| CreditNonQualifyingClassMargin20 |  | 0% |  | 0% | 10 | 10 | 109 | 109 | 6 | 6 | 1 | 1 |
| CreditNonQualifyingClassMargin21 |  | 0% |  | 0% | 10 | 10 | 109 | 109 | 6 | 6 | 1 | 1 |
| CreditNonQualifyingVegaMargin20 |  | 0% |  | 0% | 14 | 14 | 86 | 86 | 8 | 8 | 1 | 1 |
| CreditNonQualifyingVegaMargin21 |  | 0% |  | 0% | 14 | 14 | 86 | 86 | 8 | 8 | 1 | 1 |
| CreditNonQualifyingDeltaMargin21 |  | 0% |  | 0% | 14 | 14 | 86 | 86 | 8 | 8 | 1 | 1 |
| CreditNonQualifyingDeltaMargin20 |  | 0% |  | 0% | 14 | 14 | 86 | 86 | 8 | 8 | 1 | 1 |
| CreditNonQualifyingCurvatureMargin21 |  | 0% |  | 0% | 14 | 14 | 86 | 86 | 8 | 8 | 1 | 1 |
| CreditNonQualifyingCurvatureMargin20 |  | 0% |  | 0% | 14 | 14 | 86 | 86 | 8 | 8 | 1 | 1 |
| CreditNonQualifyingBucketVegaMarginFlow20 |  | 0% |  | 0% | 10 | 10 | 67 | 67 | 7 | 7 | 1 | 1 |
| CreditNonQualifyingBucketVegaMarginFlow21 |  | 0% |  | 0% | 10 | 10 | 67 | 67 | 7 | 7 | 1 | 1 |
| CreditNonQualifyingBucketCurvatureMarginFlow21 |  | 0% |  | 0% | 10 | 10 | 67 | 67 | 7 | 7 | 1 | 1 |
| CreditNonQualifyingBucketCurvatureMarginFlow20 |  | 0% |  | 0% | 10 | 10 | 67 | 67 | 7 | 7 | 1 | 1 |
| CreditNonQualifyingBucketDeltaMarginFlow21 |  | 0% |  | 0% | 10 | 10 | 67 | 67 | 7 | 7 | 1 | 1 |
| CreditNonQualifyingBucketDeltaMarginFlow20 |  | 0% |  | 0% | 10 | 10 | 67 | 67 | 7 | 7 | 1 | 1 |
| CreditNonQualifyingBucketVegaMargin20 |  | 0% |  | 0% | 10 | 10 | 66 | 66 | 7 | 7 | 1 | 1 |
| CreditNonQualifyingBucketVegaMargin21 |  | 0% |  | 0% | 10 | 10 | 66 | 66 | 7 | 7 | 1 | 1 |
| CreditNonQualifyingBucketDeltaMargin21 |  | 0% |  | 0% | 10 | 10 | 66 | 66 | 7 | 7 | 1 | 1 |
| CreditNonQualifyingBucketDeltaMargin20 |  | 0% |  | 0% | 10 | 10 | 66 | 66 | 7 | 7 | 1 | 1 |
| CreditNonQualifyingBucketCurvatureMargin21 |  | 0% |  | 0% | 10 | 10 | 66 | 66 | 7 | 7 | 1 | 1 |
| CreditNonQualifyingBucketCurvatureMargin20 |  | 0% |  | 0% | 10 | 10 | 66 | 66 | 7 | 7 | 1 | 1 |