This is the number of back-testing exceptions calculated for the duration of the relevant period in relation to positions giving rise to interest rate risk.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.Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day. For the purposes of this item, exceptions are reported where the trading outcome on a particularly day is a loss that exceeds the corresponding VaR number for that day.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 VaR used is to be the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents 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.