ANNEX IU.K.REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

ANNEX I Table 1: rows 1 - 40

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C 01.00 — OWN FUNDS (CA1)

ANNEX I Table 2: rows 1 - 100

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C 02.00 — OWN FUNDS REQUIREMENTS (CA2)

ANNEX I Table 3: rows 1 - 75

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C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

ANNEX I Table 4: rows 1 - 14

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C 04.00 — MEMORANDUM ITEMS (CA4)

ANNEX I Table 5: rows 1 - 124

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C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)

ANNEX I Table 6: rows 1 - 60

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C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)

ANNEX I Table 7: rows 1 - 17

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C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

ANNEX I Table 8: rows 1 - 11

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C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)

SA Exposure class

ANNEX I Table 9: rows 1 - 39

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C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

ANNEX I Table 10: rows 1 - 26

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C 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

ANNEX I Table 11: rows 1 - 10

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C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)

Country:

ANNEX I Table 12: rows 1 - 22

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C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)

Country:

ANNEX I Table 13: rows 1 - 17

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C 09.03 — BREAKDOWN OF TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK OF RELEVANT CREDIT EXPOSURES BY COUNTRY (CR GB 3)

Country:

Amount
010
010Own fund requirements for credit risk

C 10.01 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)

ANNEX I Table 15: rows 1 - 13

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C 10.02 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2)

ANNEX I Table 16: rows 1 - 9

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C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)

ANNEX I Table 17: rows 1 - 14

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C 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)

ANNEX I Table 18: rows 1 - 34

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C 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)

ANNEX I Table 19: rows 1 - 59

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C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

ANNEX I Table 20: rows 1 - 7

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C 16.00 — OPERATIONAL RISK (OPR)

ANNEX I Table 21: rows 1 - 18

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C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details)

ANNEX I Table 22: rows 1 - 43

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C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)

Currency:

ANNEX I Table 23: rows 1 - 49

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C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

ANNEX I Table 24: rows 1 - 26

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C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

ANNEX I Table 25: rows 1 - 18

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C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

National market:

ANNEX I Table 26: rows 1 - 18

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

ANNEX I Table 27: rows 1 - 52

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C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

ANNEX I Table 28: rows 1 - 18

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C 24.00 — MARKET RISK INTERNAL MODELS (MKR IM)

ANNEX I Table 29: rows 1 - 15

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C 25.00 — CREDIT VALUE ADJUSTMENT RISK (CVA)

ANNEX I Table 30: rows 1 - 7

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