Chapter:	155M	Title:	Banking (Disclosure) Rules	Gazette Number:	E.R. 1 of 2012
Section:	70	Heading:	Market risk	Version Date:	09/02/2012

(1) An authorized institution which has an exemption under section 22(1) of the Capital Rules shall disclose that fact.
(2) An authorized institution which uses the STM approach to calculate its market risk shall disclose¡X

(a) its positions covered by the approach; and
(b) its market risk capital charge for its¡X
(i) interest rate exposures (including options exposures if applicable), including the separate disclosure of the capital requirements incurred by the institution against securitization positions and non-securitization positions; (L.N. 138 of 2011)
(ii) equity exposures (including options exposures if applicable);
(iii) foreign exchange (including gold) exposures (including options exposures if applicable); and
(iv) commodity exposures (including options exposures if applicable).

(a) disclose the positions covered by the approach;
(b) subject to paragraph (c), disclose a description of¡X
(i) the methodologies it uses to ensure it complies with section 316(3) of the Capital Rules in respect of its valuation of market risk positions; and
(ii) the extent to which the methodologies referred to in subparagraph (i) are so used;
(c) ensure that the description referred to in paragraph (b) includes¡X
(i) an articulation of the soundness standards on which the institution's internal capital adequacy assessment is based; and
(ii) a description of the methodologies the institution uses to achieve a capital adequacy assessment which is consistent with the soundness standards;
(d) for each position covered by the approach, disclose¡X
(i) the characteristics of the internal models it uses;
(ii) a description of the stress-testing the institution applies to the position; and
(iii) a description of the approach the institution uses to back-test or validate the accuracy and consistency of the internal models it uses and the modelling processes; (L.N. 138 of 2011)
(e) in respect of the incremental risk charge and the comprehensive risk charge calculated by the institution using internal models, disclose a description of the methodologies used and the risks measured through the use of the internal models, including¡X
(i) the approach used by the institution to determine liquidity horizons;
(ii) the methodologies used to achieve a capital assessment for market risk that is consistent with a soundness standard comparable to that for the IRB approach for credit risk; and
(iii) the approaches used in the validation of the models; and (L.N. 138 of 2011)
(f) for each position covered by the approach and for each internal model used by the institution for the position, separately disclose¡X
(i) the institution¡¦s average, high and low VaR for the annual reporting period and the VaR as at the last trading day of the annual reporting period;
(ii) the institution¡¦s average, high and low stressed VaR for the annual reporting period and the stressed VaR as at the last trading day of the annual reporting period;
(iii) the institution¡¦s average, high and low incremental and comprehensive risk charges for the annual reporting period and the incremental and comprehensive risk charges as at the last trading day of the annual reporting period; and
(iv) a comparison of VaR estimates with actual gains or losses experienced by the institution and a breakdown of important exceptions in back-test results. (L.N. 138 of 2011)