Annex VII part 4 points 59 to 72 of Directive 2006/48/EC. 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. Article 74 paragraph 1 of Directive 2006/48/EC. Exposure value without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques except in the case of Funded Credit Protection in the form of master netting agreements. Annex VII part 3 points 1 to 13 of Directive 2006/48/EC except: 3 (effect of on balance sheet netting to be reported separatedly as Funded Credit Protection) , 9, 10, 11 (application of credit conversion factors to be provided separatedly). Exposures that qualify for the double default treatment will be classified according to the PD of the obligor. For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to annex III of Directive 2006/48/EC, the original exposure will correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in annex III parts 3, 4, 5, 6 and 7 of Directive 2006/48/EC. Credit risk mitigation techniques as defined in article 4 (30) of Directive 2006/48/EC that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Inflows and Outflows. When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in annex VIII part 3 points 90 to 92 of Directive 2006/48/EC should be provided. When Own estimates of LGD are used: Annex VII part 4 points from 96 to 102 of Directive 2006/48/EC. The nominal amount of the guarantee should be reported. When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in annex VIII part 3 points 90 to 92 of Directive 2006/48/EC should be provided. When Own estimates of LGD are used: Annex VII part 4 points from 96 to 104 of Directive 2006/48/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. When own estimates of LGD are not used: annex VIII part 3 points 90 of Directive 2006/48/EC. When own estimates of LGD are used: For exposures to central government and central banks, institutions and corporates: Annex VII part 2 point 6 of Directive 2006/48/EC. For retail exposures Annex VII part 2 point 20 of Directive 2006/48/EC. 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. 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. Items included in annex II of Directive 2006/48/EC except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting Annex VII part 3 of Directive 2006/48/EC except points 12 and 13. Excludes the CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques taken into account in columns 6 to 10. When own estimates of LGD are not used: Annex VIII part 3 points 61, 68, 76, 77 and 78 of Directive 2006/48/EC. When own estimates of LGD are used: - Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Annex VII part 2 point 10 of Directive 2006/48/EC. For retail exposures Annex VII part 2 point 22 21 of Directive 2006/48/EC. - Regarding funded credit protection collateral taken into account in the LGD estimates according to points 77 and 78 of annex VII part 4 of Directive 2006/48/EC. When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in annex VIII part 3 points 90 to 92 of Directive 2006/48/EC should be provided. When Own estimates of LGD are used: Annex VII part 4 points from 96 to 102 of Directive 2006/48/EC. The nominal amount of the guarantee should be reported. When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in annex VIII part 3 points 90 to 92 of Directive 2006/48/EC should be provided. When Own estimates of LGD are used: Annex VII part 4 points from 96 to 104 of Directive 2006/48/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. When own estimates of LGD are not used: annex VIII part 3 points 79 to 82 of Directive 2006/48/EC. When own estimates of LGD are used: those credit risk mitigants that comply with the criteria in annex VIII part 2 points 12 and 13 of Directive 2006/48/EC. To be reported in column 6 when the adjustment is not made in the LGD. When the adjustment is made in the LGD column 15 shall be used For trading book operations includes financial instruments and commodities eligible for trading book exposures according to annex II point 9 of Directive 2006/49/EC. Credit linked Notes and on -balance sheet netting according to Annex VIII part 3 of Directive 2006/48/EC are treated as cash collateral. When own estimates of LGD are not used: Annex VIII part 1 points 7 to 11 of Directive 2006/48/EC, adjusted value (Cvam) as set out in Annex VIII part 3 point 33 of Directive 2006/48/EC shall be reported. When own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to points 77 and 78 of annex VII part 4 of Directive 2006/48/EC. The amount to be reported should be the estimated market value of the collateral. When own estimates of LGD are not used: annex VIII part 1 points 13 to 19 of Directive 2006/48/EC. Leasing of real estate property will also be included (see annex VIII part 1 point 22). See also annex VIII part 3 points 62 to 67 of Directive 2006/48/EC. When own estimates of LGD are used: the amount to be reported should be the estimated market value. 2000/12/EC VIII 1 13 to 19, 22 VIII 3 63-66 2000/12/EC When own estimates of LGD are not used: annex 8 part 1 paragraphs 13 to 19. Leasing of real estate property will also be included (see annex 8 part 1 paragraphs 22). See also annex 8 part 3 paragraphs 63 to 66 of Directive 2000/12/EC. When own estimates of LGD are used: the amount to be reported should be the estimated market value. When own estimates of LGD are not used: Annex VIII part 1 points 21 of Directive 2006/48/EC. Leasing of property different from real estate will also be included (see annex VIII part 1 point 22 of Directive 2006/48/EC). See also annex VIII part 3 point 67 of Directive 2006/48/EC. When own estimates of LGD are used: the amount to be reported should be the estimated market value of collateral. When own estimates of LGD are not used: annex VIII part 1 point 20 of Directive 2006/48/EC and annex VIII part 3 point 66 of Directive 2006/48/EC. When own estimates of LGD are used: the amount to be reported should be the estimated market value of collateral. Guarantees and credit derivatives covering exposures subject to the double default treatment. See annex VIII part 1 point 29 28a of Directive 2006/48/EC and annex VIII part 2 point 22 of Directive 2006/48/EC. See also legal references & comments for guarantees and credit derivatives. Annex XII part 3 point 11 e.ii) of Directive 2006/48/EC. All the impact of CRM techniques on LGD values as specified in annexes VII and VIII of Directive 2006/48/EC should be considered. In the case of exposures subject to the double default treatment the LGD to be reported will correspond to the one selected according to annex VII part 2 point 11 of Directive 2006/48/EC. For defaulted exposures, provisions laid down in annex VII part 4 point 80 of Directive 2006/48/EC should be considered. Annex VII part 2 points 12 to 16 of Directive 2006/48/EC. Article 75 (a) of Directive 2006/48/EC. For the definition of Expected Loss see Article 4 paragraph 29 of Directive 2000/12/EC, for calculation see Annex VII part 1 point from 29 to 35 of Directive 2006/48/EC. Annex VII part 1 point 36 of Directive 2006/48/EC. Annex VII part 4 points 19, 22 and 24 of Directive 2006/48/EC. 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. Items included in annex 2 of Directive 2000/12 except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting. II 2000/12/EC Annex VII part 1 point 1 and annex VII part 4 points 1 and 2 of Directive 2006/48/EC. 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. When own estimates of LGD are not used: annex VIII part 3 points 79 to 82 of Directive 2006/48/EC. When own estimates of LGD are used: those credit risk mitigants that comply with the criteria in annex VIII part 2 points 12 and 13 of Directive 2006/48/EC. To be reported in column 6 when the adjustment is not made in the LGD. When the adjustment is made in the LGD column 15 shall be used For Central governments and Central Banks, Corporate and Institutions see annex VII part 1 points 3 and 4 of Directive 2006/48/EC. For Retail see see annex VII part 1 point 10 of Directive 2006/48/EC.