[F1ANNEX I U.K. REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Textual Amendments

SA Exposure class

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

Country:

Country:

Country:

OBLIGOR GRADE(ROW IDENTIFIER)	INTERNAL RATING SYSTEM	ORIGINAL EXPOSURE PRE CONVERSION FACTORS	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE			EXPOSURE VALUE	EXPOSURE WEIGHTED AVERAGE LGD(%)	RISK WEIGHTED EXPOSURE AMOUNT	MEMORANDUM ITEM:
	INTERNAL RATING SYSTEM		UNFUNDED CREDIT PROTECTION		SUBSTITUTION OF THE EXPOSURE DUE TO CRM				EXPECTED LOSS AMOUNT
	PD ASSIGNED TO THE OBLIGOR GRADE(%)		(-) GUARANTEES	(-) CREDIT DERIVATIVES	(-) TOTAL OUTFLOWS				EXPECTED LOSS AMOUNT
005	010	020	030	040	050	060	070	080	090

Currency:

National market:

RANK	RISK CATEGORY	PRODUCT	UNDERLYING	CONCEN-TRATED POSITIONSIZE	SIZE MEASURE	MARKET VALUE	PRUDENT EXIT PERIOD	CONCEN-TRATED POSITIONS AVA	CONCEN-TRATED POSITIONFAIR VALUE ADJUSTMENT	IPV DIFFERENCE
0005	0010	0020	0030	0040	0050	0060	0070	0080	0090	0100

Country:]

[F1ANNEX I U.K. REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

ANNEX I Table 1: rows 1 - 50

C 01.00 - OWN FUNDS (CA1)

ANNEX I Table 2: rows 1 - 101

C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

ANNEX I Table 3: rows 1 - 106

C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

ANNEX I Table 4: rows 1 - 17

C 04.00 - MEMORANDUM ITEMS (CA4)

ANNEX I Table 5: rows 1 - 128

C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)

ANNEX I Table 6: rows 1 - 62

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

ANNEX I Table 7: rows 1 - 17

C 06.01 - GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL (GS TOTAL)

ANNEX I Table 8: rows 1 - 6

C 06.02 - GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

ANNEX I Table 9: rows 1 - 7

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

ANNEX I Table 10: rows 1 - 41

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

ANNEX I Table 11: rows 1 - 27

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)

ANNEX I Table 12: rows 1 - 6

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

ANNEX I Table 13: rows 1 - 23

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

ANNEX I Table 14: rows 1 - 19

C 09.04 -BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)

ANNEX I Table 15: rows 1 - 24

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

ANNEX I Table 16: rows 1 - 13

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)

C 11.00 - SETTLEMENT/DELIVERY RISK (CR SETT)

ANNEX I Table 18: rows 1 - 14

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

ANNEX I Table 19: rows 1 - 34

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

ANNEX I Table 20: rows 1 - 59

C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

ANNEX I Table 21: rows 1 - 7

C 16.00 - OPERATIONAL RISK (OPR)

ANNEX I Table 22: rows 1 - 18

C 17.01 - OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)

ANNEX I Table 23: rows 1 - 95

C 17.02 - OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)

ANNEX I Table 24: rows 1 - 4

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

ANNEX I Table 25: rows 1 - 49

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

ANNEX I Table 26: rows 1 - 26

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

ANNEX I Table 27: rows 1 - 18

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

ANNEX I Table 28: rows 1 - 17

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

ANNEX I Table 29: rows 1 - 54

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

ANNEX I Table 30: rows 1 - 18

C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)

ANNEX I Table 31: rows 1 - 15

C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA)

ANNEX I Table 32: rows 1 - 7

C 32.01 - PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)

ANNEX I Table 33: rows 1 - 24

C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)

ANNEX I Table 34: rows 1 - 25

C 32.03 - PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)

ANNEX I Table 35: rows 1 - 4

C 32.04 - PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)

C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)

ANNEX I Table 37: rows 1 - 31