An authorized institution shall, in respect of its interest rate exposures which arise from its banking book positions, disclose°X
(a) the nature of the risk;
(b) the key assumptions the institution uses in its measurement of the risk (including assumptions regarding loan prepayments and the behaviour of deposits without a fixed maturity);
(c) the frequency of its measurement of the risk; and
(d) the variations in earnings or economic value for significant upward and downward interest rate movements broken down, if relevant, by currency in accordance with the method used in the returns relating to interest rate risk exposures submitted by it to the Monetary Authority pursuant to section 63 of the Ordinance in respect of the annual reporting period.