PD-1.3.9
The following information relating to market risk should be included in the bank's Annual Report:
(a) detailed quantitative information about the nature and extent of interest rate-sensitive assets and liabilities and off-balance sheet exposures (e.g., breakdown of fixed and floating rate items and the net interest margin earned, and the duration and effective interest rates of assets and liabilities). These disclosures should also identify classes of assets and liabilities, and related gains and losses, in addition to the effect on the value of assets, liabilities and economic equity for a given specific change in interest rates;
(b) summarised quantitative information for significant concentrations of foreign exchange exposure by currency, broken down by hedged and unhedged exposures ;
(c) summarised quantitative information about price related market risk exposure (Value-at-Risk) (i.e., to equity, commodity and other markets), including:
(i) the magnitude of the exposure on a weekly or monthly basis,
(ii) the maximum and minimum values in the reporting period,
(iii) the end-of-period values, and
(iv) the assumptions (and or models) used in calculations (e.g., confidence level, holding period, etc.);
(d) a histogram (or similar presentation) of the overall daily profits or exposures for aggregate market risk over the reporting period. As an absolute minimum, summarised aggregate quantitative information relating to monthly VaR results giving an overview of the extent of market risk related activities should be presented; and
(e) information showing the performance of any VaR models for the period, in particular giving the number of times actual losses exceeded the VaR estimates of the model(s).