Date of original protection value (Datum der ursprünglichen Wertes der Sicherheit)

Definition: Date of original protection value. The date of original protection value is the date on which the latest appraisal or valuation of the protection was carried out prior to its initial receipt as credit protection. This data attribute captures the date of the original valuation of the protection as reported in the data attribute “original protection value”.

Reporting qualification: The counterparty default dataset is applicable for all debtors and protection providers of certain types of protection7 which are at the same time the issuers of the protection (in particular, if the protection item is a financial guarantee as defined in the ITS). The counterparty default dataset is exclusively relevant for counterparties reported to AnaCredit for which the data attribute “default status of the counterparty” is applicable as specified in Section 10.4.1 below. Conversely, the counterparty dataset need not be reported (i.e. no records at all need be reported) for counterparties which are neither debtors nor protection providers, or for debtors and protection providers for which the data attribute “default status of the counterparty” is not applicable. In particular, unless the data attribute “default status of the counterparty” is to be reported for a counterparty as of a given reporting reference date, no record at all is to be reported to AnaCredit in the counterparty default dataset in relation to the counterparty at the reporting reference date8. For an illustration of how the counterparty default dataset is to be reported consider the following example. i.e. unfunded protection under Article 4(1)(59) of the CRR to which the protection provider is at the same time the protection issuer. This in particular regards financial guarantees in accordance with the ITS. Please note that no records are to be reported at all in the counterparty default dataset if the data attributes therein are not subject to AnaCredit reporting. By accommodating such a reporting scheme, the reporting of the datasets’ internal identifiers for the mere purpose of reporting that the data attributes are not required/applicable is avoided. The reasoning is that if there is no value to be reported, nothing is to be reported at all. The same reporting scheme is also followed in relation to the counterparty risk dataset as described in Section 11.1.1. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 63: Reporting the counterparty default dataset 1. Observed agent (OA#1) is a (part of a) credit institution supervised under the CRR. In March 2019 the observed agent extended a loan (Inst#1) to a legal entity (Cpy#A). The loan is secured by a financial guarantee provided by a legal entity (Guarantor#G) and by securities pledged by a legal entity (ThirdParty#1). Cpy#A was earlier in default in the course of 2016 but was classified not in default in accordance with the CRR on 14 December 2018. Guarantor#G has not been classified in default in accordance with the CRR for the entirety of its business relationship with OA#1 to date. In connection with Inst#1, the debtor is reported in the counterparty-instrument dataset, while the protection providers of both protection items are reported in the protection received dataset as of 31 March 2019. However, the reporting of the default status of the counterparty is required only in relation to the debtor (Cpy#A) and the guarantor (Guarantor#G), whereas no default status is required for the protection provider (ThirdParty#1) of the securities because ThirdParty#1 is not the issuer of the securities. Ultimately, since the reporting of the default status for ThirdParty#1 is not subject to AnaCredit reporting, the counterparty default dataset is populated only for the debtor and the guarantor and no record at all is reported for the other protection provider. This reporting is depicted in Table 118. Table 118 Counterparty default dataset for the case Reporting reference date Counterparty identifier Default status of the counterparty Date of the default status of the counterparty 31/03/2019 CPY#A Not in default 14/12/2018 31/03/2019 GUARANTOR#G Not in default “Non-applicable” 2. Observed agent (OA#XY) is supervised under the CRR and applies the definition of default at the level of an instrument rather than at the level of a counterparty in accordance with Article 178 of the CRR. In March 2019 the observed agent extends a loan (Loan#2) to a legal entity (SmallCpy#B). While the debtor (SmallCpy#B) is reported in the counterparty-instrument dataset in connection with Loan#2 as of 31 March 2019, the default status of the counterparty is not required as the definition of default is applied at the level of the loan. Consequently, the counterparty default dataset is not reported at all for the debtor (i.e. no record in the counterparty default dataset is reported for the counterparty) as of the reporting reference date. 10.2 Level of granularity The information in this dataset is compiled at the level of counterparty. 10.3 Reporting frequency The dataset is reported on a monthly basis. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Nevertheless, in line with Article 16(2) of the AnaCredit Regulation, specific reporting agents may be allowed to report the dataset on a quarterly basis. 10.4 The counterparty default dataset – data attributes The counterparty default dataset is applicable for counterparties for which the default status of the counterparty is reported. In such cases, the following data attributes are reported. Table 119 Overview of data attributes in the counterparty default 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 Default status of the counterparty Code list 10.4.1 Date of the default status of the counterparty Date 10.4.2

Values: This data attribute is reported as a date indicating the day on which the value as reported in the data attribute “original protection value” is considered to have been established. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Counterparty default dataset 10.1 General aspects The counterparty default dataset serves to identify the default status of the counterparty in accordance with Article 178 of the CRR. Each record is uniquely identified by the combination of the following attributes: • reporting agent identifier; • observed agent identifier; • counterparty identifier. 10.1.1

Definition: Date of original protection value. The date of original protection value is the date on which the latest appraisal or valuation of the protection was carried out prior to its initial receipt as credit protection. This data attribute captures the date of the original valuation of the protection as reported in the data attribute “original protection value”.

Reporting qualification: The counterparty default dataset is applicable for all debtors and protection providers of certain types of protection7 which are at the same time the issuers of the protection (in particular, if the protection item is a financial guarantee as defined in the ITS). The counterparty default dataset is exclusively relevant for counterparties reported to AnaCredit for which the data attribute “default status of the counterparty” is applicable as specified in Section 10.4.1 below. Conversely, the counterparty dataset need not be reported (i.e. no records at all need be reported) for counterparties which are neither debtors nor protection providers, or for debtors and protection providers for which the data attribute “default status of the counterparty” is not applicable. In particular, unless the data attribute “default status of the counterparty” is to be reported for a counterparty as of a given reporting reference date, no record at all is to be reported to AnaCredit in the counterparty default dataset in relation to the counterparty at the reporting reference date8. For an illustration of how the counterparty default dataset is to be reported consider the following example. i.e. unfunded protection under Article 4(1)(59) of the CRR to which the protection provider is at the same time the protection issuer. This in particular regards financial guarantees in accordance with the ITS. Please note that no records are to be reported at all in the counterparty default dataset if the data attributes therein are not subject to AnaCredit reporting. By accommodating such a reporting scheme, the reporting of the datasets’ internal identifiers for the mere purpose of reporting that the data attributes are not required/applicable is avoided. The reasoning is that if there is no value to be reported, nothing is to be reported at all. The same reporting scheme is also followed in relation to the counterparty risk dataset as described in Section 11.1.1. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 63: Reporting the counterparty default dataset 1. Observed agent (OA#1) is a (part of a) credit institution supervised under the CRR. In March 2019 the observed agent extended a loan (Inst#1) to a legal entity (Cpy#A). The loan is secured by a financial guarantee provided by a legal entity (Guarantor#G) and by securities pledged by a legal entity (ThirdParty#1). Cpy#A was earlier in default in the course of 2016 but was classified not in default in accordance with the CRR on 14 December 2018. Guarantor#G has not been classified in default in accordance with the CRR for the entirety of its business relationship with OA#1 to date. In connection with Inst#1, the debtor is reported in the counterparty-instrument dataset, while the protection providers of both protection items are reported in the protection received dataset as of 31 March 2019. However, the reporting of the default status of the counterparty is required only in relation to the debtor (Cpy#A) and the guarantor (Guarantor#G), whereas no default status is required for the protection provider (ThirdParty#1) of the securities because ThirdParty#1 is not the issuer of the securities. Ultimately, since the reporting of the default status for ThirdParty#1 is not subject to AnaCredit reporting, the counterparty default dataset is populated only for the debtor and the guarantor and no record at all is reported for the other protection provider. This reporting is depicted in Table 118. Table 118 Counterparty default dataset for the case Reporting reference date Counterparty identifier Default status of the counterparty Date of the default status of the counterparty 31/03/2019 CPY#A Not in default 14/12/2018 31/03/2019 GUARANTOR#G Not in default “Non-applicable” 2. Observed agent (OA#XY) is supervised under the CRR and applies the definition of default at the level of an instrument rather than at the level of a counterparty in accordance with Article 178 of the CRR. In March 2019 the observed agent extends a loan (Loan#2) to a legal entity (SmallCpy#B). While the debtor (SmallCpy#B) is reported in the counterparty-instrument dataset in connection with Loan#2 as of 31 March 2019, the default status of the counterparty is not required as the definition of default is applied at the level of the loan. Consequently, the counterparty default dataset is not reported at all for the debtor (i.e. no record in the counterparty default dataset is reported for the counterparty) as of the reporting reference date. 10.2 Level of granularity The information in this dataset is compiled at the level of counterparty. 10.3 Reporting frequency The dataset is reported on a monthly basis. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Nevertheless, in line with Article 16(2) of the AnaCredit Regulation, specific reporting agents may be allowed to report the dataset on a quarterly basis. 10.4 The counterparty default dataset – data attributes The counterparty default dataset is applicable for counterparties for which the default status of the counterparty is reported. In such cases, the following data attributes are reported. Table 119 Overview of data attributes in the counterparty default 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 Default status of the counterparty Code list 10.4.1 Date of the default status of the counterparty Date 10.4.2

Values: This data attribute is reported as a date indicating the day on which the value as reported in the data attribute “original protection value” is considered to have been established. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Counterparty default dataset 10.1 General aspects The counterparty default dataset serves to identify the default status of the counterparty in accordance with Article 178 of the CRR. Each record is uniquely identified by the combination of the following attributes: • reporting agent identifier; • observed agent identifier; • counterparty identifier. 10.1.1

Dieses Datenfeld erfasst das Datum der ursprünglichen Bewertung der Sicherheit, also den Zeitpunkt, zu dem die letzte Schätzung oder Bewertung der Besicherung vor ihrer ursprünglichen Bestellung als Kreditbesicherung ausgeführt worden ist, deren Resultat im Datenfeld ursprünglicher Wert der Sicherheit gemeldet wird. 5.7 Tabelle Daten zu Instrument – empfangene Sicherheit Es wird ein Datensatz zu jeder einzelnen Kombination aus Sicherheit und besichertem Instrument gemeldet.