BIPRU 13 Annex 1

01/01/2007

							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

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