BIPRU 13 Annex 1

Interest rate risk hedging sets

FX risk hedging sets

Equity risk

i

Trans-action type

Effective notional

Modified duration

CMV

USD non-gov M<1

USD non-gov M>5

EUR non-gov M<1

EUR non-gov M>5

JPY non-gov M>5

EUR/USD

JPY/USD

DAX

$ million

years

$ million

effective notional x modified

effective notional x modified duration

effective notional x modified duration

effective notional x modified duration

effective notional x modified duration

effective notional (+ = long, - = short)

effective notional (+ = long, - = short)

effective notional (+ = long, - = short)

1

USD

IR swap

receiver leg

80

8

-6

640

1

USD

IR swap

payer leg

80

-0.25

-20

2

USD

IR swap

receiver leg

300

0.125

37.5

2

USD

IR swap

payer leg

300

-6

2

-1800

3

EUR

FX swap

receiver leg

100

15

0

1500

100

3

USD

FX swap

payer leg

100

-0.125

-12.5

4

EUR

cross ccy swap

receiver leg

60

7

1

420

60

4

JPY

cross ccy swap

payer leg

60

-7

-420

-60

5

DAX

Total return swap in EUR

receiver leg

150

0.125

4

18.75

150

5

DAX

Total return swap in EUR

payer leg

150

not applicable

-150

Sum of risk positions RPTij by hedging setj

5

-1160

18.75

1920

-420

310

-60

-150

Absolute amount |sum of RPTij| of risk positions by hedging setj

5

1160

18.75

1920

420

310

60

150

Credit conversion factors CCFj by hedging setj

0.20%

0.20%

0.20%

0.20%

0.20%

2.50%

2.50%

7%

CCFj x |sum of RPTij|: CCF-weighted absolute amounts of risk positions by hedging set

0.0100

2.3200

0.0375

3.8400

0.8400

7.7500

1.5000

10.5000

Sum of (CCFj x |sum of RPTij|)

26.7975

CMV: sum of current market values CMVi of the transactions

1.000

Max(CMV, sum of (CCFj x |sum of RPTij))

26.7975

Beta:

1.4000

EAD

37.5165