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Jersey Financial Services Commission

Basel II Standard Approach to Market Risk

Bank Name
CIS ID
DC Reference
Contact
Phone
Ext
Email Address
Year 2007
Month 12
Data Month 96
Number of months reported
Financial Year End Month
Currency
Exchange Rate
Trading Book
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4.1 STANDARDISED APPROACH TO MARKET RISK - FX & GOLD

SPOT FORWARD Overall

Balance Sheet Balance Sheet
Item Nature of Item Assets Liabilities Net Gross Purchases Gross Sales Net TOTAL
A.1 GBP 0 0 0
A.2 USD 0 0 0
A.3 EUR 0 0 0
A.4 CHF 0 0 0
A.5 CAD 0 0 0
A.6 JPY 0 0 0
A.7 AUD 0 0 0
A.8 Other - Long 0 0 0
A.9 Other - Short 0 0 0
A.10 Balancing Item 0
A.0 Aggregate Net Lon 0

B Gold 0 0 0

C Capital Requir 0

D Risk Weighted 0
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4.2 STANDARDISED APPROACH TO MARKET RISK - Commodity

Positions Capital Charges

Item Commodity Types Gross Long Gross Short Net Open Position Simplified Approach
A.1 Precious metals (excluding gold) 0 0
A.2 Base metals 0 0
A.3 Energy contracts 0 0
A.4 Other Contracts 0 0
A.0 Total 0 0 0 0

B Risk Weighted Asset Equivalent 0

Positions Capital Charges

Item Top 5 Commodities Gross Long Gross Short Net Open Position Simplified Approach
C.1 0 0
C.2 0 0
C.3 0 0
C.4 0 0
C.5 0 0
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4.3 Settlement Risk

Delivery Versus Payment

Days past
Number of Trades Nominal of Trades Factor Loss if trade fails Capital Charge
due
A.1 5 15 8% 0
A.2 16 30 50% 0
A.3 31 45 75% 0
A.4 46 or more 100% 0

Risk Weighted
Capital Charge
Assets Equivalent
B 0 0

Free Delivery

Mark-to-Market Counter party Risk Weighted

Number of Trades Capital Charge
Receivable Risk Weight Assets
C.1 4 Days or less since delivery
C.1.1 0% 0
C.1.2 20% 0
C.1.3 50% 0
C.1.4 100% 0
C.1.5 150% 0
C.2 Over 4 Days since delivery
C.2.1 0 0

Risk Weighted Assets Equivalent

D 0

Total Risk weighted Assets Equivalent for Settlement Risk

E Risk weighted Assets Equivalent 0

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4.4 Interest Rate Risk in the Bank

Item Nature of Item Risk

4.4.1 Interest Rate Risk - Accounting Currency 0

4.4.2 Interest Rate Risk - Other (1) 0

4.4.3 Interest Rate Risk - Other (2) 0

4.4.4 Interest Rate Risk - Other (3) 0

4.4.5 Interest Rate Risk - All Other Currencies 0

4.4.0 Total Interest Rate Risk 0

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4.4.1 Interest Rate Risk - Accounting Currency

1 month 3 months 6 months 1 year 2 years 4 years

Item Nature of Item Notes Up to 1 Month to to to to to to Over 10 years
<3 months <6 months <12 months <2 years <4 years <10 years
A Shock move 200bp
A.1 B/S Assets
A.1.1 Deposits with Credit Institutions (A)
A.1.2 Debt Securities (B)
A.1.3 Loans and Overdrafts (C)
A.1.4 Mortgages (D)
A.1.5 All Other B/S Assets (E)
A.1.0 B/S Assets 0 0 0 0 0 0 0 0
A.2 Off B/S Assets
A.2.1 Interest Rate Contracts (F)
A.2.2 Forward Foreign Exchange Purchases (G)
A.2.3 Other (H)
A.2.0 Off B/S Assets 0 0 0 0 0 0 0 0
A.0 Assets 0 0 0 0 0 0 0 0

B Shock move 200bp

B.1 B/S Liabilities
B.1.1 Call/Notice Accounts (I)
B.1.2 Fixed Term Accounts (J)
B.1.3 Other Accounts (K)
B.1.4 Bonds Issued (L)
B.1.5 All Other B/S Liabilities (M)
B.1.0 B/S Liabilities 0 0 0 0 0 0 0 0
B.2 Off B/S Liabilities
B.2.1 Interest Rate Contracts (N)
B.2.2 Forward Foreign Exchange Sales (O)
B.2.3 Other (P)
B.2.0 Off B/S Liabilities 0 0 0 0 0 0 0 0
B.0 Liabilities 0 0 0 0 0 0 0 0

C Shock move 200bp

C.1 Net Position 0 0 0 0 0 0 0 0
C.2 Weighting (0.08%) (0.32%) (0.72%) (1.43%) (2.77%) (5.45%) (11.57%) (17.84%)
C.3 Weighted Position 0 0 0 0 0 0 0 0

D Loss 0
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4.4.2 Interest Rate Risk - Other (1)

1 month 3 months 6 months 1 year 2 years 4 years

Item Nature of Item Notes Up to 1 Month to to to to to to Over 10 years
<3 months <6 months <12 months <2 years <4 years <10 years
A Shock move 200bp
A.1 B/S Assets
A.1.1 Deposits with Credit Institutions (A)
A.1.2 Debt Securities (B)
A.1.3 Loans and Overdrafts (C)
A.1.4 Mortgages (D)
A.1.5 All Other B/S Assets (E)
A.1.0 B/S Assets 0 0 0 0 0 0 0 0
A.2 Off B/S Assets
A.2.1 Interest Rate Contracts (F)
A.2.2 Forward Foreign Exchange Purchases (G)
A.2.3 Other (H)
A.2.0 Off B/S Assets 0 0 0 0 0 0 0 0
A.0 Assets 0 0 0 0 0 0 0 0

B Shock move 200bp

B.1 B/S Liabilities
B.1.1 Call/Notice Accounts (I)
B.1.2 Fixed Term Accounts (J)
B.1.3 Other Accounts (K)
B.1.4 Bonds Issued (L)
B.1.5 All Other B/S Liabilities (M)
B.1.0 B/S Liabilities 0 0 0 0 0 0 0 0
B.2 Off B/S Liabilities
B.2.1 Interest Rate Contracts (N)
B.2.2 Forward Foreign Exchange Sales (O)
B.2.3 Other (P)
B.2.0 Off B/S Liabilities 0 0 0 0 0 0 0 0
B.0 Liabilities 0 0 0 0 0 0 0 0

C Shock move 200bp

C.1 Net Position 0 0 0 0 0 0 0 0
C.2 Weighting (0.08%) (0.32%) (0.72%) (1.43%) (2.77%) (5.45%) (11.57%) (17.84%)
C.3 Weighted Position 0 0 0 0 0 0 0 0

D Loss 0
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4.4.3 Interest Rate Risk - Other (2)

1 month 3 months 6 months 1 year 2 years 4 years

Item Nature of Item Notes Up to 1 Month to to to to to to Over 10 years
<3 months <6 months <12 months <2 years <4 years <10 years
A Shock move 200bp
A.1 B/S Assets
A.1.1 Deposits with Credit Institutions (A)
A.1.2 Debt Securities (B)
A.1.3 Loans and Overdrafts (C)
A.1.4 Mortgages (D)
A.1.5 All Other B/S Assets (E)
A.1.0 B/S Assets 0 0 0 0 0 0 0 0
A.2 Off B/S Assets
A.2.1 Interest Rate Contracts (F)
A.2.2 Forward Foreign Exchange Purchases (G)
A.2.3 Other (H)
A.2.0 Off B/S Assets 0 0 0 0 0 0 0 0
A.0 Assets 0 0 0 0 0 0 0 0

B Shock move 200bp

B.1 B/S Liabilities
B.1.1 Call/Notice Accounts (I)
B.1.2 Fixed Term Accounts (J)
B.1.3 Other Accounts (K)
B.1.4 Bonds Issued (L)
B.1.5 All Other B/S Liabilities (M)
B.1.0 B/S Liabilities 0 0 0 0 0 0 0 0
B.2 Off B/S Liabilities
B.2.1 Interest Rate Contracts (N)
B.2.2 Forward Foreign Exchange Sales (O)
B.2.3 Other (P)
B.2.0 Off B/S Liabilities 0 0 0 0 0 0 0 0
B.0 Liabilities 0 0 0 0 0 0 0 0

C Shock move 200bp

C.1 Net Position 0 0 0 0 0 0 0 0
C.2 Weighting (0.08%) (0.32%) (0.72%) (1.43%) (2.77%) (5.45%) (11.57%) (17.84%)
C.3 Weighted Position 0 0 0 0 0 0 0 0

D Loss 0
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4.4.4 Interest Rate Risk - Other (3)

1 month 3 months 6 months 1 year 2 years 4 years

Item Nature of Item Notes Up to 1 Month to to to to to to Over 10 years
<3 months <6 months <12 months <2 years <4 years <10 years
A Shock move 200bp
A.1 B/S Assets
A.1.1 Deposits with Credit Institutions (A)
A.1.2 Debt Securities (B)
A.1.3 Loans and Overdrafts (C)
A.1.4 Mortgages (D)
A.1.5 All Other B/S Assets (E)
A.1.0 B/S Assets 0 0 0 0 0 0 0 0
A.2 Off B/S Assets
A.2.1 Interest Rate Contracts (F)
A.2.2 Forward Foreign Exchange Purchases (G)
A.2.3 Other (H)
A.2.0 Off B/S Assets 0 0 0 0 0 0 0 0

A.0 Assets 0 0 0 0 0 0 0 0

B Shock move 200bp

B.1 B/S Liabilities
B.1.1 Call/Notice Accounts (I)
B.1.2 Fixed Term Accounts (J)
B.1.3 Other Accounts (K)
B.1.4 Bonds Issued (L)
B.1.5 All Other B/S Liabilities (M)
B.1.0 B/S Liabilities 0 0 0 0 0 0 0 0
B.2 Off B/S Liabilities
B.2.1 Interest Rate Contracts (N)
B.2.2 Forward Foreign Exchange Sales (O)
B.2.3 Other (P)
B.2.0 Off B/S Liabilities 0 0 0 0 0 0 0 0

B.0 Liabilities 0 0 0 0 0 0 0 0

C Shock move 200bp

C.1 Net Position 0 0 0 0 0 0 0 0
C.2 Weighting (0.08%) (0.32%) (0.72%) (1.43%) (2.77%) (5.45%) (11.57%) (17.84%)
C.3 Weighted Position 0 0 0 0 0 0 0 0

D Loss 0
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4.4.5 Interest Rate Risk - All Other Currencies

1 month 3 months 6 months 1 year 2 years 4 years

Item Nature of Item Notes Up to 1 Month to to to to to to Over 10 years
<3 months <6 months <12 months <2 years <4 years <10 years
A Shock move 200bp
A.1 B/S Assets
A.1.1 Deposits with Credit Institutions (A)
A.1.2 Debt Securities (B)
A.1.3 Loans and Overdrafts (C)
A.1.4 Mortgages (D)
A.1.5 All Other B/S Assets (E)
A.1.0 B/S Assets 0 0 0 0 0 0 0 0
A.2 Off B/S Assets
A.2.1 Interest Rate Contracts (F)
A.2.2 Forward Foreign Exchange Purchases (G)
A.2.3 Other (H)
A.2.0 Off B/S Assets 0 0 0 0 0 0 0 0
A.0 Assets 0 0 0 0 0 0 0 0

B Shock move 200bp

B.1 B/S Liabilities
B.1.1 Call/Notice Accounts (I)
B.1.2 Fixed Term Accounts (J)
B.1.3 Other Accounts (K)
B.1.4 Bonds Issued (L)
B.1.5 All Other B/S Liabilities (M)
B.1.0 B/S Liabilities 0 0 0 0 0 0 0 0
B.2 Off B/S Liabilities
B.2.1 Interest Rate Contracts (N)
B.2.2 Forward Foreign Exchange Sales (O)
B.2.3 Other (P)
B.2.0 Off B/S Liabilities 0 0 0 0 0 0 0 0
B.0 Liabilities 0 0 0 0 0 0 0 0

C Shock move 200bp

C.1 Net Position 0 0 0 0 0 0 0 0
C.2 Weighting (0.08%) (0.32%) (0.72%) (1.43%) (2.77%) (5.45%) (11.57%) (17.84%)
C.3 Weighted Position 0 0 0 0 0 0 0 0

D Loss 0