Table 3

Trading Portfolio Credit Risk by Rating Class*

As of December 31,

AAA

AA

A

BBB

BB

< BB

Replacement costs

(gross)

            

Replacement costs

(net)

            

Collateral held and

applied

            

Potential

credit exposures**

            

* Mention which rating class (internal / external) is used and provide correspondence if internal rating system is used.

**Based on BIS add-ons unless stated differently in the description of the internal credit risk model (the description must be provided).