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[F1 ANNEX I U.K. REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance).

ANNEX I Table 1: rows 1 - 50

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C 01.00 - OWN FUNDS (CA1)

ANNEX I Table 2: rows 1 - 101

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C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

ANNEX I Table 3: rows 1 - 106

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C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

ANNEX I Table 4: rows 1 - 17

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C 04.00 - MEMORANDUM ITEMS (CA4)

ANNEX I Table 5: rows 1 - 128

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C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)

ANNEX I Table 6: rows 1 - 62

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

ANNEX I Table 8: rows 1 - 6

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

ANNEX I Table 9: rows 1 - 7

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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 10: rows 1 - 41

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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 11: rows 1 - 27

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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 12: rows 1 - 6

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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 13: rows 1 - 23

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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 14: rows 1 - 19

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

Country:

ANNEX I Table 15: rows 1 - 24

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

ANNEX I Table 16: 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)

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:
			UNFUNDED CREDIT PROTECTION		SUBSTITUTION OF THE EXPOSURE DUE TO CRM				EXPECTED LOSS AMOUNT
	PD ASSIGNED TO THE OBLIGOR GRADE(%)		(-) GUARANTEES	(-) CREDIT DERIVATIVES	(-) TOTAL OUTFLOWS
005	010	020	030	040	050	060	070	080	090

C 11.00 - SETTLEMENT/DELIVERY RISK (CR SETT)

ANNEX I Table 18: 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 19: 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 20: rows 1 - 59

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C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

ANNEX I Table 21: rows 1 - 7

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C 16.00 - OPERATIONAL RISK (OPR)

ANNEX I Table 22: rows 1 - 18

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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

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

ANNEX I Table 24: rows 1 - 4

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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 25: 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 26: 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 27: 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 28: rows 1 - 17

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

ANNEX I Table 29: rows 1 - 54

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

ANNEX I Table 30: rows 1 - 18

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C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)

ANNEX I Table 31: rows 1 - 15

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C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA)

ANNEX I Table 32: rows 1 - 7

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

ANNEX I Table 33: rows 1 - 24

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

ANNEX I Table 34: rows 1 - 25

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

ANNEX I Table 35: rows 1 - 4

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

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

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

Country:]

ANNEX I Table 37: rows 1 - 31

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