[F1ANNEX I U.K. REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
Textual Amendments
F1 Substituted by Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance).
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 - 78
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)
SA Exposure class
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)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
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)
IRB Exposure class:
Own estimates of LGD and/or conversion factors:
ANNEX I Table 12: rows 1 - 6
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
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
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 - 23
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)
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
C 13.01 – CREDIT RISK: SECURITISATIONS (CR SEC)
ANNEX I Table 19: rows 1 - 73
C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC Details)
ANNEX I Table 20: rows 1 - 6
C 14.01 – DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach)
Approach:
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 LOSS 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)
Currency:
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 - 17
C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
ANNEX I Table 27: rows 1 - 17
C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
National market:
ANNEX I Table 28: rows 1 - 18
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 - 19
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)
RANK | RISK CATEGORY | PRODUCT | UNDERLYING | CONCENTRATED POSITION SIZE | SIZE MEASURE | MARKET VALUE | PRUDENT EXIT PERIOD | CONCENTRATED POSITIONS AVA | CONCENTRATED POSITION FAIR 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:]