[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 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA)

ANNEX I Table 32: rows 1 - 7

		[F1 EXPOSURE VALUE			VaR		STRESSED VaR		OWN FUNDS REQUIREMENTS	TOTAL RISK EXPOSURE AMOUNT	MEMORANDUM ITEMS			CVA RISK HEDGE NOTIONALS
			of which: OTC Derivatives	of which:SFT	MULTIPLICATION FACTOR (m c ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR avg )	PREVIOUS DAY(VaR t-1 )	MULTIPLICATION FACTOR (m s ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR avg )	LATEST AVAILABLE (SVaR t-1 )			Number of counterparties	of which: proxy was used to determine credit spread	INCURRED CVA	SINGLE NAME CDS	INDEX CDS
		010	020	030	040	050	060	070	080	090	100	110	120	130	140
010	CVA risk total									Link to {CA2;r640;c010}
020	According to Advanced method									Link to {CA2;r650;c010}
030	According to Standardised method									Link to {CA2;r660;c010}
040	Based on OEM									Link to {CA2;r670;c010}					]