commiss recommend june disclosur inform financi instrument item complement disclosur requir council direct eec annual account consolid account bank financi institut notifi document number ec commiss european commun regard treati establish european commun articl thereof wider intern level bank undertak increasingli call provid enhanc disclosur activ financi instrument similar instrument intern develop enhanc disclosur echo european parliament resolut septemb financi deriv instrument due bank financi institut pivot role financi market monetari econom system enhanc disclosur inform activ relat financi instrument similar instrument appear desir institut due enorm increas institut activ relat instrument notabl deriv instrument time adopt council direct eec disclosur addit inform complement limit disclosur requir direct consid disclosur inform investor market particip inform decis foster market transpar market disciplin valuabl complement prudenti supervis effect meaning compar qualit quantit inform institut activ relat financi instrument inform object method risk measur manag system notwithstand oblig disclos materi inform potenti us disclosur balanc overburden financi statement excess disclosur cost provid inform oblig disclos inform impos oblig disclos confidenti proprietari inform ongo intern discuss method disclos inform formal amend direct eec introduc mandatori disclosur requir appear prematur smoth function intern market account inform publish bank financi institut remain suffici compar commiss close follow effect recommend current practic member state propos action ensur suffici harmonis field recommend account period commenc month date recommend futur account period inform accord annex disclos bank financi institut note annual consolid account annual report member state measur promot applic recommend due regard natur size institut consequ us market inform provid account member state notifi commiss measur complianc recommend brussel june commiss frederik bolkestein member commiss oj oj annex scope definit inform financi instrument commod commod relat deriv instrument hereinaft quot instrument quot recommend disclos bank financi institut hereinaft quot institut quot subject ot council direct eec note annual consolid account annual report appendic annex set illustr exampl inform disclos meet object recommend illustr exampl exhaust form disclosur base hous model provid inform basi model includ reliabl inform stem model recognis compet author purpos calcul prudenti capit requir disclos financi instrument contract rise financi asset parti financi liabil equiti instrument parti financi instrument includ primari financi instrument receiv payabl equiti secur deriv financi instrument option futur forward interest rate swap currenc swap deriv price underli financi instrument rate index price underli item financi asset asset cash contractu receiv cash financi asset parti contractu exchang instrument parti condit potenti favour equiti instrument parti financi liabil liabil contractu oblig deliv cash financi asset parti exchang instrument parti condit potenti unfavour equiti instrument contract evid residu interest asset parti deduct liabil trade bui sell instrument view advantag variat short term market rate indic price facilit custom transact hedg relat trade posit activ trade fair amount asset exchang liabil settl current transact enter normal term condit independ inform parti forc liquid sale inform recommend concern interest subsidiari interest associ interest joint ventur employ plan oblig post employ benefit type includ retir benefit employ oblig employe stock option stock purchas plan oblig aris insur contract oper leas pai contract equiti warrant option share materi principl recommend provis appli immateri item decid instrument individu aggreg materi amount natur instrument account notwithstand oblig disclos materi inform potenti us disclosur balanc overburden financi statement excess disclosur cost provid inform level detail disclos reflect rel signific activ result risk institut busi qualit disclosur qualit inform understand annual consolid account includ note account qualit inform includ note account annual report inform disclos annual report institut risk manag object strategi reflect instrument context busi object inform disclos annual report polici practic manag risk trade trade activ address specif natur institut exposur manag credit risk market risk foreign exchang risk interest rate risk price risk liquid risk risk signific inform disclos note annual consolid account signific account polici relat instrument quantit disclosur principl gener inform quantit inform understand annual consolid account disclos institut note annual consolid account quantit inform includ annual report fair valu instrument held trade balanc sheet disclos differ materi amount includ account disclosur quantit inform draw institut intern risk manag system method system sensit analysi var model disclosur dissemin inform relat system method prejudici institut analysi provid trade trade instrument includ inform level activ institut respect instrument analysi reflect signific term condit affect amount time certainti futur cash flow quantit disclosur inform credit risk inform credit risk disclos basi amount repres maximum credit risk exposur balanc sheet date net net agreement legal enforc institut take account collater inform maximum credit risk exposur complement inform potenti credit risk exposur take account collater net agreement carri amount instrument repres maximum credit risk exposur disclosur addit inform purpos paragraph inform disclos signific concentr credit risk balanc sheet exposur econom sector geograph locat industri sector individu countri group countri quantit disclosur inform market risk inform market risk disclos basi risk sensit analysi market price risk measur method altern combin provid comprehens pictur institut exposur market risk inher posit trade trade instrument practic separ disclosur provid type market risk appendix appendix pure illustr form part recommend inform relat qualit disclosur basic featur manag risk includ assess measur risk applic intern limit system avoid undu concentr risk activ instrument trade purpos activ instrument trade purpos reflect hedg polici activ high risk instrument complex instrument leverag deriv instrument collater net agreement appendix appendix pure illustr form part recommend disclosur inform relat account principl adopt inform method appli principl trade trade instrument eventu reclassif specif relationship instrument synthet instrument hedg termin hedg hedg intern transact hedg anticip transact specif type instrument relat transact disclosur securitis repurchas revers repurchas agreement substanc defeas primari instrument embed financi deriv inform disclos includ criteria appli recognit derecognit instrument balanc sheet ii basi valuat type class instrument incept subsequ iii method determin fair instrument basi quot market price bid mid price discount cash flow analysi estim techniqu method includ signific assumpt made appli method iv case determin fair base quot market price natur adjust made price method includ profit loss account gain loss interest item incom expens trade trade instrument address recognit incom vi polici adopt case hedg terminait hedg relationship appendix appendix pure illustr form part recommend disclosur complementari inform aid understand quantit inform provis complementari inform terminolog present form risk measur method relat assumpt paramet assist reader financi statement understand quantit inform suppli averag valu disclos interv arriv averag assist reader financi statement understand inform suppli year end figur repres averag valu averag valu assist understand appendix appendix pure illustr form part recommend disclosur quantit inform quantit inform disclos tabular form includ indic inter alia level activ respect primari instrument carri amount broken vertic axi class instrument distinguish asset liabil ii broken horizont axi residu matur addit indic fair trade total indic inter alia level activ respect deriv instrument notion amount broken vertic axi class deriv instrument interest rate foreign exchang gold equiti preciou metal gold commod subdivid otc deriv instrument subcategori forward swap option purchas written exchang trade deriv instrument categori futur long short option purchas written ii broken horizont axi residu matur addit indic fair trade total time band relev inform disclos month ii month iii month year iv year year year subject materi time band broken amp lt month amp gt amp lt month merg larger time band amp lt year amp gt amp lt year amp gt year indic inter alia level activ term fair oppos carri amount inform disclos tabular form distinguish asset liabil carri amount fair valu class trade instrument trade instrument averag period fair valu determin fair practic reliabl addit inform princip characterist instrument affect fair inform disclos tabular form combin tabular format set appendix appendix pure illustr form part recommend credit risk disclosur respect credit risk exposur otc deriv instrument inform disclos tabular form broken vertic axi degre credit worthi counterparti assess basi intern extern rate broken horizont axi gross replac cost net replac cost enforc net agreement exist potenti futur credit exposur undertak calcul credit risk otc deriv instrument basi origin risk method disclos inform obtain appli method inform potenti futur credit exposur complement discuss relat estim techniqu appendix appendix pure illustr form part recommend market risk disclosur inform market risk aris instrument basi risk inform potenti effect futur earn select hypothet market price rate hypothet month date annual consolid account approv hypothet usefulli includ advers chang year end market price rate chang demonstr market price measur cover provid institut manag model measur deriv purpos manag market price risk aris trade instrument ii model recognis purpos provid capit adequaci return prudenti regul analysi aggreg fair valu major categori financi asset financi liabil aris trade instrument categori time band earlier period interest rate repric matur date time band relev inform disclos month ii month iii month year iv year year year risk sensit analysi market price risk measur figur disclos typic figur financi year addit figur provid put figur balanc sheet date context assist reader financi statement understand inform suppli addit figur averag valu highest lowest