This is the value at risk (VaR), calculated as at the relevant date, for positions giving rise to interest rate risk, as determined in accordance with relevant prudential standards.Interest rate positions include both on and off-balance sheet exposures which are affected by changes in interest rates. This includes holdings of, or positions in:     - debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities);     - forward transactions in foreign exchange, equities and commodities; and     - options that are subject to a change in value following a change in interest rates.VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.For the purposes of this item the amount reported is the 99% ten-day VaR number calculated as at the relevant date. Therefore, the number reported will represent a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.