PD-1.3.40
Past version: Effective from 01 Apr 2008 to 30 Sep 2010
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The following quantitative disclosures should be made for rate of return risk.
a) Indicators of exposures to rate of return risk- for example,
data on expected payments/ receipts on financing and
funding and the cost of funding at different maturity buckets
according to time of maturity or time of re-pricing for
floating rate assets or funding.
b) Sensitivity analysis of bank's profits and the rate of returns
to price or profit rate movements in the market, including
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 profit
items and the profit margin earned, and the duration and
effective profit rate of assets and liabilities). These disclosures
should be by each portfolio identified in PD-1.3.23 a), showing
their related gains and losses. Also, the effect on the value of
assets, liabilities and economic capital for a benchmark
change of 200bp in profit rates should be disclosed.
April 2008