A bank—
| (A) | that adopted the standardised approach specified in regulation 28(7) for the measurement of the bank's exposure to market risk in respect of positions held in the bank's trading book shall disclose to the public sufficiently detailed information in respect of the qualitative and quantitative information specified below: |
| (i) | Qualitative information |
A bank shall in addition to the qualitative information specified in paragraph (d) above, disclose to the public information relating to the portfolios/instruments that are subject to the standardised approach.
| (ii) | Quantitative information |
A bank shall disclose to the public sufficiently detailed quantitative information in respect of the bank's capital requirement relating to:
| (aa) | interest-rate products, provided that the bank shall separately disclose its relevant required amount of capital and reserve funds related to securitised or resecuritised instruments or positions in accordance with the relevant requirements specified in subparagraph (vi) below; |
| (cc) | positions in foreign exchange; and |
| (B) | that adopted the internal models approach specified in regulation 28(8) for the measurement of the bank's exposure to market risk in respect of positions held in the bank's trading book shall disclose to the public sufficiently detailed information in respect of the qualitative and quantitative information specified below: |
| (i) | Qualitative information |
A bank—
| (aa) | shall in addition to the qualitative information specified in paragraph (d) above, disclose to the public sufficiently detailed information in respect of the portfolios/instruments that are subject to the internal models approach; |
| (bb) | shall in respect of each relevant portfolio subject to the internal models approach provide a description of— |
| (i) | the key characteristics of the model(s) used by the bank; |
| (ii) | the stress testing applied by the bank to a particular portfolio; |
| (iii) | the approach adopted by the bank in order to backtest or validate the accuracy and consistency of the internal model(s) and modelling processes used by the bank. |
| (cc) | shall disclose to the public sufficiently detailed information in respect of the (extent of) approval obtained from the Registrar to apply the internal models approach in respect of positions held by the bank in its trading book; |
| (dd) | shall in respect of the bank's incremental risk capital requirement and its comprehensive risk capital requirement disclose to the public sufficiently detailed information in respect of the methodologies used and the risks measured through the use of the bank's internal models, including— |
| (i) | the approach used to determine liquidity horizons; |
| (ii) | the methodologies used to achieve a capital assessment that is consistent with the required soundness standard; and |
| (iii) | the approaches used in the validation of the models. |
| (ii) | Quantitative information |
A bank shall in respect of each relevant portfolio subject to the internal models approach—
| (aa) | disclose to the public sufficiently detailed information in respect of the high, mean and low value-at-risk (VaR) amounts of the reporting bank during the relevant reporting period and as at the end of the reporting period; |
| (bb) | disclose to the public sufficiently detailed information in respect of the high, mean and low stressed value-at-risk (sVaR) amounts of the reporting bank during the relevant reporting period and as at the end of the reporting period; |
| (cc) | disclose to the public sufficiently detailed information in respect of the high, mean and low amounts of required capital and reserve funds related to incremental risk and comprehensive risk during the relevant reporting period and as at the end of the reporting period; |
| (dd) | provide a detailed comparison between value-at-risk estimates and actual gains/losses experienced by the bank; |
| (ee) | provide an analysis of important "outliers" identified during the bank's backtesting process. |
| (C) | shall in respect of equity positions held in the bank's banking book disclose to the public sufficiently detailed information in respect of the qualitative and quantitative information specified below: |
| (i) | Qualitative information |
A bank shall in addition to the qualitative information specified in paragraph (d) above, disclose to the public sufficiently detailed information in respect of the bank's accounting policies, including—
| (aa) | the manner in which the bank values and accounts for equity positions held in the banking book, that is, the accounting technique and valuation methodology used by the bank; |
| (bb) | key assumptions made and practices adopted by the bank, which practices may affect the valuation of the said equity positions, and any significant changes made by the bank in respect of the said practices, |
provided that the bank shall differentiate between equity positions in respect of which the bank expects to realise capital gains and equity positions held for other reasons, such as strategic positioning or in order to establish a particular relationship.
(ii) Quantitative information
A bank—
| (aa) | shall disclose to the public— |
| (i) | the value at which investments held in the bank's banking book is disclosed in the bank's balance sheet, and the fair value of the said investments, provided that when the share price of listed instruments materially differs from the fair value of the instruments the bank shall provide a comparison between the listed share price and the fair value of the said instruments; |
| (ii) | the cumulative amount of gains/losses realised by the bank from the sale/liquidation of positions held in the bank's banking book during the current reporting period; |
| (iii) | the total amount relating to unrealised gains/losses, that is, unrealised gains/losses recognised directly in the bank's balance sheet instead of being recognised in the bank's income statement; |
| (iv) | the total amount relating to latent revaluation gains/losses, that is, unrealised gains/losses not recognised in either the bank's balance sheet or income statement; |
| (v) | the extent to which the bank included unrealised gains/losses referred to in items (iii) and (iv) above in tier 1 or tier 2 capital and reserve funds of the bank; |
| (vi) | based on the approach adopted by the bank, the bank's capital requirement in respect of the various equity positions held in the bank's banking book; |
| (bb) | shall distinguish between the various types of instrument held in the bank's banking book, and the nature of the said investments, including the amounts relating to— |
| (i) | publicly traded instruments; and |
| (ii) | privately traded instruments. |
