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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).

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

ANNEX I Table 19: rows 1 - 34

		[F1 TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED	SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES			SECURITISATION POSITIONS	(-) VALUE ADJUSTMENTS AND PROVISIONS	EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE				NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS	(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)	FULLY ADJUSTED EXPOSURE VALUE (E*)	BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS				EXPOSURE VALUE			BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS							BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS				RISK-WEIGHTED EXPOSURE AMOUNT		OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS	ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES	TOTAL RISK-WEIGHTED EXPOSURE AMOUNT		MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES
			(-) FUNDED CREDIT PROTECTION (Cva)	(-) TOTAL OUTFLOWS	NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION	ORIGINAL EXPOSURE PRE CONVERSION FACTORS			(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)	(-) FUNDED CREDIT PROTECTION	SUBSTITUTION OF THE EXPOSURE DUE TO CRM					0%	>0% and <=20%	>20% and <=50%	>50% and <=100%		(-) DEDUCTED FROM OWN FUNDS	SUBJECT TO RISK WEIGHTS	RATED (CREDIT QUALITY STEPS)					1 250 %	LOOK-THROUGH			INTERNAL ASSESMENT APPROACH
				(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)							(-) TOTAL OUTFLOWS	TOTAL INFLOWS											CQS 1	CQS 2	CQS 3	CQS 4	ALL OTHER CQS	UNRATED		OF WHICH: SECOND LOSS IN ABCP	OF WHICH: AVERAGE RISK WEIGHT (%)		AVERAGE RISK WEIGHT (%)		OF WHICH: SYNTHETIC SECURITISATIONS			BEFORE CAP	AFTER CAP
		010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190	200	210	220	230	240	250	260	270	280	290	300	310	320	330	340	350	360	370	380	390
010	TOTAL EXPOSURES																																						Cell linked to CA
020	OF WHICH: RE-SECURITISATIONS																																						Cell linked to CA
030	ORIGINATOR: TOTAL EXPOSURES
040	ON-BALANCE SHEET ITEMS
050	SECURITISATIONS
060	RE-SECURITISATIONS
070	OFF-BALANCESHEET ITEMS AND DERIVATIVES
080	SECURITISATIONS
090	RE-SECURITISATIONS
100	EARLY AMORTISATION
110	INVESTOR: TOTAL EXPOSURES
120	ON-BALANCE SHEET ITEMS
130	SECURITISATIONS
140	RE-SECURITISATIONS
150	OFF-BALANCESHEET ITEMS AND DERIVATIVES
160	SECURITISATIONS
170	RE-SECURITISATIONS
180	SPONSOR: TOTAL EXPOSURES
190	ON-BALANCE SHEET ITEMS
200	SECURITISATIONS
210	RE-SECURITISATIONS
220	OFF-BALANCESHEET ITEMS AND DERIVATIVES
230	SECURITISATIONS
240	RE-SECURITISATIONS
	BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:
250	CQS 1
260	CQS 2
270	CQS 3
280	CQS 4
290	ALL OTHER CQS AND UNRATED																																							]