Sec Form 20-F - Registration Statement/annual Report/transition Report/shell Company Report Page 38
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69choose the tabular presentation disclosure alternative should present voluntarily selected instruments, positions,
or transactions in a manner consistent with the requirements in Item 11(a) for market risk sensitive instruments.
C.
If a registrant elects to include voluntarily a particular type of instrument, position, or transaction in their
quantitative disclosures about market risk, that registrant should include all, rather than some, of those instruments,
positions, or transactions within those disclosures. For example, if a registrant holds in inventory a particular type
of commodity position and elects to include that commodity position within their market risk disclosures, the
registrant should include the entire commodity position, rather than only a portion thereof, in their quantitative
disclosures about market risk.
5.
A.
Under Items 11(a) and 11(b), a materiality assessment should be made for each market risk exposure category within
the trading and other than trading portfolios.
B.
For purposes of making the materiality assessment under instruction 5.A. of the General Instructions to Items 11(a)
and 11(b), registrants should evaluate both:
i.
The materiality of the fair values of derivative financial instruments, other financial instruments, and
derivative commodity instruments outstanding as of the end of the latest fiscal year; and
ii.
The materiality of potential, near-term losses in future earnings, fair values, and cash flows from reasonably
possible near-term changes in market rates or prices.
iii.
If either paragraphs B.i. or B.ii. in this instruction of the General Instructions to Items 11(a) and 11(b) are
material, the registrant should disclose quantitative and qualitative information about market risk, if such
market risk for the particular market risk exposure category is material.
C.
For purposes of instruction 5.B.i. of the General Instructions to Items 11(a) and 11(b), registrants generally should
not net fair values, except to the extent allowed under generally accepted accounting principles (see, e.g., FASB
Interpretation No. 39, “Offsetting of Amounts Related to Certain Contracts” (March 1992)). For example, under
this instruction, the fair value of assets generally should not be netted with the fair value of liabilities.
D.
For purposes of instruction 5.B.ii. of the General Instructions to Items 11(a) and 11(b), registrants should consider,
among other things, the magnitude of:
i.
Past market movements;
ii.
Reasonably possible, near-term market movements; and
iii.
Potential losses that may arise from leverage, option,and multiplier features.
E.
For purposes of instructions 5.B.ii. and 5.D.ii. of the General Instructions to Items 11(a) and 11(b), the term near
term means a period of time going forward up to one year from the date of the financial statements (see generally
SOP 946, at paragraph 7 (December 30, 1994)).
F.
For the purpose of instructions 5.B.ii. and 5.D.ii. of the General Instructions to Items 11(a) and 11(b), the term
reasonably possible has the same meaning as defined by generally accepted accounting principles (see, e.g., FAS
5, paragraph 3 (March 1975)).
6.
For purposes of Items 11(a) and 11(b), registrants should present the information outside of, and not incorporate the
information into, the financial statements (including the footnotes to the financial statements). In addition, registrants
are encouraged to provide the required information in one location. However, alternative presentation, such as inclusion
of all or part of the information in Management’s Discussion and Analysis, may be used at the discretion of the registrant.
If information is disclosed in more than one location, registrants should provide cross-references to the locations of the
related disclosures.
7.
For purposes of the instructions to Items 11(a) and 11(b), trading purposes has the same meaning as defined by generally
accepted accounting principles (see, e.g., FAS 119, paragraph 9a (October 1994)). In addition, anticipated transactions
means transactions (other than transactions involving existing assets or liabilities or transactions necessitated by existing
firm commitments) an enterprise expects, but is not obligated, to carry out in the normal course of business (see, e.g., FASB,
Statement of Financial Accounting Standards No. 80, “Accounting for Futures Contracts,” paragraph 9, (August 1984)).
38
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