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eba_tC_18.00 - C 18.00 (MKR SA TDI)

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C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		010	020	030	040	050	060	070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	010
General risk	011
Derivatives	012
Other assets and liabilities	013
Maturity-based approach	020
Zone 1	030
0 <= 1 month	040
> 1 <= 3 months	050
> 3 <= 6 months	060
> 6 <= 12 months	070
1.2 Zone 2	080
> 1 <= 2 (1,9 for coupon of less than 3%) years	090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	110
1.3 Zone 3	120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	190
> 20 (> 20 for coupon of less than 3%) years	200
Duration-based approach	210
Zone 1	220
Zone 2	230
Zone 3	240
Specific risk	250
Own funds requirement for non-securitisation debt instruments	251
Debt securities under the first category	260
Debt securities under the second category	270
With residual term <= 6 months	280
With a residual term > 6 months and <= 24 months	290
With a residual term > 24 months	300
Debt securities under the third category	310
Debt securities under the fourth category	320
Rated nth-to default credit derivatives	321
Own funds requirement for securitisation instruments	325
Own funds requirement for the correlation trading portfolio	330
Additional requirements for options (non-delta risks)	350
Simplified method	360
Delta plus approach - additional requirements for gamma risk	370
Delta plus approach - additional requirements for vega risk	380
Delta plus approach - non-continuous options and warrants	385
Scenario matrix approach	390