Date of protection value (Datum des Wertes der Sicherheit)

Definition: Date of protection value. The date on which the latest appraisal or valuation of the protection was carried out prior to the reporting reference date. The date of the protection value is the date on which the latest appraisal or valuation of the protection was carried out prior to the reporting reference date, i.e. the date on which the amount reported in the attribute “protection value” of the value type reported in the attribute “type of protection value” was established under the valuation method reported in the attribute protection valuation approach.

Reporting qualification: The date of the protection value is to be reported for each protection item reported in the protection received dataset. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes

Values: This data attribute is reported as a date indicating the day on which the protection value as reported in the data attribute “protection value” is considered to have been established. General reporting instructions, specific cases and examples As regards protection items which are valued at their fair values (or market or long- term sustainable values in the case of real estate collateral), the date of the protection value is the date on which the latest appraisal or valuation of the protection was carried out prior to the reporting reference date. More specifically, it is the date on which the amount reported in the attribute “protection value” of the value type reported in the attribute “type of protection value” was established under the valuation method reported in the attribute “protection valuation approach”. In the case of protection items which are valued at their notional amount, it is the date on which the notional amount changed for the last time prior to the reporting reference date. For an illustration of how the date of protection value is reported, consider the following example. Example 59: Reporting of the data attribute “date of protection” 1. On 11 May 2011 an observed agent (OA#1) extends a loan (Inst#55) to a legal entity for a tenor of ten years. The loan is secured by commercial real estate collateral (CRE#1) and a financial guarantee (Gua#2) provided by a third party legal entity (GUARANTOR#AA). 2. The maximum amount GUARANTOR#AA would have to pay if the guarantee is called on equals €500,000. The guarantee can be revoked only if the loan is repaid in full. 3. On 28 April 2011, just prior to the loan origination, the real estate was evaluated by a third party appraiser not related to OA#1 where the market value of the protection was established to be €380,000. 4. On 15 March 2014 and 14 October 2016 the market value of the real estate collateral is re-evaluated by a third party appraiser; taking into account the local market conditions, the protection value is estimated to be €400,000 and €425,000, respectively. 5. Inst#55 is subject to AnaCredit reporting as of 30 September 2018. 6. In October 2018 OA#1 opts for a quantitative valuation of the real estate collateral where the protection value is regularly estimated following a methodology developed by OA#1 on the basis of a publically available house price index. Accordingly, the real estate value is estimated to grow by 0.5% month-to-month. In connection with Inst#55, both the real estate collateral and the financial guarantee are reported in the protection received dataset at 30 September 2018. The reporting of the protection received dataset is depicted in Table 112. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Table 112 Indication of the protection received dataset as of 30 September Reporting reference date Protection identifier Type of protection Protection value Type of protection value Protection valuation approach Date of protection value 30/09/2018 CRE#1 Commercial real estate collateral 425,000.00 Market value Third party valuation 14/10/2016 30/09/2018 GUA#2 Financial guarantee other than credit derivatives 500,000.00 Notional amount Other type of valuation 30/09/2018 As of October 2018, the data concerning the real estate collateral change compared with the previous periods are therefore subject to reporting. In addition, the data regarding the financial guarantee are also reported as for protection valued at notional amount; the date of protection value is the reporting reference date. Accordingly, the reported records as of October, November and December are illustrated in Table 113. Table 113 Subsequent reporting of the protection received dataset Reporting reference date Protection identifier Type of protection Protection value Type of protection value Protection valuation approach Date of protection value 31/10/2018 CRE#1 Commercial real estate collateral 427,125.00 Market value Creditor valuation 31/10/2018 31/10/2018 GUA#2 Financial guarantee other than credit derivatives 500,000.00 Notional amount Other type of valuation 31/10/2018 30/11/2018 CRE#1 Commercial real estate collateral 429,260.63 Market value Creditor valuation 30/11/2018 30/11/2018 GUA#2 Financial guarantee other than credit derivatives 500,000.00 Notional amount Other type of valuation 30/11/2018 31/12/2018 CRE#1 Commercial real estate collateral 431,406.93 Market value Creditor valuation 31/12/2018 31/12/2018 GUA#2 Financial guarantee other than credit derivatives 500,000.00 Notional amount Other type of valuation 31/12/2018

Definition: Date of protection value. The date on which the latest appraisal or valuation of the protection was carried out prior to the reporting reference date. The date of the protection value is the date on which the latest appraisal or valuation of the protection was carried out prior to the reporting reference date, i.e. the date on which the amount reported in the attribute “protection value” of the value type reported in the attribute “type of protection value” was established under the valuation method reported in the attribute protection valuation approach.

Reporting qualification: The date of the protection value is to be reported for each protection item reported in the protection received dataset. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes

Values: This data attribute is reported as a date indicating the day on which the protection value as reported in the data attribute “protection value” is considered to have been established. General reporting instructions, specific cases and examples As regards protection items which are valued at their fair values (or market or long- term sustainable values in the case of real estate collateral), the date of the protection value is the date on which the latest appraisal or valuation of the protection was carried out prior to the reporting reference date. More specifically, it is the date on which the amount reported in the attribute “protection value” of the value type reported in the attribute “type of protection value” was established under the valuation method reported in the attribute “protection valuation approach”. In the case of protection items which are valued at their notional amount, it is the date on which the notional amount changed for the last time prior to the reporting reference date. For an illustration of how the date of protection value is reported, consider the following example. Example 59: Reporting of the data attribute “date of protection” 1. On 11 May 2011 an observed agent (OA#1) extends a loan (Inst#55) to a legal entity for a tenor of ten years. The loan is secured by commercial real estate collateral (CRE#1) and a financial guarantee (Gua#2) provided by a third party legal entity (GUARANTOR#AA). 2. The maximum amount GUARANTOR#AA would have to pay if the guarantee is called on equals €500,000. The guarantee can be revoked only if the loan is repaid in full. 3. On 28 April 2011, just prior to the loan origination, the real estate was evaluated by a third party appraiser not related to OA#1 where the market value of the protection was established to be €380,000. 4. On 15 March 2014 and 14 October 2016 the market value of the real estate collateral is re-evaluated by a third party appraiser; taking into account the local market conditions, the protection value is estimated to be €400,000 and €425,000, respectively. 5. Inst#55 is subject to AnaCredit reporting as of 30 September 2018. 6. In October 2018 OA#1 opts for a quantitative valuation of the real estate collateral where the protection value is regularly estimated following a methodology developed by OA#1 on the basis of a publically available house price index. Accordingly, the real estate value is estimated to grow by 0.5% month-to-month. In connection with Inst#55, both the real estate collateral and the financial guarantee are reported in the protection received dataset at 30 September 2018. The reporting of the protection received dataset is depicted in Table 112. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Table 112 Indication of the protection received dataset as of 30 September Reporting reference date Protection identifier Type of protection Protection value Type of protection value Protection valuation approach Date of protection value 30/09/2018 CRE#1 Commercial real estate collateral 425,000.00 Market value Third party valuation 14/10/2016 30/09/2018 GUA#2 Financial guarantee other than credit derivatives 500,000.00 Notional amount Other type of valuation 30/09/2018 As of October 2018, the data concerning the real estate collateral change compared with the previous periods are therefore subject to reporting. In addition, the data regarding the financial guarantee are also reported as for protection valued at notional amount; the date of protection value is the reporting reference date. Accordingly, the reported records as of October, November and December are illustrated in Table 113. Table 113 Subsequent reporting of the protection received dataset Reporting reference date Protection identifier Type of protection Protection value Type of protection value Protection valuation approach Date of protection value 31/10/2018 CRE#1 Commercial real estate collateral 427,125.00 Market value Creditor valuation 31/10/2018 31/10/2018 GUA#2 Financial guarantee other than credit derivatives 500,000.00 Notional amount Other type of valuation 31/10/2018 30/11/2018 CRE#1 Commercial real estate collateral 429,260.63 Market value Creditor valuation 30/11/2018 30/11/2018 GUA#2 Financial guarantee other than credit derivatives 500,000.00 Notional amount Other type of valuation 30/11/2018 31/12/2018 CRE#1 Commercial real estate collateral 431,406.93 Market value Creditor valuation 31/12/2018 31/12/2018 GUA#2 Financial guarantee other than credit derivatives 500,000.00 Notional amount Other type of valuation 31/12/2018

Das Datum des Wertes der Sicherheit ist das Datum, an dem die letzte Schätzung oder Bewertung der Sicherheit vor dem Meldestichtag ausgeführt wurde, d. h. das Datum, an dem der im Datenfeld Wert der Sicherheit gemeldete Betrag der im Datenfeld Art des Wertes der Sicherheit gemeldeten Art des Wertes anhand der im Datenfeld Ansatz der Sicherheitenbewertung gemeldeten Bewertungsmethode festgestellt wurde. Bei Sicherheiten, die zum beizulegenden Zeitwert (oder Marktwert oder langfristig dauerhaften Wert im Falle von Immobiliensicherheiten) bewertet werden, ist das Datum des Wertes der Sicherheit das Datum, an dem die letzte Schätzung oder Bewertung der Sicherheit vor dem Meldestichtag ausgeführt wurde. Im Falle von Sicherheiten, die zum Nominalbetrag bewertet werden, ist dies das Datum, an dem sich der Nominalbetrag vor dem Meldestichtag das letzte Mal geändert hat.