ANNEX IREPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

ANNEX I Table 27: rows 1 - 52

ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in currencies subject to special treatment for matched positions) OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT
LONG SHORT LONG SHORT LONG SHORT MATCHED
020030040050060070080090100
010 TOTAL POSITIONS IN NON-REPORTING CURRENCIESCell linked to CA
020Currencies closely correlated
030All other currencies (including CIUs treated as different currencies)
040Gold
050Additional requirements for options (non-delta risks)
060Simplified method
070Delta plus approach - additional requirements for gamma risk
080Delta plus approach - additional requirements for vega risk
090Scenario matrix approach
BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES
100Other assets and liabilities other than off-balance sheet items and derivatives
110Off-balance sheet items
120Derivatives
Memorandum items: CURRENCY POSITIONS
130Euro
140Lek
150Argentine Peso
160Australian Dollar
170Brazilian Real
180Bulgarian Lev
190Canadian Dollar
200Czech Koruna
210Danish Krone
220Egyptian Pound
230Pound Sterling
240Forint
250Yen
260Latvian Lats
270Lithuanian Litas
280Denar
290Mexican Peso
300Zloty
310Rumanian Leu
320Russian Ruble
330Serbian Dinar
340Swedish Krona
350Swiss Franc
360Turkish Lira
370Hryvnia
380US Dollar
390Iceland Krona
400Norwegian Krone
410Hong Kong Dollar
420New Taiwan Dollar
430New Zealand Dollar
440Singapore Dollar
450Won
460Yuan Renminbi
470Other