Central Bank Of Nigeria

Guidance Notes on Pillar III
Market Discipline

Table Of Contents

DISCLOSURE 2
1.0	INTRODUCTION 3
1.1	General Disclosure Principle 3
2.0	Disclosure Requirements 3
2.1	Organization of information and limitation of obligations 3
2.2	Content and procedures for disclosing information 3
2.3	Disclosure eligibility requirements 4
2.4	Derogations from disclosure requirements 4
2.5	Disclosure procedures and frequency 4
2.6	Organization and controls 5
Definitions of Terms 6
ANNEX A 7
Table 1: General requirements 7 Table 2: Scope of application 7 Table 3: Regulatory capital structure 8 Table 4: Capital adequacy 8 Table 5: Credit risk: general disclosures for all banks 10 Table 6: Credit risk: disclosures for portfolios treated under the standardized approach, specialized lending and equity exposures treated under IRB approaches.. 12 Table 7: Credit risk: disclosures for portfolios treated under IRB approaches 12 Table 8: Risk mitigation techniques 15 Table 9: Counterparty risk 16 Table 10: Securitization transactions 17 Table 11: Market risks: disclosures for banks using the internal models approach (IMA) for position risk, foreign exchange risk and commodity risk 20 Table 12: Operational risk 21 Table 13: Equity exposures: disclosures for banking book positions 21 Table 14: Interest rate risk on positions in the banking book 22

1.0 Introduction

The aim of Pillar III is to promote market discipline by allowing market participants to access information on risk exposure and risk management policies and procedures through disclosures. This section sets out the disclosure requirements under the guideline with respect to procedure, frequency and content of information to be disclosed.

1.1 General Disclosure Principle

Banks should have a formal disclosure policy approved by the board of directors that addresses the bank's approach for determining what disclosures it will make and the internal controls over the disclosure process. In addition, banks should implement a process for assessing the appropriateness of their disclosures, including validation and frequency of them. (BCBS June 2006, Par 821)

2.0 Disclosure Requirements 2.1 Organization Of Information And Limitation Of Obligations

The information whose disclosure is governed by these regulations is listed in Annex A.

2.2 Content And Procedures For Disclosing Information

• Banks shall disclose information relating to their core activities, risks profiles and methodologies used.

• In order to ensure the comprehensiveness of disclosures, references to other sources is not allowed.

• Banks are expected to make adequate disclosure consistent with their organizational complexity and the type of business they engage in, taking into account their internal reporting systems to the board and management.

2.3 Disclosure Eligibility Requirements

• For banks that adopt internal systems to calculate capital requirements for credit or operational risks and for those using credit risk mitigation techniques, compliance with specific disclosure requirements (Disclosure Eligibility Requirements) shall be a necessary condition for the recognition of such approach and the effects of such techniques for regulatory capital purposes. These disclosure requirements are marked by an asterisk in the annexed tables.

2.4 Derogations From Disclosure Requirements

• Banks may omit the disclosure of information that is not considered material, with the exception of information that represents a disclosure eligibility requirement.

• In exceptional cases, banks may omit the disclosure of proprietary or confidential information (including information that represents a disclosure eligibility requirement), provided that they specify the information that is not disclosed and the reasons for non-disclosure, and publish more general information on the matter in question.

2.5 Disclosure Procedures And Frequency

• Information shall be disclosed through the bank's website. Banks for whom such means of publication is difficult or onerous shall disclose information through the website of their respective industry association or in printed form.

• Banks shall make adequate pronouncement on the means of disclosure in their financial statements (in the notes to the financial statements).

• Disclosures shall be published on a bi-annual basis and within thirty days of publishing the financial statements.

• Banks may publish the information on a more frequent basis, taking into consideration their level of business, international affiliations and financial sectors dynamics. They should also consider their participation in the financial markets, international payment, clearing and settlement systems as well as the volatility of their exposure.

2.6 Organization And Controls

• Banks shall adopt suitable organizational arrangements to ensure the compliance with disclosure requirement under these regulations. Board and management shall independently assess and verify the quality of information. The solutions adopted shall form part of the bank's system of internal controls.

• Within this framework, banks shall establish appropriate specific procedures for verifying disclosures that are yet to be subjected to verification by external auditors or the CBN.

Definitions of Terms For the purposes of these regulations: Confidential information shall mean information in respect of which the bank has obligations to customers or other counterparty relationships binding it to confidentiality. Material information shall mean information which if omitted or misstated could change or influence the assessment or decision of a user relying on such information for the purpose of making economic decisions; Proprietary information shall mean information which, if shared with the public, would undermine the bank's competitive position. It may include information regarding products or systems which, if shared with competitors, would render the bank's investment therein less valuable; ANNEX A

		Description of disclosure
Qualitative	For each risk category (including those considered in the
disclosure	following	tables),	banks	shall	disclose	risk	management
	objectives and policies, including: - The strategies and processes for managing such risks; - The structure and organization of the relevant	risk
	management function;
	-	The scope and nature of risk measurement and reporting systems;
	-	The policies for hedging and mitigating risk as well as strategies and processes for monitoring their continuing effectiveness.

Table 1: General Requirements

		Description of disclosure
Qualitative	(a)	The name of the bank to which the disclosure requirement
disclosure	applies.
	(b)	An outline of differences on the	basis of consolidation for
	accounting and prudential purposes, with a brief description of the entities within the group which: i) Are fully consolidated; ii) Are proportionally consolidated; iii) Are deducted from the regulatory capital; iv) Are neither consolidated nor deducted.
	(c)	Any current or potential legal or substantive impediment to the prompt rapid transfer of regulatory capital or funds within the

Table 2: Scope Of Application

	Table 4: Capital adequacy Description of disclosure
Qualitative	(a)	Summary description of the bank's approach to assessing the
disclosure	adequacy of its internal capital to support current and future activities.

		Table 3: Regulatory capital structure Description of disclosure
Qualitative	(a)	Summary information on the main terms and conditions of the
disclosure		features of capital items, especially hybrid capital instrument and subordinated debt capital instruments.
	(b)	The total amount of Tier 1 capital, with separate disclosure of individual positive and negative items especially hybrid capital instruments.
	(c)	The total amount of Tier 2 capital
	(d)	Other	deductions	from	regulatory	capital,	with	separate
		disclosure - for banks using one of the IRB systems - of any negative differences between total value adjustments and expected loss.
Quantitative	(e)	Total regulatory capital.
disclosure

	group.
	(d)	For groups, any reduction in individual capital requirements applied to the parent entity and the Nigerian subsidiaries.
Quantitative	(e)	The names of all subsidiaries excluded from consolidation and
disclosure	aggregate amount of their capital deficiencies with respect to any mandatory capital requirements.

Quantitative	(b)	For banks calculating credit risk-weighted exposure amounts
disclosure	using the standardized	approach, the capital requirement for
	each of the exposure classes.
	(c)	For banks calculating credit risk-weighted exposure amounts using the IRB approach, the capital requirement for each of the exposure classes envisaged in these regulations. For retail exposures, separate disclosure shall be made for each of the following categories: "exposures secured by residential property", "qualifying revolving retail exposures" and "other retail exposures". For equity exposures, disclosure shall be made for: i) Each of the methods envisaged (simple risk weight approach, PD/LGD approach, internal models approach); in the case of the simple risk weight approach, separate disclosure shall be made for the capital requirement for: a) exchange-traded exposures; b) private equity exposures in sufficiently diversified portfolios; c) other exposures; ii) Exposures subject to supervisory transition regarding capital requirements; iii) Exposures subject to grandfathering provisions regarding capital requirements.
	(d)	Capital requirements for market risks, with separate disclosure for: - Assets included in the supervisory trading portfolio: i) Position risk with specific evidence towards securitization; ii) Settlement risk - Entire balance sheet: iii) Foreign exchange risk; iv) Commodity risk;

Table 5: Credit risk: general disclosures for all banks Description of disclosure
Qualitative	(a)	In addition to the general disclosure indicated in Table 1, the
disclosure	following information shall be disclosed for the exposure to credit risk and dilution risk:1 i) The definitions of "past due" and "impaired" loans used for accounting purposes;2 ii) A description of methods adopted for determining value adjustments3.
Quantitative	(b)	Total and average gross credit risk exposures4 over the period,5
disclosure	with	separate	disclosure	by	major	types	of	exposure	and
	counterparty.6 The amount shall be net of permitted accounting offsets, regardless of the effects of credit risk mitigation techniques.
(c)	Distribution of exposures by significant geographical areas, broken down by material exposure classes and further detailed if appropriate.
(d)	Distribution of exposures by industry or counterparty type, broken down by type of exposure and further detailed if appropriate.

(e)	Capital requirement for counterparty risks.
(f)	Total and Tier 1 capital ratios.

																																																											 1 Dilution	 risk	 shall	mean	 the	 possibility	 that	 the	 amount	 owed	 by	 the	 assigned	 obligor	 in	 respect	 of	 purchased	 receivables	 is	reduced through	credits	or	allowances	arising	from	returns,	disputes	regarding	product	quality,	promotional	or	other	discounts.

2 Banks shall indicate that the definition used is the same as the supervisory definition. 3 Value adjustments include specific and portfolio allowances as well as provisions to cover guarantees issued or commitments undertaken with third parties.

4 Where the period-end position is representative of the bank's risk exposure during the period, the average gross exposures need not be provided.

5 Where average amounts are disclosed in accordance with an accounting regulations or other requirement which specifies the calculation method to be used, that method shall be followed. Otherwise, the average exposures shall be calculated using the most frequent interval that the bank's systems generate for management, prudential or other reasons, provided that the resulting averages are representative of the bank's operations. The basis used for calculating averages shall be specified only if not on a daily average basis.

6 This breakdown could be that applied under accounting rules.

(e)	Distribution by residual contractual maturity 7 of the entire portfolio, broken down by type of exposure and further detailed if appropriate.
(f)	By significant industry or counterparty type, the amount of: i) Impaired and past due exposures, shown separately; ii) Total value adjustments; iii) Value adjustments during the period.
(g)	By significant geographical areas, the amount of: 1) impaired and past due exposures, shown separately; 2) value adjustments for each geographical area,8 where possible.
(h)	Reconciliation of changes in value adjustments for impaired exposures, show separately for specific and portfolio value adjustments. The information shall include: i) A description of the methods used to calculate the value adjustments; ii) The opening balance of total value adjustments; iii) Charge-offs taken during the period; iv) Value adjustments made during the period; v) Amounts reversed during the period; vi) Any other adjustment, for example exchange rate differences, business combinations, acquisitions and disposals of subsidiaries, including transfers between value adjustments; vii) The closing balance of total value adjustments. Charge-offs and recoveries recorded directly to the income statement should be shown separately.

																																																											 7 It	is	possible	to	use	the	same	maturity	groupings	envisaged	by	accounting	regulations.

8 The portion of portfolio value adjustments that is not allocated to a specific geographical area shall be disclosed separately.
Table 6: Credit risk: disclosures for portfolios treated under the standardized approach, specialized lending and equity exposures treated under IRB
approaches Description of disclosure

Table 7: Credit risk: disclosures for portfolios treated under IRB approaches (*) Description of disclosure Qualitative (a) Authorization from the CBN to use the approach selected and/or disclosure to use phased roll-out. (b) Explanation of: i) The structure of internal rating systems and relation between internal and external ratings;

		approaches Description of disclosure
Qualitative	(a)	Banks	calculating	credit	risk-weighted	exposures	using	the
disclosure	standardized approach shall provide the following information for each exposure class: i) Names of the nominated external credit assessment institutions (ECAIs), and the reasons for any changes; ii) The exposure classes for which each ECAI is used; iii) A description of the process used to transfer the issuer or issue credit ratings to comparable assets not included in the supervisory trading book.
Quantitative	(b)	Banks	calculating	credit	risk-weighted	exposures	using	the
disclosure	standardized approach shall provide, for each exposure class, the exposure values, with and without credit risk mitigation, associated with each credit quality step as well as the exposure values deducted from the regulatory capital.
	(c)	For exposures subject to the supervisory risk weights in IRB approaches (specialized lending - equity exposures under the simple risk weight method), the exposures assigned to each credit risk class shall be provided.

ii) The use of internal estimates for purposes other than the calculation of risk-weighted exposure amounts in accordance with IRB approaches; iii) The process for managing and recognizing credit risk mitigation techniques; iv) The control and review mechanisms for the rating systems, including discussion of independence and accountability.

(c)

Description of the internal ratings process, provided separately for the following exposure classes: i) Central governments and central banks; ii) Banks and other financial institutions; iii) Non-financial institutions, including SMEs, specialized lending and purchased receivables; iv) Retail exposures, for each of the categories envisaged (exposures secured by residential property; qualifying revolving retail exposures; other retail exposures); v) Equities.9 The description shall include: - The types of exposure included in the exposure classes; - The definitions, methods and data for estimation and validation of PD and, where applicable, LGD and the credit conversion factors, including assumptions employed in the derivation of these variables;10 - The description of deviations from the definition of default as permitted by prudential regulations, where these are determined to be material, also indicating for each class

																																																											 9Equities	shall	only	be	disclosed	here as	a	separate	class	where	the	bank	uses	the	PD/LGD	approach	for	equities held	in	the banking	book.

10Banks shall provide a general overview of the system approach, describing definitions of the variables, and methods for estimating and validating those variables set out in the quantitative risk disclosures. This should be done for each of the classes indicated in the text. Banks should draw out any significant differences in the approaches used to estimate these variables within each class.

		the	main	categories	of	exposure	affected	by	such
		deviations.11
(d)	Exposure values for each exposure class.
Quantitative disclosure: risk assessment	Exposures towards central governments and central banks, banks and other financial institutions, and corporates, where the banks use the IRB advanced approach, must be shown separately from exposures for which the banks do not utilise this approach.
(e)	For each exposure class – central governments and central banks; banks and other financial institutions; corporates; equities - provide the following information, with a sufficient breakdown between PD categories (including default) to allow a significant differentiation of credit risk:12 i) Total exposures (for exposures towards central governments and central banks, banks and other financial institutions, and corporates, the sum of outstanding loans plus unutilised margins; for equities, outstanding amount); ii) For banks on the IRB advanced approach, exposure-weighted average LGD (percentage); iii) Exposure-weighted average risk-weight; iv) For banks on the IRB advanced approach, the amount of unutilised margins and relative exposure-weighted average EAD.13
(f)	For retail exposures, provide for each category envisaged: i) The information referred to in point e) (if applicable, on a pool basis) or ii) Analysis of exposures (if applicable, on a pool basis) against a sufficient number of expected loss (EL) grades to allow for a

																																																											 11Banks	 shall	 only	 describe	 the	 main	 areas	 where	 there	 has	 been	 material	 divergence	 from	 the	 reference	 definition of default	such	that	it	would	affect	the	reader's	ability	to	compare	and	understand	the	disclosure	of	exposures	by PD	grade. 12The	PD,	LGD	and	EAD	disclosures	below	shall	reflect	the	effects	of	collateral,	netting	and	guarantees/credit derivatives, where	recognized.	Disclosure	of	each	PD	grade	should	include	the	exposure-weighted	average	PD	for each	grade.	Where banks	 are	 aggregating	 PD	 grades	 for	 the	 purposes	 of disclosure,	 this	 shall	 be	 a	 representative breakdown	 of	 the distribution	of	PD	grades	used	in	the	IRB	approach.

13Banks shall only provide one estimate of EAD for each exposure class. However, where banks believe it is helpful, in order to give a more meaningful assessment of risk, they may also disclose EAD estimates across a number of EAD categories, against the undrawn exposures to which these relate.

		meaningful differentiation of credit risk.
Quantitative disclosure: historical results	(g)	Actual value adjustments (for example, charge-offs and specific write-downs) in the preceding period for each exposure class (showing each retail exposure category separately) and how this differs from previous years.
	(h)	Discussion of the factors that impacted on the loss experience in the preceding period (for example, has the bank experienced higher than average default rates, or higher than average LGDs and credit conversion factors).
	(i)	Banks' estimates against actual outcomes over a longer period. This should at least include information on estimates of losses against actual losses in each exposure class, over a period sufficient to allow for a meaningful assessment of the performance of the internal rating processes for each exposure class (for retail exposures, the information must be given for each of the categories provided). Where necessary, banks should further decompose this to provide analysis of PD and, for banks on the advanced IRB approach, LGD and credit conversion factor outcomes against estimates provided.
() Eligibility requirements for the use of particular instruments or methodologies Table 8: Risk mitigation techniques 14() Description of disclosure Qualitative (a) Policies and processes for, and an indication of the extent to disclosure which the bank makes use of, on- and off-balance sheet netting. (b) Policies and processes for collateral evaluation and management. (c) A description of the main types of collateral taken by the bank. (d) The main types of guarantor and credit derivative counterparty and their creditworthiness. (e) Information about market or credit risk concentrations under the credit risk mitigation instruments used.

																																																											 14Credit	derivatives	treated	as	part	of	synthetic	securitization	transactions	should	be	excluded	 from	CRM disclosures	and included	within	those	relating	to	securitizations.

		Table 9: Counterparty risk16 Description of disclosure
Qualitative	(a)	Description of:
disclosure	i) The method used to assign the operating limits defined in terms of internal capital and credit for counterparty credit exposures; ii) Policies relating to guarantees and assessments concerning counterparty risk; iii) Policies with respect to wrong-way risk exposures; iv) The impact in terms of the amount of collateral that the bank would be required to provide given a credit rating downgrade.
Quantitative	(b)	i) Gross positive fair value of contracts;
disclosure	ii) Reduction in gross positive fair value due to netting; iii) Positive fair value net of netting agreements;

Quantitative	(f)	For	banks	calculating	credit	risk-weighted	exposures	in
disclosure	accordance with the standardized or foundation IRB approaches, separately for each exposure class, the total exposure value (if applicable, net of on-balance sheet netting and off-balance sheet netting agreements) that is covered by financial collateral and other eligible collateral, after application of haircuts.15
	(g)	For banks calculating credit risk-weighted exposures according to the standardized or foundation IRB approaches, separately for each exposure class, the total exposure (if applicable, net of onbalance sheet offsets and off-balance sheet offsetting agreements) covered by guarantees or credit derivatives. For equities such disclosure requirement applies to each method (simple risk weight method, PD/LGD approach, internal models method).
(*) Disclosure requirements for banks using credit risk mitigation techniques.

																																																											 15If	 the	 comprehensive	 approach	 is	 applied,	 where	 applicable,	 the	 total	 exposure	 covered	 by	 collateral	 after haircuts should	be	reduced	further	to	remove	any	positive	adjustments	that	were	applied	to	the	exposure. 16Applicable	 to	 OTC	 derivatives	 (including	 credit	 derivatives)	 as	 well	 as	 securities	 financing	 transactions(repurchase agreements,	securities	or	commodities	lending	and	borrowing	transactions,	re-margining	transactions based	on	securities or	commodities,	long	settlement	transactions).

	Table 10: Securitization transactions19 Description of disclosure
Qualitative	(a)	i)	Description	of	the	bank's	objectives	with	regard	to
disclosure	securitization activity; ii) For positions towards re-securitizations and third parties, the type of risks in terms of: - level of subordination of position towards the underlying securitization, or underlying assets

iv) Collateral held; v) Positive fair value of derivative contracts net of netting and collateral agreements; vi) Measures of EAD, or value of the exposure to counterparty risk, calculated in accordance with the methods used (internal, standardized, mark-to-market models) vii) Notional amount of credit derivative hedges for counterparty risk; viii) Distribution of positive fair value of contracts by type of underlying;17 ix) Notional amount of credit derivatives in the banking book and the supervisory trading book, divided by product type,18 further broken down according to the role played by the bank (buyer or seller of protection) within each product group; x) Estimated alpha if the bank has received authorization from the CBN to estimate alpha.

																																																											 17For	example:	interest	rate	contracts,	FX	contracts,	equity	contracts,	credit	derivatives,	commodity/other	contracts.

18For example: credit default swap, total rate of return swap.

19 Except where otherwise specified, this information must be provided separately for positions in the trading book for supervisory purposes and for those in the banking book. The reference to securitization must be understood as including re-securitizations. Where the distinction is specified, the information must be provided separately for securitizations and for re-securitizations. Credit derivatives that are treated, for the purposes of these regulations, as part of synthetic securitization structures shall be excluded from the credit risk mitigation disclosures and included within those relating to securitization.

-	these positions towards the securitization
iii)Description of procedures implemented to monitor changes in credit and market risks positions towards the securitization (e.g. the way in which the performance of the underlying asset affects those positions) and towards the re-securitization; iv) Description of the cover policies of the risks associated with securitization and re-securitization positions, including an indication of the main guarantee of security for each type of risk;
(b)	Summary	of	bank's	accounting	policies	for	securitization
activities, specifying: i) Whether the transactions are treated as sales or financings; ii) Recognition of gain on sale; iii) Key assumptions for valuing securitization exposures; iv) Treatment of synthetic securitizations, if this is not covered by other accounting policies (for example, on derivatives). v) The valuation criteria of awaiting securitization assets and if they are allocated or not in the trading book for supervisory purposes; vi) the accounting policies relating to arrangements that could require the bank to provide financial support for securitised assets (eg. liabilities in the financial statements).
(c)	Names of ECAIs used for securitizations and the types of exposure for which each agency is used.
(d)	The description of the 'Internal Assessment Approach', including: - The internal assessment process; - The relation between internal assessment and external ratings; - The use of the internal evaluation for purposes other than the calculation of capital requirements; - The control mechanisms of the internal assessment process including an independence, accountability, and internal assessment process review; - The exposure types to which is applied the internal

		assessment process;
		-	The stress factors used to determine the levels of credit enhancement, by type of exposure.
(e)		The explanation of significant changes to any of the quantitative information referred to in points f) to h) since the last reporting period.
Quantitative	(f)	state the following information broken down by exposure type:
disclosure		i) Total amount of securitization transactions to be carried out by the bank as originator, divided into traditional and synthetic, and those for which the bank acts only as a promoter; ii) Total amount of securitization positions in both balance sheet and off-balance sheet; iii) Total amount of awaiting securitization assets; iv) The amount of securitization positions deducted from regulatory capital or subject to risk weight of 1250%; v) Summary of the securitization activity in the period as originator, including the amount of the underlying assets, as well as the profits or losses from the sale.
(g)		i) Total amount of own securitization positions or of third party and associated capital requirements, broken down between securitization positions and positions towards re-securitizations, and further broken down into a meaningful number of risk weight bands or capital requirements for each of the used approaches (standardized approach, supervisory Formula, etc.). ii) Total amount of own re-securitization positions or of third party, divided as follows: - By positions covered by credit risk mitigation (CRM) and positions not covered; - By creditworthiness or by name of any guarantor.
(h)		Only	for	positions	allocated	in	the	banking	portfolio	and
		securitized assets by the bank, the underlying assets impaired and the losses recognized by the bank during the reporting period, both broken down by exposure type.

	(IMA) for position risk, foreign exchange risk and commodity risk Description of disclosure
Qualitative	(a)	For each portfolio covered by the IMA:
disclosure		i) Characteristics of the models used; ii) A description of stress testing applied to the portfolio; iii) A description of the approach used for backtesting and/or validating the accuracy and consistency of the internal models and modeling processes.
	(b)	The scope of acceptance by the CBN regarding the use of the internal models approach.
	(c)	Description of the level of conformity with the rules governing the systems and controls used to ensure prudent and reliable assessments of the positions included in the supervisory trading portfolio, as well as the methods used to ensure compliance with such rules.
Quantitative	(d)	The maximum, minimum and average value in the reference
disclosure		period and the value at end of the period: i) Daily VaR data; ii) Stressed VaR data; iii) The capital requirements referred to in point (a). ii).
	(e)	For each sub-portfolio the capital requirements referred to in point (a).ii), together with the weighted average liquidity horizon for the nominal value of the exposure.
	(f)	The comparison of the daily closing VaR with the daily changes in the actual value of the portfolio, it must show the reasons behind the changes which have occurred during the reporting period.

Table 12: Operational Risk

Table 13: Equity exposures: disclosures for banking book positions Description of disclosure
Qualitative	(a)	i) Differentiation between exposures according to the objectives
disclosure	pursued	(for	example,	capital	gains,	relationships	with
	counterparties, strategic reasons); ii) Description of accounting	techniques	and	valuation
	methodologies used, including key assumptions and practices affecting valuation, as well as significant changes in these practices.
Quantitative	(b)	Value disclosed in the balance sheet and fair value; in addition,
disclosure	for listed securities, a comparison with market quotation where it is materially different from fair value.
(c)	Type, nature and amounts of exposures, distinguishing between: i) Exposures traded in the market; ii) Exposures in private equity instruments held in sufficiently diversified portfolios; iii) Other exposures.

	Description of disclosure
Qualitative	(a)	A description of the approach used for operational risk capital
disclosure	assessment.
	(b)	A description of the advanced measurement approaches (AMA), if used by the bank, including a discussion of relevant internal and external factors considered in the approach adopted. In case of partial use of the AMA, the scope and coverage of the different approaches used should be indicated.
	(c)*	For banks using the AMA, a description of the use of insurance for the purpose of mitigating operational risk.
(*) Eligibility requirements for the use of particular instruments or methodologies.

	Table 14: Interest rate risk on positions in the banking book Description of disclosure
Qualitative	(a)	i) Nature of the interest rate risk;
disclosure	ii) Key assumptions used in measuring and managing risk, particularly as regards loans with prepayment option and the behaviour of non-maturity deposits; iii) Frequency of measurement of this type of risk.
Quantitative	(b)	Consistently with the method used by management to measure
disclosure	interest rate risk, the increase/decline in earnings or economic capital (or other relevant indicators) - broken down by main currencies20 - in case of upward or downward rate shocks.

(d)	Total cumulative realised gains and losses arising from sales and liquidations in the reporting period.
(e)	i) Unrealised gains/losses (recognised in the balance sheet but not taken to the income statement); ii) Amount of the above gains/losses included in Tier 1 or Tier 2 capital.