Notice Type
Authorities/Other Agencies of State
Notice Title

Registered Bank Disclosure Statements (New Zealand Incorporated Registered Banks) Order 2014

JERRY MATEPARAE, Governor-General
Order in Council
At Wellington this 17th day of February 2014
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 454
2 Commencement 454
3 Application 454
4 Interpretation 454
5 Accounting periods for disclosure statements 460
Part 1-General requirements for disclosure statements
6 General requirements for disclosure statements 461
7 Full and half year disclosure statements to be audited 461
8 Publication on Internet 462
9 Time of publication 462
10 Delivery to Reserve Bank 462
11 Requests for copies 462
12 First disclosure statement 463
Part 2-Content of disclosure statements
Subpart 1-General requirements
13 Information must be in English 464
14 Disclosure statement not to be false or misleading 464
15 Requirements when registered bank is unable to disclose information 464
16 Comparative information 464
17 Disclosure statement not to contain offer of securities 464
18 Information about shareholders 464
19 Disclosure of currency that is not New Zealand dollars 465
20 Auditor's report or review statement 465
Subpart 2-Content of disclosure statements
21 Information to be included in full year disclosure statement 465
22 Information to be included in half year disclosure statement 466
23 Information to be included in off quarter disclosure statements 466
24 Financial statements for full year accounting period 467
25 Financial statements for half year and off quarter accounting periods 467
Part 3-Miscellaneous provisions
26 Revocation 468
Schedule 1-Full year and half year
Information in audit reports and review statements 469
Schedule 2-Full year
Information to be included in disclosure statement 473
Schedule 3-Half year and off quarters
Information to be included in disclosure statement 480
Schedule 4-Full year
Additional financial disclosures 484
Schedule 5-Half year
Additional financial disclosures 486
Schedule 6-Off quarters
Additional financial disclosures 489
Schedule 7-Full year and half year
Asset quality 490
Schedule 8-Off quarters
Asset quality 493
Schedule 9-Full year and half year
Capital adequacy under the standardised approach 495
Schedule 10-Off quarters
Capital adequacy under the standardised approach 504
Schedule 11-Full year and half year
Capital adequacy under the internal models based approach 507
Schedule 12-Off quarters
Capital adequacy under the internal models based approach 518
Schedule 13-All periods
Concentration of credit exposures to individual counterparties 523
Schedule 14-Full year
Credit exposures to connected persons 527
Schedule 15-Full year
Insurance business, securitisation, funds management, other fiduciary activities, and marketing and distribution of insurance products 530
Schedule 16-Half year and off quarters
Insurance business, securitisation, funds management, other fiduciary activities, and marketing and distribution of insurance products 534
Schedule 17-Full year
Risk management policies 536
Schedule 18-Half year and off quarters
Risk management policies 540
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Order
1 Title
This Order is the Registered Bank Disclosure Statements (New Zealand Incorporated Registered Banks) Order 2014.
2 Commencement
This Order comes into force on 31 March 2014 except for clause 26 which comes into force on 30 March 2014.
3 Application
This Order applies to a registered bank that is incorporated in New Zealand.
4 Interpretation
(1) In this Order, unless the context otherwise requires,-
Act means the Reserve Bank of New Zealand Act 1989
Additional Tier 1 capital,-
(a) in Schedules 9 and 10, has the same meaning as in Capital Adequacy Framework (Standardised Approach) (BS2A); and
(b) in Schedules 11 and 12, has the same meaning as in Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
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;
(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
banking group, in relation to a registered bank,-
(a) means the financial reporting group; or
(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
Basel II, as the context requires, refers either to the capital adequacy framework set out in the paper "International Convergence of Capital Measurement and Capital Standards" issued by the Basel Committee on Banking Supervision in June 2006 or to a country's or jurisdiction's implementation of prudential requirements derived from that framework.
Basel III, as the context requires, refers either to Basel II as issued by the Basel Committee on Banking Supervision as supplemented by the Committee's paper "Basel III: A global regulatory framework for more resilient banks and banking systems" issued in June 2011 or to a country's or jurisdiction's implementation of prudential requirements derived from that framework.
buffer ratio,-
(a) in Schedules 9 and 10, has the same meaning as in Capital Adequacy Framework (Standardised Approach) (BS2A); and
(b) in Schedules 11 and 12, has the same meaning as in Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
capital, in clause 5 of Schedule 2, in relation to-
(a) an overseas banking group, means the amount of capital held by the overseas banking group, determined in accordance with the requirements of the authority having the power to impose minimum capital requirements on the overseas banking group; 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 the banking group
Capital Adequacy Framework (Standardised Approach) (BS2A) means the Reserve Bank document entitled "Capital Adequacy Framework (Standardised Approach) (BS2A)"
Capital Adequacy Framework (Internal Models Based Approach) (BS2B) means 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
Common Equity Tier 1 capital,-
(a) in Schedules 9 and 10, has the same meaning as in Capital Adequacy Framework (Standardised Approach) (BS2A); and
(b) in Schedules 11 and 12, has the same meaning as in Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
Common Equity Tier 1 capital ratio,-
(a) in Schedules 9 and 10, has the same meaning as in Capital Adequacy Framework (Standardised Approach) (BS2A); and
(b) in Schedules 11 and 12, has the same meaning as in Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
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 conditions of registration imposed on the registered bank by the Reserve Bank under section 74 of the Act
Connected Exposures Policy (BS8) means the Reserve Bank document entitled "Connected Exposures Policy (BS8)"
country of domicile for a registered bank is either-
(a) the country or jurisdiction determined by the Reserve Bank and notified to the registered bank; or
(b) if paragraph (a) does not apply, the country that falls into the greatest number of the following categories:
(i) the country of its home supervisor for banking supervisory purposes;
(ii) the country in which it is incorporated;
(iii) the country of its principal place of business outside New Zealand; and
(iv) the country in which its head office is located
credit rating is defined in clause 6 of Schedule 13 for the purposes of Schedule 13
credit risk has the same meaning as in NZ IFRS 7
currency risk has the same meaning as in NZ IFRS 7
EAD means an 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 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 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 registered bank (as reporting entity) and all other entities included in the group as defined in section 2(1) of the Financial Reporting Act 1993
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) by the New Zealand government under a guarantee or similar arrangement; or
(b) by a sovereign authority in an overseas jurisdiction
group of closely related counterparties means a group of legal or natural persons who are related in such a way that-
(a) the financial soundness of any one of them may materially affect the financial soundness of the others;
(b) one has the power to control the others; or
(c) one has the capacity to exercise significant influence over the others
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
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 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 risk has the same meaning as in NZ IFRS 7
IRB approach means 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
key management personnel has the same meaning as in NZ IAS 24
LGD means a 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 disclosure statement
NZ IAS 1 means New Zealand Equivalent to International Accounting Standard 1 (Presentation of Financial Statements), approved under the Financial Reporting Act 1993
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: 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
other asset under administration means any asset that is not an impaired asset or a 90 day past due asset 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
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
past due has the same meaning as in NZ IFRS 7 and an asset that is a specified number of days past due includes an asset 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 the specified number of days; or
(b) amounts owing under revolving facilities have been continuously outside of limits for at least the specified number of days
PD means a probability of default determined in accordance with Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
premises means any staffed premises of the registered bank or an agency of the registered bank in New Zealand to which the registered bank's customers or potential customers have access in order to conduct banking business
qualifying revolving retail exposures has the same meaning as in Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
reporting date means the last day of the accounting period for a disclosure statement
responsible person means a person authorised in writing by a director to sign the disclosure statement of a registered bank in accordance with section 82 of the Act
solo basis, for the information required for the registered bank on a solo basis under clause 16(2) of Schedule 11, has the same meaning as in Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
subsidiary means a subsidiary within the meaning of sections 5 to 8 of the Companies Act 1993 and includes any company or body corporate or association of persons that is classified as a subsidiary in any applicable financial reporting standard approved by the Accounting Standards Review Board under the Financial Reporting Act 1993
Tier 1 capital,-
(a) in Schedules 9 and 10, has the same meaning as in Capital Adequacy Framework (Standardised Approach) (BS2A); and
(b) in Schedules 11 and 12, has the same meaning as in Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
Tier 1 capital ratio,-
(a) in Schedules 9 and 10, has the same meaning as in Capital Adequacy Framework (Standardised Approach) (BS2A); and
(b) in Schedules 11 and 12, has the same meaning as in Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
Tier 2 capital,-
(a) in Schedules 9 and 10, has the same meaning as in Capital Adequacy Framework (Standardised Approach) (BS2A); and
(b) in Schedules 11 and 12, has the same meaning as in Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
Total capital,-
(a) in Schedules 9 and 10, has the same meaning as in Capital Adequacy Framework (Standardised Approach) (BS2A); and
(b) in Schedules 11 and 12, has the same meaning as in Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
Total capital ratio,-
(a) in Schedules 9 and 10, has the same meaning as in Capital Adequacy Framework (Standardised Approach) (BS2A); and
(b) in Schedules 11 and 12, has the same meaning as in Capital Adequacy Framework (Internal Models Based Approach) (BS2B)
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
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 and not defined in it or in the Act-
(a) if defined in a registered bank's conditions of registration, has in relation to the registered bank the same meaning as under its conditions of registration; or
(b) if paragraph (a) does not apply and if applicable, must be interpreted in a way that complies with generally accepted accounting practice.
(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.
5 Accounting periods for disclosure statements
(1) A full year accounting period is-
(a) the 12 month period that begins on the day after one balance date and ends on the next balance date;
(b) the period longer or shorter than 12 months that begins on the day after one balance date and ends on the next balance date due to-
(i) the date of the registered bank's incorporation;
(ii) a change of the registered bank's balance date; or
(c) for a first disclosure statement, the period determined by the Reserve Bank.
(2) Balance date means-
(a) in subclause (1), the balance date of the registered bank under section 7 of the Financial Reporting Act 1993; or
(b) for a first disclosure statement, the date determined by the Reserve Bank.
(3) A half year accounting period-
(a) if subclause (1)(a) applies, is the first 6 month period of a full year accounting period; or
(b) if subclause (1)(b) applies, is the period determined by the Reserve Bank under subclause (8).
(4) A first quarter accounting period-
(a) if subclause (1)(a) applies, is the first 3 month period of a full year accounting period; or
(b) if subclause (1)(b) applies, is the period determined by the Reserve Bank under subclause (8).
(5) A third quarter accounting period-
(a) if subclause (1)(a) applies, is the first 9 month period of a full year accounting period; or
(b) if subclause (1)(b) applies, is the period determined by the Reserve Bank under subclause (8).
(6) A fourth quarter accounting period is the period determined by the Reserve Bank under subclause (8) but occurs only if-
(a) subclause (1)(b) applies and the full year accounting period is 14 months or more; and
(b) after consultation with the registered bank, the Reserve Bank requires a fourth quarter accounting period.
(7) An off quarter accounting period is-
(a) a first quarter accounting period;
(b) a third quarter accounting period; or
(c) a fourth quarter accounting period.
(8) If subclause (1)(b) applies, the Reserve Bank may, after consultation with the registered bank, determine the length of any of the half year or off quarter accounting periods in the shorter or longer full year accounting period.
Part 1
General requirements for disclosure statements
6 General requirements for disclosure statements
(1) A disclosure statement may be-
(a) a full year disclosure statement;
(b) a half year disclosure statement;
(c) an off quarter disclosure statement, which may be-
(i) a first quarter disclosure statement;
(ii) a third quarter disclosure statement; or
(iii) if applicable, a fourth quarter disclosure statement; or
(d) a first disclosure statement.
(2) Subject to subclause (5), a registered bank must produce-
(a) a full year disclosure statement for each full year accounting period;
(b) a half year disclosure statement for each half year accounting period;
(c) an off quarter disclosure statement for-
(i) each first quarter accounting period; and
(ii) each third quarter accounting period.
(3) If a registered bank's full year accounting period is 14 months or more, the registered bank may also be required to produce a fourth quarter disclosure statement for a fourth quarter accounting period.
(4) When registered as a registered bank, a registered bank must produce a first disclosure statement.
(5) If a full year disclosure statement and a half year or off quarter disclosure statement are required in respect of the same accounting period, the registered bank need only produce the full year disclosure statement.
(6) Further details are set out-
(a) for full year, half year and off quarter disclosure statements in Part 2 and in the Schedules of this Order; and
(b) for first disclosure statements in clause 12.
7 Full and half year disclosure statements to be audited
(1) A full year disclosure statement of a registered bank must be audited.
(2) A half year disclosure statement of a registered bank must be reviewed by an auditor if it is not audited.
(3) An auditor's report or review statement must meet the requirements of clause 20.
8 Publication on Internet
(1) A disclosure statement is published when it is made available on the registered bank's Internet site for New Zealand.
(2) A disclosure statement published on a registered bank's Internet site must be-
(a) publicly available at no charge;
(b) readily accessible from the main landing page or front page for the registered bank's Internet site via a link labelled "disclosure statements"; and
(c) maintained on the registered bank's Internet site for at least 5 years after the last day on which the disclosure statement must be published.
9 Time of publication
(1) A registered bank must publish-
(a) a full year disclosure statement within 3 months of the reporting date for the full year disclosure statement;
(b) a half year disclosure statement within-
(i) 2 months of the reporting date for the half year disclosure statement; or
(ii) if the Reserve Bank considers the registered bank has reasonable grounds for not being able to comply with subparagraph (i), 3 months of the reporting date for the half year disclosure statement; and
(c) an off quarter disclosure statement within 2 months of the reporting date for the off quarter disclosure statement.
(2) A first disclosure statement must be published by a registered bank on the day of the registered bank's registration.
10 Delivery to Reserve Bank
(1) On the day a disclosure statement is published the disclosure statement must be sent to the Reserve Bank by the registered bank.
(2) If the Reserve Bank specifies a form or format for the disclosure statement to be sent to it, the disclosure statement must be provided in the form or format specified by the Reserve Bank.
(3) The Reserve Bank may specify more than one form or format.
11 Requests for copies
(1) A person may request a copy of any of a registered bank's disclosure statements.
(2) A registered bank must provide a copy of the disclosure statements requested by a person free of charge.
(3) If a person requests a copy of the registered bank's most recent disclosure statement in person at the premises of the registered bank, the registered bank-
(a) may refer the person to its Internet site; but
(b) must offer to provide a printed copy to the person of its most recent full year disclosure statement and any subsequent half year or off quarter disclosure statement that is published when the request is made.
(4) If a person accepts an offer made under subclause (3)(b), the registered bank must dispatch to the person a printed copy of the offered disclosure statements by the end of the second working day after the day on which the request is made.
(5) Other than in relation to a request made in person at the premises of the registered bank or by accessing a copy published on the registered bank's Internet site, if a person requests a copy of the registered bank's most recent disclosure statement, the registered bank-
(a) may refer the person to its Internet site; but
(b) must offer to provide to the person by other suitable means a copy of its most recent full year disclosure statement and any subsequent half year or off quarter disclosure statement that is published when the request is received.
(6) If a person accepts an offer made under subclause (5)(b), the registered bank must dispatch to the person a copy of the offered disclosure statements by the end of the second working day after the day on which the request is received.
(7) Other than in relation to a request for the registered bank's most recent disclosure statement or by accessing a copy published on the registered bank's Internet site, if a person requests a copy of any of the registered bank's disclosure statements, the registered bank-
(a) may refer the person to its Internet site; but
(b) must offer to provide to the person by other suitable means a copy of the requested disclosure statements that are published when the request is made.
(8) If a person accepts an offer made under subclause (7)(b), the registered bank must dispatch to the person a copy of the requested disclosure statements by the end of the second working day after the day on which the request is received.
(9) To avoid doubt, in this clause a printed copy is a copy in non-electronic form.
12 First disclosure statement
(1) Subject to subclauses (2) to (4), a registered bank's first disclosure statement must meet the requirements that apply to a full year disclosure statement.
(2) The Reserve Bank must determine the full year accounting period and balance date for a first disclosure statement.
(3) The balance date determined by the Reserve Bank may be a date before the date on which the registered bank is registered as a registered bank.
(4) The Reserve Bank must give notice in writing to an applicant bank of the accounting period and balance date for the first disclosure statement-
(a) at least 1 month before the date the bank is registered as a registered bank; or
(b) on a date agreed by the applicant bank and the Reserve Bank.
Part 2
Content of disclosure statements
Subpart 1-General requirements
13 Information must be in English
The information in a disclosure statement must be in English.
14 Disclosure statement not to be false or misleading
In addition to the information required in this Order, a disclosure statement-
(a) must contain such other information that, in the opinion of the directors, is necessary or desirable to ensure that the 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 to include in the disclosure statement.
15 Requirements when registered bank is unable to disclose information
Subject to clause 16(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 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.
16 Comparative information
(1) Any comparative information that is required to be disclosed under this Order for the previous corresponding accounting period must be restated so that it corresponds to the information disclosed for the current accounting 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 time since the last day of the previous corresponding accounting period.
17 Disclosure statement not to contain offer of securities
A disclosure statement-
(a) must not contain any offer of securities within the meaning of section 2 of the Securities Act 1978; but
(b) may contain information required for the purposes of regulation 38(3) of the Securities Regulations 2009.
18 Information about shareholders
The 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 its banking group, without also stating whether or not that person guarantees any of the obligations of the registered bank or any member of its banking group.
19 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.
20 Auditor's report or review statement
(1) An auditor's report on the full year disclosure statement of a registered bank must-
(a) include the information prescribed in clause 2 of Schedule 1; and
(b) be signed by the auditor, either in the auditor's own name or the name of the auditor's firm.
(2) An auditor's report or review statement on the half year disclosure statement of a registered bank must-
(a) include the information prescribed in either clause 2 or clause 3 of Schedule 1; and
(b) be signed by the auditor, either in the auditor's own name or the name of the auditor's firm.
Subpart 2-Content of disclosure statements
21 Information to be included in full year disclosure statement
(1) A full year disclosure statement of a registered bank must include, in respect of the most recent full year accounting period,-
(a) all of the information prescribed in Schedule 2;
(b) the information prescribed in Schedules 4, 7, 13, 14, 15 and 17;
(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 information prescribed in Schedule 9;
(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 information prescribed in Schedule 11; 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 Capital Adequacy Framework (Standardised Approach) (BS2A) and Capital Adequacy Framework (Internal Models Based Approach) (BS2B), any information set out in Schedules 9 and 11 that is applicable to that methodology.
(2) Paragraphs (b) to (e) of subclause (1) do not apply if the information is included in the financial statements prepared in accordance with clause 24.
22 Information to be included in half year disclosure statement
(1) A half year disclosure statement of a registered bank must include, in respect of the most recent half year accounting period,-
(a) all of the information prescribed in Schedule 3;
(b) the information prescribed in Schedules 5, 7, 13, 16 and 18;
(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 information prescribed in Schedule 9;
(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 information prescribed in Schedule 11; 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 Capital Adequacy Framework (Standardised Approach) (BS2A) and Capital Adequacy Framework (Internal Models Based Approach) (BS2B), any information set out in Schedules 9 and 11 that is applicable to that methodology.
(2) Paragraphs (b) to (e) of subclause (1) do not apply if the information is included in the financial statements prepared in accordance with clause 25.
23 Information to be included in off quarter disclosure statements
(1) An off quarter disclosure statement of a registered bank must include, in respect of the most recent off quarter accounting period-
(a) all of the information prescribed in Schedule 3;
(b) the information prescribed in Schedules 6, 8, 13, 16 and 18;
(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 information prescribed in Schedule 10;
(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 information prescribed in Schedule 12; 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 Capital Adequacy Framework (Standardised Approach) (BS2A) and Capital Adequacy Framework (Internal Models Based Approach) (BS2B), any information set out in Schedules 10 and 12 that is applicable to that methodology.
(2) Paragraphs (b) to (e) of subclause (1) do not apply if the information is included in the financial statements prepared in accordance with clause 25.
24 Financial statements for full year accounting period
(1) A full year disclosure statement of a registered bank must contain or be accompanied by the financial statements of-
(a) the registered bank; and
(b) its banking group.
(2) The financial statements referred to in subclause (1) must be prepared in accordance with the requirements of the Financial Reporting Act 1993 as if-
(a) every reference in that Act to a group were a reference to the registered bank's banking group; and
(b) the registered bank and its banking group do not qualify for any exemptions under any differential reporting framework that applies to them.
(3) The financial statements referred to in subclause (1) must be presented in New Zealand dollars.
25 Financial statements for half year and off quarter accounting periods
(1) The half year and off quarter disclosure statement must contain or be accompanied by interim financial statements of the registered bank's banking group prepared in accordance with NZ IAS 34.
(2) The financial statements referred to in subclause (1) must be prepared as if the registered bank's banking group does not qualify for any exemptions under any differential reporting framework that applies to them.
(3) The financial statements referred to in subclause (1) must be presented in New Zealand dollars.
Part 3
Miscellaneous provisions
26 Revocation
The Registered Bank Disclosure Statements (New Zealand Incorporated Registered Banks) Order (No 3) 2013 is revoked at the end of the day of 30 March 2014.
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Schedule 1-Full year and half year
Information in audit reports and review statements
Contents
Page
1 How this Schedule applies 469
2 Audit report required for full year disclosure statements but optional for half year disclosure statements 469
3 Audit review statement for half year disclosure statements 471
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1 How this Schedule applies
(1) An auditor's report or review statement must address the financial statements and the information prepared in accordance with this Order except for the information required under Schedules 2 and 3.
(2) For a full year disclosure statement, an auditor's report must meet the requirements of clause 2 as they apply to a full year disclosure statement.
(3) For a half year disclosure statement,-
(a) if the disclosure statement is audited by an auditor, the auditor's report must meet the requirements of clause 2 as they apply to a half year disclosure statement; and
(b) if the disclosure statement is reviewed by an auditor, the auditor's review statement must meet the requirements of clause 3.
2 Audit report required for full year disclosure statements but optional for half year disclosure statements
(1) Subject to subclause (2), the auditor's report must in respect of a full year disclosure statement and may in respect of a half year disclosure statement state-
(a) the work done by the auditor;
(b) the scope and limitations of the audit;
(c) the existence of any relationship (other than that of auditor) which the auditor has with, or interest the auditor has in, the registered bank and any associated person of the registered bank;
(d) whether or not the auditor has obtained all the information and explanations that the auditor has required;
(e) whether or not, in the auditor's opinion, as far as appears from an examination of them, proper accounting records have been kept by the registered bank and its banking group;
(f) whether or not, in the auditor's opinion, the financial statements of the registered bank and its banking group comply with generally accepted accounting practice, and if they do not, the respects in which they fail to comply;
(g) whether or not, in the auditor's opinion (where applicable), the information has been prepared in accordance with guidelines issued under section 78(3) of the Act (if any) or any conditions of registration, and is in accordance with the books and records of the registered bank and its banking group;
(h) whether or not, in the auditor's opinion,-
(i) for an auditor's report that relates to a full year disclosure statement, having regard to any information or explanations that may have been added by the registered bank under sections 11(2) and 14(2) of the Financial Reporting Act 1993, the financial statements of the registered bank and its banking group give a true and fair view of the matters to which they relate and, if they do not, the respects in which they fail to give such a view; and
(ii) for an auditor's report that relates to a half year disclosure statement, the interim financial statements of the registered bank's banking group are prepared, in all material respects, in accordance with NZ IAS 34;
(i) whether or not, in the auditor's opinion, the information that is required to be disclosed under the applicable schedules listed in subclause (3) fairly states the matters to which it relates in accordance with those schedules and, if it does not, the respects in which it fails to fairly state those matters;
(j) if the registered bank meets the condition in clause 21(1)(c) of Part 2, for the information relating to capital adequacy that is required to be disclosed under Schedule 9-
(i) that the information has been examined by the auditor;
(ii) whether or not anything has come to the auditor's attention which would cause the auditor to believe that the information is not in all material respects prepared in accordance with the bank's conditions of registration and disclosed in accordance with Schedule 9;
(k) if the registered bank meets the condition in clause 21(1)(d) of Part 2, for information relating to capital adequacy that is required to be disclosed under Schedule 11-
(i) that the information has been examined by the auditor; and
(ii) whether or not anything has come to the auditor's attention which would cause the auditor to believe that the information is not in all material respects prepared in accordance with the bank's conditions of registration and with the bank's internal models for credit risk and operational risk as accredited by the Reserve Bank of New Zealand and disclosed in accordance with Schedule 11; and
(l) if the registered bank meets the condition in clause 21(1)(e) of Part 2, for the information relating to capital adequacy that is required to be disclosed under applicable clauses of Schedules 9 and 11-
(i) that the information has been examined by the auditor; and
(ii) whether or not anything has come to the auditor's attention which would cause the auditor to believe that the information is not in all material respects prepared in accordance with the bank's conditions of registration and with the bank's applicable internal risk models as accredited by the Reserve Bank of New Zealand and disclosed in accordance with the applicable clauses of Schedules 9 and 11.
(2) For the purposes of paragraphs (e) to (h) of subclause (1), if the auditor's report relates to a half year disclosure statement, the auditor's opinion need only relate to the registered bank's banking group.
(3) For the purposes of subclause (1)(i),-
(a) if the auditor's report relates to a full year disclosure statement, the applicable schedules are Schedules 4, 7, 13, 14, 15 and 17; and
(b) if the auditor's report relates to a half year disclosure statement, the applicable schedules are Schedules 5, 7, 13, 16 and 18.
3 Audit review statement for half year disclosure statements
If a half year disclosure statement is not audited and instead is reviewed by an auditor, the auditor's review statement must-
(a) for financial statements prepared in accordance with clause 25 of Part 2, state-
(i) that the financial statements have been examined by the auditor; and
(ii) whether or not anything has come to the auditor's attention which would cause the auditor to believe that the financial statements have not been prepared, in all material respects, in accordance with NZ IAS 34;
(b) for the information that is required to be disclosed under Schedules 5, 7, 13, 16 and 18, state-
(i) that the information has been examined by the auditor; and
(ii) whether or not anything has come to the auditor's attention which would cause the auditor to believe that the information does not fairly state the matters to which it relates in accordance with those schedules;
(c) if the registered bank meets the condition in clause 21(1)(c) of Part 2, for the information relating to capital adequacy that is required to be disclosed under Schedule 9, state-
(i) that the information has been examined by the auditor; and
(ii) whether or not anything has come to the auditor's attention which would cause the auditor to believe that the information is not in all material respects prepared in accordance with the bank's conditions of registration and disclosed in accordance with Schedule 9;
(d) if the registered bank meets the condition in clause 21(1)(d) of Part 2, for the information relating to capital adequacy that is required to be disclosed under Schedule 11, state-
(i) that the information has been examined by the auditor; and
(ii) whether or not anything has come to the auditor's attention which would cause the auditor to believe that the information is not in all material respects prepared in accordance with the bank's conditions of registration and with the bank's internal models for credit risk and operational risk as accredited by the Reserve Bank of New Zealand and disclosed in accordance with Schedule 11; and
(e) if the registered bank meets the condition in clause 21(1)(e) of Part 2, for the information relating to capital adequacy that is required to be disclosed under applicable clauses of Schedules 9 and 11, state-
(i) that the information has been examined by the auditor; and
(ii) whether or not anything has come to the auditor's attention which would cause the auditor to believe that the information is not in all material respects prepared in accordance with the bank's conditions of registration and with the bank's applicable internal risk models as accredited by the Reserve Bank of New Zealand and disclosed in accordance with the applicable clauses of Schedules 9 and 11.
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Schedule 2-Full year
Information to be included in disclosure statement
Contents
Page
1 Details of ultimate parent bank and ultimate holding company 473
2 Interests in 5% or more of voting securities of registered bank 473
3 Priority of creditors' claims 474
4 Guarantees 474
5 Details of guarantor 474
6 Details of guaranteed obligations 475
7 Details of government guarantors 475
8 Details of obligations guaranteed by government guarantors 476
9 Material cross guarantees 476
10 Directors 476
11 Auditors 477
12 Conditions of registration 477
13 Pending proceedings or arbitration 477
14 Credit rating 477
15 Historical summary of financial statements 478
16 Other material matters 478
17 Directors' statements 478
18 Auditor's report 479
19 Index 479
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1 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;
(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.
2 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 it, 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;
(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.
3 Priority of creditors' claims
Information on the priority of the claims of each class of creditor over the registered bank's assets in the event that the registered bank is liquidated or ceases to trade.
4 Guarantees
(1) A statement on whether or not any material obligations of the registered bank are guaranteed as at the date its directors sign its 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 5 and 6.
(3) If the registered bank has a government guarantee, for each such guarantee the matters set out in clauses 7 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.
5 Details of guarantor
(1) The name and address for service of the guarantor.
(2) A statement on whether or not the guarantor is a member of the registered bank's 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's 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 on whether or not 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;
(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.
6 Details of guaranteed obligations
(1) A description of the obligations that are guaranteed.
(2) A statement on whether or not 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 or not 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 on whether or not 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 winding up of that guarantor.
(5) If there are any such material legislative or regulatory restrictions,-
(a) the title of the legislation or regulations involved and the nature of the subordination of the rights of the creditors which they create; and
(b) 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.
7 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.
8 Details of obligations guaranteed by government guarantors
(1) A description of the obligations guaranteed by the government guarantor.
(2) A statement on whether or not 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 or not 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.
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) and (3).
(2) A description of the guaranteeing group and the nature of the cross guaranteeing arrangement.
(3) The matters required to be disclosed under subclauses (2) to (6) of clause 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.
10 Directors
(1) An address to which communications to the directors and responsible persons (if any), may be sent.
(2) The name, occupation(s) (separately identifying which is the primary occupation), technical or professional qualifications, and country of residence of each director and responsible person.
(3) If applicable, the name of each director on whose behalf each responsible person has signed the disclosure statement.
(4) In relation to each director,-
(a) the nature and amount of any transaction which the director or any immediate relative or close business associate of the director has with the registered bank or any member of the registered bank's banking group that either-
(i) has been entered into on terms other than those which would, in the ordinary course of business of the registered bank or any member of the registered bank's banking group, be given to any other person of like circumstances or means; or
(ii) could otherwise be reasonably likely to influence materially the exercise of that director's duties;
(b) whether or not the director is an executive director;
(c) whether or not the director is an independent director; and
(d) the names of all companies, other than those which are members of the registered bank's banking group, of which the director holds office as a director.
(5) A statement on whether or not there is a board audit committee or other separate board committee covering audit matters, and if so, the total number of persons who comprise the committee, and of these, the number who are-
(a) directors (other than independent directors); and
(b) independent directors.
(6) The policy of the board of directors for avoiding or dealing with conflicts of interest which may arise from the personal, professional or business interests of the directors.
11 Auditors
The name and address of any auditor whose report is referred to in the disclosure statement.
12 Conditions of registration
(1) A copy of the conditions of registration that applied at the balance date for the disclosure statement.
(2) If applicable, a description of any changes to the conditions of registration that have occurred since the reporting date for the previous disclosure statement, 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 full year accounting period, a description of the nature and extent of each case of non-compliance.
13 Pending proceedings or arbitration
A description of any pending legal proceedings or arbitration concerning any member of the registered bank's banking group, whether in New Zealand or elsewhere, that may have a material adverse effect on the registered bank or its banking group.
14 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 balance date and the date on which the change occurred; and
(e) descriptions or explanations of all steps in the applicable rating scales.
15 Historical summary of financial statements
(1) An historical summary of financial statements for the registered bank's banking group for each of the 5 most recent consecutive full year accounting periods.
(2) The amounts in the historical summary of financial statements must be amounts that-
(a) are taken from financial statements of the registered bank's banking group; and
(b) give a true and fair view of the results and the state of affairs of the registered bank's banking group for the period concerned.
(3) The amounts that appear in the historical summary of financial statements must include the following:
(a) total interest revenue;
(b) total interest expense;
(c) total other revenue;
(d) total credit impairment losses charged to the income statement;
(e) total other expenses;
(f) net profit or loss before taxation;
(g) taxation;
(h) net profit or loss after taxation;
(i) net profit or loss attributable to non-controlling interests;
(j) the amount paid or provided for dividends;
(k) total assets;
(l) total individually impaired assets;
(m) total liabilities; and
(n) equity.
(4) A statement on whether or not the amounts specified in subclause (3) have been taken from audited financial statements.
16 Other material matters
Details of any matters relating to the business or affairs of the registered bank and its banking group that-
(a) are not contained elsewhere in the disclosure statement; and
(b) would, if disclosed, materially affect the decision of a person to subscribe for debt securities of which the registered bank or any member of the registered bank's banking group is the issuer.
17 Directors' statements
(1) A statement by the directors as to whether or not each director believes, after due enquiry, that, as at the date on which the disclosure statement is signed,-
(a) the disclosure statement contains all the information that is required by this Order; and
(b) the disclosure statement is not false or misleading.
(2) A statement by the directors as to whether or not each director believes, after due enquiry, that, over the full year accounting period-
(a) the registered bank has complied with all conditions of registration that applied during that period;
(b) credit exposures to connected persons (if any) were not contrary to the interests of the registered bank's banking group; and
(c) the registered bank had systems in place to monitor and control adequately the material risks of the registered bank's banking group 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.
18 Auditor's report
A copy of the auditor's report referred to in clause 20(1) in Part 2.
19 Index
An index to the contents of the disclosure statement that-
(a) refers to the main components of the disclosure statement;
(b) lists the notes to the financial statements in the disclosure statement; and
(c) if needed, includes any other information that might help a reader locate key information in the disclosure statement.
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Schedule 3-Half year and off quarters
Information to be included in disclosure statement
Contents
Page
1 Details of ultimate parent bank and ultimate holding company 480
2 Guarantees 480
3 Summary information on guarantor and guaranteed obligations 481
4 Summary information on government guarantors and government-guaranteed obligations 481
5 Material cross guarantees 481
6 Changes in registered bank's board of directors 482
7 Auditors 482
8 Conditions of registration 482
9 Pending proceedings or arbitration 482
10 Credit rating 482
11 Other material matters 483
12 Directors' statements 483
13 Auditor's report or review statement 483
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1 Details of ultimate parent bank and ultimate holding company
(1) If since the balance date for the most recent full year disclosure statement there has been a change in either the ultimate parent bank or the ultimate holding company of the registered bank,-
(a) a statement of the nature of the changes;
(b) the name and address for service of the ultimate parent bank; and
(c) the name and address for service of the ultimate holding company.
(2) If since the balance date for the most recent full year disclosure statement there has been a material change in regulations, legislation, or other restrictions of a legally enforceable nature that may materially inhibit the legal ability of the bodies corporate referred to in subclause (1) to provide material financial support to the registered bank, a statement of the nature of the changes.
2 Guarantees
(1) A statement on whether or not any material obligations of the registered bank are guaranteed as at the date its directors sign its 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 clause 3.
(3) If the registered bank has a government guarantee, for each such guarantee the matters set out in clause 4.
(4) If any material obligations of the registered bank are guaranteed under a cross guaranteeing arrangement, the matters required by clause 5.
(5) Subclause (2) does not apply if subclause (4) applies.
3 Summary information on guarantor and guaranteed obligations
(1) The name and address for service of the guarantor.
(2) A statement on whether or not the guarantor is a member of the registered bank's banking group.
(3) A statement on whether or not 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.
(4) A summary description of the obligations that are guaranteed.
(5) 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.
(6) If the registered bank's most recent full year disclosure statement contains further information about the guarantee:
(a) a statement to that effect;
(b) information on how to obtain a copy of that disclosure statement; and
(c) if there have been any material changes in the terms of the guarantee since the date on which the signing of that disclosure statement was completed, a description of those changes.
4 Summary information on government guarantors and government-guaranteed obligations
(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) A summary description of the obligations guaranteed by the government guarantor.
(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.
(5) If the registered bank's most recent full year disclosure statement contains further information about the guarantee:
(a) a statement to that effect;
(b) information on how to obtain a copy of that disclosure statement; and
(c) if there have been any material changes in the terms of the guarantee since the date on which the signing of that disclosure statement was completed, a description of those changes.
5 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 summary description of the guaranteeing group and the nature of the cross guaranteeing arrangement.
(3) The matters required to be disclosed under clause 3(5) 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 the registered bank's most recent full year disclosure statement contains further information about the cross guaranteeing arrangement:
(a) a statement to that effect;
(b) information on how to obtain a copy of that disclosure statement; and
(c) if there have been any material changes in the cross guaranteeing arrangements since the date on which the signing of that disclosure statement was completed, a description of those changes.
6 Changes in registered bank's board of directors
(1) A statement on whether or not there have been any changes in the composition of the registered bank's board of directors since the balance date for its most recent full year disclosure statement, 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 disclosure statement.
7 Auditors
The name and address of any auditor whose report or review statement is referred to in the disclosure statement.
8 Conditions of registration
(1) If any changes to the conditions of registration have occurred between the reporting date for the previous disclosure statement and the reporting date for the disclosure statement, a description of those changes including the dates on which they occurred.
(2) If the registered bank has not complied with all conditions of registration over the half year accounting period or off quarter accounting period as applicable, a description of the nature and extent of each case of non-compliance.
9 Pending proceedings or arbitration
A description of any pending legal proceedings or arbitration concerning any member of the registered bank's banking group, whether in New Zealand or elsewhere, that may have a material adverse effect on the registered bank or its banking group.
10 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; and
(c) the current rating and all qualifications to that rating.
11 Other material matters
Details of any matters relating to the business or affairs of the registered bank and its banking group that-
(a) are not contained elsewhere in the disclosure statement; and
(b) would, if disclosed, materially affect the decision of a person to subscribe for debt securities of which the registered bank or any member of the registered bank's banking group is the issuer.
12 Directors' statements
(1) A statement by the directors as to whether or not each director believes, after due enquiry, that, as at the date on which the disclosure statement is signed,-
(a) the disclosure statement contains all the information that is required by this Order; and
(b) the disclosure statement is not false or misleading.
(2) A statement by the directors as to whether or not each director believes, after due enquiry, that, over the half year accounting period or the off quarter accounting period as applicable,-
(a) the registered bank has complied with all conditions of registration that applied during that period;
(b) credit exposures to connected persons (if any) were not contrary to the interests of the registered bank's banking group; and
(c) the registered bank had systems in place to monitor and control adequately the material risks of the registered bank's banking group 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.
13 Auditor's report or review statement
(1) In respect of a half year disclosure statement, a copy of the auditor's report or review statement referred to in clause 20(2) of Part 2.
(2) In respect of an off quarter disclosure statement, if the 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; and
(b) a copy of the auditor's report or review statement.
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Schedule 4-Full year
Additional financial disclosures
Contents
Page
1 Additional information on statement of financial position 484
2 Additional information on concentrations of credit risk 484
3 Additional information on interest rate sensitivity 484
4 Additional information on liquidity risk 485
5 Reconciliation of mortgage-related amounts 485
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1 Additional information on statement of financial position
(1) The following information in respect of the registered bank and its banking group:
(a) total interest earning and discount bearing assets; and
(b) total interest and discount bearing liabilities.
(2) The information that is required to be disclosed under subclause (1) must include comparative figures for the previous corresponding period.
2 Additional information on concentrations of credit risk
(1) In disclosing information on concentrations of credit exposure in terms of customer and industry sector in compliance with paragraphs 34(c) and B8 of NZ IFRS 7, the information in subclause (2) in respect of the registered bank and its banking group.
(2) Separate disclosure of credit risk exposure to the agricultural sector, if material to the registered bank's banking group.
(3) For the purpose of the disclosure required by subclause (2), if the bank categorises sector credit risk concentrations using the Australian and New Zealand Standard Industrial Classification 2006, the amounts disclosed must relate to subdivision A01 "Agriculture" of that classification.
3 Additional information on interest rate sensitivity
(1) In addition to the sensitivity analysis of interest rate risk presented in compliance with NZ IFRS 7, the information in subclause (2) in respect of the registered bank and its banking group.
(2) An interest rate repricing schedule showing, for each class of financial assets and financial liabilities, contractual repricing or maturity dates, whichever dates are earlier, grouped into maturity bands including at least the following:
Total Up to 3 months Over 3 months and up to 6 months Over 6 months and up to 1 year Over 1 year and up to 2 years Over 2 years Not interest-bearing
4 Additional information on liquidity risk
(1) In addition to the maturity analyses required by NZ IFRS 7 for financial liabilities, maturity analyses for financial assets that show the maturities using the same time bands and on the same basis as the maturity analyses of financial liabilities required by paragraphs 39(a) and (b), and paragraphs B10A to B11D of Appendix B, of NZ IFRS 7.
(2) In disclosing the maturity analyses of financial liabilities required by NZ IFRS 7 and the maturity analyses of financial assets required by subclause (1), the registered bank must include an "on demand" time band.
5 Reconciliation of mortgage-related amounts
(1) The information in subclause (2) in respect of the registered bank's banking group as at the balance date.
(2) A table providing a reconciliation between any figures disclosed elsewhere in the full year disclosure statement that relate to mortgages on residential property, including but not limited to amounts described by any of the following terms:
(a) housing loans;
(b) residential mortgages; or
(c) retail mortgages.
(3) In providing the reconciliation table required by subclause (2), the bank must explain any differences between the numbers, including, if applicable, but not limited to, the following explanations:
(a) whether an amount includes lending for the purpose of investment in residential property or only covers owner-occupied housing;
(b) whether or not an amount includes any corporate lending secured on residential mortgages; and
(c) whether an amount only includes drawn-down loan balances or also includes undrawn lending commitments.
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Schedule 5-Half year
Additional financial disclosures
Contents
Page
1 Additional information on statement of financial position 486
2 Additional information on income statement 486
3 Additional information on concentrations of credit risk 486
4 Additional information on concentrations of funding 487
5 Additional information on interest rate sensitivity 487
6 Additional information on liquidity risk 487
7 Reconciliation of mortgage-related amounts 487
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1 Additional information on statement of financial position
(1) The following information in respect of the registered bank's banking group-
(a) total interest earning and discount bearing assets;
(b) total interest and discount bearing liabilities;
(c) the amount of any financial assets that have been pledged as collateral for liabilities or contingent liabilities, presented on a basis that is consistent with any such information disclosed in the financial statements for the most recent full year accounting period and that complies with paragraph 14 of NZ IFRS 7;
(d) total amounts due from related entities; and
(e) total amounts due to related entities.
(2) In subclauses (1)(d) and (1)(e), related entities does not include key management personnel of the registered bank's banking group.
2 Additional information on income statement
Within the interim financial statements included in the half year disclosure statement in accordance with clause 25 of Part 2, either in the income statement or in the explanatory notes, information allowing the following amounts to be separately identified:
(a) net trading gains or losses;
(b) if applicable, credit risk adjustments on financial assets at fair value;
(c) other fair value adjustments not included in the amounts referred to in subclause (b); and
(d) other operating income excluding amounts referred to in subclauses (a) to (c).
3 Additional information on concentrations of credit risk
(1) In respect of the registered bank's banking group, information on concentrations of credit exposure in terms of customer and industry sector as if paragraphs 34(c) and B8 of NZ IFRS 7 applied to the half year disclosure statement.
(2) The information required to be disclosed by subclause (1) must separately show the registered bank's banking group's credit risk exposure to the agricultural sector, if material to the registered bank's banking group.
(3) For the purpose of the disclosure required by subclause (2), if the bank categorises sector credit risk concentrations using the Australian and New Zealand Standard Industrial Classification 2006, the amounts disclosed must relate to subdivision A01 "Agriculture" of that classification.
4 Additional information on concentrations of funding
In respect of the registered bank's banking group, information on concentrations of funding in terms of customer and industry sector and in terms of geographical area as if paragraphs 34(c) and B8 of NZ IFRS 7 applied to the half year disclosure statement.
5 Additional information on interest rate sensitivity
(1) In respect of the registered bank's banking group, the information on interest rate risk in subclause (2).
(2) An interest rate repricing schedule showing, for each class of financial assets and financial liabilities, contractual repricing or maturity dates, whichever dates are earlier, grouped into maturity bands including at least the following:
Total Up to 3 months Over 3 months and up to 6 months Over 6 months and up to 1 year Over 1 year and up to 2 years Over 2 years Not interest-bearing
6 Additional information on liquidity risk
(1) In respect of the registered bank's banking group, maturity analyses of financial liabilities as if the requirements of paragraphs 39(a) and (b), and paragraphs B10A to B11D of Appendix B, of NZ IFRS 7 applied.
(2) In respect of the registered bank's banking group, maturity analyses of financial assets using the same time bands and on the same basis as the maturity analyses of financial liabilities required by subclause (1).
(3) In disclosing the information required by subclauses (1) and (2), the registered bank must include an "on demand" time band in the maturity analyses of the registered bank's banking group's financial assets and liabilities.
(4) An analysis of financial assets held by the registered bank's banking group for the purpose of managing liquidity risk, presented on a basis that is consistent with any such information disclosed in the financial statements for the most recent full year accounting period and that complies with NZ IFRS 7.
7 Reconciliation of mortgage-related amounts
(1) The information in subclause (2) in respect of the registered bank's banking group as at the reporting date.
(2) A table providing a reconciliation between any figures disclosed elsewhere in the half year disclosure statement that relate to mortgages on residential property, including but not limited to amounts described by any of the following terms:
(a) housing loans;
(b) residential mortgages; or
(c) retail mortgages.
(3) In providing the reconciliation table required by subclause (2), the bank must explain any differences between the numbers, including, if applicable, but not limited to, the following explanations:
(a) whether an amount includes lending for the purpose of investment in residential property or only covers owner-occupied housing;
(b) whether or not an amount includes any corporate lending secured on residential mortgages; and
(c) whether an amount only includes drawn-down loan balances or also includes undrawn lending commitments.
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Schedule 6-Off quarters
Additional financial disclosures
Contents
Page
1 Additional information on statement of financial position 489
2 Additional information on income statement 489
3 Additional information on liquidity risk 489
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1 Additional information on statement of financial position
(1) The following information in respect of the registered bank's banking group as at the off quarter reporting date:
(a) total interest earning and discount bearing assets;
(b) total interest and discount bearing liabilities;
(c) the amount of any financial assets that have been pledged as collateral for liabilities or contingent liabilities, presented on a basis that is consistent with any such information disclosed in the financial statements for the most recent full year accounting period and that complies with paragraph 14 of NZ IFRS 7;
(d) total amounts due from related entities; and
(e) total amounts due to related entities.
(2) In paragraphs (d) and (e) of subclause (1), related entities does not include key management personnel of the registered bank's banking group.
2 Additional information on income statement
Within the interim financial statements included in the off quarter disclosure statement in accordance with clause 25 of Part 2, either in the income statement or in the explanatory notes, information allowing the following amounts to be separately identified:
(a) net trading gains or losses;
(b) if applicable, credit risk adjustments on financial assets at fair value;
(c) other fair value adjustments not included in the amounts referred to in paragraph (b); and
(d) other operating income excluding amounts referred to in paragraphs (a) to (c).
3 Additional information on liquidity risk
An analysis of financial assets held by the registered bank's banking group for the purpose of managing liquidity risk, on a consistent basis with any such information provided in financial statements for the most recent full year accounting period in compliance with NZ IFRS 7.
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Schedule 7-Full year and half year
Asset quality
Contents
Page
1 Scope of asset quality disclosure 490
2 Asset quality breakdown by major type of credit exposure 490
3 Past due assets 491
4 Movements in individually impaired assets 491
5 Movements in balances of total individual credit impairment allowances 491
6 Movements in balance of collective credit impairment allowance 492
7 Asset quality for financial assets designated at fair value 492
8 Other asset quality information 492
----------
1 Scope of asset quality disclosure
(1) For the full year disclosure statement, the information on asset quality required to be disclosed under clauses 3 to 8 must-
(a) relate to the registered bank and its banking group; and
(b) include comparative figures for the previous corresponding period.
(2) For the half year disclosure statement, the information on asset quality required to be disclosed under clauses 3 to 8 must relate to the registered bank's banking group.
2 Asset quality breakdown by major type of credit exposure
The information that is required to be disclosed under clauses 3 to 8 must be categorised according 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 subparagraphs (i) and (ii) and excluding exposures to sovereigns and central banks, multilateral development banks and other international organisations, public sector entities, and banks; and
(iv) total credit exposures;
(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;
(ii) retail exposures as defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B), excluding those referred to by subparagraph (i); and
(iii) corporate exposures as defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B); and
(iv) total credit exposures; and
(c) in any other case, the following:
(i) residential mortgage loans as defined in the conditions of registration; and
(ii) total credit exposures.
3 Past due assets
(1) The amount of assets that are, as at the reporting date, past due and not impaired, classified according to the following ageing categories:
(a) less than 30 days past due;
(b) at least 30 days but less than 60 days past due;
(c) at least 60 days but less than 90 days past due; and
(d) at least 90 days past due.
(2) To avoid doubt, a registered bank may disclose information in addition to that required by subclause (1) to provide further ageing analysis of past due assets but if additional ageing categories are used the amounts disclosed must be summed to provide the total amounts required to be disclosed by subclause (1).
4 Movements in individually impaired assets
Information on movements in the pre-allowance balance of individually impaired assets over the full year or half year accounting period as applicable, separately disclosing-
(a) the pre-allowance opening balance;
(b) additions;
(c) amounts written off;
(d) deletions;
(e) the pre-allowance closing balance; and
(f) the aggregate amount of individual credit impairment allowances against individually impaired assets at the reporting date.
5 Movements in balances of total individual credit impairment allowances
(1) Information on movements in the balances of total individual credit impairment allowances over the full year or half year accounting period as applicable, separately disclosing-
(a) the opening balance;
(b) the charge (credit) to the statement of financial performance for an increase or decrease in individual credit impairment allowances;
(c) amounts written off;
(d) recoveries of amounts written off in previous periods;
(e) reversals of previously recognised impairment losses;
(f) other movements, and the nature of those other movements; and
(g) the closing balance.
(2) Movements must be reconciled to the charges allocated to the statement of financial performance.
6 Movements in balance of collective credit impairment allowance
(1) Information on movements in the balance of the collective credit impairment allowance over the full year or half year accounting period as applicable, separately disclosing-
(a) the opening balance;
(b) the charge (credit) to the statement of financial performance for increase or decrease in the collective credit impairment allowance;
(c) other movements, and the nature of those other movements; and
(d) the closing balance.
(2) Movements must be reconciled to the charges allocated to the statement of financial performance.
7 Asset quality for financial assets designated at fair value
(1) For any financial assets designated as at fair value through profit and loss on which there have been changes in fair value that are attributable to changes in credit risk of the financial asset determined in accordance with NZ IFRS 7 paragraph 9(c), the information in subclause (2).
(2) The following information on the assets referred to in subclause (1), separately from the equivalent information for individually impaired financial assets-
(a) movements over the period in the total balance of such assets, following the same breakdown as required for individually impaired assets under clause 4;
(b) an analysis of credit risk adjustments on individual financial assets designated at fair value, following the same breakdown as required for total individual credit impairment allowances under clause 5; and
(c) an analysis of credit risk adjustments on groups of financial assets designated at fair value, following the same breakdown as required for total collective credit impairment allowances by clause 6.
8 Other asset quality information
The following information as at the reporting date:
(a) the aggregate amount of any undrawn balances on lending commitments to counterparties for whom drawn balances are classified as individually impaired; and
(b) the amount of other assets under administration.
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Schedule 8-Off quarters
Asset quality
Contents
Page
1 Asset quality breakdown by major type of credit exposure 493
2 End-period balances 494
3 Charges to the statement of financial performance 494
4 Asset quality for financial assets designated at fair value 494
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1 Asset quality breakdown by major type of credit exposure
The information that is required to be disclosed under clauses 2 to 4 must be categorised according 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 subparagraphs (i) and (ii) and excluding exposures to sovereigns and central banks, multilateral development banks and other international organisations, public sector entities, and banks; and
(iv) total credit exposures;
(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;
(ii) retail exposures as defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B), excluding those referred to by subparagraph (i); and
(iii) corporate exposures as defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B); and
(iv) total credit exposures; and
(c) in any other case, the following:
(i) residential mortgage loans as defined in the conditions of registration; and
(ii) total credit exposures.
2 End-period balances
(1) The information in subclause (2) in respect of the registered bank's banking group.
(2) The following information as at the reporting date:
(a) the aggregate amount of individually impaired assets that has been recognised, before deducting allowances for credit impairment loss;
(b) the aggregate amount of individual credit impairment allowances;
(c) the aggregate amount of collective credit impairment allowances; and
(d) the aggregate amount of assets that are at least 90 days past due but not impaired.
3 Charges to the statement of financial performance
(1) The information in subclause (2) in respect of the registered bank's banking group.
(2) The following information for the off quarter accounting period-
(a) the charge (credit) to the statement of financial performance for an increase or decrease in individual credit impairment allowances; and
(b) the charge (credit) to the statement of financial performance for an increase or decrease in collective credit impairment allowances.
4 Asset quality for financial assets designated at fair value
(1) For any financial assets designated as at fair value through profit and loss on which there have been changes in fair value that are attributable to changes in credit risk of the financial asset determined in accordance with NZ IFRS 7 paragraph 9(c), the information in subclause (2).
(2) The following information on the assets referred to in subclause (1) as at the reporting date-
(a) the total balance of such assets, separately from the total amount of individually impaired assets required under clause 2(2)(a);
(b) the total value of credit risk adjustments on individual financial assets designated at fair value, separately from the total amount of individual credit impairment allowances required under clause 2(2)(b); and
(c) the total value of credit risk adjustments on groups of financial assets designated at fair value, separately from the total amount of collective credit impairment allowances required under clause 2(2)(c).
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Schedule 9-Full year and half year
Capital adequacy under the standardised approach
Contents
Page
1 Capital 495
2 Capital structure 496
3 Credit risk 497
4 Additional mortgage information 499
5 Credit risk mitigation 499
6 Operational risk 499
7 Market risk end-period capital charges 500
8 Market risk peak end-of-day capital charges 500
9 Method for deriving peak end-of-day aggregate capital charge 500
10 Total capital requirements 501
11 Capital ratios 501
12 Solo capital adequacy 502
13 Capital for other material risks 502
14 Information about ultimate parent bank and ultimate parent banking group 502
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1 Capital
(1) The information in subclause (2) in respect of the registered bank's banking group.
(2) The following information as at the reporting date:
Capital
Tier 1 capital
Common Equity Tier 1 ("CET1") capital
Paid-up ordinary shares issued by [the registered bank] plus related share premium [amount]
Retained earnings (net of appropriations) [amount]
Accumulated other comprehensive income and other disclosed reserves [amount]
[itemise the interests arising from ordinary shares issued by fully consolidated subsidiaries and held by third parties, adding rows as needed, for example, for each instrument to show ordinary shares, as well as any associated retained earnings or other reserves] [amount]
Less deductions from CET1 capital [if there are no deductions, this line and its associated itemisation may be omitted]
[itemise each deduction from CET1 capital, adding rows as needed] [deduction amount] [subtotal: CET1 capital amount]
Additional Tier 1 ("AT1") capital
[itemise any AT1 capital instruments not subject to phase-out from AT1 capital under the Reserve Bank of New Zealand's Basel III transitional arrangements, adding rows as needed] [amount for each instrument including any related share premium]
[itemise any AT1 capital instruments subject to phase-out from AT1capital under the Reserve Bank of New Zealand's Basel III transitional arrangements, adding rows as needed] [qualifying amount]
[itemise the interests arising from an instrument for any AT1 capital instruments issued by fully consolidated subsidiaries and held by third parties, adding rows as needed, for example, for each instrument to show ordinary shares (not included in CET1 capital), as well as any associated retained earnings or other reserves] [amount]
Less deductions from AT1 capital [if there are no deductions, this line and its associated itemisation may be omitted]
[itemise each deduction from AT1 capital, adding rows as needed] [deduction amount] [subtotal: AT1 capital amount]
[subtotal: Tier 1 capital amount]
Tier 2 capital
[itemise any Tier 2 capital instruments not subject to phase-out from Tier 2 capital under the Reserve Bank of New Zealand's Basel III transitional arrangements, adding rows as needed] [amount for each instrument including any related share premium]
[itemise any Tier 2 capital instruments subject to phase-out from Tier 2 capital under the Reserve Bank of New Zealand's Basel III transitional arrangements, adding rows as needed] [qualifying amount]
[itemise any Tier 2 capital instruments issued by fully consolidated subsidiaries and held by third parties, adding rows as needed] [amount]
Revaluation reserves [amount]
Less deductions from Tier 2 capital [if there are no deductions, this line and its associated itemisation may be omitted]
[itemise each deduction from Tier 2 capital, adding rows as needed] [deduction amount] [subtotal: Tier 2 capital amount]
Total capital [Total capital amount]
(3) For the information required under subclause (2)-
(a) an item of Additional Tier 1 capital must be identified as being classified as equity or as a liability under generally accepted accounting practice, for example, by adding a footnote;
(b) if there is no Additional Tier 1 capital, that must be shown in the information, for example, with nil and dashes in the row under the heading for Additional Tier 1 capital;
(c) if there is no Tier 2 capital, that must be shown in the information, for example, with nil and dashes in the row under the heading for Tier 2 capital;
(d) the layout and text formatting in subclause (2) is indicative;
(e) the abbreviations "CET1" and "AT1" do not need to be used instead of the full wording of those terms if the full wording is preferred by the registered bank; and
(f) for the avoidance of doubt, the amounts required for the subtotals for Common Equity Tier 1 capital, Additional Tier 1 capital, Tier 1 capital and Tier 2 capital and for Total capital are as defined in this Order.
(4) Subclause (3)(a) does not apply to deductions from Additional Tier 1 capital.
2 Capital structure
(1) The information in subclauses (2) to (4) in respect of the registered bank's banking group.
(2) For each instrument included in total capital disclosed under clause 1-
(a) whether the instrument is included in Common Equity Tier 1 capital, Additional Tier 1 capital or Tier 2 capital;
(b) whether the instrument is subject to phase-out from eligibility as capital under the Reserve Bank of New Zealand's Basel III transitional arrangements, and if so the schedule on which it is being phased out;
(c) the material terms and conditions of the instrument, including where applicable, but not limited to-
(i) voting rights;
(ii) issuer of the instrument;
(iii) issue date;
(iv) any maturity or scheduled redemption date;
(v) any options or facilities for early redemption, conversion, write-down or capital repayment and their relevant terms or conditions;
(vi) terms or conditions of any predetermined servicing obligations; and
(vii) provision for any variation or suspension of dividend or coupon payments;
(d) the total of cumulative preferred dividends or interest payments in arrears;
(e) the priority or ranking in point of security, payment or claims of the instrument; and
(f) a brief description of any other material terms and conditions of issue of the securities, including any related contracts or arrangements.
(3) Any options granted or to be granted pursuant to any arrangement, over any equity share capital disclosed under clause 1, and in respect of any such option-
(a) the consideration given or to be given;
(b) the expiry date for the exercise of the option; and
(c) the total number of shares subject to the option.
(4) The nature and amount of each reserve included in capital for the banking group.
3 Credit risk
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting date:
Calculation of on-balance-sheet exposures
Total exposure after credit risk mitigation Risk weight Risk weighted exposure Minimum Pillar 1 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 1 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.
4 Additional mortgage information
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) in respect of total residential mortgage loans as used to calculate the registered bank's Pillar 1 capital requirement for credit risk, categorised by loan-to-valuation ratio.
(2) The following information as at the reporting date:
Residential mortgages by loan-to-valuation ratio
Loan-to-valuation ratio Does not exceed 80% Exceeds 80%
and not 90% Exceeds 90%
Value of exposures
(3) For the purpose of the disclosure required by subclause (2), any residential mortgage loan for which no loan-to-valuation ratio is available must be included in the category for loan-to-valuation ratios that exceed 90%.
5 Credit risk mitigation
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting 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
6 Operational risk
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting 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.
7 Market risk end-period capital charges
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting date:
Market risk
Implied risk weighted exposure Aggregate capital charge
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.
8 Market risk peak end-of-day capital charges
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with clause 9.
(2) The following information in respect of peak end-of-day aggregate capital charges for the half year accounting period or the then remaining part of the full year accounting period (as applicable):
Market risk
Implied risk weighted exposure Aggregate capital charge
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.
9 Method for deriving peak end-of-day aggregate capital charge
(1) For the purpose of the disclosure required by clause 8, 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) A statement of the method used to derive peak end-of-day aggregate capital charge for each category of market risk.
10 Total capital requirements
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting date:
Total exposure after credit risk mitigation Risk weighted exposure or implied risk weighted exposure Total capital requirement
Total credit risk + equity
Operational risk n/a
Market risk n/a
TOTAL n/a
11 Capital ratios
(1) The information in subclause (2) in respect of the registered bank's banking group.
(2) The following information as at the reporting date:
Capital ratios compared to minimum ratio requirements
Common Equity Tier 1 capital ratio Tier 1 capital ratio Total capital ratio
Ratio
Minimum ratio requirement
Buffer ratio
Buffer ratio
Buffer ratio requirement
(3) The information that is required to be disclosed under subclause (2) must include comparative figures for the previous corresponding period.
(4) Subclause (3) does not require a comparative figure to be produced for a previous corresponding period if that figure had not previously been required to be disclosed for the previous corresponding period.
12 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 as at the reporting date for the registered bank on a solo basis:
(a) Common Equity Tier 1 capital ratio;
(b) Tier 1 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.
(4) Subclause (3) does not require a comparative figure to be produced for a previous corresponding period if a figure had not previously been required to be disclosed for the previous corresponding period.
13 Capital for other material risks
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting 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.
14 Information about ultimate parent bank and ultimate parent banking group
(1) If the registered bank is a subsidiary of an ultimate parent bank,-
(a) the most recent publicly available information for the following in respect of the registered bank's ultimate parent bank and ultimate parent bank group:
(i) the Common Equity Tier 1 capital ratio, if applicable;
(ii) the Tier 1 capital ratio;
(iii) the Total capital ratio; and
(iv) the date to which the measures of Common Equity Tier 1 capital ratio (if applicable), Tier 1 capital ratio and Total capital ratio relate; and
(b) a statement as to-
(i) whether or not the ultimate parent bank or ultimate parent banking group is required by the appropriate banking supervisory authority in its country of domicile to hold minimum capital at least equal to that specified under one of the Basel capital frameworks and if so, which (for example, Basel II or Basel III and, as applicable, the measurement approaches used for different categories of risk such as the standardised approach or one of the internal ratings-based approaches for credit risk); and
(ii) to the extent that the information is publicly available, whether or not the ultimate parent bank or ultimate parent bank group meets the capital requirements imposed on it by the appropriate banking supervisory authority in its country of domicile as at the latest reporting date; and
(c) the methods by which users can access information, if it has been published, that the ultimate parent bank is required to disclose to comply with Pillar 3 of Basel II, on the implementation of the Basel II or Basel III capital adequacy framework by the ultimate parent bank or ultimate parent bank group.
(2) The information that is required to be disclosed under subclause (1) must include comparative figures for the previous corresponding period.
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Schedule 10-Off quarters
Capital adequacy under the standardised approach
Contents
Page
1 Capital ratios 504
2 Capital 504
2A Capital structure 505
3 Pillar 1 capital requirements 505
4 Additional mortgage information 506
5 Capital for other material risks 506
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1 Capital ratios
(1) The information in subclause (2) in respect of the registered bank's banking group.
(2) The following information at the reporting date:
Capital ratios compared to minimum ratio requirements
Common Equity Tier 1 capital ratio Tier 1 capital ratio Total capital ratio
Ratio
Minimum ratio requirement
Buffer ratio
Buffer ratio
Buffer ratio requirement
2 Capital
(1) The information in subclause (2) in respect of the capital of the registered bank's banking group.
(2) The following information at the reporting date:
Capital
Tier 1 capital, which consists of: [Tier 1 capital amount]
Common Equity Tier 1 capital [Common Equity Tier 1 capital amount]
Additional Tier 1 capital [Additional Tier 1 capital amount]
Tier 2 capital [Tier 2 capital amount]
Total capital [Total capital amount]
Deductions included in calculation of capital
Deductions from Common Equity Tier 1 capital [total deduction amount]
Deductions from Additional Tier 1 capital [total deduction amount]
Deductions from Tier 2 capital [total deduction amount]
(3) For the information required under subclause (2)-
(a) if there is no Additional Tier 1 capital, that must be shown in the information, for example, with nil and a dash;
(b) if there is no Tier 2 capital, that must be shown in the information, for example, with nil and a dash;
(c) the layout and text formatting in subclause (2) is indicative; and
(d) for the avoidance of doubt, the amounts required for Tier 1 capital, Common Equity Tier 1 capital, Additional Tier 1 capital, Tier 2 capital and Total capital are as defined in this Order.
2A Capital structure
(1) The information in subclauses (2) to (4) in respect of the registered bank's banking group.
(2) For each instrument included in Total capital disclosed under clause 2 and issued between the reporting date for the previous disclosure statement and the reporting date for the disclosure statement-
(a) whether the instrument is included in Common Equity Tier 1 capital, Additional Tier 1 capital or Tier 2 capital;
(b) the material terms and conditions of the instrument, including where applicable, but not limited to-
(i) voting rights;
(ii) issuer of the instrument;
(iii) issue date;
(iv) any maturity or scheduled redemption date;
(v) any options or facilities for early redemption, conversion, write-down or capital repayment and their relevant terms or conditions;
(vi) terms or conditions of any predetermined servicing obligations; and
(vii) provision for any variation or suspension of dividend or coupon payments;
(c) the total of cumulative preferred dividends or interest payments in arrears;
(d) the priority or ranking in point of security, payment or claims of the instrument; and
(e) a brief description of any other material terms and conditions of issue of the securities, including any related contracts or arrangements.
(3) Any options granted or to be granted pursuant to any arrangement, over any equity share capital disclosed under clause 1, and in respect of any such option-
(a) the consideration given or to be given;
(b) the expiry date for the exercise of the option; and
(c) the total number of shares subject to the option.
(4) The nature and amount of each reserve included in capital for the banking group.
3 Pillar 1 capital requirements
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information at the reporting date:
Pillar 1 capital requirements
Pillar 1 capital requirement
On-balance sheet credit risk:
Residential mortgages (including past due)
Corporate
Claims on banks
Other
Total on-balance sheet credit risk
Other capital requirements:
Off-balance sheet credit exposures
Operational risk
Market risk
Total other capital requirements
Total Pillar 1 capital requirement
4 Additional mortgage information
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) in respect of total residential mortgage loans as used to calculate the registered bank's Pillar 1 capital requirement for credit risk, categorised by loan-to-valuation ratio.
(2) The following information at the reporting date:
Residential mortgages by loan-to-valuation ratio
Loan-to-valuation ratio Does not exceed 80% Exceeds 80%
and not 90% Exceeds 90%
Value of exposures
(3) For the purpose of the disclosure required by subclause (2), any residential mortgage loan for which no loan-to-valuation ratio is available must be included in the category for loan-to-valuation ratios that exceed 90%.
5 Capital for other material risks
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting 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.
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Schedule 11-Full year and half year
Capital adequacy under the internal models based
approach
Contents
Page
1 Capital 507
2 Capital structure 509
3 Credit risk subject to the IRB approach 509
4 Additional mortgage information 511
5 Specialised lending subject to the slotting approach 511
6 Credit risk exposures subject to the standardised approach 512
7 Credit risk mitigation 513
8 Equity exposures 513
9 Scalar 514
10 Operational risk 514
11 Market risk end-period capital charges 514
12 Market risk peak end-of-day capital charges 515
13 Method for deriving peak end-of-day aggregate capital charge 515
14 Total capital requirements 515
15 Capital ratios 516
16 Solo capital adequacy 516
17 Capital for other material risks 516
18 Information about ultimate parent bank and ultimate parent banking group 517
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1 Capital
(1) The information in subclause (2) in respect of the registered bank's banking group.
(2) The following information as at the reporting date:
Capital
Tier 1 capital
Common Equity Tier 1 ("CET1") capital
Paid-up ordinary shares issued by [the registered bank] plus related share premium [amount]
Retained earnings (net of appropriations) [amount]
Accumulated other comprehensive income and other disclosed reserves [amount]
[itemise the interests arising from ordinary shares issued by fully consolidated subsidiaries and held by third parties, adding rows as needed, for example, for each instrument to show ordinary shares, as well as any associated retained earnings or other reserves] [amount]
Less deductions from CET1 capital [if there are no deductions, this line and its associated itemisation may be omitted]
[itemise each deduction from CET1 capital, adding rows as needed] [deduction amount] [subtotal: CET1 capital amount]
Additional Tier 1 ("AT1") capital
[itemise any AT1 capital instruments not subject to phase-out from AT1 capital under the Reserve Bank of New Zealand's Basel III transitional arrangements, adding rows as needed] [amount for each instrument including any related share premium]
[itemise any AT1 capital instruments subject to phase-out from AT1capital under the Reserve Bank of New Zealand's Basel III transitional arrangements, adding rows as needed] [qualifying amount]
[itemise the interests arising from an instrument for any AT1 capital instruments issued by fully consolidated subsidiaries and held by third parties, adding rows as needed, for example, for each instrument to show ordinary shares (not included in CET1 capital), as well as any associated retained earnings or other reserves] [amount]
Less deductions from AT1 capital [if there are no deductions, this line and its associated itemisation may be omitted]
[itemise each deduction from AT1 capital, adding rows as needed] [deduction amount] [subtotal: AT1 capital amount]
[subtotal: Tier 1 capital amount]
Tier 2 capital
[itemise any Tier 2 capital instruments not subject to phase-out from Tier 2 capital under the Reserve Bank of New Zealand's Basel III transitional arrangements, adding rows as needed] [amount for each instrument including any related share premium]
[itemise any Tier 2 capital instruments subject to phase-out from Tier 2 capital under the Reserve Bank of New Zealand's Basel III transitional arrangements, adding rows as needed] [qualifying amount]
[itemise any Tier 2 capital instruments issued by fully consolidated subsidiaries and held by third parties, adding rows as needed] [amount]
Revaluation reserves [amount]
Eligible impairment allowance in excess of expected loss [amount]
Less deductions from Tier 2 capital [if there are no deductions, this line and its associated itemisation may be omitted]
[itemise each deduction from Tier 2 capital, adding rows as needed] [deduction amount] [subtotal: Tier 2 capital amount]
Total capital [Total capital amount]
(3) For the information required under subclause (2)-
(a) an item of Additional Tier 1 capital must be identified as being classified as equity or as a liability under generally accepted accounting practice, for example, by adding a footnote;
(b) if there is no Additional Tier 1 capital, that must be shown in the information, for example, with nil and dashes in the row under the heading for Additional Tier 1 capital;
(c) if there is no Tier 2 capital, that must be shown in the information, for example, with nil and dashes in the row under the heading for Tier 2 capital;
(d) the layout and text formatting in subclause (2) is indicative;
(e) the abbreviations "CET1" and "AT1" do not need to be used instead of the full wording of those terms if the full wording is preferred by the registered bank; and
(f) for the avoidance of doubt, the amounts required for the subtotals for Common Equity Tier 1 capital, Additional Tier 1 capital, Tier 1 capital and Tier 2 capital and for Total capital are as defined in this Order.
(4) Subclause (3)(a) does not apply to deductions from Additional Tier 1 capital.
2 Capital structure
(1) The information in subclauses (2) to (4) in respect of the registered bank's banking group.
(2) For each instrument included in total capital disclosed under clause 1-
(a) whether the instrument is included in Common Equity Tier 1 capital, Additional Tier 1 capital or Tier 2 capital;
(b) whether the instrument is subject to phase-out from eligibility as capital under the Reserve Bank of New Zealand's Basel III transitional arrangements, and if so the schedule on which it is being phased out;
(c) the material terms and conditions of the instrument, including where applicable, but not limited to-
(i) voting rights;
(ii) issuer of the instrument;
(iii) issue date;
(iv) any maturity or scheduled redemption date;
(v) any options or facilities for early redemption, conversion, write-down or capital repayment and their relevant terms or conditions;
(vi) terms or conditions of any predetermined servicing obligations; and
(vii) provision for any variation or suspension of dividend or coupon payments;
(d) the total of cumulative preferred dividends or interest payments in arrears;
(e) the priority or ranking in point of security, payment or claims of the instrument; and
(f) a brief description of any other material terms and conditions of issue of the securities, including any related contracts or arrangements.
(3) Any options granted or to be granted pursuant to any arrangement, over any equity share capital disclosed in clause 1, and in respect of any such option-
(a) the consideration given or to be given;
(b) the expiry date for the exercise of the option; and
(c) the total number of shares subject to the option.
(4) The nature and amount of each reserve included in capital for the banking group.
3 Credit risk subject to the IRB approach
(1) The information in subclauses (2) and (4)-
(a) in respect of the capital of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) For each exposure class where the IRB approach is applied, the following information as at the reporting date:
Name of exposure class
Exposure-weighted PD grade 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 in any box in the first, third and fourth column of the table is given by the following formula:
?i(exposurei x multiplieri)
?i(exposurei)
where-
(i) "exposurei" is the value of the ith exposure in the relevant box;
(ii) "multiplieri" is the value, as applicable, of the risk-weight, LGD or PD that corresponds to exposurei; and
(iii) "i" indexes all exposures for the box.
(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.
(4) For each exposure class the following information as at the reporting 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; and
(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) exposures secured by residential mortgages;
(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) exposures secured by residential mortgages; and
(ii) all other retail lending.
4 Additional mortgage information
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) in respect of total exposures secured by residential mortgages as used to calculate the Pillar 1 capital requirement for credit risk, categorised by loan-to-valuation ratio.
(2) The following information as at the reporting date:
Residential mortgages by loan-to-valuation ratio
Loan-to-valuation ratio Does not exceed 60% Exceeds 60% and not 70% Exceeds 70% and not 80% Exceeds 80% and not 90% Exceeds 90%
Value of exposures
(3) For the purpose of the disclosure required by subclause (2)-
(a) exposure amounts for which no loan-to-valuation ratio is available must be included in the category for loan-to-valuation ratios that exceed 90%;
(b) in calculating the total exposure amount in relation to any residential mortgage loan, the registered bank must include the credit equivalent amount of any off-balance sheet exposures as used in the capital calculation; and
(c) the valuation used in the calculation of each loan-to-valuation ratio must be the valuation of the associated residential property at the date of origination of the loan.
(4) A description of the main assumptions used in preparing the information required by subclause (2).
5 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 registered bank's banking group.
(2) The following information as at the reporting 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 1 capital requirement
70%
90%
115%
250%
Off-balance sheet exposures
EAD Average risk weight Risk weighted assets Minimum Pillar 1 capital requirement
Undrawn commitments and other off-balance sheet exposures
(3) For the purpose of the disclosure required by subclause (2), 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.
6 Credit risk exposures subject to the standardised approach
(1) The information in subclause (2)-
(a) in respect of the registered bank's 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 and do not arise from equity holdings.
(2) The following information as at the reporting 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 1 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 1 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.
7 Credit risk mitigation
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting 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
8 Equity exposures
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting date:
Equity exposures
Total exposure Risk weight Risk weighted exposure Minimum Pillar 1 capital requirement
Equity holdings (not deducted from capital) that are publicly traded 300%
All other equity holdings (not deducted from capital) 400%
9 Scalar
(1) For the purpose of the disclosure required by this Schedule, risk-weighted on- and off-balance sheet credit exposures and capital requirements must be the amounts after multiplying by the scalar (if any) specified in the conditions of registration relating to capital adequacy.
(2) If applicable,-
(a) an explanation of which figures disclosed are shown after multiplying by the scalar referred to in subclause (1); and
(b) a statement of the value of the scalar.
10 Operational risk
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting 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.
11 Market risk end-period capital charges
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting date:
Market risk
Implied risk weighted exposure Aggregate capital charge
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.
12 Market risk peak end-of-day capital charges
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with clause 13.
(2) The following information in respect of peak end-of-day aggregate capital charges for the half year accounting period or for the then remaining part of the full year accounting period (as applicable):
Market risk
Implied risk weighted exposure Aggregate capital charge
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.
13 Method for deriving peak end-of-day aggregate capital charge
(1) For the purpose of the disclosure required by clause 12, 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) A statement of the method used to derive peak end-of-day aggregate capital charge for each category of market risk.
14 Total capital requirements
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting 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.
15 Capital ratios
(1) The information in subclause (2) in respect of the registered bank's banking group.
(2) The following information as at the reporting date:
Capital ratios compared to minimum ratio requirements
Common Equity Tier 1 capital ratio Tier 1 capital ratio Total capital ratio
Ratio
Minimum ratio requirement
Buffer ratio
Buffer ratio
Buffer ratio requirement
(3) The information that is required to be disclosed under subclause (2) must include comparative figures for the previous corresponding period.
(4) Subclause (3) does not require a comparative figure to be produced for a previous corresponding period if that figure had not previously been required to be disclosed for the previous corresponding period.
16 Solo capital adequacy
(1) The information in subclause (2) in respect of the registered bank.
(2) The following information as at the reporting date for the registered bank on a solo basis:
(a) Common Equity Tier 1 capital ratio;
(b) Tier 1 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.
17 Capital for other material risks
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting 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.
18 Information about ultimate parent bank and ultimate parent banking group
(1) If the registered bank is a subsidiary of an ultimate parent bank,-
(a) the most recent publicly available information for the following in respect of the registered bank's ultimate parent bank and ultimate parent bank group:
(i) the Common Equity Tier 1 capital ratio, if applicable;
(ii) the Tier 1 capital ratio;
(iii) the Total capital ratio; and
(iv) the date to which the measures of Common Equity Tier 1 capital ratio (if applicable), Tier 1 capital ratio and Total capital ratio relate; and
(b) a statement as to-
(i) whether or not the ultimate parent bank or ultimate parent banking group is required by the appropriate banking supervisory authority in its country of domicile to hold minimum capital at least equal to that specified under one of the Basel capital frameworks and if so, which (for example, Basel II or Basel III and, as applicable, the measurement approaches used for different categories of risk such as the standardised approach or one of the internal ratings-based approaches for credit risk); and
(ii) to the extent that the information is publicly available, whether or not the ultimate parent bank or ultimate parent bank group meets the capital requirements imposed on it by the appropriate banking supervisory authority in its country of domicile as at the latest reporting date; and
(c) the methods by which users can access information, if it has been published, that the ultimate parent bank is required to disclose to comply with Pillar 3 of Basel II, on the implementation of the Basel II or Basel III capital adequacy framework by the ultimate parent bank or ultimate parent bank group.
(2) The information that is required to be disclosed under subclause (1) must include comparative figures for the previous corresponding period.
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Schedule 12-Off quarters
Capital adequacy under the internal models based
approach
Contents
Page
1 Capital ratios 518
2 Capital 518
2A Capital structure 519
3 Credit risk subject to the IRB approach 520
4 Other credit risk capital requirements 520
5 Scalar 520
6 Capital requirements for other risks 521
7 Additional mortgage information 521
8 Capital for other material risks 522
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1 Capital ratios
(1) The information in subclause (2) in respect of the registered bank's banking group.
(2) The following information at the reporting date:
Capital ratios compared to minimum ratio requirements
Common Equity Tier 1 capital ratio Tier 1 capital ratio Total capital ratio
Ratio
Minimum ratio requirement
Buffer ratio
Buffer ratio
Buffer ratio requirement
2 Capital
(1) The information in subclause (2) in respect of the capital of the registered bank's banking group.
(2) The following information at the reporting date:
Capital
Tier 1 capital, which consists of: [Tier 1 capital amount]
Common Equity Tier 1 capital [Common Equity Tier 1 capital amount]
Additional Tier 1 capital [Additional Tier 1 capital amount]
Tier 2 capital [Tier 2 capital amount]
Total capital [Total capital amount]
Deductions included in calculation of capital
Deductions from Common Equity Tier 1 capital [total deduction amount]
Deductions from Additional Tier 1 capital [total deduction amount]
Deductions from Tier 2 capital [total deduction amount]
(3) For the information required under subclause (2)-
(a) if there is no Additional Tier 1 capital, that must be shown in the information, for example, with nil and a dash;
(b) if there is no Tier 2 capital, that must be shown in the information, for example, with nil and a dash;
(c) the layout and text formatting in subclause (2) is indicative; and
(d) for the avoidance of doubt, the amounts required for Tier 1 capital, Common Equity Tier 1 capital, Additional Tier 1 capital, Tier 2 capital and Total capital are as defined in this Order.
2A Capital structure
(1) The information in subclauses (2) to (4) in respect of the registered bank's banking group.
(2) For each instrument included in total capital disclosed under clause 2 and issued between the reporting date for the previous disclosure statement and the reporting date for the disclosure statement-
(a) whether the instrument is included in Common Equity Tier 1 capital, Additional Tier 1 capital or Tier 2 capital;
(b) the material terms and conditions of the instrument, including where applicable, but not limited to-
(i) voting rights;
(ii) issuer of the instrument;
(iii) issue date;
(iv) any maturity or scheduled redemption date;
(v) any options or facilities for early redemption, conversion, write-down or capital repayment and their relevant terms or conditions;
(vi) terms or conditions of any predetermined servicing obligations; and
(vii) provision for any variation or suspension of dividend or coupon payments;
(c) the total of cumulative preferred dividends or interest payments in arrears;
(d) the priority or ranking in point of security, payment or claims of the instrument; and
(e) a brief description of any other material terms and conditions of issue of the securities, including any related contracts or arrangements.
(3) Any options granted or to be granted pursuant to any arrangement, over any equity share capital disclosed under clause 1, and in respect of any such option-
(a) the consideration given or to be given;
(b) the expiry date for the exercise of the option; and
(c) the total number of shares subject to the option.
(4) The nature and amount of each reserve included in capital for the banking group.
3 Credit risk subject to the IRB approach
(1) The information in subclause (2)-
(a) in respect of the capital of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) For each exposure class where the IRB approach is applied, the following information at the reporting date:
Name of exposure class Total minimum capital requirement for that exposure class
(3) For the purpose of the disclosure required by subclause (2) 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;
(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.
4 Other credit risk capital requirements
(1) The information in subclause (2) at the reporting date in respect of the registered bank's banking group.
(2) The total capital requirement for credit risk not subject to the IRB approach, calculated as the sum of the following amounts-
(a) if the registered bank uses the slotting approach for specialised lending exposures as defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B), the total Pillar 1 capital requirement for specialised exposures subject to the slotting approach;
(b) the total Pillar 1 capital requirement for equity exposures derived in accordance with the conditions of registration relating to capital adequacy; and
(c) the total Pillar 1 capital requirement for any other credit risk exposures that are not subject to the IRB approach.
5 Scalar
(1) For the purpose of the disclosure required by this Schedule, capital requirements must be the amounts after multiplying by the scalar (if any) specified in the conditions of registration relating to capital adequacy.
(2) If applicable,-
(a) an explanation of which figures disclosed are shown after multiplying by the scalar referred to in subclause (1); and
(b) a statement of the value of the scalar.
6 Capital requirements for other risks
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information at the reporting date:
Total capital requirement
Operational risk
Market risk
Supervisory adjustment
(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.
7 Additional mortgage information
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) in respect of total exposures secured by residential mortgages as used to calculate the registered bank's Pillar 1 capital requirement for credit risk, categorised by loan-to-valuation ratio.
(2) The following information at the reporting date:
Residential mortgages by loan-to-valuation ratio
Loan-to-valuation ratio Does not exceed 60% Exceeds 60% and not 70% Exceeds 70% and not 80% Exceeds 80% and not 90% Exceeds 90%
Value of exposures
(3) For the purpose of the disclosure required by subclause (2)-
(a) exposure amounts for which no loan-to-valuation ratio is available must be included in the category for loan-to-valuation ratios that exceed 90%;
(b) in calculating the total exposure amount in relation to any residential mortgage loan, the registered bank must include the credit equivalent amount of any off-balance sheet exposures as used in the capital calculation; and
(c) the valuation used in the calculation of each loan-to-valuation ratio must be the valuation of the associated residential property at the date of origination of the loan.
(4) A description of the main assumptions used in preparing the information required by subclause (2).
8 Capital for other material risks
(1) The information in subclause (2)-
(a) in respect of the registered bank's banking group; and
(b) derived in accordance with the conditions of registration relating to capital adequacy.
(2) The following information as at the reporting 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.
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Schedule 13-All periods
Concentration of credit exposures to individual
counterparties
Contents
Page
1 Credit exposure information: general requirements 523
2 Calculation of credit exposure information 523
3 Large exposures at the reporting date 523
4 Peak end-of-day aggregate credit exposure 524
5 Method of calculating peak end-of-day aggregate credit exposure 525
6 Meaning of credit rating 525
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1 Credit exposure information: general requirements
(1) In this Schedule, credit exposure information must be disclosed either on the basis of-
(a) actual credit exposures; or
(b) internal limits that were not materially exceeded between the reporting date for the previous disclosure statement and the reporting date for the disclosure statement.
(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 registered bank's banking group's maximum exposure to credit risk taking account of the guidance in paragraphs B9 and B10 of NZ IFRS 7;
(b) exclude credit exposures to connected persons;
(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; and
(d) exclude credit exposures to any bank with a long-term credit rating of A- or A3 or above, or its equivalent.
3 Large exposures at the reporting date
(1) The information in subclauses (2) and (4)-
(a) as at the reporting date; and
(b) in successive ranges of 5% of the registered bank's banking group's equity, commencing at 10% of equity.
(2) The number of bank counterparties described by subclause (3) to which the registered bank's banking group has an aggregate credit exposure that equals or exceeds 10% of the registered bank's banking group's equity, showing separately-
(a) those counterparties that have a long-term credit rating of at least BBB- or Baa3, or its equivalent, and at most BBB+ or Baa1, or its equivalent, and
(b) if applicable-
(i) those counterparties that have a long-term credit rating lower than BBB- or Baa3, or its equivalent; and
(ii) those counterparties that do not have a long-term credit rating.
(3) A counterparty is a bank counterparty if it is-
(a) a bank that is not a member of a group of closely related counterparties; or
(b) a group of closely related counterparties of which a bank is the parent.
(4) The number of non-bank counterparties described by subclause (5) to which the registered bank's banking group has an aggregate credit exposure that equals or exceeds 10% of the registered bank's banking group's equity, showing separately-
(a) those counterparties that have a long-term credit rating of A- or A3 or above, or its equivalent;
(b) those counterparties that have a long-term credit rating of at least BBB- or Baa3, or its equivalent, and at most BBB+ or Baa1, or its equivalent; and
(c) if applicable-
(i) those counterparties that have a long-term credit rating lower than BBB- or Baa3, or its equivalent; and
(ii) those counterparties that do not have a long-term credit rating.
(5) A counterparty is a non-bank counterparty if it is-
(a) a non-bank that is not a member of a group of closely related counterparties; or
(b) a group of closely related counterparties of which a bank is not the parent.
4 Peak end-of-day aggregate credit exposure
(1) The information in subclauses (2) and (4)-
(a) in respect of peak end-of-day aggregate credit exposure for the period between the reporting date for the previous disclosure statement and the reporting date for the disclosure statement; and
(b) in successive ranges of 5% of the registered bank's banking group's equity, commencing at 10% of equity.
(2) The number of bank counterparties described by subclause (3) to which the registered bank's banking group has a peak end-of-day aggregate credit exposure that equals or exceeds 10% of the registered bank's banking group's equity, showing separately-
(a) those counterparties that have a long-term credit rating of at least BBB- or Baa3, or its equivalent, and at most BBB+ or Baa1, or its equivalent; and
(b) if applicable-
(i) those counterparties that have a long-term credit rating lower than BBB- or Baa3, or its equivalent; and
(ii) those counterparties that do not have a long-term credit rating.
(3) A counterparty is a bank counterparty if it is-
(a) a bank that is not a member of a group of closely related counterparties; or
(b) a group of closely related counterparties of which a bank is the parent.
(4) The number of non-bank counterparties described by subclause (5) to which the registered bank's banking group has a peak end-of-day aggregate credit exposure that equals or exceeds 10% of the registered bank's banking group's equity, showing separately-
(a) those counterparties that have a long-term credit rating of A- or A3 or above, or its equivalent;
(b) those counterparties that have a long-term credit rating of at least BBB- or Baa3, or its equivalent, and at most BBB+ or Baa1, or its equivalent; and
(c) if applicable-
(i) those counterparties that have a long-term credit rating lower than BBB- or Baa3, or its equivalent; and
(ii) those counterparties that do not have a long-term credit rating.
(5) A counterparty is a non-bank counterparty if it is-
(a) a non-bank that is not a member of a group of closely related counterparties; or
(b) a group of closely related counterparties of which a bank is not the parent.
5 Method of calculating peak end-of-day aggregate credit exposure
For the purposes of clause 4, peak end-of-day aggregate credit exposure to an individual counterparty or a group of closely related counterparties for the period between the reporting date for the previous disclosure statement and the reporting date for the disclosure statement is derived by-
(a) determining the maximum end-of-day aggregate amount of credit exposure over the period; and
(b) then dividing that amount by the registered bank's banking group's equity as at the reporting date for the disclosure statement.
6 Meaning of credit rating
(1) For the purposes of clauses 2 to 4, 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.
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Schedule 14-Full year
Credit exposures to connected persons
Contents
Page
1 Credit exposure information: general requirements 527
2 Aggregate credit exposure 527
3 Credit exposure to connected persons 527
4 Peak end-of-day aggregate exposure 527
5 Rating-contingent limit 528
6 Additional requirements for aggregate credit exposure to connected persons 528
7 Aggregate amount of contingent exposures arising from risk lay-off arrangements 528
8 Aggregate amount of individual credit impairment allowances against credit exposures to connected persons 529
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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 must be derived in accordance with the registered bank's conditions of registration relating to credit exposures to connected persons and Connected Exposures Policy (BS8).
2 Aggregate credit exposure
(1) The information in subclause (2)-
(a) as at the balance date; and
(b) in respect of peak end-of-day aggregate credit exposure for the full year accounting period.
(2) The aggregate credit exposure (of a non-capital nature and net of individual credit impairment allowances) of the registered bank's 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 the registered bank's conditions of registration and Connected Exposures Policy (BS8) 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 as a ratio to tier one capital for the full year accounting period is derived by-
(a) determining the maximum end-of-day aggregate amount of credit exposure over the accounting period; and
(b) then dividing that amount by-
(i) the registered bank's banking group's tier one capital as at the reporting date; or
(ii) the registered bank's 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 registered bank's banking group as at the balance date;
(b) a statement as to whether any limit changes have occurred over the full year accounting period, and if so, the nature of those changes, and the dates on which they occurred; and
(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 as to 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, the following additional information:
(a) in respect of aggregate credit exposure to connected persons as at the balance date, and in respect of peak end-of-day aggregate credit exposure to connected persons over the full year accounting period-
(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; and
(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.
7 Aggregate amount of contingent exposures arising from risk lay-off arrangements
A statement of the aggregate amount of contingent exposures of the registered bank's banking group to connected persons arising from risk lay-off arrangements in respect of credit exposures to counterparties (excluding counterparties that are connected persons) as at the balance date.
8 Aggregate amount of individual credit impairment allowances against credit exposures to connected persons
A statement of the aggregate amount of the registered bank's banking group's individual credit impairment allowances provided against credit exposures to connected persons as at the balance date.
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Schedule 15-Full year
Insurance business, securitisation, funds management,
other fiduciary activities, and marketing and distribution
of insurance products
Contents
Page
1 Insurance products 530
2 Insurance business 530
3 Banking group's involvement in securitisation, funds management, other fiduciary activities, and marketing and distribution of insurance products 531
4 Arrangements to ensure no adverse impacts arising from the activities specified in clause 3 531
5 Amounts represented by activities specified in clause 3(a) and (b) 531
6 Financial services provided to entities conducting activities specified in clause 3 532
7 Assets purchased from entities conducting activities specified in clause 3 532
8 Funding provided to entities in aggregate and individually 532
9 Method for deriving peak end-of-day amount of funding in aggregate and individually in clause 8 532
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1 Insurance products
(1) In this Schedule, insurance products relate to insurance contracts which constitute insurance business.
(2) Information disclosed under clauses 6 to 9 relating to entities on whose behalf the registered bank's banking group markets or distributes insurance products is required only in respect of affiliated insurance entities or affiliated insurance groups.
2 Insurance business
A statement on whether or not the registered bank's banking group conducts any insurance business, and if it does, the following information:
(a) the aggregate amount of insurance business as at the balance date, where the amount so disclosed is calculated in accordance with the registered bank's conditions of registration;
(b) an explanation of how the registered bank's banking group manages its insurance business, including information on whether-
(i) any insurance business is conducted in special purpose subsidiaries whose business activities predominantly comprise insurance business, and if so, the name of each of those subsidiaries, and a description of the insurance business conducted in each subsidiary; and
(ii) in relation to any other member of the registered bank's banking group, any insurance business is accounted for in its statement of financial position, and if so-
(A) the name of that member;
(B) whether or not the assets relating to that member's insurance business are managed and accounted for as separate funds; and
(C) a description of the insurance business conducted by that member; and
(c) comparative figures for the previous corresponding period for the information that is required to be disclosed under paragraph (a).
3 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 registered bank's banking group's involvement in-
(a) the establishment, marketing, or sponsorship of trust, custodial, funds management, and other fiduciary activities;
(b) the origination of securitised assets, and the marketing or servicing of securitisation schemes; and
(c) the marketing and distribution of insurance products.
4 Arrangements to ensure no adverse impacts arising from the activities specified in clause 3
A statement on whether or not arrangements have been put in place to ensure that difficulties arising from the activities specified in clause 3 would not impact adversely on the registered bank's banking group, and if so, the nature of those arrangements.
5 Amounts represented by activities specified in clause 3(a) and (b)
(1) A statement of the amount as at the balance date of-
(a) funds held in trust by any member of the registered bank's banking group;
(b) funds under management by any member of the registered bank's banking group;
(c) funds under custodial arrangements by any member of the registered bank's banking group (to the extent practicable);
(d) other funds held or managed subject to fiduciary responsibilities by any member of the registered bank's banking group; and
(e) outstanding securitised assets originated by any member of the registered bank's banking group.
(2) The information that is required to be disclosed under subclause (1) must include comparative figures for the previous corresponding period.
6 Financial services provided to entities conducting activities specified in clause 3
A statement on whether or not over the accounting period financial services provided by any member of the registered bank's banking group to entities that conduct the activities specified in clause 3(a) or (b), or on whose behalf the registered bank's banking group conducts the activities specified in clause 3(c), have been provided on arm's length terms and conditions and at fair value.
7 Assets purchased from entities conducting activities specified in clause 3
A statement on whether or not over the accounting period assets purchased by any member of the registered bank's banking group from entities that conduct the activities specified in clause 3, or on whose behalf the registered bank's banking group conducts the activities specified in clause 3(c), have been purchased on arm's length terms and conditions and at fair value.
8 Funding provided to entities in aggregate and individually
(1) The information in subclauses (2) and (3) in respect of entities that conduct the activities specified in clause 3 or on whose behalf the registered bank's banking group conducts the activities specified in clause 3(c).
(2) The peak end-of-day aggregate amount of funding the registered bank's banking group has provided over the full year accounting period to all such entities, expressed as an amount and as a percentage of the registered bank's banking group's tier one capital.
(3) The peak end-of-day aggregate amount of funding the registered bank's banking group has provided over the full year accounting period to each such entity individually, expressed as an amount and as a percentage of the amount of assets of the individual entity.
(4) The information that is required to be disclosed under this clause must include comparative figures for the previous corresponding period.
9 Method for deriving peak end-of-day amount of funding in aggregate and individually in clause 8
(1) For the purposes of clause 8 the peak end-of-day aggregate amount of funding provided to any entity involved in activities specified in clause 3, or on whose behalf the registered bank's banking group conducts the activities specified in clause 3(c), includes funding provided by the purchase of securities issued by the entity.
(2) For the purposes of clause 8, the peak end-of-day aggregate amount of funding is the maximum end-of-day aggregate amount of funding over the full year accounting period, divided by-
(a) in the case of clause 8(2), the registered bank's banking group's tier one capital as at the balance date;
(b) in the case of clause 8(3), the total assets as at the balance date of the individual entity to which the registered bank's banking group has provided funding.
(3) A statement of the methods used to derive peak ratio information.
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Schedule 16-Half year and off quarters
Insurance business, securitisation, funds management,
other fiduciary activities, and marketing and distribution
of insurance products
Contents
Page
1 Insurance products 534
2 Insurance business 534
3 Banking group's involvement in securitisation, funds management, other fiduciary activities, and marketing and distribution of insurance products 534
4 Arrangements to ensure no adverse impacts arising from the activities specified in clause 3(1) 535
5 Financial services provided to entities conducting activities specified in clause 3(1) 535
6 Assets purchased from entities conducting activities specified in clause 3(1) 535
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1 Insurance products
(1) In this Schedule, insurance products relate to insurance contracts which constitute insurance business.
(2) Information disclosed under clauses 5 and 6 relating to entities on whose behalf the registered bank's banking group markets or distributes insurance products is required only in respect of affiliated insurance entities or affiliated insurance groups.
2 Insurance business
A statement on whether or not the registered bank's banking group conducts any insurance business, and if it does, the following information:
(a) the aggregate amount of insurance business as at the reporting date, where the amount so disclosed is calculated in accordance with the registered bank's conditions of registration; and
(b) if, since the reporting date for the previous disclosure statement, there have been material changes in the registered bank's banking group's approach to managing its insurance business, a description of the nature of those changes.
3 Banking group's involvement in securitisation, funds management, other fiduciary activities, and marketing and distribution of insurance products
(1) The information in subclause (2) if, since the reporting date for the previous disclosure statement, there has been a material change in the nature of the registered bank's banking group's involvement in-
(a) the establishment, marketing, or sponsorship of trust, custodial, funds management, and other fiduciary activities; or
(b) the origination of securitised assets, and the marketing or servicing of securitisation schemes; or
(c) the marketing and distribution of insurance products.
(2) A statement of the nature of any changes in the registered bank's banking group's involvement in the activities specified in subclause (1).
4 Arrangements to ensure no adverse impacts arising from the activities specified in clause 3(1)
If, since the reporting date for the previous disclosure statement, there has been a material change in any arrangements which have been put in place to ensure that difficulties arising from the activities specified in clause 3(1) would not impact adversely on the registered bank's banking group, a statement of the nature of the changes.
5 Financial services provided to entities conducting activities specified in clause 3(1)
If over the half year accounting period or off quarter accounting period as applicable, financial services provided by any member of the registered bank's banking group to entities that conduct the activities specified in clause 3(1)(a) or (b), or on whose behalf the registered bank's banking group conducts the activities specified in clause 3(1)(c), have been provided other than on arm's length terms and conditions and at fair value, a statement to that effect.
6 Assets purchased from entities conducting activities specified in clause 3(1)
If over the half year accounting period or off quarter accounting period as applicable, assets purchased by any member of the registered bank's banking group from entities that conduct the activities specified in clause 3(1), or on whose behalf the registered bank's banking group conducts the activities specified in clause 3(1)(c), have been purchased other than on arm's length terms and conditions and at fair value, a statement to that effect.
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Schedule 17-Full year
Risk management policies
Contents
Page
1 Categories of risk 536
2 Information about risk 536
3 Capital adequacy 537
4 Reviews of banking group's risk management systems 537
5 Internal audit function of banking group 537
6 Measurement of impaired assets 537
7 Credit risk mitigation 538
8 Additional information about credit risk 538
9 Additional information about operational risk 538
10 Controls surrounding credit risk rating systems 539
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1 Categories of risk
Clause 2 applies to the following categories of risk:
(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; and
(g) any other material risk to which the registered bank's banking group is exposed.
2 Information about risk
(1) A general description of the registered bank's banking group's risk management objectives, policies, strategies and processes, to the extent not otherwise disclosed to comply with paragraph 33 of NZ IFRS 7.
(2) The following information in respect of each of the categories of risk set out in clause 1, to the extent not otherwise disclosed to comply with paragraph 33 of NZ IFRS 7:
(a) an explanation of the nature of the risk and the activities of the registered bank's banking group which give rise to that risk;
(b) an explanation of the structure and organisation of the relevant risk management function;
(c) a general description of the relevant processes for identifying, measuring and monitoring exposure to the risk, including the frequency with which exposures are monitored and reported; and
(d) a general description of the systems and procedures for controlling the risk, including (if applicable)-
(i) whether exposure limits are employed;
(ii) any policies with respect to collateral or other security;
(iii) any policies on the use of financial instruments to mitigate or hedge risks; and
(iv) strategies and processes for monitoring the continuing effectiveness of hedges and other mitigants.
3 Capital adequacy
A summary discussion of the following matters, to the extent not otherwise disclosed to comply with paragraph 134 of NZ IAS 1:
(a) the registered bank's banking group's approach to assessing the adequacy of its capital to support current and future activities; and
(b) the role that directors and senior management take in the capital management process.
4 Reviews of banking group's risk management systems
A statement as to-
(a) the nature and frequency of any reviews conducted in respect of the registered bank's banking group's risk management systems; and
(b) whether or not any such reviews were conducted by a party external to the registered bank's banking group, ultimate parent bank, or ultimate holding company.
5 Internal audit function of banking group
(1) A statement on whether or not the registered bank's banking group has an internal audit function.
(2) If the registered bank's banking group has an internal audit function, a statement describing-
(a) the nature and scope of the internal audit function, including type and frequency of audits;
(b) the reporting responsibilities of the internal audit function; and
(c) whether or not there is a board audit committee or other separate board committee covering audit matters, and if so, the nature and scope of that committee's responsibilities.
6 Measurement of impaired assets
(1) The information in subclause (2), to the extent not otherwise disclosed to comply with paragraph 21 of NZ IFRS 7.
(2) A description of approaches followed for individual and collective allowance for impaired assets, and any statistical methods used in assessing asset impairment, including the following information:
(a) the circumstances and criteria under which financial assets are assessed individually;
(b) the circumstances and criteria under which financial assets are assessed collectively with other financial assets;
(c) the frequency of assessing impairment; and
(d) how recoverable amounts are calculated.
7 Credit risk mitigation
Where applicable, the following information, to the extent not otherwise disclosed to comply with paragraph 33 of NZ IFRS 7:
(a) the policies and processes for on- and off-balance sheet netting;
(b) an indication of the extent to which the registered bank's banking group makes use of on- and off-balance sheet netting;
(c) whether the simple or comprehensive method is used to measure the mitigating effects of collateral;
(d) the main types of guarantor and credit derivative counterparty and their creditworthiness; and
(e) any material market and credit risk concentrations that might arise as a result of the mitigation taken.
8 Additional information about credit risk
(1) If a registered bank has partly, but not fully adopted the Foundation Internal Ratings Based (IRB) approach or the Advanced IRB approach to credit risk, the following information:
(a) a description of the nature of credit exposures within each exposure class subject to the Standardised, Foundation, and Advanced IRB approaches; and
(b) if relevant, management's plans and timing for migrating credit exposures to full implementation of the applicable approach.
(2) If a registered bank has implemented the Foundation IRB approach or Advanced IRB approach to credit risk, information giving a broad overview of the model approaches and methods used for the estimation of Probability of Default and, if relevant, Loss Given Default and Exposure at Default, for the following exposure classes or sub-classes as defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B):
(a) any exposure class other than the retail exposure class which includes exposures of a material total value;
(b) exposures classified as retail mortgage lending by the registered bank for the purpose of its internal credit risk modelling; and
(c) retail exposures other than those referred to in paragraph (b).
9 Additional information about operational risk
If a registered bank has implemented the Advanced Measurement Approach to operational risk, the following information:
(a) a general description of the methodology used in the advanced measurement approach including a discussion of relevant internal and external factors considered in the bank's measurement approach, and whether economic capital is allocated across business lines; and
(b) a description of the use of insurance for the purposes of mitigating operational risk.
10 Controls surrounding credit risk rating systems
If the registered bank has implemented the Advanced IRB approach or Foundation IRB approach to credit risk, a discussion of the control mechanisms for the rating systems used to measure credit risk, covering independence, accountability, and rating systems reviews.
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Schedule 18-Half year and off quarters
Risk management policies
Contents
Page
1 Categories of risk 540
2 Information about risks 540
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1 Categories of risk
Clause 2 applies if, since the reporting date for the previous disclosure statement, there has been a material change in the registered bank's 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; and
(g) any other material risk to which the registered bank's banking group is exposed.
2 Information about risks
(1) A statement of the nature of the changes in the registered bank's banking group's policies for managing the risks specified in clause 1.
(2) If, since the reporting date for the previous disclosure statement, the registered bank's banking group has become exposed to a new category of risk specified in clause 1 to which the registered bank's banking group was not previously exposed, the following information:
(a) the nature of that risk and the activities of the registered bank's 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; and
(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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M. L. C. WEBSTER, for 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.
The operative provisions of this Order come into force on 31 March 2014. This Order replaces the Registered Bank Disclosure Statements (New Zealand Incorporated Registered Banks) Order (No 3) 2013.
The purpose of this Order is to validate the legal effect of 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.