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C 91.00

		Positions subject to sensitivities-based method															Positions subject to default risk		Positions subject to residual risk	Own funds requirements	Total risk exposure amount
		Unweighted delta sensitivities			Own funds requirements under the different scenarios												Gross jump-to-default (JTD) amounts		Gross notional value
		Positive	Negative	Net sensitivities per risk class	Low correlation scenario				Medium correlation scenario				High correlation scenario				Long	Short
					Delta Risk	Vega Risk	Curvature Risk	Total	Delta Risk	Vega Risk	Curvature Risk	Total	Delta Risk	Vega Risk	Curvature Risk	Total
		0010	0020	0030	0040	0050	0060	0070	0080	0090	0100	0110	0120	0130	0140	0150	0160	0170	0180	0190	0200

Total (Alternative standardised approach)	0010
Sensitivity-based method	0019
General interest rate risk (GIRR)	0020
Credit spread risk for non-securitisations (CSR)	0030
Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR)	0040
Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR)	0050
Equity risk (EQU)	0060
Commodity risk (COM)	0070
Foreign exchange risk (FX)	0080
Default risk	0089
Non-securitisations	0090
Securitisation not included in the alternative correlation trading portfolio (non-ACTP)	0100
Securitisation included in the alternative correlation trading portfolio (ACTP)	0110
Residual risk	0119
Exotic underlyings	0120
Other residual risk	0130