How are average VAR amounts computed?
Answer The rules permit disclosure of average VAR in lieu of period-end VAR. When presenting this information, the average is computed using at least four equal periods throughout the reporting period. Companies may use four quarter-end amounts, 12 month-end amounts, or 52 week-end amounts in computing the average. Average VAR disclosure is also required to supplement the period-end VAR disclosure. Companies providing this disclosure may compute average VAR in any meaningful manner. The staff expects that companies will compute average VAR using a minimum of four equal periods throughout the reporting period. Question 66. Assume a company uses a derivative financial instrument to hedge its foreign currency exposure on anticipated foreign currency denominated sales for all or part of the next period. If the company elects to include anticipated transactions in its market risk disclosure, should the company include all of its anticipated sales in that foreign currency for the upcoming pe
