PD-1.3.30
Past version: Effective from 01 Oct 2010 to 31 Mar 2011
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Banks using the standardised approach must disclose the following items:
a) The general qualitative disclosure requirements for market risk (PD-1.3.21), identifying the portfolios covered by the standardised approach;
b) The capital requirements for:
• Interest rate risk;
• Equity position risk;
• Foreign exchange risk; and
• Commodity 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 PD-1.3.30 (b) above must be followed by 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 rate of assets and liabilities). These disclosures should be by each portfolio identified in PD-1.3.30 (a), showing their related gains and losses. Also, the effect on the value of assets, liabilities and capital for a 200bp change in interest rates should be disclosed.
Amended October 2010
April 2008
April 2008