Counterparty role (Rolle des Vertragspartners)

Definition: Counterparty role. Role of the counterparties in an instrument. The roles that counterparties assume in relation to an instrument recorded in the instrument dataset are recorded in the counterparty-instrument dataset and are discussed in the subsequent sections.

Values: For each combination of a counterparty and an instrument, one of the following values is reported in this data attribute to provide a qualification of the role that the counterparty takes in relation to the instrument. Creditor Pursuant to Article 1(11), “creditor” means the counterparty bearing the credit risk of an instrument, other than a protection provider. In particular, counterparties that lend funds to debtors and thus give rise to the creation of one or more of the instruments referred to in Article 1(23) of the AnaCredit Regulation are creditors. Consequently, the creditor is the counterparty that has the right to receive payments from the debtor. Additionally, counterparties that acquire ownership of credit obligations (transferees) from a creditor (a transferor) become creditors themselves although they have not directly lent funds to the debtors, irrespective of the economic function they perform according to the contract. For each instrument reported to AnaCredit the creditor is explicitly identified and reported. In the case of instruments where there is more than one creditor, all the creditors have to be recorded in the counterparty-instrument dataset (e.g. partially securitised assets). The distinction between a creditor and a protection provider is that, under a credit contract, a creditor has the right to receive a payment or a series of payments from a debtor, while a protection provider either provides funded protection under Article 4(1)(58) of the CRR or promises to assume the obligations of the debtor if the debtor fails to do so, i.e. provides unfunded protection under Article 4(1)(59) of the CRR. After a contractually agreed negative credit event takes place and the protection provider cedes ownership of the funded protection to the creditor or pays the creditor directly, the protection provider often has the right to recover that money from the debtor and is entitled to take an assignment of the creditor’s right against the debtor. There is always a creditor in any instrument in AnaCredit All creditors to an instrument in AnaCredit are reported, not only the main creditor The distinction between a creditor and a protection provider 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Debtor Pursuant to Article 1(12), “debtor” means “the counterparty which has the unconditional obligation to make repayments arising under the instrument”. Additionally, Annex IV specifies that the “debtor” is “the counterparty generating the credit risk of an instrument, other than the protection provider”. In general, the creditor provides funds to the debtor or has confirmed to the debtor in legally binding terms that it will make available funds to the debtor under the assumption (enforced by contract) that the debtor will return equivalent funds. An instrument giving rise to credit risk may have one or more debtors from which the creditor has the right to receive a payment or a series of payments. If there are several debtors, a plurality of debtors occurs. The counterparty-instrument dataset encompasses all debtors, fully or partially liable. However, no record is reported in the counterparty-instrument dataset for debtors who are natural persons. Servicer Pursuant to Article 1(14), the term “servicer” is the counterparty that is responsible for the administrative and financial management of the instrument. Beside the debtor(s) and the creditor(s), the servicer of an instrument is also recorded in the counterparty-instrument dataset. Note that the role of “servicer” is defined more broadly than in Regulation (EU) No 1071/2013 (ECB/2013/33), where it is restricted to managing instruments underlying a securitisation or instruments that have otherwise been transferred in terms of the collection of principal and interest from the debtor. In other words, the term “servicer” in the sense of Regulation (EU) 1071/2013 (2013/33) is subsumed in the AnaCredit definition. The AnaCredit requirements stipulate that for each instrument recorded in the instrument dataset it is necessary to identify and record the servicer to the instrument as well as the counterparty-instrument dataset. In a regular case, the roles of creditor and servicer are held by one and the same counterparty, i.e. the creditor, which holds an instrument, is also responsible for the administrative and financial management of the instrument. However, the counterparties taking on these two roles need not coincide. For instance, by selling or otherwise transferring rather than holding the instruments, the previous owner of the instrument in general ceases to be the creditor to the instruments but retains servicing rights. In this case, the servicer and the creditor are different counterparties, and both are recorded in the counterparty-instrument dataset from the moment of transfer onwards. There is always a debtor in any instrument in AnaCredit Generally, all non-natural person debtors have to be recorded in the counterparty-instrument dataset The servicer is identified for each instrument, not only for securitised or otherwise transferred instruments or fiduciary instruments 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes From the perspective of an observed agent, considering the fact that every instrument in AnaCredit either gives rise to credit risk to the observed agent or is serviced by the observed agent, the observed agent always assumes at least one of the two roles; often the observed agent acts as both the creditor and the servicer of the instrument. Note that in some cases credit institutions may have their whole administration organised by third parties (e.g. commercial corporations). Consequently, if an instrument held by a credit institution is actually administered by a third party, the third party is identified as the servicer to such instruments and reported in the counterparty-instrument dataset, as well as in the counterparty reference data. Originator Definition: Counterparty in a securitisation transaction as defined in Article 1(3) of Regulation (EU) No 1075/2013 (ECB/2013/40). In the case of instruments recorded in the instrument dataset that are subject to a securitisation transaction within the meaning of Regulation (EU) No 1071/2013 (ECB/2013/33), it is required that the counterparty-instrument dataset also identifies the counterparty acting as the originator to such a securitisation transaction. Such an entity is the transferor of ownership over an instrument or a pool of instruments and the credit risk of the instrument or pool of instrument to the FVC. Whether or not an instrument is subject to a securitisation is indicated accordingly in the data attribute “type of securitisation” in the financial dataset. Consequently, for such instruments, where the data attribute “type of securitisation” assumes either of the two values “traditional securitisation” or “synthetic securitisation”, the counterparty that is the originator in the securitisation transaction is recorded in the counterparty-instrument dataset. Conversely, if an instrument is not subject to a securitisation transaction, the counterparty-instrument dataset does not contain the role of the originator. Note that, as regards securitised instruments, the originator typically continues to service the securitised instruments. For instruments subject to a securitisation, the identification of the originator in the counterparty-instrument dataset is mandatory 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Joint liabilities dataset General aspects 7.1 In the context of AnaCredit, the joint liabilities dataset is required for instruments with a plurality of debtors, i.e. instruments where there are multiple debtors. The joint liabilities dataset is reported only for instruments which have a plurality of debtors (including natural persons acting as debtors, though no records of natural persons are actually reported). In the case of instruments where there is only one debtor, no data record at all is reported in the joint liabilities dataset. In other words, the joint liabilities dataset is not reported where there is only one debtor of an instrument (i.e. only one counterparty is liable for the instrument, disregarding protection providers). 7.1.1

Reporting instructions: Debtors are fully or partially joint liable debtors when they are united in making repayments arising under one and the same instrument under the same contract. The joint liabilities dataset is closely linked to the counterparty-instrument dataset and records the amount for which each debtor is liable in relation to the outstanding nominal amount as reported in the financial dataset as at the reporting reference date. A plurality of debtors arises where the multiple joint debtors are either fully or partially liable (cf. Section 7.4 below) in relation to a single instrument. In line with the AnaCredit data model, for each instrument recorded in the instrument dataset where the actual number of debtors is at least two, there is at least one record entered in the joint liabilities dataset. In other words, the liability amount is reported only in relation to instruments where there are actually multiple debtors (although only one may be effectively reported to AnaCredit owing to the general principle that no data relating to natural persons are reported). The information contained in the joint liabilities dataset enables the indebtedness of each single debtor to be accurately calculated. This information is often needed for the calculation of statistics by the type of debtor. The joint liabilities data have to be reported irrespective of whether the debtors to the instrument are fully or partially liable. The joint liabilities dataset is not to be reported if there is actually only one debtor to the instrument No records are reported in the joint liabilities dataset if there is only one actual debtor to the instrument The joint liabilities data have to be provided only in relation to instruments where there are actually two or more debtors The data are reported for both fully and partially liable debtors 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes 7.1.1.1 The reporting obligation of guarantors acting as protection providers In AnaCredit a clear distinction is made between a debtor and a guarantor (i.e. a protection provider). Guarantees received (by the observed agent) are subject to reporting if they serve as protection securing one or more instruments reported to AnaCredit. As opposed to counterparties directly involved in the instrument (e.g. the creditor or debtor), the protection provider is not reported in the counterparty- instrument dataset. This means that until such a guarantee is called, it is reported in the instrument- protection received dataset. However, as soon as a received guarantee is called and the amount arising under the guarantee is not (yet) paid by the guarantor, the observed agent recognises a debt of the guarantor, and the debt as an instrument (not protection) is subject to the general reporting requirements for instruments. Please note that until the guaranteed amount is paid, depending on the contractual agreement between the parties involved, the guarantor may substitute the original debtor5, or the guarantor may be considered jointly liable along with the original debtor vis-à-vis the instrument. As a broadly illustration of the reporting obligation that exists before and after a received guarantee is called, please consider the following example. The substitution may materialise in several ways, for example, the guarantor may act as debtor of the original instrument, or vis-à-vis a new instrument that substitutes the original one. Example 42: Reporting in the case of called guarantees (received by the observed agent) A contract (Con#1) is concluded between an observed agent (Bank#1), a debtor (DBTR#A) and a guarantor (GUA#B), where Bank#1 grants a fixed-term loan (Loan#1) to DBTR#A secured by a financial guarantee (GUA#1) provided by a guarantor (CPTY#B). Loan#1 is subject to AnaCredit reporting. The reporting of the loan as of 31 May 2019 is illustrated in Table 76, while the fact that DBTR#A is liable for Loan#1 is reflected in the counterparty-instrument dataset (Table 77). Table 76 Indication of the financial dataset reported as of 31 May Reporting reference date Observed agent identifier Contract identifier Instrument identifier Outstanding nominal amount 31/05/2019 BANK#1 CON#1 LOAN#1 275,000.00 Table 77 Indication of the counterparty-instrument dataset reported as of 31 May Reporting reference date Observed agent identifier Contract identifier Instrument identifier Counterparty identifier Counterparty role 31/05/2019 BANK#1 CON#1 LOAN#1 BANK#1 Creditor 31/05/2019 BANK#1 CON#1 LOAN#1 BANK#1 Servicer 31/05/2019 BANK#1 CON#1 LOAN#1 DBTR#A Debtor Furthermore, the fact that Loan#1 is secured by the financial guarantee provided by guarantor CPTY#B is reflected in the instrument-protection received (Table 78) and the protection received (Table 79) datasets. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Table 78 Indication of the instrument-protection received dataset as of 31 May Reporting reference date Observed agent identifier Contract identifier Instrument identifier Counterparty identifier 31/05/2019 BANK#1 CON#1 LOAN#01 GUA#1 Table 79 Indication of the protection received dataset as of 31 May Reporting reference date Observed agent identifier Protection identifier Protection type Protection provider identifier 31/05/2019 BANK#1 GUA#1 Financial guarantee other than credit derivatives CPTY#B The reporting changes after the guarantee is called. In June Loan#1 goes into default owing to financial difficulties of DBTR#A, and by the end of the month creditor Bank#1 calls the guarantee. The guarantee is not immediately paid and therefore Bank#1 therefore recognises a (no longer conditional) payment obligation on the part of guarantor CPTY#B in relation to instrument Loan#1. Since the guarantee is not yet paid, and under the assumption that the guarantor is considered jointly liable vis- à-vis the instrument, the obligation of debtor DBTR#A in relation to Loan#1 still exists (i.e. the original debtor remains). Hence, both DBTR#A and CPTY#B act as joint debtors vis- à-vis Loan#1 as of 30 June. This is illustrated in Table 80. In addition, because DBTR#A and CPTY#B act as joint debtors, the joint liabilities dataset (not shown) shows the amounts for which both debtors are liable (after the guarantee is called the guarantor is added as a debtor of the loan where it is liable up to the guaranteed amount). Table 80 Indication of the counterparty-instrument dataset reported after the guarantee is called Reporting reference date Observed agent identifier Contract identifier Instrument identifier Counterparty identifier Counterparty role 30/06/2019 BANK#1 CON#1 LOAN#1 BANK#1 Creditor 30/06/2019 BANK#1 CON#1 LOAN#1 BANK#1 Servicer 30/06/2019 BANK#1 CON#1 LOAN#1 DBTR#A Debtor 30/06/2019 BANK#1 CON#1 LOAN#1 CPTY#B Debtor Please note that after the guarantee is called in June, the protection item is liquidated and therefore no longer reported in the instrument-protection received dataset (as this protection item no longer secures the instrument). Thereafter, in the course of July CPTY#B pays its obligation towards Bank#1 in relation to Loan#1 and from the perspective of Bank#1, Loan#1 is fully paid and closed (it is no longer subject to reporting). Please note that this example focuses solely on the recognition/derecognition of certain reporting obligations, and leaves other more detailed aspects aside. Please also note that if CPTY#B (the guarantor) is also an observed agent, the observed agent may also record a claim on the debtor on its balance sheet. The claim needs to be reported to AnaCredit, where relevant. The reporting is illustrated in Example 5 in Section 3.4.1, where a guarantee given by an observed agent is called. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes 7.1.1.2 Data reported in the joint liabilities dataset with natural persons involved As with the counterparty-instrument dataset, no entries are made in the joint liabilities dataset for debtors (counterparties) that are natural persons. In other words, in the case of natural persons who are debtors to an instrument reported in the instrument dataset, no record at all is entered in the joint liabilities dataset. Furthermore, in accordance with the general rule that no data relating to natural persons are reported to AnaCredit, no records are entered in the counterparty-instrument dataset for counterparties that are natural persons (which act as joint debtor of the instrument besides a legal entity). This in particular concerns natural persons who are debtors to instruments reported in the instrument dataset. Note that an instrument to which a natural person is a debtor can be reported to AnaCredit only if a plurality of debtors exists where at least one other debtor is not a natural person. Whether or not the joint liabilities data are reported to AnaCredit (if the concerned instrument is reported) depends on the actual number of debtors (as of the reporting reference date to which the data refers), and not only on the number of non-natural person debtors. For an illustration of how to report the joint liabilities dataset in relation to an instrument where one of the debtors is a natural person, please consider the following example. Example 43: Reporting the joint liabilities dataset in the case of natural persons as co-borrowers This example strictly corresponds to Example 41 above, which focuses on the counterparty-instrument dataset in the case of a natural person being involved as a debtor, whereas this example illustrates the reporting of the joint liabilities dataset. A legal entity with counterparty identifier “LegalEntity#1” and a natural person with counterparty identifier “Person#B” are the only debtors to the instrument and, as stipulated by the contract, both counterparties are jointly liable for the total outstanding amount. Again, in the situation concerned, the actual number of debtors is two. Therefore, the (joint) liabilities dataset is reported. However, the debtor who is a natural person is not to be reported in the (joint) liabilities dataset, as no data relating to natural persons is reported to AnaCredit. Consequently, only the debtor that is not a natural person is recorded in this dataset. As regards the amount to be reported, this information is derived from the fact that this is a joint liability, meaning that each joint debtor is fully liable for the outstanding nominal amount. The outstanding nominal amount is reported in the financial dataset and amounts to €100,000 as of the reporting reference date. Please note that although the natural-person debtor is not recorded in the dataset, it can in general be concluded from the (single) record reported in the joint liabilities dataset that there is at least one more debtor (presumably a natural person) liable for (a part of) No record at all is entered in the joint liabilities dataset for debtors who are natural persons 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes the outstanding nominal amount in addition to the debtor reported in this dataset. Owing to the fact that this record is reported, a conclusion can be drawn that there are actually at least two debtors liable for the instrument. Table 81 Determining data reportable in the joint liabilities dataset Reporting reference date Counterparty identifier Contract identifier Instrument identifier Joint liability amount Subject to reporting 31/03/2019 LEGALENTITY#1 C#MIXLBLTY MIXLBLTYINS 100,000.00 Yes 31/03/2019 PERSON#B C#MIXLBLTY MIXLBLTYINS 100,000.00 No Please note that the last record in the dataset which relates to the instrument concerned is not to be reported to AnaCredit. For illustration purposes, however, the record is shown in the dataset. Level of granularity 7.2 The level of granularity for the joint liabilities dataset is the “counterparty-instrument” combination, which exactly matches the level of granularity of the counterparty-instrument dataset. Specifically, the information in this dataset is recorded at the level of (a) the reporting agent identifier, (b) the observed agent identifier, (c) the counterparty identifier, (d) the contract identifier, and (e) the instrument identifier. Generally, the joint liabilities dataset and the counterparty-instrument dataset stem from one and the same entity table, i.e. the counterparty-instrument entity table as referred to in Part I, Chapter 6 of the Manual on the data model and reportable datasets. However, the entity table is ultimately split up into two reportable datasets owing to the different reporting methods and timeliness that have been adopted for the different pieces of information contained therein. Effectively, a record is reported in the counterparty-instrument dataset for every combination of an instrument and a counterparty, other than a natural person, which takes the role of debtor in the multi-debtor instrument. In the case of multi-debtor instruments (i.e. instruments to which there is more than one debtor), as a general rule, for all counterparties for which the counterparty role is “debtor” in the counterparty-instrument dataset, the same number of debtors is recorded in the joint liabilities dataset as of the same reporting reference date, with the respective liability amount reported for each debtor. This in particular includes a situation where there is just one debtor recorded in the counterparty-instrument dataset owing to the fact that any debtors who are natural persons are not subject to reporting. Reporting frequency 7.3 The joint liabilities dataset is reported on a monthly basis. The relevant information is compiled for the combination of the counterparty (debtor) and the instrument A record is reported only if there are actually two or more debtors to an instrument 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes For those reporting agents that have been granted a derogation by the relevant NCB in accordance with Article 16(2) of the AnaCredit Regulation, the joint liabilities dataset may be reported on a quarterly basis. All records in the joint liabilities dataset are reported on a monthly basis, including records in which any piece of information does not change from one month to the other. In this way, the information in the dataset remains accurate and up to date for each reporting reference date and keeps up with the changes in the nominal outstanding amount of the instrument concerned. The joint liabilities dataset – data attributes 7.4 This dataset is applicable for instruments reported in the financial dataset. For each pair of counterparty and instrument, the following data attributes are reported. Table 82 Overview of data attributes in the joint liabilities dataset Data attribute Internal identifier Data type Section in Part II Reporting agent identifier √ String 2.2.1 Observed agent identifier √ String 2.2.2 Counterparty identifier √ String 2.2.3 Contract identifier √ String 2.2.4 Instrument identifier √ String 2.2.5 Joint liability amount Amount in euro 7.4.1

Definition: Counterparty role. Role of the counterparties in an instrument. The roles that counterparties assume in relation to an instrument recorded in the instrument dataset are recorded in the counterparty-instrument dataset and are discussed in the subsequent sections.

Values: For each combination of a counterparty and an instrument, one of the following values is reported in this data attribute to provide a qualification of the role that the counterparty takes in relation to the instrument. Creditor Pursuant to Article 1(11), “creditor” means the counterparty bearing the credit risk of an instrument, other than a protection provider. In particular, counterparties that lend funds to debtors and thus give rise to the creation of one or more of the instruments referred to in Article 1(23) of the AnaCredit Regulation are creditors. Consequently, the creditor is the counterparty that has the right to receive payments from the debtor. Additionally, counterparties that acquire ownership of credit obligations (transferees) from a creditor (a transferor) become creditors themselves although they have not directly lent funds to the debtors, irrespective of the economic function they perform according to the contract. For each instrument reported to AnaCredit the creditor is explicitly identified and reported. In the case of instruments where there is more than one creditor, all the creditors have to be recorded in the counterparty-instrument dataset (e.g. partially securitised assets). The distinction between a creditor and a protection provider is that, under a credit contract, a creditor has the right to receive a payment or a series of payments from a debtor, while a protection provider either provides funded protection under Article 4(1)(58) of the CRR or promises to assume the obligations of the debtor if the debtor fails to do so, i.e. provides unfunded protection under Article 4(1)(59) of the CRR. After a contractually agreed negative credit event takes place and the protection provider cedes ownership of the funded protection to the creditor or pays the creditor directly, the protection provider often has the right to recover that money from the debtor and is entitled to take an assignment of the creditor’s right against the debtor. There is always a creditor in any instrument in AnaCredit All creditors to an instrument in AnaCredit are reported, not only the main creditor The distinction between a creditor and a protection provider 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Debtor Pursuant to Article 1(12), “debtor” means “the counterparty which has the unconditional obligation to make repayments arising under the instrument”. Additionally, Annex IV specifies that the “debtor” is “the counterparty generating the credit risk of an instrument, other than the protection provider”. In general, the creditor provides funds to the debtor or has confirmed to the debtor in legally binding terms that it will make available funds to the debtor under the assumption (enforced by contract) that the debtor will return equivalent funds. An instrument giving rise to credit risk may have one or more debtors from which the creditor has the right to receive a payment or a series of payments. If there are several debtors, a plurality of debtors occurs. The counterparty-instrument dataset encompasses all debtors, fully or partially liable. However, no record is reported in the counterparty-instrument dataset for debtors who are natural persons. Servicer Pursuant to Article 1(14), the term “servicer” is the counterparty that is responsible for the administrative and financial management of the instrument. Beside the debtor(s) and the creditor(s), the servicer of an instrument is also recorded in the counterparty-instrument dataset. Note that the role of “servicer” is defined more broadly than in Regulation (EU) No 1071/2013 (ECB/2013/33), where it is restricted to managing instruments underlying a securitisation or instruments that have otherwise been transferred in terms of the collection of principal and interest from the debtor. In other words, the term “servicer” in the sense of Regulation (EU) 1071/2013 (2013/33) is subsumed in the AnaCredit definition. The AnaCredit requirements stipulate that for each instrument recorded in the instrument dataset it is necessary to identify and record the servicer to the instrument as well as the counterparty-instrument dataset. In a regular case, the roles of creditor and servicer are held by one and the same counterparty, i.e. the creditor, which holds an instrument, is also responsible for the administrative and financial management of the instrument. However, the counterparties taking on these two roles need not coincide. For instance, by selling or otherwise transferring rather than holding the instruments, the previous owner of the instrument in general ceases to be the creditor to the instruments but retains servicing rights. In this case, the servicer and the creditor are different counterparties, and both are recorded in the counterparty-instrument dataset from the moment of transfer onwards. There is always a debtor in any instrument in AnaCredit Generally, all non-natural person debtors have to be recorded in the counterparty-instrument dataset The servicer is identified for each instrument, not only for securitised or otherwise transferred instruments or fiduciary instruments 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes From the perspective of an observed agent, considering the fact that every instrument in AnaCredit either gives rise to credit risk to the observed agent or is serviced by the observed agent, the observed agent always assumes at least one of the two roles; often the observed agent acts as both the creditor and the servicer of the instrument. Note that in some cases credit institutions may have their whole administration organised by third parties (e.g. commercial corporations). Consequently, if an instrument held by a credit institution is actually administered by a third party, the third party is identified as the servicer to such instruments and reported in the counterparty-instrument dataset, as well as in the counterparty reference data. Originator Definition: Counterparty in a securitisation transaction as defined in Article 1(3) of Regulation (EU) No 1075/2013 (ECB/2013/40). In the case of instruments recorded in the instrument dataset that are subject to a securitisation transaction within the meaning of Regulation (EU) No 1071/2013 (ECB/2013/33), it is required that the counterparty-instrument dataset also identifies the counterparty acting as the originator to such a securitisation transaction. Such an entity is the transferor of ownership over an instrument or a pool of instruments and the credit risk of the instrument or pool of instrument to the FVC. Whether or not an instrument is subject to a securitisation is indicated accordingly in the data attribute “type of securitisation” in the financial dataset. Consequently, for such instruments, where the data attribute “type of securitisation” assumes either of the two values “traditional securitisation” or “synthetic securitisation”, the counterparty that is the originator in the securitisation transaction is recorded in the counterparty-instrument dataset. Conversely, if an instrument is not subject to a securitisation transaction, the counterparty-instrument dataset does not contain the role of the originator. Note that, as regards securitised instruments, the originator typically continues to service the securitised instruments. For instruments subject to a securitisation, the identification of the originator in the counterparty-instrument dataset is mandatory 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Joint liabilities dataset General aspects 7.1 In the context of AnaCredit, the joint liabilities dataset is required for instruments with a plurality of debtors, i.e. instruments where there are multiple debtors. The joint liabilities dataset is reported only for instruments which have a plurality of debtors (including natural persons acting as debtors, though no records of natural persons are actually reported). In the case of instruments where there is only one debtor, no data record at all is reported in the joint liabilities dataset. In other words, the joint liabilities dataset is not reported where there is only one debtor of an instrument (i.e. only one counterparty is liable for the instrument, disregarding protection providers). 7.1.1

Reporting instructions: Debtors are fully or partially joint liable debtors when they are united in making repayments arising under one and the same instrument under the same contract. The joint liabilities dataset is closely linked to the counterparty-instrument dataset and records the amount for which each debtor is liable in relation to the outstanding nominal amount as reported in the financial dataset as at the reporting reference date. A plurality of debtors arises where the multiple joint debtors are either fully or partially liable (cf. Section 7.4 below) in relation to a single instrument. In line with the AnaCredit data model, for each instrument recorded in the instrument dataset where the actual number of debtors is at least two, there is at least one record entered in the joint liabilities dataset. In other words, the liability amount is reported only in relation to instruments where there are actually multiple debtors (although only one may be effectively reported to AnaCredit owing to the general principle that no data relating to natural persons are reported). The information contained in the joint liabilities dataset enables the indebtedness of each single debtor to be accurately calculated. This information is often needed for the calculation of statistics by the type of debtor. The joint liabilities data have to be reported irrespective of whether the debtors to the instrument are fully or partially liable. The joint liabilities dataset is not to be reported if there is actually only one debtor to the instrument No records are reported in the joint liabilities dataset if there is only one actual debtor to the instrument The joint liabilities data have to be provided only in relation to instruments where there are actually two or more debtors The data are reported for both fully and partially liable debtors 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes 7.1.1.1 The reporting obligation of guarantors acting as protection providers In AnaCredit a clear distinction is made between a debtor and a guarantor (i.e. a protection provider). Guarantees received (by the observed agent) are subject to reporting if they serve as protection securing one or more instruments reported to AnaCredit. As opposed to counterparties directly involved in the instrument (e.g. the creditor or debtor), the protection provider is not reported in the counterparty- instrument dataset. This means that until such a guarantee is called, it is reported in the instrument- protection received dataset. However, as soon as a received guarantee is called and the amount arising under the guarantee is not (yet) paid by the guarantor, the observed agent recognises a debt of the guarantor, and the debt as an instrument (not protection) is subject to the general reporting requirements for instruments. Please note that until the guaranteed amount is paid, depending on the contractual agreement between the parties involved, the guarantor may substitute the original debtor5, or the guarantor may be considered jointly liable along with the original debtor vis-à-vis the instrument. As a broadly illustration of the reporting obligation that exists before and after a received guarantee is called, please consider the following example. The substitution may materialise in several ways, for example, the guarantor may act as debtor of the original instrument, or vis-à-vis a new instrument that substitutes the original one. Example 42: Reporting in the case of called guarantees (received by the observed agent) A contract (Con#1) is concluded between an observed agent (Bank#1), a debtor (DBTR#A) and a guarantor (GUA#B), where Bank#1 grants a fixed-term loan (Loan#1) to DBTR#A secured by a financial guarantee (GUA#1) provided by a guarantor (CPTY#B). Loan#1 is subject to AnaCredit reporting. The reporting of the loan as of 31 May 2019 is illustrated in Table 76, while the fact that DBTR#A is liable for Loan#1 is reflected in the counterparty-instrument dataset (Table 77). Table 76 Indication of the financial dataset reported as of 31 May Reporting reference date Observed agent identifier Contract identifier Instrument identifier Outstanding nominal amount 31/05/2019 BANK#1 CON#1 LOAN#1 275,000.00 Table 77 Indication of the counterparty-instrument dataset reported as of 31 May Reporting reference date Observed agent identifier Contract identifier Instrument identifier Counterparty identifier Counterparty role 31/05/2019 BANK#1 CON#1 LOAN#1 BANK#1 Creditor 31/05/2019 BANK#1 CON#1 LOAN#1 BANK#1 Servicer 31/05/2019 BANK#1 CON#1 LOAN#1 DBTR#A Debtor Furthermore, the fact that Loan#1 is secured by the financial guarantee provided by guarantor CPTY#B is reflected in the instrument-protection received (Table 78) and the protection received (Table 79) datasets. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Table 78 Indication of the instrument-protection received dataset as of 31 May Reporting reference date Observed agent identifier Contract identifier Instrument identifier Counterparty identifier 31/05/2019 BANK#1 CON#1 LOAN#01 GUA#1 Table 79 Indication of the protection received dataset as of 31 May Reporting reference date Observed agent identifier Protection identifier Protection type Protection provider identifier 31/05/2019 BANK#1 GUA#1 Financial guarantee other than credit derivatives CPTY#B The reporting changes after the guarantee is called. In June Loan#1 goes into default owing to financial difficulties of DBTR#A, and by the end of the month creditor Bank#1 calls the guarantee. The guarantee is not immediately paid and therefore Bank#1 therefore recognises a (no longer conditional) payment obligation on the part of guarantor CPTY#B in relation to instrument Loan#1. Since the guarantee is not yet paid, and under the assumption that the guarantor is considered jointly liable vis- à-vis the instrument, the obligation of debtor DBTR#A in relation to Loan#1 still exists (i.e. the original debtor remains). Hence, both DBTR#A and CPTY#B act as joint debtors vis- à-vis Loan#1 as of 30 June. This is illustrated in Table 80. In addition, because DBTR#A and CPTY#B act as joint debtors, the joint liabilities dataset (not shown) shows the amounts for which both debtors are liable (after the guarantee is called the guarantor is added as a debtor of the loan where it is liable up to the guaranteed amount). Table 80 Indication of the counterparty-instrument dataset reported after the guarantee is called Reporting reference date Observed agent identifier Contract identifier Instrument identifier Counterparty identifier Counterparty role 30/06/2019 BANK#1 CON#1 LOAN#1 BANK#1 Creditor 30/06/2019 BANK#1 CON#1 LOAN#1 BANK#1 Servicer 30/06/2019 BANK#1 CON#1 LOAN#1 DBTR#A Debtor 30/06/2019 BANK#1 CON#1 LOAN#1 CPTY#B Debtor Please note that after the guarantee is called in June, the protection item is liquidated and therefore no longer reported in the instrument-protection received dataset (as this protection item no longer secures the instrument). Thereafter, in the course of July CPTY#B pays its obligation towards Bank#1 in relation to Loan#1 and from the perspective of Bank#1, Loan#1 is fully paid and closed (it is no longer subject to reporting). Please note that this example focuses solely on the recognition/derecognition of certain reporting obligations, and leaves other more detailed aspects aside. Please also note that if CPTY#B (the guarantor) is also an observed agent, the observed agent may also record a claim on the debtor on its balance sheet. The claim needs to be reported to AnaCredit, where relevant. The reporting is illustrated in Example 5 in Section 3.4.1, where a guarantee given by an observed agent is called. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes 7.1.1.2 Data reported in the joint liabilities dataset with natural persons involved As with the counterparty-instrument dataset, no entries are made in the joint liabilities dataset for debtors (counterparties) that are natural persons. In other words, in the case of natural persons who are debtors to an instrument reported in the instrument dataset, no record at all is entered in the joint liabilities dataset. Furthermore, in accordance with the general rule that no data relating to natural persons are reported to AnaCredit, no records are entered in the counterparty-instrument dataset for counterparties that are natural persons (which act as joint debtor of the instrument besides a legal entity). This in particular concerns natural persons who are debtors to instruments reported in the instrument dataset. Note that an instrument to which a natural person is a debtor can be reported to AnaCredit only if a plurality of debtors exists where at least one other debtor is not a natural person. Whether or not the joint liabilities data are reported to AnaCredit (if the concerned instrument is reported) depends on the actual number of debtors (as of the reporting reference date to which the data refers), and not only on the number of non-natural person debtors. For an illustration of how to report the joint liabilities dataset in relation to an instrument where one of the debtors is a natural person, please consider the following example. Example 43: Reporting the joint liabilities dataset in the case of natural persons as co-borrowers This example strictly corresponds to Example 41 above, which focuses on the counterparty-instrument dataset in the case of a natural person being involved as a debtor, whereas this example illustrates the reporting of the joint liabilities dataset. A legal entity with counterparty identifier “LegalEntity#1” and a natural person with counterparty identifier “Person#B” are the only debtors to the instrument and, as stipulated by the contract, both counterparties are jointly liable for the total outstanding amount. Again, in the situation concerned, the actual number of debtors is two. Therefore, the (joint) liabilities dataset is reported. However, the debtor who is a natural person is not to be reported in the (joint) liabilities dataset, as no data relating to natural persons is reported to AnaCredit. Consequently, only the debtor that is not a natural person is recorded in this dataset. As regards the amount to be reported, this information is derived from the fact that this is a joint liability, meaning that each joint debtor is fully liable for the outstanding nominal amount. The outstanding nominal amount is reported in the financial dataset and amounts to €100,000 as of the reporting reference date. Please note that although the natural-person debtor is not recorded in the dataset, it can in general be concluded from the (single) record reported in the joint liabilities dataset that there is at least one more debtor (presumably a natural person) liable for (a part of) No record at all is entered in the joint liabilities dataset for debtors who are natural persons 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes the outstanding nominal amount in addition to the debtor reported in this dataset. Owing to the fact that this record is reported, a conclusion can be drawn that there are actually at least two debtors liable for the instrument. Table 81 Determining data reportable in the joint liabilities dataset Reporting reference date Counterparty identifier Contract identifier Instrument identifier Joint liability amount Subject to reporting 31/03/2019 LEGALENTITY#1 C#MIXLBLTY MIXLBLTYINS 100,000.00 Yes 31/03/2019 PERSON#B C#MIXLBLTY MIXLBLTYINS 100,000.00 No Please note that the last record in the dataset which relates to the instrument concerned is not to be reported to AnaCredit. For illustration purposes, however, the record is shown in the dataset. Level of granularity 7.2 The level of granularity for the joint liabilities dataset is the “counterparty-instrument” combination, which exactly matches the level of granularity of the counterparty-instrument dataset. Specifically, the information in this dataset is recorded at the level of (a) the reporting agent identifier, (b) the observed agent identifier, (c) the counterparty identifier, (d) the contract identifier, and (e) the instrument identifier. Generally, the joint liabilities dataset and the counterparty-instrument dataset stem from one and the same entity table, i.e. the counterparty-instrument entity table as referred to in Part I, Chapter 6 of the Manual on the data model and reportable datasets. However, the entity table is ultimately split up into two reportable datasets owing to the different reporting methods and timeliness that have been adopted for the different pieces of information contained therein. Effectively, a record is reported in the counterparty-instrument dataset for every combination of an instrument and a counterparty, other than a natural person, which takes the role of debtor in the multi-debtor instrument. In the case of multi-debtor instruments (i.e. instruments to which there is more than one debtor), as a general rule, for all counterparties for which the counterparty role is “debtor” in the counterparty-instrument dataset, the same number of debtors is recorded in the joint liabilities dataset as of the same reporting reference date, with the respective liability amount reported for each debtor. This in particular includes a situation where there is just one debtor recorded in the counterparty-instrument dataset owing to the fact that any debtors who are natural persons are not subject to reporting. Reporting frequency 7.3 The joint liabilities dataset is reported on a monthly basis. The relevant information is compiled for the combination of the counterparty (debtor) and the instrument A record is reported only if there are actually two or more debtors to an instrument 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes For those reporting agents that have been granted a derogation by the relevant NCB in accordance with Article 16(2) of the AnaCredit Regulation, the joint liabilities dataset may be reported on a quarterly basis. All records in the joint liabilities dataset are reported on a monthly basis, including records in which any piece of information does not change from one month to the other. In this way, the information in the dataset remains accurate and up to date for each reporting reference date and keeps up with the changes in the nominal outstanding amount of the instrument concerned. The joint liabilities dataset – data attributes 7.4 This dataset is applicable for instruments reported in the financial dataset. For each pair of counterparty and instrument, the following data attributes are reported. Table 82 Overview of data attributes in the joint liabilities dataset Data attribute Internal identifier Data type Section in Part II Reporting agent identifier √ String 2.2.1 Observed agent identifier √ String 2.2.2 Counterparty identifier √ String 2.2.3 Contract identifier √ String 2.2.4 Instrument identifier √ String 2.2.5 Joint liability amount Amount in euro 7.4.1

Für jede Kombination von Instrument und Vertragspartner ist in diesem Datenfeld einer der folgenden Werte einzutragen, um die von dem Vertragspartner in Bezug auf das Instrument übernommene Rolle anzugeben. Die einzelnen Rollen sind in Teil III,„Vertragspartnerrollen“ definiert. Schuldner Gläubiger Servicer Originator 5.4 Tabelle Daten zu Verbindlichkeiten mit mitschuldnerischer Haftung Die Tabelle Daten zu Verbindlichkeiten mit mitschuldnerischer Haftung wird für Instrumente mit mehreren Schuldnern benötigt. Bei der Feststellung, ob mehrere Schuldner an einem Instrument beteiligt sind, werden natürliche Personen mitgezählt. Bei Instrumenten mit nur einem einzigen Schuldner sind keinerlei Daten zu Verbindlichkeiten mit mitschuldnerischer Haftung zu melden. Eine Erfassung natürlicher Personen in den Daten zu Verbindlichkeiten mit mitschuldnerischer Haftung soll nicht erfolgen und entsprechende Beträge, die auf natürliche Personen entfallen, sollen nicht angegeben werden.