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  • Market Risk Disclosures for Banks

    • PD-1.3.27

      Banks must disclose the following items:

      (a) The general qualitative disclosure requirements for market risk (PD-1.3.21), identifying the concerned portfolios (special mention must be made of assets that do not have a ready market and/or which are exposed to high price volatility); and
      (b) The capital requirements for each category of the market risk items:
      (i) Equity position risk;
      (ii) Market risk on trading positions in sukuk;
      (iii) Foreign exchange risk (i.e. net open position); and
      (iv) Commodity risk (i.e. price risk).
      on an end period basis, as well as showing the maximum and minimum values during the period for each category of market risk shown above; and
      (c) The disclosures under Subparagraph PD-1.3.27 (b) must be followed by detailed quantitative information about the nature and extent of profit-rate sensitive assets and liabilities and off-balance sheet exposures (e.g. breakdown of fixed and floating rate items and the net profit rate margin earned, and the duration and effective profit rate of assets and liabilities). These disclosures should be by each portfolio identified in Subparagraph PD-1.3.27 (a), showing their related gains and losses. Also, the effect on the value of assets, liabilities and capital for a 200bp change in profit rates should be disclosed.
      Amended: April 2016
      Amended April 2011
      Amended October 2010
      April 2008