Sec Form 20-F - Registration Statement/annual Report/transition Report/shell Company Report Page 32
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69(B)
Registrants shall provide a description of the model, assumptions, and parameters, which are
necessary to understand the disclosures required under paragraph (a)(1)(ii)(A) of this Item 11;
or
(iii)
(A)
Value at risk disclosures that express the potential loss in future earnings, fair values, or cash flows
of market risk sensitive instruments over a selected period of time, with a selected likelihood of
occurrence, from changes in interest rates, foreign currency exchange rates, commodity prices,
and other relevant market rates or prices;
(B)
(1)
For each category for which value at risk disclosures are required under paragraph
(a)(1)(iii)(A) of this Item 11, provide either:
(i)
The average, high and low amounts, or the distribution of the value at risk amounts
for the reporting period; or
(ii)
The average, high and low amounts, or the distribution of actual changes in fair
values, earnings, or cash flows from the market risk sensitive instruments occurring
during the reporting period; or
(iii)
The percentage or number of times the actual changes in fair values, earnings, or
cash flows from the market risk sensitive instruments exceeded the value at risk
amounts during the reporting period;
(2)
Information required under paragraph (a)(1)(iii)(B)(1) of this Item 11 is not required for the
first fiscal year end in which a registrant must present Item 11 information; and
(C)
Registrants shall provide a description of the model, assumptions, and parameters, which are
necessary to understand the disclosures required under paragraphs (a)(1)(iii)(A) and (B) of this
Item 11.
(2)
Registrants shall discuss material limitations that cause the information required under paragraph (a)(1) of this
Item 11 not to reflect fully the net market risk exposures of the entity. This discussion shall include summarized
descriptions of instruments, positions, and transactions omitted from the quantitative market risk disclosure
information or the features of instruments, positions, and transactions that are included,but not reflected fully
in the quantitative market risk disclosure information.
(3)
Registrants shall present summarized market risk information for the preceding fiscal year. In addition,
registrants shall discuss the reasons for material quantitative changes in market risk exposures between the
current and preceding fiscal years. Information required by this paragraph(a)(3), however, is not required if
disclosure is not required under paragraph (a)(1) of this Item 11 for the current fiscal year. Information required
by this paragraph (a)(3) is not required for the first fiscal year end in which a registrant must present Item 11
information.
(4)
If registrants change disclosure alternatives or key model characteristics, assumptions, and parameters used
in providing quantitative information about market risk (e.g., changing from tabular presentation to value at risk,
changing the scope of instruments included in the model, or changing the definition of loss from fair values
to earnings), and if the effects of any such change is material, the registrant shall:
(i)
Explain the reasons for the change; and
(ii)
Either provide summarized comparable information,under the new disclosure method, for the year
preceding the current year or, in addition to providing disclosure for the current year under the new
method, provide disclosures for the current year and preceding fiscal year under the method used in the
preceding year.
Instruction to Item 11: An issuer filing financial statements that comply with IFRS as issued by the IASB should, in providing
information in response to paragraphs of this Item 11 that refer to pronouncements of the FASB, provide disclosure that
satisfies the objective of the Item 11 disclosure requirements. In responding to this Item 11, an issuer need not repeat
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