2000/12/EC VII 1 1 VII 4 1, 2 In case the reporting institution applies a unique rating system or is able to report according to an internal master scale these will be used. In any other case, the different rating systems should be merged and ordered according to the following criteria: Obligor grades or pools of the different rating systems should be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher. 2000/12 7 4 59 to 72 For each individual grade or pool the PD assigned to the specific obligor grade or pool should be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. 1. Total Exposures, On balance sheet items, Off balance sheet items, ..., 1.1 Exposures assigned to obligor grades, 1.5 Dilution Risk) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation should be provided. 2000/12/EC 7 3 14 2000/12/EC 7 1 18 For PD LGD approach see annex 7 part 3 paragraph 14 of Directive 2000/12 For the simple risk weight, see annex 7 part 1 paragraph 18 of Directive 2000/12 Credit risk mitigation techniques as defined in article 4 (30) of Directive 2000/12 that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Inflows and Outflows. 4 30 2000/12/EC VII 1 19, 22 and 24 2000/12/EC When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in annex 8 part 3 paragraphs 91 to 93 of Directive 2000/12/EC should be provided. When Own estimates of LGD are used: Annex 7 part 4 paragraph from 95 to 101 of Directive 2000/12/EC. The nominal amount of the guarantee should be reported. 2000/12/EC VIII 3 91-93 2000/12/EC VII 4 95-101 2000/12/EC When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in annex 8 part 3 paragraphs 91 to 93 of Directive 2000/12/EC should be provided. When Own estimates of LGD are used: Annex 7 part 4 paragraph from 95 to 101 of Directive 2000/12/EC. The nominal amount of the credit derivative should be reported. Credit derivatives will be reported in column 5 when the adjustment is not made in the LGD. When the adjustment is made in the LGD column 14 shall be used. VIII 3 91-93 2000/12/EC 4 95-101 VII 2000/12/EC VIII 3 91 When own estimates of LGD are not used: annex 8 part 3 paragraph 91. When own estimates of LGD are used: For exposures to central government and central banks, institutions and corporates: Annex 7, Part 2 paragraph 6. For retail exposures Annex 7 part 2 paragraph 19. Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade or pool, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade or pool. This amount will be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades or pools. Inflows and outflows within the same exposure classes and, when relevant, risk weights, obligor grades or pools should also be considered. VII 2 6 2000/12/EC VII 2 19 2000/12/EC When own estimates of LGD are not used: annex 8 part 3 paragraph 91. When own estimates of LGD are used: For exposures to central government and central banks, institutions and corporates: Annex 7, Part 2 paragraph 6. For retail exposures Annex 7 part 2 paragraph 19. Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade or pool, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade or pool. This amount will be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades or pools. Inflows and outflows within the same exposure classes and, when relevant, risk weights, obligor grades or pools should also be considered. When own estimates of LGD are not used: annex 8 part 3 paragraph 91. When own estimates of LGD are used: For exposures to central government and central banks, institutions and corporates: Annex 7, Part 2 paragraph 6. For retail exposures Annex 7 part 2 paragraph 19. Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade or pool, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade or pool. This amount will be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades or pools. Inflows and outflows within the same exposure classes and, when relevant, risk weights, obligor grades or pools should also be considered. 2000/12/EC II Items included in annex 2 2000/12/EC VII 3 14 2000/12/EC VII 2 23,24 For PD LGD approach, see annex 7 part 1 paragraphs 20 to 22 of Directive 2000/12 For simple risk weight see annex 7 part 1 paragraph 17 of Directive 2000/12 For the internal models, see annex 7 part 1 paragraph 23 of Directive 2000/12" 2000/12/EC VII 1 20-22 2000/12/EC VII 1 17 2000/12/EC VII 1 23 2000/12/EC 75 For PD LGD approach, see annex 7 part 1 paragraph 31 of Directive 2000/12 For the simple risk weight, see annex 7 part 1 paragraph 30 of Directive 2000/12 VII 1 2000/12/EC VII 1 30 2000/12/EC 2000/12/EC VII 1 34 Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE See CR SA template 2000/12/EC II Items included in annex 2