[F1 ANNEX 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).

C 14.01 – DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach)

Approach:

ANNEX I Table 21: rows 1 - 7

[F1 ROW NUMBER	INTERNAL CODE	IDENTIFIER OF THE SECURITISATION	SECURITISATION POSITIONS												EXPOSURE VALUE	(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS	TOTAL RISK-WEIGHTED EXPOSURE AMOUNT				MEMORANDUM ITEMS		SECURITISATION POSITIONS - TRADING BOOK
			ORIGINAL EXPOSURE PRE-CONVERSION FACTORS								MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS										RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA	RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA	CTP OR NON-CTP?	NET POSITIONS
			ON-BALANCE SHEET ITEMS			OFF-BALANCE SHEET ITEMS AND DERIVATIVES					DIRECT CREDIT SUBSTITUTES	IRS / CRS	LIQUIDITY FACILITIES	OTHER
			SENIOR	MEZZANINE	FIRST LOSS	SENIOR	MEZZANINE		FIRST LOSS								BEFORE CAP	(-) REDUCTION DUE TO RISK WEIGHT CAP	(-) REDUCTION DUE TO OVERALL CAP	AFTER CAP
								RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT		RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT														LONG	SHORT
005	010	020	310	320	330	340	350	351	360	361	370	380	390	400	411	420	430	431	432	440	447	448	450	460	470
																									]