(i)

the characteristics of the models used;

(ii)

where applicable, for the internal models for incremental default and migration risk and for correlation trading, the methodologies used and the risks measured through the use of an internal model including a description of the approach used by the institution to determine liquidity horizons, the methodologies used to achieve a capital assessment that is consistent with the required soundness standard and the approaches used in the validation of the model;

(iii)

a description of stress testing applied to the sub-portfolio;

(iv)

a description of the approaches used for back-testing and validating the accuracy and consistency of the internal models and modelling processes;

(i)

the daily value-at-risk measures over the reporting period and as per the period end;

(ii)

the stressed value-at-risk measures over the reporting period and as per the period end;

(iii)

the risk numbers for incremental default and migration risk and for the specific risk of the correlation trading portfolio over the reporting period and as per the period-end;