Sec Form 20-F - Registration Statement/annual Report/transition Report/shell Company Report Page 33
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69information contained in financial statements that comply with IFRS as issued by the IASB.
Instructions to Item 11(a).
1.
Under Item 11(a)(1):
A.
For each market risk exposure category within the trading and other than trading portfolios, registrants may report
the average, high, and low sensitivity analysis or value at risk amounts for the reporting period, as an alternative
to reporting year-end amounts.
B.
In determining the average, high, and low amounts for the fiscal year under instruction 1.A. of the Instructions to
Item 11(a), registrants should use sensitivity analysis or value at risk amounts relating to at least four equal time
periods throughout the reporting period (e.g., four quarter-end amounts, 12 month-end amounts, or 52 week-end
amounts).
C.
Functional currency means functional currency as defined by generally accepted accounting principles (see, e.g.,
FASB, Statement of Financial Accounting Standards No. 52, “Foreign Currency Translation”, (“FAS 52”)
paragraph 20 (December 1981)).
D.
Registrants using the sensitivity analysis and value at risk disclosure alternatives are encouraged, but not required,
to provide quantitative amounts that reflect the aggregate market risk inherent in the trading and other than trading
portfolios.
2.
Under Item 11(a)(1)(i):
A.
Examples of contract terms sufficient to determine future cash flows from market risk sensitive instruments include,
but are not limited to:
i.
Debt instruments - principal amounts and weighted average effective interest rates;
ii.
Forwards and futures - contract amounts and weighted average settlement prices;
iii.
Options - contract amounts and weighted average strike prices;
iv.
Swaps - notional amounts, weighted average pay rates or prices, and weighted average receive rates or
prices; and
v.
Complex instruments - likely to be a combination of the contract terms presented in 2.A.i. through iv. of this
Instruction;
B.
When grouping based on common characteristics, instruments should be categorized, at a minimum, by the following
characteristics, when material:
i.
Fixed rate or variable rate assets or liabilities;
33
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