F1ANNEX VIITRADING

Annotations:

F1PART CInternal Hedges

F11.An internal hedge is a position that materially or completely offsets the component risk element of a non-trading book position or a set of positions. Positions arising from internal hedges are eligible for trading book capital treatment, provided that they are held with trading intent and that the general criteria on trading intent and prudent valuation specified in Parts A and B are met. In particular:

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F12.

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F13.

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