International Financial Reporting Standards_guide.pdf

Chapter 34 Financial Instruments: Disclosures (IFRS 7) 389
Market risk stress analysis (distressed ETL)
The portfolio is also re-valued over a set of 500 scenarios of which 250 represent a distressed market
period. The scenario set is supplemented with additional relevant data points over time, including, for
example, the period of the current financial crisis, as and when appropriate. The following table provides
a summary of distressed ETL figures by asset class, based on a 10-day liquidity horizon over a
99% confidence level:
Distressed ETL analysis by instrument (audited)
2009 2008
R million Min Max Ave Year end Year end
Risk type
Equities 229.2 639.4 387.8 431.8 346.4
Interest rates 181.2 561.1 346.6 525.2 270.1
Foreign exchange 45.8 267.6 131.9 169.7 124.6
Commodities 24.8 193.3 107.7 108.9 180.5
Traded credit 4.1 93.3 27.6 15.0 67.6
Diversification (457.3) (390.8)
Total 793.3 598.4
Source: FirstRand Bank Limited Annual Report 2009.