Variable | Definition | Data Source |

IRD_PV_HEDGE | Likely impact of 1% change in interest rate on hedging interest rate derivatives | Bank’s annual reports |

IRD_PV_TOTAL | Likely impact of 1% change in interest rates on total interest rate derivatives | Bank’s annual reports |

IRD_HEDGE | Interest rate derivatives notional exposure by banks for hedging purpose | Bank’s annual reports |

IRD_TOTAL | Interest rate derivatives notional exposure by banks for both hedging and trading purpose. | Bank’s annual reports |

D_2008 | Dummy equals to 1, if year is 2008, otherwise, equals to 0 | Based on time |

D_2009 | Dummy equals to 1, if year is 2009, otherwise, equals to 0 | Based on time |

SIZE | Bank size, measured by natural logarithm of total asset of the bank | PROWESS |

LIQUID | Bank liquidity, measured by the ratio of liquid assets to total assets | PROWESS |

CREDIT_RISK | Proxy for credit risk in a bank, measured by the ratio of non-performing asset (NPA) to the total loans and advances. | PROWESS |

CAR | Capital adequacy ratio | PROWESS |

PROFITABILITY | Measured by the ratio of profit after tax (PAT) to total asset | PROWESS |

ASSET_STRUCT_1 | Asset structure, measured by the ratio of total loans and advances to the market value of equity | PROWESS |

ASSET_STRUCT_2 | Asset structure, measured by the ratio of total deposits to the market value of equity | PROWESS |

MARKET_CAP | Measured as a ratio of market value of equity to total asset | PROWESS |

INT_RISK_1 | Interest rate risk, measured by the beta sensitivity of the interest rates (derived from regression analysis (Dependent variable is bank’s returns and independent variables are market returns and interest rate returns) | Based on regression results |

INT_RISK_2 | Interest rate risk, measured by ΔE | Based on simulation results |