclosed in a currency that is not New Zealand dollars.
Subpart 2-Content of key information summary, general short form disclosure statement, and supplemental disclosure statement
Key information summary
18 Information to be included in key information summary
(1) The key information summary of a registered bank must include the information prescribed in Schedule 1-
(a) in respect of the most recent off-quarter balance date, or first quarter accounting period, or third quarter accounting period (as applicable); and
(b) in the same order and under the same headings set out in that schedule.
(2) If a key information summary would be false or misleading as a result of stating the information required to be disclosed under this order, the key information summary must, under the relevant heading, include information and explanations that will make the key information summary not false or misleading.
(3) If applicable, the information contained in the key information summary must be taken from the information contained in the general short form disclosure statement.
(4) The key information summary may contain additional information to which the information required in Schedule 1 may refer by way of note, but only if that information is set out after the information required to be disclosed under that schedule.
(5) The information that is required to be disclosed under clauses 4 to 9 of Schedule 1 must-
(a) relate to the banking group; and
(b) include comparative figures for the previous corresponding period.
General short form disclosure statement
19 Information to be included in general short form disclosure statement
The general short form disclosure statement of a registered bank must include-
(a) all of the information prescribed in Schedules 2 to 3 and Schedules 5 to 8; and
(b) if the registered bank is not subject to any condition of registration requiring some aspect of capital adequacy to be measured in accordance with either Capital Adequacy Framework (Standardised Approach) (BS2A) or Capital Adequacy Framework (Internal Models Based Approach) (BS2B), the supplementary information prescribed in Schedule 4; and
(c) if the registered bank has not been accredited by the Reserve Bank to use the internal models based approach to capital adequacy and is subject to a condition of registration requiring capital adequacy to be measured in accordance with Capital Adequacy Framework (Standardised Approach) (BS2A), the supplementary information prescribed in Schedule 4A; and
(d) if the registered bank has been fully accredited by the Reserve Bank to use the internal models based approach to capital adequacy and is subject to a condition of registration requiring capital adequacy to be measured primarily in accordance with Capital Adequacy Framework (Internal Models Based Approach) (BS2B), the supplementary information prescribed in Schedule 4B; and
(e) if the registered bank has been partially accredited by the Reserve Bank to use the internal models based approach to capital adequacy and is therefore subject to conditions of registration requiring capital adequacy to be measured using a methodology based on more than one of the documents Capital Adequacy Framework (Basel I Approach) (BS2), Capital Adequacy Framework (Standardised Approach) (BS2A), and Capital Adequacy Framework (Internal Models Based Approach) (BS2B), any supplementary information set out in Schedules 4, 4A and 4B that is applicable to that methodology.
Supplemental disclosure statement
20 Information to be included in supplemental disclosure statement
(1) The supplemental disclosure statement must include only the following information (if it applies):
(a) if the general short form disclosure statement states that a person other than a government guarantees any material obligations of the registered bank, a copy of the-
(i) full guarantee contract; and
(ii) most recent financial statements and group financial statements of the guarantor; and
(iii) auditor's report (if any) relating to those financial statements:
(aa) if the registered bank has a government guarantee that is provided by means of a contract, a copy of the guarantee contract:
(b) if the general short form disclosure statement states that a person has entered into a material cross guaranteeing arrangement with the registered bank, a copy of the full guarantee contract if-
(i) there is a single contract that sets out the rights and obligations of all the cross guarantors; or
(ii) there is a standard contract that is representative of the rights and obligations of each of the cross guarantors:
(c) if the general short form disclosure statement states that a registered bank has calculated its aggregate credit exposure to connected persons on a net basis,-
(i) a copy of the bilateral netting agreement; and
(ii) if applicable, a copy of the advice from an independent third party expert validating the robustness of that bilateral netting agreement:
(d) any additional information or explanations required to ensure that the supplemental disclosure statement is not false or misleading.
(2) Subclause (1) does not apply to the extent that the matters required under that subclause are included in the general short form disclosure statement.
Part 3
Miscellaneous provisions
Length of first quarter accounting period or third quarter
accounting period (as applicable)
21 Length of first quarter accounting period or third quarter accounting period (as applicable)
(1) This clause applies if an accounting period of a registered bank will be shorter or longer than 12 months as a result of-
(a) the date of registration of a company in terms of the Companies Act 1993; or
(b) a change in the balance date (as defined in section 7 of the Financial Reporting Act 1993) of a registered bank or company.
(2) If this clause applies, the Reserve Bank may, after consultation with the company or the registered bank, determine the length of any first quarter accounting period or third quarter accounting period (as applicable) for the shorter or longer accounting period.
Revocation
22 Revocation
(1) The Registered Bank Disclosure Statement (Off-Quarter-
New Zealand Incorporated Registered Banks) Order 2008 is revoked at the end of the day of 29 June 2011.
(2) Despite the revocation of the Registered Bank Disclosure Statement (Off-Quarter-New Zealand Incorporated Registered Banks) Order 2008, a short form disclosure statement for an off-quarter balance date that occurs during the period that order is in force must be completed, and published, in accordance with that order.
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Schedule 1
Information to be included in key information summary
Contents
Page
1 Introductory statement for customers of registered bank 2365
2 Corporate information 2365
3 Credit rating 2365
3A Government guarantees 2366
3B No New Zealand government deposit guarantee 2366
4 Profitability 2366
5 Size 2367
6 Capital adequacy 2367
7 Asset quality 2367
8 Peak credit exposure concentrations 2367
9 Credit exposure to connected persons 2368
10 Statement about availability of general short form disclosure
statement and supplemental disclosure statement 2368
11 Auditor's report 2369
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1 Introductory statement for customers of registered bank
The following statements:
"The purpose of this key information summary is to provide customers and potential customers with information about the financial condition of their bank.
The information contained in the key information summary is explained in the Reserve Bank publication Your bank's disclosure statement: what's in it for you? This publication can be obtained from the *[Reserve Bank] *[Reserve Bank and the [name of registered bank]]."
*Delete if not applicable
2 Corporate information
The following information:
(a) the name of the registered bank:
(b) if applicable, the name of any person that is the ultimate parent bank of the registered bank and its country of domicile:
(c) if applicable, the name of any person that is the ultimate holding company of the registered bank and its country of domicile.
3 Credit rating
If the registered bank is required, by a notice given to it under section 80 of the Act, to obtain or maintain a rating of its creditworthiness or financial condition by a person nominated or approved by the Reserve Bank, with respect to each rating obtained or maintained by the registered bank that complies with the notice given under section 80 of the Act, the following information:
(a) the name of the person who gave the rating:
(b) the type of rating:
(c) the current rating and all qualifications to that rating:
(d) any change made to the rating in the 2 years immediately before the off-quarter balance date and the date on which the change occurred.
3A Government guarantees
(1) This clause applies if the registered bank has 1 or more government guarantees on the day its directors sign its short form disclosure statement.
(2) A registered bank must make the statements in this clause for each such guarantee.
(3) The following statement:
"[Name of registered bank] has a guarantee under [description of the guarantee - for example, 'the New Zealand deposit guarantee scheme']."
(4) Statements:
(a) on how to obtain information about the government guarantee, for example, via an Internet site maintained by or on behalf of a government guarantor; and
(b) to direct the reader to more information on the registered bank's government guarantee in the registered bank's general disclosure statement and, if applicable, its supplemental disclosure statement.
3B No New Zealand government deposit guarantee
(1) This clause applies if the registered bank does not have a guarantee under the New Zealand deposit guarantee scheme on the day its directors sign its short form disclosure statement.
(2) The following statement:
"[Name of registered bank] does not have a guarantee under the New Zealand deposit guarantee scheme as at [date]."
4 Profitability
The following information:
(a) the net profit or loss after tax over the first quarter accounting period or third quarter accounting period (as applicable), specifying the period and end date of the first quarter accounting period or third quarter accounting period (as applicable):
(b) the net profit or loss after tax over the 12 months ending on the current off-quarter balance date, expressed as a percentage of the average of total assets.
5 Size
The following information:
(a) total assets:
(b) the percentage change in total assets over the 12 month period ending on the current off-quarter balance date.
6 Capital adequacy
The following information:
(a) tier one capital ratio derived in accordance with the registered bank's conditions of registration relating to capital adequacy, and the minimum percentage of this ratio permitted under the registered bank's conditions of registration:
(b) total capital ratio derived in accordance with the registered bank's conditions of registration relating to capital adequacy, and the minimum percentage of this ratio permitted under the registered bank's conditions of registration.
7 Asset quality
The following information:
(a) total individually impaired assets (before allowances for credit impairment loss and net of interest held in suspense):
(b) total individually impaired assets expressed as a percentage of total assets:
(c) total individual credit impairment allowance:
(d) total individual credit impairment allowance expressed as a percentage of total impaired assets:
(e) total collective credit impairment allowance:
(f) non-financial assets acquired through the enforcement of security.
8 Peak credit exposure concentrations
(1) The following information for the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable):
(a) the number of individual non-bank counterparties or groups of closely related counterparties of which a bank is not the parent to which the banking group has a peak end-of-day aggregate credit exposure which equals or exceeds 10% of the banking group's equity, in successive ranges of 10% of the banking group's equity:
(b) the number of individual bank counterparties or groups of closely related counterparties of which a bank is the parent to which the banking group has a peak end-of-day aggregate credit exposure which equals or exceeds 10% of the banking group's equity, in successive ranges of 10% of the banking group's equity.
(2) The information disclosed under subclause (1) must be calculated using the methodology set out in Schedule 5.
(3) A statement that the information disclosed under subclause (1) excludes exposures to connected persons and to the central government of any country with a long-term credit rating of A- or A3 or above, or its equivalent.
9 Credit exposure to connected persons
(1) The following information for the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable):
(a) the peak end-of-day aggregate credit exposure (of a non-capital nature and net of individual credit impairment allowance) to connected persons expressed as an amount and as a percentage of tier one capital:
(b) the peak end-of-day aggregate credit exposure (of a non-capital nature and net of individual credit impairment allowance) to non-bank connected persons expressed as an amount and as a percentage of tier one capital.
(2) The information disclosed under subclause (1) must be calculated using the methodology for disclosing this information set out in Schedule 6.
(3) The following:
(a) a statement that the information required under subclause (1) is net of individual credit impairment allowance and excludes advances to connected persons of a capital nature:
(b) a statement whether the limits on aggregate credit exposure to connected persons and to non-bank connected persons in the registered bank's conditions of registration have been complied with at all times over the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable):
(c) a statement of the nature and amount of any breaches of the limits referred to in paragraph (b).
10 Statement about availability of general short form disclosure statement and supplemental disclosure statement
A statement-
(a) that a copy of the registered bank's most recent general short form disclosure statement and supplemental disclosure statement (if applicable) will be provided immediately at no charge to any person requesting a copy if the request is made at the registered bank's head office; and
(b) that a copy of the registered bank's most recent general disclosure statement and supplemental disclosure statement (if applicable) are available on the registered bank's website; and
(c) specifying the categories of places where a copy of the registered bank's most recent general short form disclosure statement and supplemental disclosure statement (if applicable) will be provided at no charge to any person within 5 working days of a request for a copy having been made.
11 Auditor's report
If the key information summary has been audited or reviewed by an external auditor, the following:
(a) a statement of the nature and scope of the audit or review:
(b) a copy of the auditor's report.
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Schedule 2
Information to be included in general short form
disclosure statement
Contents
Page
1 Name and address for service of registered bank 2370
2 Details of ultimate parent bank and ultimate holding company 2370
3 Interests in 5% or more of voting securities of registered bank 2370
4 Directors 2371
5 Guarantees 2371
6 Details of guarantor 2371
7 Details of guaranteed obligations 2372
7A Details of government guarantees 2372
7B Details of obligations guaranteed by government guarantors 2373
8 Availability of guarantee contracts 2373
9 Material cross guarantees 2373
10 Absence of supplemental disclosure statement 2374
11 Conditions of registration 2374
12 Credit rating 2374
13 Insurance business 2375
14 Directors' statements 2375
15 Auditor's report 2375
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1 Name and address for service of registered bank
The name and address for service of the registered bank.
2 Details of ultimate parent bank and ultimate holding company
If applicable,-
(a) the name and address for service of the ultimate parent bank of the registered bank; and
(b) the name and address for service of the ultimate holding company of the registered bank; and
(c) a summary of any regulations, legislation, or other restrictions of a legally enforceable nature that may materially inhibit the legal ability of the bodies corporate referred to in paragraphs (a) and (b) to provide material financial support to the registered bank.
3 Interests in 5% or more of voting securities of registered bank
To the extent that it is reasonably practicable for the registered bank to obtain the following information:
(a) the name of each person who has a direct or indirect qualifying interest in 5% or more of the voting securities of the registered bank, and the percentage of the interest that each of those persons holds; and
(b) the nature of each interest identified in paragraph (a) if the person holding it is not a registered and beneficial holder of the securities; and
(c) the name of each person who has the ability to directly or indirectly appoint 25% or more of the board of directors (or other persons exercising powers of management, however described), and the percentage of the directors that each of those persons has the ability to appoint.
4 Directors
(1) A statement whether there have been any changes in the composition of the registered bank's board of directors since the date on which the signing of its previous disclosure statement is completed, and if so, the changes involved, and the name of each director affected by the changes.
(2) If applicable, the name of each director on whose behalf each responsible person has signed the short form disclosure statement.
5 Guarantees
(1) A statement on whether any material obligations of the registered bank are guaranteed as at the date its directors sign its short form disclosure statement.
(2) If any material obligations of the registered bank are guaranteed under a guarantee that is not a government guarantee, for each such guarantee the matters set out in clauses 6, 7 and 8.
(3) If the registered bank has a government guarantee, for each such guarantee the matters set out in clauses 7A, 7B and 8.
(4) If any material obligations of the registered bank are guaranteed under a cross guaranteeing arrangement, the matters required by clause 9.
(5) Subclause (2) does not apply if subclause (4) applies.
6 Details of guarantor
(1) The name and address for service of the guarantor.
(2) A statement whether the guarantor is a member of the banking group.
(3) Either-
(a) the amount of the net tangible assets of the guarantor as shown in the most recent publicly available audited financial statements, together with any qualifications in the auditor's report on those financial statements that reflect on the statement of those assets in the financial statements; or
(b) if the guarantor is a bank, the most recent publicly disclosed capital of the guarantor and the guarantor group expressed as an amount and as a percentage of risk weighted exposures, and the date to which that measure of capital relates.
(4) A statement whether the guarantor has any credit ratings applicable to its long term senior unsecured obligations payable in the currency of the country of its incorporation, and if so, in respect to each rating-
(a) the name of the person who gave the credit rating; and
(b) the current rating and all qualifications to that rating; and
(c) each change made to the rating in the 2 years immediately before the off-quarter balance date and the date on which that change occurred; and
(d) descriptions or explanations of all steps in the applicable rating scales.
7 Details of guaranteed obligations
(1) A description of the obligations that are guaranteed.
(2) A statement whether there are any limits on the amount of the obligations guaranteed and, if so, a brief summary of the nature of those limits.
(3) A statement whether there are any material conditions applicable to the guarantee other than non-performance by the principal obligor and, if so, a brief summary of those conditions.
(4) A statement whether there are any material legislative or regulatory restrictions in the guarantor's country of incorporation which would have the effect of subordinating the claims under the guarantee of any of the creditors of the registered bank on the assets of the guarantor, to other claims on the guarantor, in a liquidation of that guarantor.
(5) If there are any such material legislative or regulatory restrictions,-
(a) the title of the legislation or regulatory restrictions involved; and
(b) the nature of the subordination of the rights of the creditors; and
(c) the amount of the liabilities that are affected.
(6) If the guarantee has an expiry date,-
(a) a statement of the date the guarantee expires; and
(b) if the registered bank has an option to roll over or renew the guarantee, a statement explaining that option.
7A Details of government guarantors
(1) The name and address for service of the guarantor.
(2) A statement on how to obtain information about the government guarantee, for example, via an Internet site maintained by or on behalf of the government guarantor.
(3) To the extent the government guarantee is provided by means other than a contract, a statement of how to obtain the legislation, regulations or other documents that set out the terms and conditions of the government guarantee.
(4) A statement on how to obtain the most recent audited financial statements of the government guarantor, for example, via an Internet site maintained by or on behalf of the government guarantor.
(5) The government guarantor's issuer credit ratings in respect of its long term obligations payable in the currency of its jurisdiction and for each rating-
(a) the name of the person who gave the credit rating;
(b) the current rating and all qualifications to that rating;
(c) each change made to the rating in the 2 years immediately before the balance date and the date on which that change occurred; and
(d) descriptions or explanations of all steps in the applicable rating scales.
7B Details of obligations guaranteed by government guarantors
(1) A description of the obligations guaranteed by the government guarantor.
(2) A statement on whether there are any limits on the amount of the obligations guaranteed and, if so, a brief summary of the nature of those limits.
(3) A statement on whether there are any material conditions applicable to the guarantee other than non-performance by the principal obligor and, if so, a brief summary of those conditions.
(4) If the government guarantee has an expiry date,-
(a) a statement of the date the guarantee expires; and
(b) if the registered bank has an option to roll over or renew the guarantee, a statement explaining that option.
8 Availability of guarantee contracts
(1) If the guarantee is provided under a contract, a statement-
(a) that a copy of the registered bank's guarantee contract is included in its most recent supplemental disclosure statement; and
(b) that its most recent supplemental disclosure statement is available at no charge-
(i) via an Internet site maintained by or on behalf of the registered bank;
(ii) immediately, if a request is made at the registered bank's head office; and
(iii) within 5 working days of a request, if a request is made at another place specified by the registered bank.
(2) Subclause (1) does not apply if the full guarantee contract is included in the registered bank's general disclosure statement.
9 Material cross guarantees
(1) If a person has entered into a material cross guaranteeing arrangement with the registered bank, the matters set out in subclauses (2) to (4).
(2) A description of the guaranteeing group and the nature of the cross guaranteeing arrangement.
(3) The matters required to be disclosed under clause 7(2) to (6) as if those provisions applied to the guarantees of the obligations of the registered bank, as well as to the guarantees the registered bank has given in respect of the first-mentioned person's obligations.
(4) If there is a single contract that sets out the rights and obligations of all the cross guarantors; or if there is a standard contract which is representative of the rights and obligations of each of the cross guarantors, a statement-
(a) that a copy of the registered bank's most recent supplemental disclosure statement, which contains a copy of the full guarantee contract, will be provided immediately at no charge to any person requesting a copy if the request is made at the registered bank's head office; and
(b) specifying the categories of places where a copy of the registered bank's most recent supplemental disclosure statement, which contains a copy of the full guarantee contract, will be provided at no charge to any person within 5 working days of a request for a copy having been made.
(5) Subclause (4) does not apply if the content of the supplemental disclosure statement is contained in the general short form disclosure statement.
10 Absence of supplemental disclosure statement
If the content of the supplemental disclosure statement is contained in the general disclosure statement, or if none of
the information required to be disclosed in the supplemental disclosure statement applies, a statement that the registered bank has not published a supplemental disclosure statement, giving the reason.
11 Conditions of registration
(1) A copy of the conditions of registration that applied at the date on which the signing of the short form disclosure statement is completed.
(2) If applicable, a description of any changes to the conditions of registration that have occurred since the signing of the previous disclosure statement is completed, including the dates on which the changes occurred.
(3) A statement of the date on which the conditions of registration of the registered bank came into effect.
(4) If the registered bank has not complied with all conditions of registration over the first quarter accounting period or the third quarter accounting period (as applicable), a description of the nature and extent of each case of non-compliance.
12 Credit rating
If the registered bank is required, by a notice given to it under section 80 of the Act, to obtain or maintain a rating of its creditworthiness or financial condition by a person nominated or approved by the Reserve Bank, with respect to each rating obtained or maintained by the registered bank that complies with the notice given under section 80 of the Act, the following information:
(a) the name of the person who gave the rating:
(b) the type of rating:
(c) the current rating and all qualifications to that rating:
(d) any change made to the rating in the 2 years immediately before the off-quarter balance date and the date on which the change occurred:
(e) descriptions or explanations of all steps in the applicable rating scales.
13 Insurance business
A statement whether the banking group carries on any insurance business, and if it does, the following information:
(a) a description of each class of that insurance business:
(b) the aggregate amount of insurance business, where the amount disclosed is calculated in accordance with the registered bank's conditions of registration:
(c) comparative figures for the previous corresponding period for the information that is required to be disclosed under paragraph (b).
14 Directors' statements
(1) A statement by the directors as to whether each director believes, after due enquiry, that, as at the date on which the short form disclosure statement is signed,-
(a) the short form disclosure statement contains all the information that is required by this order; and
(b) the short form disclosure statement is not false or misleading.
(2) A statement by the directors as to whether each director believes, after due enquiry, that, over the first quarter accounting period or third quarter accounting period (as applicable),-
(a) the registered bank has complied with all conditions of registration that applied during that period; and
(b) credit exposures to connected persons (if any) were not contrary to the interests of the banking group; and
(c) the registered bank had systems in place to monitor and control adequately the banking group's material risks, including credit risk, concentration of credit risk, interest rate risk, currency risk, equity risk, liquidity risk, operational risk and other business risks, and that those systems were being properly applied.
15 Auditor's report
If the general short form disclosure statement has been audited or reviewed by an external auditor, the following:
(a) a statement of the nature and scope of the audit or review:
(b) a copy of the auditor's report.
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Schedule 3
Short form financial statements and asset quality
Contents
Page
Short form financial statements
1 Currency must be New Zealand dollars 2376
2 Comparative information 2376
3 Changes in accounting policies 2376
4 Financial information 2376
Asset quality
5 Classes of assets to which this Part applies 2378
6 Aggregate amounts 2378
7 Movements in balances of total individual credit impairment
allowances or allowances for impairment loss created in respect
of non-financial assets 2379
8 Movements in balance of collective credit impairment allowance 2379
9 Credit risk on loans and receivables at fair value 2380
10 Asset quality breakdown by major type of credit exposure 2380
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Short form financial statements
1 Currency must be New Zealand dollars
Any monetary amount that is required to be disclosed under clause 4 must be New Zealand dollars.
2 Comparative information
The information that is required to be disclosed under clause 4 must include comparative figures for the previous corresponding period.
3 Changes in accounting policies
(1) A statement whether there have been any changes in accounting policies since the date on which the signing of the previous disclosure statement is completed.
(2) A summary of those changes.
4 Financial information
(1) The financial information that is required to be disclosed under this clause-
(a) must be in the format determined by the registered bank; and
(b) is for the banking group; and
(c) is for the first quarter accounting period or third quarter accounting period (as applicable), or is as at the off-quarter balance date, as the case may require.
(2) The following information, to the extent that it is additional to the information that NZ IAS 34 requires the banking group to disclose when publishing interim financial statements:
Income Statement
1 Interest income
2 Interest expense
3 Net interest income
4 Net trading gains/losses
5 Other gains less losses on financial instruments at fair value
6 Other operating income
7 Other operating expenses
8 Impaired asset expense
9 Share of the profit or loss of associates and joint ventures accounted for using the equity method
10 Profit/(loss) before tax
11 Taxation expense/(credit)
12 Profit/(loss) after tax
13 Profit/(loss) attributable to minority interest
14 Profit/(loss) attributable to equity holders of the parent
15 A condensed statement of changes in equity or a statement of recognised income and expense
Balance Sheet
Assets
1 The categories of financial asset listed in paragraph E3 of NZ IFRS 7, in each case shown net of individual credit impairment allowances
2 Derivative financial instruments
3 Deferred tax asset
4 Intangible assets
5 Fixed assets
6 Other assets
7 Total assets
Liabilities and shareholders' funds
8 Issued and paid-up share capital
9 Balances of reserve accounts
(a) Revaluation reserves
(b) Fair value reserves
(c) Other capital reserves
(d) Other revenue reserves
10 Balance of retained earnings
11 Minority interest
12 Total shareholders' funds
13 Term and/or perpetual subordinated debt
14 The categories of financial liability listed in paragraph E3 of NZ IFRS 7
15 Derivative financial instruments
16 Deferred tax liability
17 Other liabilities
18 Total liabilities and shareholders' funds
19 Total interest earning and discount bearing assets
20 Total interest and discount bearing liabilities
21 Total amounts due to related parties
22 If assets presented in the statement of financial position have been used to secure any obligations, the nature and amount of those assets
23 The nature and amount of any assets not legally owned but presented in the statement of financial position.
Asset quality
5 Classes of assets to which this Part applies
(1) This Part applies to the following classes of assets:
(a) other individually impaired assets:
(b) restructured assets:
(c) financial assets acquired through the enforcement of security:
(d) real estate assets acquired through the enforcement of security:
(e) other assets acquired through the enforcement of security:
(f) 90 day past due assets:
(g) other assets under administration.
(2) To avoid doubt, the disclosure required by clause 6 includes financial assets designated as at fair value through profit and loss, where applicable.
6 Aggregate amounts
(1) The information in subclause (2) in respect of the banking group for each of the classes of assets set out in clause 5.
(2) The following information as at the off-quarter balance date:
(a) the aggregate amount that has been recognised, before deducting allowances for credit impairment loss or allowances for impairment loss created in respect of non-financial assets where applicable; and
(b) the aggregate amount of individual credit impairment allowances or allowances for impairment loss created in respect of non-financial assets.
(3) The information in subclause (4) in respect of the registered bank and banking group for each of the classes of assets set out in paragraphs (a), (b), (f) and (g) of clause 5(1).
(4) The aggregate amount as at the balance date of any undrawn balances on lending commitments to counterparties for whom drawn balances fall within that class of assets, before deducting allowances for credit impairment loss where applicable.
(5) The information that is required to be disclosed under subclauses (2) and (4) must include comparative figures for the previous corresponding period.
7 Movements in balances of total individual credit impairment allowances or allowances for impairment loss created in respect of non-financial assets
(1) The information in subclause (2) in respect of the banking group for each of the classes of assets set out in clause 5.
(2) Information on movements in the balances of total individual credit impairment allowances or allowances for impairment loss created in respect of non-financial assets over the first quarter accounting period or third quarter accounting period (as applicable), separately disclosing-
(a) opening balance; and
(b) charge (credit) to the statement of financial performance for increase or decrease in individual credit impairment allowances or allowances for impairment loss created in respect of non-financial assets; and
(c) amounts written-off; and
(d) write-downs of assets acquired through the enforcement of security; and
(e) recoveries of impairment allowances and write-offs charged in previous periods; and
(f) other movements, and the nature of those other movements; and
(g) closing balance.
(3) Movements must be reconciled to the charges allocated to the statement of financial performance.
8 Movements in balance of collective credit impairment allowance
(1) The information in subclause (2) in respect of the banking group.
(2) Information on movements in the balance of the collective credit impairment allowance over the first quarter accounting period or third quarter accounting period (as applicable), separately disclosing-
(a) opening balance; and
(b) charge (credit) to the statement of financial performance for increase or decrease in the collective credit impairment allowance; and
(c) other movements, and the nature of those other movements; and
(d) closing balance.
(3) Movements must be reconciled to the charges allocated to the statement of financial performance.
9 Credit risk on loans and receivables at fair value
(1) The information in subclause (2) in respect of the banking group.
(2) The information required to be disclosed by paragraph 9 of NZ IFRS 7, in respect of the first quarter accounting period or third quarter accounting period (as applicable).
10 Asset quality breakdown by major type of credit exposure
(1) The information in subclause (2) in respect of the banking group.
(2) The information that is required to be disclosed under clauses 6, 7 and 8 in respect of the classes of asset specified in subclauses 5(a) and 5(b) in relation to the following types of credit exposure:
(a) if the registered bank has not been accredited by the Reserve Bank to use the internal models based approach to capital adequacy and is subject to a condition of registration requiring capital adequacy to be measured in accordance with Capital Adequacy Framework (Standardised Approach) (BS2A), the following:
(i) residential mortgage loans;
(ii) on balance sheet corporate exposures; and
(iii) on balance sheet exposures excluding those referred to by subclauses (a)(i) and (a)(ii) and excluding exposures to sovereigns and central banks, multilateral development banks and other international organisations, public sector entities, and banks;
(b) if the registered bank has been fully accredited by the Reserve Bank to use the internal models based approach to capital adequacy and is subject to a condition of registration requiring capital adequacy to be measured primarily in accordance with Capital Adequacy Framework (Internal Models Based Approach) (BS2B), the following:
(i) exposures secured by residential mortgages; and
(ii) retail exposures as defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B), excluding those referred to by subclause (b)(i); and
(iii) corporate exposures as defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B);
(c) in any other case, residential mortgage loans as defined in the conditions of registration.
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Schedule 4
Risk weighted exposures and capital adequacy
under the Basel I approach
Contents
Page
1 Capital 2381
2 Risk weighted exposures 2381
3 Capital ratios 2382
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1 Capital
(1) The information in subclause (2)-
(a) in respect of the capital of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or the Capital Adequacy Framework (Basel I Approach) (BS2) (as applicable).
(2) The following information at the off-quarter balance date:
Capital
Tier one capital (before deductions)
Less: deductions from tier one capital
Plus: other adjustments to tier one capital
Total tier one capital
Upper tier two capital
Less: deductions from upper tier two capital (specify each deduction)
Plus: other adjustments to upper tier two capital (specify each adjustment)
Lower tier two capital
Total tier two capital
Total of tier one capital and tier two capital
Less: deductions from total capital
Plus: other adjustments to total capital
Capital
2 Risk weighted exposures
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or the Capital Adequacy Framework (Basel I Approach) (BS2) (as applicable).
(2) The following information as at the off-quarter balance date:
Risk weighted exposures
Calculation of balance sheet exposures
Amount Risk weight Risk weighted exposure
Cash and short term claims on Government 0%
Long term claims on Government 10%
Claims on banks 20%
Claims on public sector entities 20%
Residential mortgages 50%
Other 100%
Total assets
Calculation of off-balance sheet exposures
Amount Credit conversion factor Credit equivalent amount Average counterparty risk weight Risk weighted exposure
Direct credit substitutes 100%
Asset sales with recourse 100%
Commitments with certain drawdown 100%
Underwriting and sub-underwriting facilities 50%
Transaction related contingent items 50%
Short term, self liquidating trade related contingencies 20%
Other commitments to provide financial services which have an original maturity of 1 year or more 50%
Other commitments with an original maturity of less than 1 year or which can be unconditionally cancelled at any time 0%
Market related contracts
(a) foreign exchange contracts
(b) interest rate contracts
(c) other N/A
Total off-balance sheet exposures
Risk weighted exposures
3 Capital ratios
(1) The information in subclause (2) derived in accordance with either the conditions of registration relating to capital adequacy or the Capital Adequacy Framework (Basel I Approach) (BS2) (as applicable).
(2) The following information in respect of the banking group as at the off-quarter balance date:
(a) tier one capital ratio; and
(b) total capital ratio.
(3) The information that is required to be disclosed under subclause (2) must include comparative figures for the previous corresponding period.
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Schedule 4A
Capital adequacy under the standardised approach
Contents
Page
1 Capital 2384
2 Credit risk 2385
3 Additional mortgage information 2386
4 Credit risk mitigation 2386
5 Operational risk 2387
6 Market risk end-period capital charges 2387
7 Market risk peak end-of-day capital charges 2388
8 Method for deriving peak end-of-day aggregate capital charge 2388
9 Total capital requirements 2389
10 Capital ratios 2389
11 Solo capital adequacy 2389
12 Pillar 2 capital for other material risks 2389
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1 Capital
(1) The information in subclause (2)-
(a) in respect of the capital of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Standardised Approach) (BS2A) (as applicable).
(2) The following information at the off-quarter balance date:
Capital
Tier one capital (before deductions)
Less: deductions from tier one capital
Plus: other adjustments to tier one capital
Total tier one capital
Upper tier two capital
Less: deductions from upper tier two capital (specify each deduction)
Plus: other adjustments to upper tier two capital (specify each adjustment)
Lower tier two capital
Total tier two capital
Total of tier one capital and tier two capital
Less: deductions from total capital
Plus: other adjustments to total capital
Capital
2 Credit risk
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Standardised Approach) (BS2A) (as applicable).
(2) The following information at the off-quarter balance date:
Calculation of on-balance sheet exposures
Total exposure after credit risk mitigation Risk weight Risk weighted exposure Minimum pillar one capital requirement
Cash and gold bullion 0%
Sovereigns and Central Banks 0%
20%
50%
100%
150%
Multilateral Development Banks and other international organisations 0%
20%
50%
100%
150%
Public Sector Entities 20%
50%
100%
150%
Banks 20%
50%
100%
150%
Corporate 20%
50%
100%
150%
Residential mortgages not past due 35%
50%
75%
Past due residential mortgages 100%
Other past due assets 100%
150%
Equity holdings (not deducted from capital) that are publicly traded 300%
All other equity holdings (not deducted from capital) 400%
Other assets 100%
Calculation of Off-Balance sheet exposures
Total exposure Credit conversion factor Credit equivalent amount Average risk weight Risk weighted exposure Minimum pillar one capital requirement
Direct credit substitute 100%
Asset sale with recourse 100%
Forward asset purchase 100%
Commitment with certain drawdown 100%
Note issuance facility 50%
Revolving underwriting facility 50%
Performance-related contingency 50%
Trade-related contingency 20%
Placements of forward deposits 100%
Other commitments where original maturity is more than one year 50%
Other commitments where original maturity is less than or equal to one year 20%
Other commitments that cancel automatically when the creditworthiness of the counterparty deteriorates or that can be cancelled unconditionally at any time without prior notice 0%
Market related contracts
(a) Foreign exchange contracts N/A
(b) Interest rate contracts N/A
(c) Other - OTC etc N/A
(3) For the purpose of the disclosure required by subclause (2), average risk weight means the exposure-weighted average of the risk weights of individual exposures determined according to the counterparty or type of asset or issuer as appropriate.
3 Additional mortgage information
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) in respect of total residential mortgage loans as used to calculate the registered bank's pillar one capital requirement for credit risk, categorised by loan-to-valuation ratio.
(2) The following information at the off-quarter balance date:
Residential mortgages by loan-to-valuation ratio
LVR range 0%-80% 80%-90% Over 90%
Value of exposures
4 Credit risk mitigation
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Standardised Approach) (BS2A) (as applicable).
(2) The following information at the off-quarter balance date:
Credit risk mitigation
Exposure class Total value of on- and off-balance sheet exposures covered by eligible collateral (after haircutting) Total value of on- and off-balance sheet exposures covered by guarantees or credit derivatives
Sovereign or central bank
Multilateral development bank
Public sector entities
Bank
Corporate
Residential mortgage
Other
5 Operational risk
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Standardised Approach) (BS2A) (as applicable).
(2) The following information at the off-quarter balance date:
Operational risk capital requirement
Implied risk weighted exposure Total operational risk capital requirement
Operational risk
(3) For the purpose of the disclosure required by subclause (2), implied risk weighted exposure must be calculated as 12.5 x total operational risk capital requirement.
6 Market risk end-period capital charges
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Standardised Approach) (BS2A) (as applicable).
(2) The following information at the off-quarter balance date:
Market risk Implied risk weighted exposure Aggregate capital charge Aggregate capital charge as a percentage of the banking group's equity
Interest rate risk
Foreign currency risk
Equity risk
(3) For the purpose of the disclosure required by subclause (2) implied risk weighted exposure must be calculated as 12.5 x aggregate capital charge.
(4) The information that is required to be disclosed under subclause (1) must include comparative figures for the previous corresponding period.
7 Market risk peak end-of-day capital charges
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with clause 8.
(2) The following information in respect of peak end-of-day aggregate capital charges for the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable):
Market risk Implied risk weighted exposure Aggregate capital charge Aggregate capital charge as a percentage of the banking group's equity
Interest rate risk
Foreign currency risk
Equity risk
(3) For the purpose of the disclosure required by subclause (2) implied risk weighted exposure must be calculated as 12.5 x aggregate capital charge.
(4) The information that is required to be disclosed under subclause (1) must include comparative figures for the previous corresponding period.
8 Method for deriving peak end-of-day aggregate capital charge
(1) For the purpose of the disclosure required by clause 7, peak end-of-day aggregate capital charge for each category of market risk is derived by determining the maximum over the relevant period of the aggregate capital charge at the close of each business day derived in accordance with-
(a) Capital Adequacy Framework (Standardised Approach) (BS2A); or
(b) any other method, but only if the aggregate market risk capital charge 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 under paragraph (a).
(2) For the purpose of the disclosure required by clause 7, peak end-of-day aggregate capital charge as a percentage of the banking group's equity is derived by dividing peak end-of-day aggregate capital charge by-
(a) the banking group's equity as at the end of the quarter; or
(b) the banking group's equity at the date to which the maximum end-of-day aggregate capital charge applied.
(3) A statement of the method used to derive peak end-of-day aggregate capital charge, and peak end-of-day aggregate capital charge as a percentage of the banking group's equity, for each category of market risk.
9 Total capital requirements
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Standardised Approach) (BS2A) (as applicable).
(2) The following information at the off-quarter balance date:
Total exposure after credit risk mitigation Risk weighted exposure or implied risk weighted exposure Capital requirement
Total credit risk + equity
Operational risk N/A
Market risk N/A
TOTAL N/A
10 Capital ratios
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Standardised Approach) (BS2A) (as applicable).
(2) The following information at the off-quarter balance date:
(a) tier one capital ratio; and
(b) total capital ratio.
(3) The information that is required to be disclosed under subclause (2) must include comparative figures for the previous corresponding period.
11 Solo capital adequacy
(1) The information in subclause (2)-
(a) in respect of the registered bank; and
(b) derived in accordance with Capital Adequacy Framework (Standardised Approach) (BS2A).
(2) The following information at the off-quarter balance date:
(a) total capital requirement; and
(b) tier one capital ratio; and
(c) total capital ratio.
(3) The information that is required to be disclosed under subclause (2) must include comparative figures for the previous corresponding period.
12 Pillar 2 capital for other material risks
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the balance date:
(a) internal capital allocation for other material risks; and
(b) a summary description of the risks covered by the internal capital allocation for other material risks.
(3) The information that is required to be disclosed under subclause (2) must include comparative figures for the previous corresponding period.
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Schedule 4B
Capital adequacy under the internal models based approach
Contents
Page
1 Capital 2391
2 Credit risk subject to the IRB approach 2392
3 Additional mortgage information 2393
4 Specialised lending subject to the slotting approach 2393
5 Credit risk exposures subject to the standardised approach 2394
6 Credit risk mitigation 2395
7 Equity exposures 2395
8 Operational risk 2396
9 Market risk end-period capital charges 2396
10 Market risk peak end-of-day capital charges 2397
11 Method for deriving peak end-of-day aggregate capital charge 2397
12 Total capital requirements 2398
13 Basel II capital ratios 2398
14 Comparison information on Basel I capital adequacy and on
solo capital adequacy 2398
15 Pillar 2 capital for other material risks 2399
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1 Capital
(1) The information in subclause (2)-
(a) in respect of the capital of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Internal Models Based Approach) (BS2B) (as applicable).
(2) The following information at the off-quarter balance date:
Capital
Tier one capital (before deductions)
Less: deductions from tier one capital
Plus: other adjustments to tier one capital
Total tier one capital
Upper tier two capital
Less: deductions from upper tier two capital (specify each deduction)
Plus: other adjustments to upper tier two capital (specify each adjustment)
Lower tier two capital
Total tier two capital
Total of tier one capital and tier two capital
Less: deductions from total capital
Plus: other adjustments to total capital
Capital
2 Credit risk subject to the IRB approach
(1) The information in subclauses (2) and (4)-
(a) in respect of the capital of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Internal Models Based Approach) (BS2B) (as applicable).
(2) For each exposure class where the IRB approach is applied the following information at the off-quarter balance date:
Name of exposure class
Exposure amounts Exposure-weighted LGD (%) used for the capital calculation Exposure-weighted risk weight (%) Risk weighted assets Minimum capital requirement
Exposure-weighted PD grade 1 (%)
Exposure-weighted PD grade 2 (%)
...
...
Default PD grade
AGGREGATE EXPOSURE-WEIGHTED PD GRADE TOTAL EXPOSURES AGGREGATE EXPOSURE-WEIGHTED LGD GRADE (%) AGGREGATE EXPOSURE-WEIGHTED RISK WEIGHT (%) TOTAL Risk weighted assets TOTAL Minimum capital requirement
(3) For the purpose of the disclosure required by subclause (2):
(a) the exposure-weighted value of an item in any box of the table is calculated as the sum, across each exposure falling within that box, of the following amount:
(value of that item for that exposure) x (value of that exposure)
(total value of all exposures falling within that box);
and
(b) the PD grades must either be those used internally for rating exposures in that exposure class or aggregated from those used internally, provided that where PD grades are aggregated:
(i) the disclosure must be based on a minimum of five non-default aggregated PD grades and one default aggregated PD grade: and
(ii) the aggregated PD grades should be reasonably evenly distributed across the range of PD grades used in the internal rating system: and
(iii) the PD disclosed for each aggregated grade must be the exposure-weighted average of the PDs included in the aggregation; and
(c) the exposures disclosed must comprise outstanding loans, and EAD on undrawn commitments and other off-balance sheet exposures that are used in the calculation of regulatory capital; and
(d) risk-weighted assets and minimum capital requirements must be the amounts after multiplying by the scalar (if any) specified in the conditions of registration relating to capital adequacy.
(4) For each exposure class the following information at the off-quarter balance date:
(a) total value of undrawn commitments and other off-balance sheet amounts excluding market related contracts:
(b) the total value of market related contracts:
(c) the EAD of undrawn commitments and other off-balance sheet amounts:
(d) the EAD of market related contracts.
(5) For the purpose of the disclosure required by subclauses (2) and (4) the exposure classes to be disclosed are those defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B) except that:
(a) if qualifying revolving retail exposures are material relative to overall credit exposures, the retail exposure class must be disclosed as if the following three exposure sub-classes of the retail exposure class were each a separate exposure class:
(i) lending secured by mortgages over residential property; and
(ii) qualifying revolving retail exposures; and
(iii) all other retail lending; and
(b) otherwise the retail exposure class must be disclosed as if the following two exposure sub-classes of the retail exposure class were each a separate exposure class:
(i) lending secured by mortgages over residential property; and
(ii) all other retail lending.
3 Additional mortgage information
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) in respect of total exposures secured by residential mortgages as used to calculate the registered bank's pillar one capital requirement for credit risk, categorised by loan-to-valuation ratio.
(2) The following information at the off-quarter balance date:
Residential mortgages by loan-to-valuation ratio
LVR range 0%-60% 60%-70% 70%-80% 80%-90% Over 90%
Value of exposures
4 Specialised lending subject to the slotting approach
(1) If the slotting approach for specialised lending exposures as defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B) is used, the information in subclause (2) in respect of the banking group.
(2) The following information at the off-quarter balance date in respect of specialised exposures subject to the slotting approach:
On balance sheet exposures
Total Exposures after credit risk mitigation Risk weight Risk weighted assets Minimum pillar one capital requirement
70%
90%
115%
250%
Off balance sheet exposures
EAD Average risk weight Risk weighted assets Minimum pillar one capital requirement
Undrawn commitments and other off-balance sheet exposures
(3) For the purpose of the disclosure required by subclause (2) -
(a) average risk weight means the EAD-weighted average of the risk weights of individual exposures determined according to the counterparty or type of asset or issuer as appropriate; and
(b) risk-weighted assets and minimum capital requirements must be the amounts after multiplying by the scalar (if any) specified in the conditions of registration relating to capital adequacy.
5 Credit risk exposures subject to the standardised approach
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) in respect of any credit risk exposures that are not subject to the IRB approach or the slotting approach to specialised lending.
(2) The following information at the off-quarter balance date:
Credit risk exposures subject to the standardised approach
On-balance sheet exposures
Total exposure after credit risk mitigation Average risk weight Risk weighted exposure Minimum pillar one capital requirement
Cash and gold bullion
Sovereigns and Central Banks
Multilateral Development Banks and other international organisations
Public Sector Entities
Banks
Corporate
Residential mortgages
Past due assets
Other assets
Off-balance sheet exposures
Total exposure or principal amount Average
credit conversion factor Credit equivalent amount Average risk weight Risk weighted exposure Minimum pillar one capital requirement
Total off balance sheet exposures subject to the standardised approach
Market-related contracts subject to the standardised approach
(a) Foreign exchange contracts N/A
(b) Interest rate contracts N/A
(c) Other - OTC etc N/A
(3) For the purpose of the disclosure required by subclause (2) -,
(a) average risk weight means the exposure-weighted average of the risk weights of individual exposures determined according to the counterparty or type of asset or issuer as appropriate; and
(b) average credit conversion factor means the exposure-weighted average of the credit conversion factors for individual exposures.
6 Credit risk mitigation
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Internal Models Based Approach) (BS2B) (as applicable).
(2) The following information at the off-quarter balance date:
Credit risk mitigation
Exposure class For portfolios subject to the standardised or foundation IRB approach as defined by BS2B:
Total value of exposures covered by eligible financial or IRB collateral (after haircutting) For all portfolios:
Total value of exposures covered by guarantees or credit derivatives
Sovereign
Bank
Corporate (including specialised lending)
Residential mortgage
Other
7 Equity exposures
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Internal Models Based Approach) (BS2B) (as applicable).
(2) The following information at the off-quarter balance date:
Equity exposures
Total exposure Risk weight Risk weighted exposure Minimum pillar one capital requirement
Equity holdings (not deducted from capital) that are publicly traded 300%
All other equity holdings (not deducted from capital) 400%
8 Operational risk
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Internal Models Based Approach) (BS2B) (as applicable).
(2) The following information at the off-quarter balance date:
Operational risk capital requirement
Approach implemented:
Implied risk weighted exposure Total operational risk capital requirement
Operational risk
(3) For the purpose of the disclosure required by subclause (2)-
(a) approach implemented means the capital adequacy approach to operational risk implemented by the registered bank in accordance with its conditions of registration relating to capital adequacy;
(b) implied risk weighted exposure must be calculated as 12.5 x total operational risk capital requirement.
9 Market risk end-period capital charges
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Internal Models Based Approach) (BS2B) (as applicable).
(2) The following information at the off-quarter balance date:
Market risk Implied risk weighted exposure Aggregate capital charge Aggregate capital charge as a percentage of the banking group's equity
Interest rate risk
Foreign currency risk
Equity risk
(3) For the purpose of the disclosure required by subclause (2) implied risk weighted exposure must be calculated as 12.5 x aggregate capital charge.
(4) The information that is required to be disclosed under subclause (1) must include comparative figures for the previous corresponding period.
10 Market risk peak end-of-day capital charges
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with clause 11.
(2) The following information in respect of peak end-of-day aggregate capital charges for the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable):
Market Risk Implied risk weighted exposure Aggregate capital charge Aggregate capital charge as a percentage of the banking group's equity
Interest rate risk
Foreign currency risk
Equity risk
(3) For the purpose of the disclosure required by subclause (2) implied risk weighted exposure must be calculated as 12.5 x aggregate capital charge.
(4) The information that is required to be disclosed under subclause (1) must include comparative figures for the previous corresponding period.
11 Method for deriving peak end-of-day aggregate capital charge
(1) For the purpose of the disclosure required by clause 10, peak end-of-day aggregate capital charge for each category of market risk is derived by determining the maximum over the relevant period of the aggregate capital charge at the close of each business day derived in accordance with-
(a) Capital Adequacy Framework (Internal Models Based Approach) (BS2B); or
(b) any other method, but only if the aggregate market risk capital charge 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 under paragraph (a).
(2) For the purpose of the disclosure required by clause 10, peak end-of-day aggregate capital charge as a percentage of the banking group's equity is derived by dividing peak end-of-day aggregate capital charge by-
(a) the banking group's equity as at the end of the quarter; or
(b) the banking group's equity at the date to which the maximum end-of-day aggregate capital charge applied.
(3) A statement of the method used to derive peak end-of-day aggregate capital charge, and peak end-of-day aggregate capital charge as a percentage of the banking group's equity, for each category of market risk.
12 Total capital requirements
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Internal Models Based Approach) (BS2B) (as applicable).
(2) The following information at the off-quarter balance date:
Total exposure after credit risk mitigation Risk weighted exposure or implied risk weighted exposure Total capital requirement
Total credit risk
Operational risk N/A
Market risk N/A
Supervisory adjustment N/A
TOTAL N/A
(3) For the purpose of the disclosure required by subclause (2), supervisory adjustment means an additional capital requirement (if any) imposed in the conditions of registration.
13 Basel II capital ratios
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Internal Models Based Approach) (BS2B) (as applicable).
(2) The following information at the off-quarter balance date:
(a) tier one capital ratio; and
(b) total capital ratio.
(3) The information that is required to be disclosed under subclause (2) must include comparative figures for the previous corresponding period.
14 Comparison information on Basel I capital adequacy and on solo capital adequacy
(1) The information in subclause (2)-
(a) in respect of the registered bank and the banking group; and
(b) determined in accordance with Capital Adequacy Framework (Basel I Approach) (BS2).
(2) The following information at the off-quarter balance date:
(a) total risk-weighted exposures; and
(b) tier one capital ratio; and
(c) total capital ratio.
(3) The information that is required to be disclosed under subclause (2) must include comparative figures for the previous corresponding period.
15 Pillar 2 capital for other material risks
(1) The information in subclause (2)-
(a) in respect of the banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the balance date:
(a) internal capital allocation for other material risks; and
(b) a summary description of the risks covered by the internal capital allocation for other material risks.
(3) The information that is required to be disclosed under subclause (2) must include comparative figures for the previous corresponding period.
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Schedule 5
Concentration of credit exposures to individual counterparties
Contents
Page
1 Credit exposure information: general requirements 2400
2 Calculation of credit exposure information 2400
3 Comparative figures 2400
4 Large bank exposures 2400
5 Large non-bank exposures 2401
6 Peak end-of-day aggregate credit exposure 2401
7 Aggregate credit exposure 2401
8 Meaning of credit rating 2402
9 Meaning of investment grade credit rating 2402
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1 Credit exposure information: general requirements
(1) In this schedule, credit exposure information must be disclosed on the basis of-
(a) actual credit exposures; or
(b) internal limits that were not materially exceeded during the first quarter accounting period or the third quarter accounting period (as applicable).
(2) A statement of the method used for disclosing the credit exposure information required by this schedule.
2 Calculation of credit exposure information
The credit exposure information required by this schedule must-
(a) be calculated as the amount that best represents the banking group's maximum exposure to credit risk taking account of the guidance in paragraphs B9 and B10 of NZ IFRS 7; and
(b) exclude credit exposures to connected persons; and
(c) exclude credit exposures to the central government of any country with a long-term credit rating of A- or A3 or above, or its equivalent.
3 Comparative figures
The information that is required to be disclosed under this schedule must include comparative figures for the previous corresponding period.
4 Large bank exposures
(1) The information in subclause (2) in successive ranges of 10% of equity, commencing at 10% of equity-
(a) as at the off-quarter balance date; and
(b) in respect of peak end-of-day aggregate credit exposure for the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable).
(2) The number of individual bank counterparties (which are not members of a group of closely related counterparties) and groups of closely related counterparties of which a bank is the parent to which the banking group has an aggregate credit exposure that equals or exceeds 10% of the banking group's equity.
5 Large non-bank exposures
(1) The information in subclause (2) in successive ranges of 10% of equity, commencing at 10% of equity-
(a) as at the off-quarter balance date; and
(b) in respect of peak end-of-day aggregate credit exposure for the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable).
(2) The number of individual non-bank counterparties (which are not members of a group of closely related counterparties) and groups of closely related counterparties of which a bank is not the parent to which the banking group has an aggregate credit exposure that equals or exceeds 10% of the banking group's equity.
6 Peak end-of-day aggregate credit exposure
(1) For the purposes of clauses 4 and 5, peak end-of-day aggregate credit exposure to each individual counterparty or a group of closely related counterparties for the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable) is derived by-
(a) determining the maximum end-of-day aggregate amount of credit exposure over the quarter; and
(b) then dividing that amount by-
(i) the banking group's equity as at the end of the quarter; or
(ii) the banking group's equity at the date the maximum end-of-day aggregate amount of credit exposure occurred.
(2) A statement of the method used to derive peak ratio information.
7 Aggregate credit exposure
(1) The following information as at the off-quarter balance date and in respect of the individual bank counterparties, and groups of closely related counterparties of which a bank is the parent, referred to in clause 4(2):
(a) the total amount of credit exposures to those counterparties that have a credit rating that is of investment grade:
(b) the total amount of credit exposures to those counterparties that have a credit rating that is below investment grade:
(c) the total amount of credit exposures to those counterparties that do not have a credit rating:
(d) the percentage each of the amounts referred to in paragraphs (a) to (c) represents in relation to the aggregate of the amounts referred to in paragraphs (a) to (c).
(2) The following information as at the off-quarter balance date and in respect of the individual non-bank counterparties, and groups of closely related counterparties of which a bank is not the parent, referred to in clause 5(2):
(a) the total amount of credit exposures to those counterparties that have a credit rating that is of investment grade:
(b) the total amount of credit exposures to those counterparties that have a credit rating that is below investment grade:
(c) the total amount of credit exposures to those counterparties that do not have a credit rating:
(d) the percentage each of the amounts referred to in paragraphs (a) to (c) represents in relation to the aggregate of the amounts referred to in those paragraphs.
8 Meaning of credit rating
(1) For the purposes of clauses 2 and 7, credit rating means a credit rating that meets the criteria in subclause (2) and that,-
(a) in the case of a group of closely related counterparties, applies to the entity heading the group of closely related counterparties; or
(b) in the case of an individual counterparty (excluding a member of a group of closely related counterparties), applies to the individual counterparty.
(2) The following criteria:
(a) a credit rating that applies to-
(i) the relevant entity's long term senior unsecured obligations payable in New Zealand, in New Zealand dollars; or
(ii) the relevant entity's long term senior unsecured foreign currency obligations:
(b) a credit rating given by a rating agency that has been approved by the Reserve Bank of New Zealand under section 80 of the Act.
(3) If an entity has 2 or more credit ratings that meet the criteria in subclauses (1) and (2) and those credit ratings are not the same, then the lowest credit rating applies.
9 Meaning of investment grade credit rating
For the purposes of this schedule, an investment grade credit rating means a credit rating of BBB- or Baa3 or above, or its equivalent.
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Schedule 6
Credit exposures to connected persons
Contents
Page
1 Credit exposure information: general requirements 2403
2 Aggregate credit exposure 2403
3 Credit exposure to connected persons 2403
4 Peak end-of-day aggregate exposure 2404
5 Rating-contingent limit 2404
6 Additional requirements for aggregate credit exposure to connect
persons 2404
7 Aggregate amount of contingent exposures arising from risk lay-off
arrangements 2405
8 Aggregate amount of individual credit impairment allowances against
credit exposures to connected persons 2405
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1 Credit exposure information: general requirements
(1) In this Schedule, credit exposure information must be disclosed on the basis of actual credit exposures.
(2) The information that is required to be disclosed under this Schedule-
(a) must be derived in accordance with the registered bank's conditions of registration relating to credit exposures to connected persons or Connected Exposures Policy (BS8) (whichever is applicable); and
(b) must include comparative figures for the previous corresponding period.
2 Aggregate credit exposure
(1) The information in subclause (2)-
(a) as at the off-quarter balance date; and
(b) in respect of peak credit exposures for the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable).
(2) The aggregate credit exposure (of a non-capital nature and net of individual credit impairment allowances) of the banking group to-
(a) connected persons expressed both as an amount and as a percentage of tier one capital; and
(b) non-bank connected persons expressed both as an amount and as a percentage of tier one capital.
3 Credit exposure to connected persons
A statement that the information on credit exposure to connected persons-
(a) has been derived in accordance with either the registered bank's conditions of registration or Connected Exposures Policy (BS8) (whichever is applicable) and is net of individual credit impairment allowances; and
(b) excludes advances to connected persons of a capital nature.
4 Peak end-of-day aggregate exposure
(1) For the purposes of this schedule, peak end-of-day aggregate credit exposure to connected persons for the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable) is derived by-
(a) determining the maximum end-of-day aggregate amount of credit exposure over the quarter; and
(b) then dividing that amount by-
(i) the banking group's tier one capital as at the end of the quarter; or
(ii) the banking group's tier one capital at the date the maximum end-of-day aggregate amount of credit exposure occurred.
(2) A statement of the method used to derive peak ratio information.
5 Rating-contingent limit
The following information:
(a) the rating-contingent limit that applies to the banking group as at the off-quarter balance date:
(b) a statement whether any limit changes have occurred over the most recent quarter, and if so, the nature of those changes, and the dates on which they occurred:
(c) a statement that, within the overall rating-contingent limit, there is a sub-limit of 15% of tier one capital that applies to the aggregate credit exposure to non-bank connected persons.
6 Additional requirements for aggregate credit exposure to connected persons
(1) A statement whether aggregate credit exposure to connected persons has been calculated on a gross or a bilateral net basis.
(2) If any part of the calculation has been undertaken on a bilateral net basis, then the following additional information:
(a) in respect of aggregate credit exposure to connected persons as at the off-quarter balance date, and in respect of peak end-of-day aggregate credit exposure to connected persons over the most recent quarter-
(i) the gross amount, as a percentage of tier one capital, before any netting has taken place; and
(ii) the amount, as a percentage of tier one capital, that has been netted off in determining the net exposure:
(b) a statement that there is a limit of 125% of banking group tier one capital in respect of the gross amount of aggregate credit exposure to connected persons that can be netted off in determining the net exposure:
(c) a statement that the registered bank's most recent supplemental disclosure statement contains-
(i) a copy of the bilateral netting agreement; and
(ii) if an industry standard agreement is not used, a copy of the advice from an independent third party expert validating the robustness of the agreement:
(d) a statement that a copy of the registered bank's most recent supplemental disclosure statement will be provided immediately at no charge to a person who requests a copy of it at the registered bank's head office:
(e) a statement of the categories of places where a copy of the registered bank's most recent supplemental disclosure statement will be provided at no charge to any person within 5 working days of a request for a copy having been made.
(3) Subclause (2)(c) to (e) does not apply if the content of the supplemental disclosure statement is contained in the general short form disclosure statement.
7 Aggregate amount of contingent exposures arising from risk lay-off arrangements
A statement of the aggregate amount of contingent exposures of the banking group to connected persons arising from risk lay-off arrangements in respect of credit exposures to counterparties (excluding counterparties that are connected persons) at the off-quarter balance date.
8 Aggregate amount of individual credit impairment allowances against credit exposures to connected persons
A statement of the aggregate amount of the banking group's individual credit impairment allowances provided against credit exposures to connected persons as at the off-quarter balance date.
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Schedule 7
Securitisation, funds management, other fiduciary activities, and marketing and distribution of insurance products
Contents
Page
1 Insurance products 2406
2 Banking group's involvement in securitisation, funds management,
other fiduciary activities, and marketing and distribution of
insurance products 2406
3 Aggregate funding provided to entities 2406
4 Method for deriving peak end-of-day aggregate amount of funding
in clause 3 2407
5 Peak end-of-day aggregate amount of funding provided to individual
entity 2407
6 Method for deriving peak end-of-day aggregate amount of funding
in clause 5 2407
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1 Insurance products
(1) In this schedule, insurance products relate to insurance contracts that constitute insurance business.
(2) Information disclosed under clauses 3 to 6 relating to entities on whose behalf the banking group markets or distributes insurance products is required only in respect of affiliated insurance entities or affiliated insurance groups.
2 Banking group's involvement in securitisation, funds management, other fiduciary activities, and marketing and distribution of insurance products
A statement of the nature of the banking group's involvement in-
(a) the establishment, marketing, or sponsorship of trust, custodial, funds management, and other fiduciary activities; and
(b) the origination of securitised assets, and the marketing or servicing of securitisation schemes; and
(c) the marketing and distribution of insurance products.
3 Aggregate funding provided to entities
(1) The peak end-of-day aggregate amount of funding the banking group has provided over the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable) to entities that conduct the activities specified in clause 2 or on whose behalf the banking group conducts the activities specified in clause 2(c).
(2) The peak end-of-day aggregate amount of funding-
(a) includes funding provided by the purchase of securities issued by entities involved in activities specified in clause 2 or on whose behalf the banking group conducts the activities specified in clause 2(c); and
(b) must be expressed as an amount and as a percentage of tier one capital.
(3) The information that is required to be disclosed under this clause must include comparative figures for the previous corresponding period.
4 Method for deriving peak end-of-day aggregate amount of funding in clause 3
(1) For the purposes of clause 3, the peak end-of-day aggregate amount of funding over the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable) is derived by-
(a) determining the maximum end-of-day aggregate amount of funding over the quarter; and
(b) then dividing that amount by-
(i) the banking group's tier one capital as at the end of the quarter; or
(ii) the banking group's tier one capital as at the date the maximum end-of-day aggregate amount of funding occurred.
(2) A statement of the method used to derive peak ratio information.
5 Peak end-of-day aggregate amount of funding provided to individual entity
(1) The peak end-of-day aggregate amount of funding provided by the banking group over the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable) to any individual entity that conducts the activities specified in clause 2, or on whose behalf the banking group conducts activities specified in clause 2(c).
(2) The peak end-of-day aggregate amount of funding-
(a) includes funding provided by the purchase of securities issued by entities that conduct the activities specified in clause 2, or on whose behalf the banking group conducts the activities specified in clause 2(c); and
(b) must be expressed as an amount and as a percentage of the amount of assets of the individual entity to which the funding has been provided by the banking group.
(3) The information that is required to be disclosed under this clause must include comparative figures for the previous corresponding period.
6 Method for deriving peak end-of-day aggregate amount of funding in clause 5
(1) For the purposes of clause 5, the peak end-of-day aggregate amount of funding provided to an individual entity over the first quarter accounting period or the most recent quarter of the third quarter accounting period (as applicable) is derived by determining-
(a) the maximum end-of-day aggregate amount of funding provided over the quarter; and
(b) then dividing that amount by-
(i) the amount of the entity's assets as at the end of the quarter; or
(ii) the amount of the entity's assets as at the date the maximum end-of-day aggregate amount of funding occurred.
(2) A statement of the method used to derive peak ratio information.
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Schedule 8
Risk management policies
Contents
Page
1 Categories of risk 2409
2 Information about risks 2409
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1 Categories of risk
Clause 2 applies if, since the date on which the signing of the previous disclosure statement is completed, 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) operational risk:
(g) any other material risk to which the banking group is exposed.
2 Information about risks
(1) A statement of the nature of the changes in the banking group's policies for managing the risks specified in clause 1.
(2) If, since the date on which the signing of the previous disclosure statement is completed, the banking group has become exposed to a new category of risk specified in clause 1 to which the banking group was not previously exposed, the following information:
(a) the nature of that risk and the activities of the banking group that caused the 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 (if applicable)-
(i) whether exposure limits are employed; and
(ii) any policies with respect to collateral or other security; and
(iii) any policies on the use of financial instruments to mitigate or hedge risks.
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REBECCA KITTERIDGE, Clerk of the Executive Council.
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Explanatory note
This note is not part of the order, but is intended to indicate its general effect.
This order comes into force on 30 June 2011 and replaces the Registered Bank Disclosure Statement (Off-Quarter-New Zealand Incorporated Registered Banks) Order 2008. The purpose of this order is to give legal effect to the current versions of material incorporated by reference in reliance on section 81AA and in accordance with Schedule 3 of the Reserve Bank of New Zealand Act 1989.
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This Order in Council is administered in the Reserve Bank of New Zealand.