IFRS 7 Financial Instruments Disclsoures

8/3/2019 IFRS 7 Financial Instruments Disclsoures

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IFRS 7 FinancialInstruments: Disclosures

Implementation guidancefor investment funds


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IFRS 7 Financial Instruments: Disclosures Implementation guidance for investment funds

Foreword

Introduction 1

Scope 2

General points to note 2

Balance sheet 3

Disclosure of fair value of financial instruments 4

Income statement 5

Other disclosures 7

Qualitative risk disclosures 10

Quantative risk disclosures 11

Credit risk 11

Liquidity risk 14

Market risk 16

This implementation guidance for investment funds on IFRS 7 Financial

Instruments: Disclosures (IFRS 7 or the Standard) is based on our recent

publication, IFRS 7 Financial Instruments: Disclosures Second Edition

(the Second Edition). In the creation of this guide, we have drawn heavily

on the text of the Second Edition.

The guide has been prepared specically for the investment funds industry and containsinformation on the requirements of IFRS 7 generally, as well as illustrations of the types

of disclosure that a fund may make. Please note that the illustrative examples used in this

guide are not necessarily applicable to other industries. We recommend that any entity

that is not a fund refers to the Second Edition for the types of disclosure that may be

required to meet the disclosure requirements of IFRS 7.


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1IFRS 7 Financial Instruments:Disclosures Implementation guidance for investment funds

Introduction

This guide provides an overview of IFRS 7 and its application to

funds. It considers the implementation issues, and highlights

the main differences compared with the previous disclosure

requirements. It should be read in conjunction with our publication,

International GAAP 2007, which sets out the required accounting

treatment for nancial instruments and much of the terminology

used in IFRS 7.

IFRS 7 incorporates the disclosures relating to nancial

instruments required by IAS 32 Financial Instruments: Disclosure

and Presentation (IAS 32)1 and replaces IAS 30 Disclosures in the

Financial Statements of Banks and Similar Financial Institutions

(IAS 30). As a result, all of the disclosure requirements for

nancial instruments are now contained in a single standard for

all types of entity.

The IFRS 7 disclosure requirements encompass both qualitative

narrative descriptions and specic quantitative data. The required

level of detail is not intended to overburden users, but equally,

should not obscure signicant information as a result of

excessive aggregation.

Although the Standard includes relatively little guidance on how

reporting entities should determine the specic disclosures

required, it recognises that the economic environments in which

entities operate vary, and the purposes and objectives for holding

nancial instruments may differ for each entity. In assessing the

disclosure requirements (which are determined by the purpose for

which nancial instruments are held and how the associated risks

are monitored and managed), funds need to identify the risk

factors associated with nancial instruments.

Consequently, the requirements will vary across entities and should

be considered on an individual basis.

Unlike the other disclosures required by IFRS 7, risk disclosures do

not have to be provided in the nancial statements: they may be

incorporated in the nancial statements by reference to another

statement (e.g., the management commentary or a risk report

that is available to users of the nancial statements on the same

terms as the nancial statements). But the risk disclosures are

required by IFRS 7 and, as such, they are subject to audit and,

for those funds with US Securities and Exchange Commission

(SEC) registrations, the Sarbanes-Oxley Act Section 404

attestation process.

Financial instrument disclosures are intended to: (1) provide

information that will enhance the understanding of the signicance

of nancial instruments to a funds nancial position, performance,

and cash ows; and (2) assist in evaluating the risks associated

with these instruments, including how the fund manages

those risks.

IFRS 7 introduces:

The requirements for enhanced balance sheet and income

statement disclosure by category (e.g., whether the instrumentis available-for-sale or held-to-maturity);

Information on any provisions against impaired assets;

An additional disclosure relating to the fair value of collateral

and other credit enhancements used to manage credit risk; and

Market risk sensitivity analyses.

IFRS 7 must be applied for accounting periods beginning on or

after 1 January 2007.

1 Including amendments issued in 2005 for The Fair Value Option and Financial Guarantee Contracts.


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2 IFRS 7 Financial Instruments:Disclosures Implementation guidance for investment funds

Scope

IFRS 7 applies to all risks arising from nancial instruments,

including those instruments that are not recognised on-balance

sheet. For example, loan commitments that do not fall within the

scope of IAS 39 Financial Instruments: Recognition and

Measurement (IAS 39) do fall within the scope of IFRS 7.

Contracts to buy or sell a non-nancial item that are within

the scope of IAS 39 (as derivative nancial instruments) are

also within the scope of IFRS 7. The Application Guidance of

IFRS 7 indicates that such nancial instruments should be

considered a separate class for the purpose of preparing the

required disclosures.

The following are excluded from the scope of IFRS 7:

Interests in subsidiaries, associates, and joint ventures

Employee benet plan obligations

Contingent consideration in a business combination

Insurance contracts

Share-based payment transactions.

Consistent with IAS 32, there is no scope exemption for thenancial statements of subsidiaries or, as yet, for small and

medium-sized entities. The application of IFRS 7 to subsidiaries

may present a challenge to entities that are members of a

consolidated group, as they often manage risk on a consolidated

basis. Furthermore, the requirement to provide the disclosures for

each fund may be of limited value to users of nancial statements

(compared with the cost of compilation) when the information is

already disclosed at the group level.

IFRS 7 disclosures must be based on the accounting policies used

for the nancial statements prepared in accordance with IFRS,

including consolidation adjustments. In the event that internal

information available to management for risk management

purposes is not prepared using such accounting policies, it will

need to be adjusted.

The Standard requires disclosure by class of nancial instrument,a group that is appropriate to the nature of the information

disclosed and the characteristics of the instruments. A class of

nancial instrument is a lower level of aggregation than a category,

such as available-for-sale or loans and receivables. For example,

government debt securities, equity securities, or asset-backed

securities may be considered classes of nancial instruments.

Illustrative examples of disclosures for a variety of strategies are

presented in this guide. Each example is based on specic

assumptions with respect to the nancial instruments held, their

purpose and how any associated risks are monitored and managed.

The disclosure requirements for individual investment strategies

may differ depending on the treatment of the risks.

General points to note


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Like IAS 32, IFRS 7 does not prescribe the location of the required

balance sheet-related disclosures. A fund is permitted to present

the required disclosures either on the face of the balance sheet or

in the notes to the nancial statements.

The Standard requires disclosure of additional detail for each

category of nancial instrument, such as nancial assets held at fair

value through prot or loss or available-for-sale. By contrast, IAS 32required separate disclosure only for nancial instruments carried

at fair value through prot or loss. The required core balance sheet

disclosures for each category of nancial asset and nancial liability

in IFRS 7 are similar to those in IAS 32 and include the carrying

amount and related fair value, along with the amount and reason

for any reclassications between categories. Disclosures relating

to nancial instruments held for trading should be presented

separately from those designated at fair value through prot or loss.

Example 1 Balance sheet disclosures

The following example illustrates the disclosures a fund might make

in accordance with paragraphs 8 (a) and (e) of IFRS 7 whichrequire a fund to disclose the carrying amounts of nancial assets

and liabilities by category, either on the face of the balance sheet

or in the notes. Paragraph 25 of IFRS 7 also requires an entity to

disclose the fair value of each class of nancial asset and liability.

In this example, the carrying value of a nancial instrument not

held at fair value is a reasonable approximation of fair value, thus

the disclosures required in accordance with paragraph 25 of IFRS 7

are also given.

Balance Sheet as at

31 December 2007

Notes 2007

(000)

2006

(000)

Assets

Cash and cash equivalents 8,505 8,643

Trade and other receivables 6,789 7,144

Financial assets at fair value through prot or loss:

Held for trading 1(a) 126,540 136,725

Designated at fair value through prot or loss 1(b) 39,364 42,892

Total assets 181,198 195,404

Liabilities

Financial liabilities at fair value through prot

or loss held for trading

2 (37,962) (41,018)

Trade and other payables (329) (1,916)

Distributions payable (3,069) (3,377)

Total liabilities excluding net assetsattributable to unit holders

(41,360) (46,311)

Net assets attributable to unit holders 139,838 149,093

Notes to the Financial Statements for

the year ended 31 December 2007

2007

(000)

2006

(000)

1. Financial assets at fair value through prot or loss

(a) Held for trading

(i) Listed equities and managed investment schemes

Equities 76,698 82,208

Managed investment schemes 3,671 4,161

80,369 86,369

(ii) Unlisted equities and managed investment schemes

Equities 21,633 23,178

Managed investment schemes 11,626 13,175

33,259 36,353

(iii) Interest bearing securities

Bank accepted bills 3,986 3,800

Promissory notes 3,488 3,254

Negotiable certicate of deposit 2,990 4,338

10,464 11,392

(iv) Derivatives

Share price index futures 432 570

10-year bond futures 504 735

3-year bond futures 216 327

Exchange traded options 648 653

Over-the-counter options 360 326

Interest rate swaps 288

2,448 2,611

Investment in nancial assets held for trading 126,540 136,725

(b) Designated at fair value through prot or loss

Corporate bonds 13,952 16,288

Indexed bonds 11,958 14,116

Government bonds 13,454 12,488

Investment in nancial assets designated at fair value

through prot or loss

39,364 42,892

Total Investments in nancial assets at fair value through

prot or loss

165,904 179,617

2. Financial liabilities at fair value through prot or loss

(a) Held for trading

Listed equities sold short 26,573 28,713

Derivatives 11,389 12,305

Investment in nancial liabilities held for trading 37,962 41,018

Balance sheet


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Disclosure of fair valueof nancial instruments

Most funds should be familiar with the requirement to disclose the

fair value of nancial instruments as this disclosure is currently

required by IAS 32. The required balance-sheet disclosures include

the following:

Financial liabilities at fair value through prot or loss

IFRS 7 reiterates the requirement in IAS 32 to disclose the change

in the fair value of a nancial liability designated as fair value that

is attributable to changes in the credit risk of that liability during

the period and cumulatively.

As it may be difcult for many funds to identify and measure the

change in fair value due to changes in the credit risk of a liability,

IFRS 7 permits entities to determine the change as the proportion

of change in the liabilitys fair value that is not attributable to

a change in market conditions that gives rise to market risk.

Such change in fair value due to change in credit risk is unlikely

in an investment fund because funds tend not to issue traded

debt securities.

In addition, a fund must disclose the difference between thecarrying amount of nancial liabilities recorded at fair value

through prot or loss and the amount which the fund is

contractually required to pay at maturity.

Loans and receivables at fair value through prot and loss

IFRS 7 contains the disclosure requirements for loans and

receivables at fair value through prot or loss that were introduced

in IAS 32 as a result of the IAS 39 fair value option amendment.

IFRS 7 refers only to loans and receivables in this regard. However,

we believe that the IASB intended that the disclosure requirements

would apply also to hybrid instruments designated at fair value

through prot or loss that contain a loan as the host contract (i.e.,loans with embedded derivatives that would otherwise require

separation). The required disclosures include the following: the

maximum credit exposure, the impact of credit derivatives on the

credit exposure, and the change in the fair value of the loan or

receivable (or group of loans or receivables) and any related credit

derivatives due to changes in credit risk, both during the period

and cumulatively.

Other sundry balance sheet disclosures:

Reclassifcations: the amount and the reason for reclassication

to or from cost or amortised cost and fair value must be

disclosed. (Although reclassication into or out of nancial

assets or liabilities at fair value through prot or loss is not

permitted. In practice, this will relate only to transfers to or

from available-for-sale.)

Derecognition: as per paragraph 13 of IFRS 7, certain

information must be disclosed for each class of nancial

asset when transferred nancial assets do not qualify for

derecognition, or when the assets continue to be recognised

to the extent of the funds continuing involvement.

Collateral given: disclosure is required of the carrying amount in

addition to the terms and conditions of nancial assets pledged

as collateral. In addition, IAS 39 requires collateral provided,

when the counterparty has the right to sell or repledge the

collateral (by custom or contract), to be reclassied separately

from other assets.

Example 2(a) Other sundry balance sheet disclosures


in accordance with paragraph 14 of IFRS 7, which requires a fund

to disclose the carrying amounts and terms and conditions of

nancial assets it has pledged as collateral.

Included in trading securities are securities pledged under

repurchase agreements with other counterparties whose

market value as at 31 December 2007 was 9,450 (2006:

7,250). All repurchase agreements mature three months

from inception. There are no signicant terms and

conditions associated with the use of collateral.

The carrying amount of nancial assets pledged as collateral

for other liabilities is 9,950 (2006: 7,950).

Collateral given


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Collateral received: a fund must disclose the fair value and terms

and conditions of nancial or non-nancial assets received as

collateral which the fund has the right to sell or repledge in the

absence of default.

Example 2(b) Other sundry balance sheet disclosures


in accordance with paragraph 15 of IFRS 7, which requires a fundto disclose the fair value of collateral held, the fair value of

collateral sold or pledged and the terms and conditions associated

with its use of collateral.

Defaults and breaches: disclosure is required of the details of

any defaults by the fund during the period, carrying amounts of

nancial liabilities (other than short term trade payables on

normal credit terms) that are in default at the reporting date,

and whether such defaults were remedied prior to the issue of

the nancial statements.

Similar to the minimum balance sheet disclosures, a fund is

permitted to present the required income statement disclosures

on either the face of the income statement or in the notes to the

nancial statements. However, paragraph 81(b) of IAS 1 requires

interest income and interest expense to be presented separately

on the face of the income statement. The income statement

disclosures required by IFRS 7 are more detailed than those

required by IAS 32. For example, IAS 32 required separate

disclosure only of the net gains or net losses on nancial

instruments carried at fair value through prot or loss, whereas

IFRS 7 requires the disclosure of this information for each category

of nancial assets and nancial liabilities.

IFRS 7 allows a fund to choose how the income statement amounts

are determined, and suggests that the fund discloses in its

accounting policies how net gains or losses on each category of

nancial instrument are determined. For example, interest or

dividends earned on nancial instruments carried at fair value

through prot or loss may be included in net gains or losses for the

category, or in interest or dividend income, and the policy shouldmake it clear where they are reported.

IAS 32 disclosures retained in IFRS 7 include:

Total interest income and total interest expense (calculated

using the effective interest method) for nancial assets and

nancial liabilities that are not measured at fair value through

prot or loss

Gains or losses on available-for-sale nancial assets recognised

in equity and the amounts reclassied from equity to prot or

loss for the period

Interest accrued on impaired nancial assets.

Disclosure requirements introduced by IFRS 7: Net gains or

losses for each category of nancial asset or nancial liability

As already noted, IFRS 7 does not prescribe whether interest and

dividends must be included within net gains or losses for nancial

instruments at fair value through prot or loss, or in interest or

dividend income. It would be possible to treat the various

categories of nancial instruments, and possibly even different

classes, differently, as long as there is consistent application from

period to period and the funds accounting policy is disclosed. For

example, a fund may present interest income for debt securities

held for trading as a component of total interest income, whereas

dividend income received on equity securities held for trading may

be recorded in net gains or losses on nancial instruments at fair

value through prot or loss.

The fair value of collateral that has been accepted and that

the Fund is permitted to sell or re-pledge in the absence of

default is 2,350 (2006: 1,250). The Fund has not sold

or re-pledged any collateral during the period. Collateral

received is not included in the assets of the Fund. The

amount and type of collateral required depends on anassessment of the credit risk of the counterparty. There are

no signicant terms and conditions associated with the use

of collateral.

Collateral received

Income statement


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Income statement continued

Funding costs related to a funds trading portfolio are not

considered to be part of a funds trading activities and should be

included in interest expense. There are different views as to how to

treat interest or dividend expense on short positions our view is

that they should be classied in a manner consistent with the

treatment of interest and dividends on long positions and included

in either interest or dividend expense, or in gains and losses

on nancial instruments at fair value through prot or loss,

as appropriate.

Example 3 Income statement disclosures

The following example illustrates the disclosure a fund might make

in accordance with paragraph 20(a) of IFRS 7, which requires a

fund to disclose the net gains or net losses on each category of

nancial instrument separately, either on the face of the balance

sheet or in the notes.

Income statement for the year

ended 31 December

Notes 2007

(000)

2006

(000)

Income:

Interest income2 12,011 8,012

Dividend income2 6,112 5,912

Other income 1,239 1,010

Net trading income 1(a) 46,781 35,861

Total income 66,143 50,795

Expenses:

Interest expense2 5,119 4,012

Dividend expense2 2,916 2,513

Other expenses 659 463

Total expenses 8,694 6,988

Net operating income 57,449 43,807

Notes to the Financial Statements

for the year ended 31 December 2007

1(a) Net trading income

Net trading income:

Gains on nancial assets/liabilities designated

at fair value through prot or loss

12,681 10,598

Gains on nancial assets/liabilities classied as

held for trading

32,370 23,643

Gains on available for sale nancial

instruments transferred to income from the

statement

of changes in net assets attributable to

unit holders

1,730 1,620

Net trading income 46,781 35,861

Signicant accounting policies for income statementInterest income and expenses

For all nancial instruments measured at amortised cost and interest-bearing nancial

instruments classied as available-for-sale nancial investments, interest income or

expense is recorded at the effective interest rate. Interest income and expense arising

from nancial instruments recorded at fair value through prot or loss are recorded in

the income statement on an accrual basis.

Net trading income

Results arising from trading activities include all gains and losses from changes in fair

value and the related interest income or expense and dividends for nancial assets or

nancial liabilities held for trading.

2 Interest and dividends may also be included in net trading income (if this is done then the note describing net trading income needs to describe this fact).

Classication of interest and dividends should be consistent from period to period and fund accounting policy should be disclosed.


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Accounting policies

IAS 1 Presentation of Financial Statements (IAS 1) requires

disclosure of a funds signicant accounting policies, including

the judgments that management has used in their application.

The Application Guidance provides guidance on how these

requirements may be applied to nancial instruments. It suggests

that the disclosures might include the criteria for: (1) designating

nancial assets and nancial liabilities as at fair value through

prot or loss; (2) designating nancial assets as available-for-sale;

(3) determining when the carrying amount of impaired nancial

assets are reduced directly and when the allowance account is

used; and (4) writing off amounts charged to the allowance

account against the carrying amount of impaired nancial assets.

A key question with accounting policy disclosures is how detailed

they should be. Some regulators have expressed concern that

certain policy disclosures under IFRS have been too general

summarising the standards rather than setting out how they

have been applied by the fund.

Hedge Accounting

It is unlikely that funds will apply hedge accounting in practice.

However, if a fund does qualify for hedge accounting, the table

below summarises the disclosures required. IFRS 7 expands on

the requirements of IAS 32 in that the gain or loss on a hedging

instrument in a cash ow hedge that is transferred from equity

to prot or loss must be analysed by income statement caption.

Moreover, IFRS 7 introduces the requirement to disclose the

amount of ineffectiveness recognised in prot or loss for cash ow

hedges and hedges of net investments in foreign operations, and

the gain or loss during the period on the hedging instrument and

hedged item attributable to the hedged risk for fair value hedges.

Hedge accounting disclosure

The following table illustrates the disclosure a fund might make in

accordance with paragraphs 22 and 24 of IFRS 7 for each type of

hedge relationship described in IAS 39.

Disclosure Fair value Cash ow

hedges

Net

investment

hedges

Description of hedged risk and

hedging instrument with related

fair values

When hedged cash ows are expected

to occur

If forecast transactions are no longer

expected to occur

Gain or loss recognised in equity and

reclassications to P&L

Gain or loss from hedging instrument

and hedged risks

Ineffectiveness recognised in P&L

during the period

Funds may wish to separate the types of hedges (e.g., into

micro and macro hedges) when preparing the required

hedge accounting disclosures, in order to assist in

explaining ineffectiveness.

Other disclosures


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Other disclosures continued

Fair value

IFRS 7 retains the IAS 32 disclosures relating to the methods and

signicant assumptions used to determine fair value for the

different classes of nancial assets and nancial liabilities.

The required disclosures include:

Whether the fair value is based on quoted prices or

valuation techniques

Whether the fair value is based on a valuation technique that

includes assumptions not supported by market prices or rates,

and, if so, the amount of the change in fair value recognised in

prot or loss that arises from the use of the valuation technique

The effect of reasonably possible alternative assumptions used

in a valuation technique.

Example 4(a) Fair value of nancial instruments general

The following example illustrates the qualitative information

regarding the determination of fair value for nancial instruments,

which includes the effect of changes in fair value due to reasonably

possible, alternative assumptions used in valuation techniques.

All nancial instruments are measured initially at their fair

value plus, in the case of nancial assets and nancial

liabilities not recorded at fair value through prot or loss,

any directly attributable incremental costs of acquisition

or issue.

After initial measurement, the Fund measures nancial

instruments which are classied as at fair value through

prot or loss at fair value. Fair value is the amount for which

an asset could be exchanged, or a liability settled, between

knowledgeable, willing parties in an arms length transaction.The fair value for nancial instruments traded in active

markets at the balance sheet date is based on their quoted

price or dealer price quotations (bid price for long positions

and ask price for short positions), without any deduction for

transaction costs.

For all other nancial instruments not listed in an active

market, the fair value is determined by using appropriate

valuation techniques. Valuation techniques include net

present value techniques, comparison to similar instruments

for which market observable prices exist, options pricing

model and other relevant valuation models.

Notes to the Financial Statements accounting policyfor determining the fair value of nancial instruments


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Example 4(b) Fair value of nancial instruments



to disclose how fair value is measured. The following table shows

an analysis of nancial instruments recorded at fair value, between

those whose fair value is based on quoted market prices, those

involving valuation techniques where all the model inputs are

observable in the market, and those where the valuation

techniques involves the use of non-market observable inputs.

31 December 2007 31 December 2006

(000)

Quoted market

price

Valuation

technique

market

observable

inputs

Valuation

technique

non market

observable

inputs

Total Quoted market

price

Valuation

technique

market

observable

inputs

Valuation

technique

non market

observable

inputs

Total

Financial assets

Financial assets

held for trading

81,169 39,408 3,515 124,092 87,119 39,681 7,314 134,114

Derivative nancialinstruments

1,589 692 167 2,448 1,689 891 31 2,611

Financial assets

designated at fair value

22,685 14,168 2,511 39,364 30,614 8,918 3,360 42,892

Total nancial assets 105,443 54,268 6,193 165,904 119,422 49,490 10,705 179,617

Financial liabilities

Financial liabilities

held for trading

26,573 - - 26,573 28,713 - - 28,713

Derivative nancial

instruments

7,891 2,689 809 11,389 8,978 2,981 346 12,305

Total nancial

liabilities

34,464 2,689 809 37,962 37,691 2,981 346 41,018

Certain nancial instruments are recorded at fair value using valuation techniques such as current market transactions or observable market data. Their fair value is

determined using a valuation model that has been tested against the prices of actual market transactions and using the Funds best estimate of the most appropriate model

inputs. These are adjusted to reect the spread for bid and ask prices to reect costs to close out positions, counterparty credit spread and limitations in the models.

The potential effect of using reasonably possible alternative assumptions for valuing nancial instruments would reduce the fair value by up to 9 million or increase the

fair value by 11 million.

For nancial instruments whose fair value is estimated using valuation techniques with no market observable inputs, the net unrealised amount recorded in the income

statement in the year due to changes in the inputs amounts up to 3.2 million (2006: 4.8 million).

IFRS 7 requires disclosure of the nature and carrying amount of

equity instruments that are recorded at cost because their fair

value cannot be reliably measured, including an explanation of why

this is the case. Furthermore, IFRS 7 requires information about

how the fund intends to dispose of such nancial instruments.


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Qualitative risk disclosures

IFRS 7 retains the qualitative disclosures required by IAS 32 that

relate to risks (including, but not limited to credit risk, liquidity

risk, and market risk) arising from nancial instruments to which

a fund is exposed. These include a discussion of managements

objectives and policies for managing such risks. The qualitative

disclosures are intended to complement the required quantitative

disclosures and assist readers of the nancial statements to

understand the funds risk management activities. IFRS 7 expands

the qualitative risk disclosure requirements to include information

on the processes that a fund uses to manage and measure its risks.

Although integrated disclosures of qualitative and quantitative

information about market risk are not specically required, a fund

may nd that the disclosures will be more understandable when

the qualitative disclosures are combined with the required

quantitative disclosures.

The qualitative disclosures should include a narrative description

of the risks the fund is exposed to and how they arise. The policies

and processes for managing the risks would typically include:

The structure and organisation of the risk managementfunction, including a discussion of independence

and accountability

The scope and nature of risk reporting and measurement

systems as they relate to a funds portfolio and counterparties

The policies and procedures for hedging or mitigating risks,

including the taking of collateral

The process for monitoring the continuing effectiveness

of hedges and other risk mitigating devices

The process for monitoring the prime brokers activities

The procedures in place in relation to the initial selection

of the underlying investee funds (for a fund of funds)

The process for ongoing monitoring of underlying investee

funds (for a fund of funds)

The policies and procedures to manage redemption requests

and lock-up periods

The policies and procedures to monitor the compliance with

applicable investment policies and restrictions and the liquidity

of investments heldThe policies and procedures for avoiding excessive

concentrations of risk

The use of master-netting arrangements.

Funds are strongly recommended to keep the description of their

risk management processes factual, and not to make assertions

as to their ability to meet their risk management objectives. The

provision of an assertion would entail a process of evaluation and

testing, which would be expensive to carry out and to audit, similar

to the process required for nancial information by the Sarbanes-

Oxley Act for US SEC registrants.

The Guidance on Implementing IFRS 7 suggests that theinformation concerning the nature and extent of risks will be

more helpful if it highlights any relationships between nancial

instruments that can affect the amount, timing, or uncertainty

of future cash ows.

Disclosure is also required of any changes in the qualitative

information from one period to the next that arises from changes

in exposure to risk or from changes in the way those exposures

are managed.


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IFRS 7 expands on the quantitative disclosures contained in IAS

32, which are intended to provide information about the extent to

which a fund is exposed to risks based on the information available

to key management personnel3. If a fund uses several methods to

manage risk exposures, it should disclose information using the

methods that are most relevant and reliable. There is an

expectation that information provided to management is reliable,

although some funds are upgrading the quality of their risk

information to ensure that it is robust enough for disclosure in

the annual report.

The Standard requires disclosure of all risk concentrations to which

a fund is exposed in relation to nancial instruments, based on

nancial instruments that have similar characteristics (such as

geographical area, currency, industry, market, and type of

counterparty) and the amount of the risk exposure concerned.

In addition, IFRS 7 requires a description of how management

determines such concentrations.

When the quantitative data disclosed at the reporting date is not

representative of the funds exposure to risk during the period,further information that is representative must be provided (e.g.,

if the portfolio and associated risks at the reporting date are not

representative of the trading activity of the fund during the period

under review).

Credit risk is dened as, the risk that one party to a nancial

instrument will cause a nancial loss for the other party by failing

to discharge an obligation. For each class of nancial instrument,

IFRS 7 requires disclosure of the maximum credit exposure before

consideration of collateral or other credit enhancements received

(e.g., master netting agreements), plus a description of collateral

and other credit enhancements available.

For funds, the credit risk disclosures in IFRS 7 will likely be a

combination of qualitative discussion and extensive quantitative

information, provided in the risk management section of the notes

to the nancial statements or the nancial review section of the

annual report.

Maximum credit exposure

The Standard considers the maximum credit exposure for

investments in loans and other xed income instruments and for

deposits placed to be the carrying amount, net of any impairment

losses, and for derivatives to be the current fair value. For nancial

guarantees and loan commitments, this amount would be themaximum amount the fund could be required to pay (or fund),

without consideration of the probability of the actual outcome.

Example 5 Credit exposure


in accordance with paragraph 36(a) of IFRS 7, which requires a

fund to disclose the amount that best represents its maximum

exposure to credit risk without taking account of any collateral held

or credit enhancements.

The credit exposure is calculated on the

basis of selected items on the balance sheet

2007

(000)

2006

(000)

Bonds:

US Treasury bonds 2,015 1,753

Corporate bonds 37,349 41,139

Derivatives 2,448 2,611

Reverse repos and securities lending 4,015 5,161

Due from brokers 2,016 1,516

Other assets 758 467

Quantitative riskdisclosures

Credit risk

3 IAS 24 Related Party Disclosures denes key management personnel as those persons having authority and responsibility for planning, directing and controlling the activities of the entity,

directly or indirectly, including any director (whether executive or otherwise) of that entity).


14/24


Credit risk continued

Financial assets that are neither past due nor impaired

IFRS 7 introduces disclosure of information relating to the credit

quality of nancial assets that are neither past due nor impaired.

This disclosure may include a discussion of the nature of the

counterparties, historical information relating to counterparty

default rates, and other information used to assess credit risk

(e.g., an analysis of credit exposure using internal or external

credit ratings). It should be noted that all nancial assets, except

for equity instruments held by a fund, have some level of exposure

to credit risk.

Example 6 Financial assets that are neither past due

nor impaired


in accordance with paragraph 36(c) of IFRS 7, which requires a

fund to disclose the information about the credit quality of nancial

assets that are neither past due nor impaired.

The Fund has three major counterparties* with rating ranging from AAA to AA

(2006: AAA to AA).

* A major counterparty is dened as any counterparty that holds portfolio positions

and cash that in the aggregate, are greater than 10% of net assets.

Analysed by geographical distribution:

2007 Bonds

(000)

Derivatives

(000)

Repurchase

agreements

and

securities

lending

(000)

Due from

brokers

(000)

Other

assets

(000)

European

Union

31,591 1,908 3,716 1,817 419

North

America

2,679 405 219 90 60

Latin

America2,094 135 80 109 279

Total 2007 39,364 2,448 4,015 2,016 758

2006

European

Union

40,128 1,998 4,160 917 219

North

America2,150 560 679 280 108

Latin

America614 53 322 319 140

Total 2006 42,892 2,611 5,161 1,516 467

Analysed by industrial distribution:

2007 Bonds

(000)

Derivatives

(000)

Repurchase

agreements

and

securities

lending

(000)

Due from

brokers

(000)

Other

assets

(000)

Financial 25,173 1,691 1,891 1,617 491

Telecomm-

unications

8,191 517 987 351 82

Energy 3,985 240 1,137 48 185

Govern-

ment

2,015 - - - -

Total 2007 39,364 2,448 4,015 2,016 758

2006

Financial 28,917 1,391 3,981 781 225

Telecomm-

unications

6,192 670 1,001 290 89

Energy 6,030 550 179 445 153Govern-

ment

1,753 - - - -

Total 2006 42,892 2,611 5,161 1,516 467

Distribution of derivatives by type:

Derivatives Financial

Instruments

2007

(000)

2006

(000)

Swaps

Interest Rate Swaps 1,019 897

Cross Currency Swaps 225 310

Credit Derivatives

Credit Default Swaps 925 1,089

Total Return Swaps 279 315

Total 2,448 2,611

The Fund may be adversely impacted by an increase in its credit exposure related

to investing, nancing, and other activities. The Fund is exposed to the potential

credit-related losses that may occur as a result of either an individual, counterparty

or issuer being unable or unwilling to honour its contractual obligations.

These credit exposures exist within nancing relationships, commitments, derivatives

and other transactions. They may arise, for example, from a decline in the nancial

condition of a counterparty, from entering into swap or other derivative contracts

under which counterparties have obligations to make payments to the Fund, from a

decrease in the value of securities of third parties that the Fund holds as collateral, or

from extending credit through guarantees or other arrangements. As the Funds creditexposure increases, it could have an adverse effect on the Funds business and

protability if material unexpected credit losses were to occur.


15/24


16/24


Liquidity risk

IFRS 7 requires a maturity analysis for nancial liabilities to be

presented showing their remaining contractual maturities, and a

description of how the fund manages those liquidity risks. In

practice, most funds manage liquidity risk based not on contractual

cash ows but on expected maturities. This is especially true for

funds where substantially all nancial liabilities are short term and/

or repayable on demand. If this is the case, then funds may wish to

provide a separate maturity analysis based on expected maturity

dates, possibly both for nancial assets and liabilities, together

with the limits or other measures used by the fund to manage its

liquidity exposures. However, such an analysis will not remove the

need to produce the contractual liability analysis required by

the Standard.

IFRS 7 does not require disclosure of contractual maturities of

nancial assets. However, funds are encouraged to present such

information in order to provide a complete view of contractual

commitments, as most nancial liabilities will be short term in

nature, resulting from trading activities and will be collateralised

by trading assets.According to the Application Guidance of IFRS 7 on the contractual

maturity analysis:

Financial liabilities must be disclosed by their contractual

maturity, based on undiscounted cash ows. Note that if they

are undiscounted, then the table is unlikely to reconcile easily

to information recorded in the balance sheet and, also, is

unlikely to be information which is routinely prepared for

management purposes.

For derivatives, the contractual amounts to be disclosed should

be the gross cash ows to be paid. Hence, a currency swap will

need to be grossed up to show the gross amounts payable, while

an interest rate swap would be shown net. In order to show thetrue liquidity prole, most funds will wish also to disclose

amounts receivable that are related to the gross cash outows.

Disclosure practices may well vary.

It is unclear how to treat perpetual instruments. Since the cash

ows are required to be shown undiscounted, the cash ows are

potentially innite. Most funds will probably wish to deal with

such instruments using narrative disclosure.

Financial instruments that give the creditor an option as to

when amounts are paid should be analysed according to their

earliest date on which the can be required to pay, withoutconsidering the probability of the option being exercised.

The analysis should include guarantees and commitments.

Description of how liquidity risk inherent in nancial liabilities

is managed

Factors listed in the Implementation Guidance that the company

may wish to consider in describing how it manages its liquidity risks

include whether the fund:

Expects some liabilities may be paid later than the earliest

contractual due date

Has undrawn loan commitments that it does not expect to draw

Holds nancial assets for which there is a liquid market and are,therefore, readily saleable to meet liquidity needs

Has committed borrowing facilities that it could use to help

provide liquidity

Holds nancial assets that are not traded in a liquid market,

but which can be expected to generate cash inows that will

be available to meet cash outows on liabilities

Has diverse funding sources

Has signicant concentration of liquidity risk in either its assets

or its funding sources.


17/24


Example 8 Liquidity risk



to disclose the maturity analysis for nancial liabilities that shows

the remaining contractual maturity, and a description of how it

manages liquidity risk.

Due on demand

(000)

Due within

3 months

(000)

Due between 3 and

12 months

(000)

Due between 1 and

5 years

(000)

Due >5 years

(000)

Total

(000)

Assets

Cash and cash equivalents 6,201 2,304 - - - 8,505

Trade and other receivables 6,288 381 16 87 17 6,789

Financial assets at fair

value through prot or loss86,932 38,090 32,080 7,601 1,201 165,904

Total assets 99,421 40,775 32,096 7,688 1,218 181,198

Liabilities

Financial liabilities at fair

value through prot or loss

13,702 12,091 12,169 - - 37,962

Trade and other payable - 329 - - - 329

Distribution payable - 3,069 - - - 3,069

Redeemable shares 139,838 - - - - 139,838

Total liabilities 153,540 15,489 12,169 - - 181,198

Liquidity risk is dened as the risk that the Fund may not be able to settle or meet its obligations on time or at a reasonable price. The Fund is exposed to daily cash

redemptions of redeemable shares. Redeemable shares are redeemed on demand at the holders option based on the Funds net assets value per share at the time of

redemption. The redeemable shares are carried at the redemption amount payable at the reporting date if the holder exercises the right to put the shares back to the Fund.

The Fund manages its liquidity risk by investing primarily in marketable securities and nancing its trading activities through the use of margin loans with brokers and

short-term repurchase nancing transactions. Additionally, trading limits and collateral arrangements limit the extent to which liabilities may be extended to the Fund.

Such trading limits will be based upon the size and marketability of the assets held by the Fund. The expected holding period of all liabilities is substantially less than the

contractual maturities outlined in the table above. The average holding period of a short investment is less than six months.


18/24


Market risk

Market risk is dened as the risk that the fair value or future cash

ows of a nancial instrument will uctuate because of changes in

market prices and includes interest rate risk, foreign currency risk

and other price risks, such as equity and commodity risk. All

nancial instruments are subject to market risk; however, the

required market risk quantitative disclosures are restricted to the

sensitivity of prot or loss and equity to changes in market risks.

The disclosures, therefore, focus on accounting (as opposed to

economic) sensitivity and exclude, for example, interest rate risk

arising on xed rate nancial assets held to maturity or loans and

receivables. Funds may also provide disclosures about such items

but, arguably, they would need to be shown separately.

There are two ways in which market risk sensitivity may

be disclosed:

A separate sensitivity analysis for each type of market risk to

which the fund is exposed at the reporting date, based on

changes in the risk variable that are considered reasonably

possible at that date; or

An analysis such as Value at Risk (VaR) that takes into accountthe interdependencies between market risk variables, if this

method is used by the fund to manage its nancial risks.

All sensitivity analyses should take account of the effects of hedges

but, as the amounts to be disclosed are the expected effect on

prot or loss or equity, the Standard implies that the accounting

treatment of the hedges needs to be taken into account in

the analysis.

Sensitivity analysis

IFRS 7 does not prescribe the format in which a sensitivity analysis

should be presented, although exposures to risks from signicantly

different economic environments should not be combined. For

example, exposure to market risks in hyperinationary economies

might be disclosed separately from exposure to the same market

risks arising in economies with low ination rates.

Funds with signicant non-nancial commodity contracts may wish

to present a sensitivity analysis both for contracts that are

recognised in the nancial statements (i.e., those within the scope

of IAS 39) and those that are not recognised, in order to provide a

complete picture of the funds exposure to commodity price risk.

The Application Guidance indicates that it is possible to use

different sensitivity methodologies for different classes of nancial

instruments or business segments. For example, a fund with both

long/short and private equity investments might manage its risks

related to the two strategies differently and may wish to present its

sensitivity analysis in accordance with the manner in which it

manages the risks.

The Implementation Guidance identies two types of interest rate

sensitivity. These are the effects of changes in interest rates on:

Fixed rate nancial assets and liabilities; and

Variable rate nancial assets and liabilities.

The rst type of sensitivity analysis measures the impact on prot

or loss (for items recorded at fair value through prot or loss)

and on equity (for available-for-sale securities and nancial

instruments used as cash ow hedges and net investment hedges)

that would arise from a reasonably possible change in interest

rates at the balance sheet date on nancial instruments held at the

period end. The second measures the change in interest income orexpense over the period of a year attributable to a reasonably

possible change in interest rates, based on the oating rate assets

and liabilities held at the balance sheet date.

The Application Guidance makes it clear that the sensitivity

analysis should show the effects of changes that are reasonably

possible over the period until the fund will next present its risk

disclosures, i.e., usually the next year. The sensitivity test should

exclude remote or worst case scenarios or stress tests.


19/24


The foreign currency risk sensitivity information required by

IFRS 7 is limited to the risks that arise on nancial instruments

denominated in currencies other than the functional currency in

which they are measured. As a result, there is no requirement

in IFRS 7 to provide quantitative disclosures of the currency

risks posed by overseas net investments (and so revalued on

consolidation through equity). Similarly, there is no requirement

to provide disclosures about hedges of overseas net investments.

VaR and similar models

If the fund uses a method such as VaR analysis that reects

interdependencies between risk variables it must explain the

method used in preparing the sensitivity analysis and the

parameters and assumptions underlying the data provided.

This will usually include:

The period over which positions are expected to be held

(and so the modelled losses incurred); and

The condence level at which the calculation is made, i.e. the

percentage number of days in which losses are expected to be

less than the disclosed VaR.

We would also expect funds to provide sufcient narrative

information to explain what these parameters mean and how they

should be interpreted.

When VaR is used, there is no reference in IFRS 7 to reasonably

possible changes the assumptions are left for the fund to select,

based on those it uses to measure risk for management purposes.

Funds may use a wide variety of assumptions, for example one

fund may use a 95% condence level and a one-day holding period,

while another fund may use a 99% condence level and a ten-day

holding period. Such differences in assumptions make it difcult to

compare the risk proles of different institutions.

If a methodology such as VaR is used, then the fund also needs to

disclose the limitations of the method, which may include:

That the measure is a point-in-time calculation, reecting

positions as recorded at that date, which do not necessarily

reect the risk positions held at any other time

That VaR is a statistical estimation and therefore it is possible

that there could be, in any period, a greater number of days inwhich losses could exceed the calculated VaR than implied by

the condence level

That although losses are not expected to exceed the calculated

VaR on, say, 95% of occasions, on the other 5% of occasions,

losses will be greater and might be substantially greater than

the calculated VaR.

Most funds using VaR would be expected to make reference to their

use of stress testing to help manage losses arising from lower-

frequency, higher-magnitude movements in market prices than

those modelled using VaR. As there is no requirement to disclose

stress test sensitivities, funds would not normally quantify the

losses expected to arise in stress circumstances.

Whatever form of sensitivity analysis is presented, if the

sensitivities based on year-end positions are not representative of

the risks managed during the year, the fund must provide further

disclosure to show the level of risk that would be a better indicator.

For example, a fund may disclose maximum, minimum, and/or

average amounts in addition to the required year-end amount.


20/24


Market risk continued

(m) Foreign

exchange

Interest

rate

Equity Effects of

correlation

Total

2007

31 December

8 10 3 (3) 18

2007 Average daily

7 9 3 (4) 15

2007 Highest 9 12 4 (4) 21

2007 Lowest 4 6 2 (3) 9

2006

31 December

7 8 2 (3) 14

2006

Average daily

6 8 2 (4) 12

2006 Highest 7 10 3 (4) 16

2006 Lowest 4 6 1 (4) 7

Only once in the year were daily losses greater than the VaR (loss 18 million,

VaR 11 million).

Market risk

The Investment Board has set limits on the level of risk that may be accepted.The Fund applies a VaR methodology to assess the market risk positions held and

to estimate the potential economic loss based upon a number of parameters and

assumptions for various changes in market conditions. VaR is a method used in

measuring nancial risk by estimating the potential negative change in the market

value of a portfolio at a given condence level and over a specied time horizon.

The Fund uses a full non-linear VaR model for interest rate, spread, equity index

and volatility risk. These calculations are based on Monte-Carlo simulations derived

from a variance/covariance matrix. For the VaR in relation to foreign exchange rates,

the Fund uses a variance/covariance model. The equity-specic risk is captured by

using a single factor model.

Objectives and limitations of the VaR Methodology

The Fund uses simulation models to assess possible changes in the market value of

the trading portfolio based on historical data from the past ve years. The VaR models

are designed to measure market risk in a normal market environment. The modelsassume that any changes occurring in the risk factors affecting the normal market

environment will follow a normal distribution. The distribution is calculated by using

exponentially weighted historical data. The use of VaR has limitations because it is

based on historical correlations and volatilities in market prices and assumes that

future price movements will follow a statistical distribution. Due to the fact that VaR

relies signicantly on historical data to provide information and may not clearly predict

the future changes and modications of the risk factors, the probability of large

market moves may be underestimated if changes in risk factors fail to align with the

normal distribution assumption. VaR may also be under or over-estimated due to the

assumptions placed on risk factors and the relationship between such factors for

specic instruments. Even though positions may change throughout the day, the VaR

only represents the risk of the portfolios at the close of each business day, and it does

not account for any losses that may occur beyond the 99% condence level.

In practice, the actual trading results will differ from the VaR calculation and, in

particular, the calculation does not provide a meaningful indication of prots and

losses in stressed market conditions. To determine the reliability of the VaR models,

actual outcomes are monitored regularly to test the validity of the assumptions and

the parameters used in the VaR calculation. Market risk positions are also subject

to regular stress tests to ensure that the fund would withstand an extreme

market event.

VaR assumptions

The VaR that the Fund measures is an estimate, using a condence level of 99%,of the potential loss that is not expected to be exceeded if the current market risk

positions were to be held unchanged for one day. The use of a 99% condence level

means that, within a one day horizon, losses exceeding the VaR gure should occur,

on average, not more than once every hundred days.

Since VaR is an integral part of the Funds market risk management, VaR limits have

been established for all trading operations and exposures are reviewed daily against

the limits by management.

Example 9 VaR disclosures


in accordance with paragraph 41 of IFRS 7, which permits a fund

to disclose a sensitivity analysis, such as value-at-risk, that reects

interdependencies between risk variables.


21/24


Example 10 Interest rate risk

The following example illustrates the disclosure a fund may make in

accordance with paragraph 40 of IFRS 7 which requires a fund to

disclose a sensitivity analysis for interest rate risk to which the fund

is exposed.

Interest rate risk arises from the possibility that changes in interest rates will affect

future cash ows or the fair values of nancial instruments. The Investment Boardhas established limits on the interest rate gaps for stipulated periods. Positions are

monitored on a daily basis and hedging strategies are used to ensure positions are

maintained within the established limits.

The following table demonstrates managements best estimate of the sensitivity to

reasonably possible change in interest rates, with all other variables held constant,

of the Funds income statement. In practice, the actual trading results may differ

from the sensitivity analysis below and the difference could be material.

The sensitivity of the income statement is the effect of the assumed changes in

interest rates on the net interest income for one year, based on the oating ratetrading nancial assets and nancial liabilities held at 31 December 2007, including

the effect of hedging instruments. The sensitivity of net assets is calculated by

revaluing xed rate fair value through prot or loss nancial assets, including the

effect of any associated hedges and swaps designated as cash ow hedges,

at 31 December 2007 for the effects of the assumed changes in interest rates.

The sensitivity of net assets is analysed by maturity of the asset or swap. The total

sensitivity of net assets is based on the assumption that there are parallel shifts

in the yield curve, while the analysis by maturity band displays the sensitivity to

non-parallel changes.

Sensitivity of net assets

Currency Increase in

basis points

2007

Sensitivity of

net interest

income 2007

0 to 6 months

2007

6 months to

1 year

2007

1 year to

5 years

2007

More than

5 years

2007

Total

2007

( m) ( m) ( m) ( m) ( m) ( m)

EUR + 15 11 (22) (16) (10) (12) (60)

US$ + 20 24 (48) (16) (14) (18) (96)

GBP + 15 7 (14) (6) (6) (4) (30)

Others + 25 (4) 8 2 4 4 18

Sensitivity of net assets

Currency Increase in

basis points

2006

Sensitivity of

net interest

income 2006

0 to 6 months

2006

6 months to

1 year

2006

1 year to

5 years

2006

More than

5 years

2006

Total

2006

( m) ( m) ( m) ( m) ( m) ( m)

EUR + 10 13 (21) (17) (12) (14) (64)

US$ + 15 32 (53) (19) (11) (15) (98)

GBP + 10 4 (9) (5) (8) (3) (25)

Others + 15 (2) 5 1 3 2 11


22/24


Market risk continued

Example 11 Currency risk

The following example illustrates the disclosure a fund may make in

accordance with paragraph 40 of IFRS 7 which requires a fund to

disclose a sensitivity analysis for currency risk to which the fund

is exposed.

Currency risk is the risk that the value of a nancial instrument will uctuate due to

changes in foreign exchange rates. The Investment Board has set limits on positions bycurrency. Positions are monitored on a daily basis and hedging strategies are used to

ensure positions are maintained within established limits.

The table below indicate the currencies to which the Fund had signicant exposure

at 31 December 2007 on its trading monetary assets and liabilities and its forecast

cash ows. The analysis discloses managements best estimates of the effect of a

reasonably possible movement of the currency rate against the dollar, with all other

variables held constant on the income statement (due to the fair value of currency

sensitive trading monetary assets and liabilities) and equity (due to the change in fair

value of currency swaps and forward foreign exchange contracts used as cash ow

hedges). A negative amount in the table reects a potential net reduction in income

statement or equity, while a positive amount reects a net potential increase. In

practice the actual trading results may differ from the below sensitivity analysis and

the difference could be material.

Currency Change

in

currency

rate

Effect on

prot

before

tax

Effect on

net

assets

Change

in

currency

rate

Effect on

prot

before

tax

Effect on

net

assets

2007

%

2007

( m)

2007

( m)

2006

%

2006

( m)

2006

( m)

US$ + 9 (7) 17 + 8 (12) 15

GBP + 8 (6) 3 + 7 (16) 2

It should be noted that, for the purposes of IFRS 7, currency risk does not arise from

nancial instruments that are non-monetary items or from nancial instruments that

are denominated in euro.

Example 12 Equity price risk



to disclose a sensitivity analysis for equity price risk to which the

fund is exposed.

Equity price risk is the risk that the fair values of equities decrease as a result of

changes in the levels of the equity indices and the values of individual stocks.The trading equity price risk exposure arises from the Funds investment portfolio.

Managements best estimate of the effect on net assets and prots due to a

reasonably possible change in equity indices, with all other variables held constant,

is as follows (in practice, the actual trading results may differ from the sensitivity

analysis below and the difference could be material).

Market

indices

Change in

equity price

Effect on

net assets

and prot

Change in

equity price

Effect on

net assets

and prot

2007

%

2007

( m)

2006

%

2006

( m)

FTSE 100 + 9 8 + 9 10

Euronext 100 + 11 14 + 10 12

Nikkei + 8 9 + 8 8

NYSE + 10 10 + 10 6

Others + 12 4 + 11 2

Unquoted + 10 9 + 10 14

Example 13 Commodity price risk


in accordance with paragraph 40 of IFRS, which requires a fund to

disclose a sensitivity analysis for commodity price risk to which the

fund is exposed.

Commodity price risk is the risk that the fair values of commodities decrease as a

result of changes in the levels of the commodity indices and the value of individual

commodities. The trading commodity price risk exposure arises from the Funds

investment portfolio.

Managements best estimate of the effect on net assets due to a reasonably possible

change in commodity indices, with all other variables held constant, is as follows.

In practice, the actual trading results may differ from the sensitivity analysis and that

difference could be material below.

Market

indices

Change in

equity price

Effect on

net assets

and prot

Change in

equity price

Effect on

net assets

and prot

2007

%

2007

( m)

2006

%

2006

( m)

S&P GSCI + 11 2 + 10 4DJ AIG + 8 8 + 8 6

If all commodities are within one of the categories above, e.g., metals, then a more

detailed segregation may be of greater benet to the users of the nancial statements.


23/24


24/24

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Documents

IFRS 7 Financial Instruments Disclsoures