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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
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390

C 18.00

		Positions					Own funds requirements	Total risk exposure amount
		All positions		Net positions		Positions subject to capital charge
		Long	Short	Long	Short
		0010	0020	0030	0040	0050	0060	0070

TRADED DEBT INSTRUMENTS IN TRADING BOOK	0010
General risk	0011
Derivatives	0012
Other assets and liabilities	0013
Maturity-based approach	0020
Zone 1	0030
0 <= 1 month	0040
> 1 <= 3 months	0050
> 3 <= 6 months	0060
> 6 <= 12 months	0070
1.2 Zone 2	0080
> 1 <= 2 (1,9 for coupon of less than 3%) years	0090
> 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years	0100
> 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years	0110
1.3 Zone 3	0120
> 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years	0130
> 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years	0140
> 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years	0150
> 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years	0160
> 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years	0170
> 20 (> 10,6 <= 12,0 for coupon of less than 3%) years	0180
> 20 (> 12,0 <= 20,0 for coupon of less than 3%) years	0190
> 20 (> 20 for coupon of less than 3%) years	0200
Duration-based approach	0210
Zone 1	0220
Zone 2	0230
Zone 3	0240
Specific risk	0250
Own funds requirement for non-securitisation debt instruments	0251
Debt securities under the first category	0260
Debt securities under the second category	0270
With residual term <= 6 months	0280
With a residual term > 6 months and <= 24 months	0290
With a residual term > 24 months	0300
Debt securities under the third category	0310
Debt securities under the fourth category	0320
Rated nth-to default credit derivatives	0321
Own funds requirement for securitisation instruments	0325
Own funds requirement for the correlation trading portfolio	0330
Additional requirements for options (non-delta risks)	0350
Simplified method	0360
Delta plus approach - additional requirements for gamma risk	0370
Delta plus approach - additional requirements for vega risk	0380
Delta plus approach - non-continuous options and warrants	0385
Scenario matrix approach	0390