Sec Form 20-F - Registration Statement/annual Report/transition Report/shell Company Report Page 34
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69ii.
Long or short forwards and futures;
iii.
Written or purchased put or call options with similar strike prices;
iv.
Receive fixed and pay variable swaps, receive variable and pay fixed swaps, and receive variable and pay
variable swaps;
v.
The currency in which the instruments’ cash flows are denominated;
vi.
Financial instruments for which foreign currency transaction gains and losses are reported in the same
manner as translation adjustments under generally accepted accounting principles (see, e.g., FAS 52
paragraph 20 (December 1981)); and
vii.
Derivatives used to manage risks inherent in anticipated transactions;
C.
Registrants may aggregate information regarding functional currencies that are economically related, managed
together for internal risk management purposes, and have statistical correlations of greater than 75% over each
of the past three years;
D.
Market risk sensitive instruments that are exposed to rate or price changes in more than one market risk exposure
category should be presented within the tabular information for each of the risk exposure categories to which those
instruments are exposed;
E.
If a currency swap (see, e.g., FAS 52 Appendix E for a definition of currency swap) eliminates all foreign currency
exposures in the cash flows of a foreign currency denominated debt instrument, neither the currency swap nor the
foreign currency denominated debt instrument are required to be disclosed in the foreign currency risk exposure
category. However, both the currency swap and the foreign currency denominated debt instrument should be
disclosed in the interest rate risk exposure category; and
F.
The contents of the table and related assumptions that should be described include, but are not limited to:
i.
The different amounts reported in the table for various categories of the market risk sensitive instruments (e.g.,
principal amounts for debt, notional amounts for swaps, and contract amounts for options and futures);
ii.
The different types of reported market rates or prices (e.g., contractual rates or prices, spot rates or prices,
forward rates or prices); and
iii.
Key prepayment or reinvestment assumptions relating to the timing of reported amounts.
3.
Under Item 11(a)(1)(ii):
A.
Registrants should select hypothetical changes in market rates or prices that are expected to reflect reasonably
possible near-term changes in those rates and prices. In this regard, absent economic justification for the selection
of a different amount, registrants should use changes that are not less than 10 percent of end of period market rates
or prices;
34
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