Date of the default status of the counterparty (Datum zum Ausfallstatus des Vertragspartners)

Definition: Date of the default status of the counterparty. The date on which the default status, as reported in the data attribute “Default status of the counterparty”, is considered to have arisen. This data attribute captures the date on which the default status as reported in the data attribute “default status of the counterparty” is considered to have arisen. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes

Reporting qualification: The counterparty risk dataset is exclusively relevant for counterparties reported to AnaCredit for which the data attribute “probability of default” is applicable as specified in Section 11.4.1 below. Conversely, the counterparty risk data are not reported (i.e. no records at all are reported) for counterparties which are neither debtors nor protection providers, or for debtors and protection providers for which the PD is not applicable. Specifically, unless the data attribute “probability of default” in the counterparty risk dataset is reported for a counterparty as of a given reporting reference date, no record at all is to be reported to AnaCredit in the respective dataset in relation to the counterparty at the reporting reference date. For an illustration of how the counterparty risk dataset is to be reported, consider the following example. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 65: Reporting the counterparty risk dataset 1. An observed agent (OA#1) is a (part of a) credit institution supervised under the CRR. In March 2019 the observed agent extends a loan (Inst#1) to a legal entity (Cpy#A) for which a PD of 1.35% is estimated in accordance with the IRB approach of the CRR. 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). A PD of 0.75% is estimated in accordance with the IRB approach for the guarantor, and no PD is required to be estimated for the provider of the securities. 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. However, the reporting of PD is required only in relation to the debtor (Cpy#A) and the guarantor (Guarantor#G), whereas no PD is required for the protection provider (ThirdParty#1) of the securities because ThirdParty#1 is not the issuer of the protection. Ultimately, since the reporting of the PD for ThirdParty#1 is not subject to AnaCredit reporting, as of 31 March 2019 the counterparty risk dataset is populated only for the debtor and the guarantor and no record at all is reported for the other protection provider. Table 123 Counterparty risk dataset Reporting reference date Counterparty identifier Probability of default 31/03/2019 CPY#A 0.0135 31/03/2019 GUARANTOR#G 0.0075 2. Observed agent (OA#XY) is supervised under the CRR but does not estimate PD in accordance with the IRB approach. In March 2019 the observed agent extends a loan (Loan#2) to a legal entity (Cpy#B). The debtor is reported in the counterparty-instrument dataset in connection with Loan#2. However, since the observed agent does not estimate a PD for the debtor in accordance with the IRB approach of the CRR, the PD is not required and the counterparty risk dataset is not reported at all for the debtor (i.e. no record in the counterparty risk dataset is reported). 11.2 Level of granularity The level of granularity for the counterparty risk dataset is the counterparty. In the case of natural persons being affiliated with instruments reported to AnaCredit, no record for the natural persons is reported. 11.3 Reporting frequency The records are reported on a monthly basis. However, the relevant NCB may decide to collect the counterparty risk data on a quarterly basis. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes 11.4 The counterparty risk dataset – data attributes The counterparty risk dataset is applicable for counterparties for which the PD is reported. In such cases, the following data attributes are reported. Table 124 Overview of data attributes in the counterparty risk 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 Probability of default Numeric 11.4.1

Values: If subject to reporting, this data attribute is reported as a date indicating the day on which the status as reported in the data attribute “default status of the counterparty” is considered to have arisen. However, in the case of counterparties which are considered by the reporting agent not to have been in default in accordance with Article 178 of the CRR since the beginning of the relationship (until the reporting reference date) and for which the default status of the counterparty is reported as “not in default”, and only in such cases, the data attribute “date of the default status of the counterparty” is reported as “Non-applicable”. General reporting instructions, specific cases and examples If subject to reporting at a reporting reference date, the date of the default status of the counterparty is no later than the reporting reference date. If no default is considered to have occurred with regard to a counterparty prior to the reporting reference date, the date of the default status of the counterparty is reported as “Non-applicable”. In particular, in the case of counterparties which are protection providers – for which the default status of the counterparty is subject to reporting (please refer to Section 10.4.1) – and which are not classified as being in default in accordance with Article 178 of the CRR, the default status of the counterparty is reported as “not in default”, while the date of the default status is reported as “Non-applicable”. If a counterparty which was in default earlier has not been in default since then and is not in default at a reporting reference date, the default status of the counterparty is reported as “not in default”, and the date of the default status of the counterparty at the reporting reference date is the date as of which the counterparty ceased to be in default. For an illustration of how the date of the default status of the counterparty is to be reported, consider the following example. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 64: Reporting the default status of the counterparty Observed agent (OA#1) is a (part of a) credit institution supervised under the CRR and applies the definition of default in accordance with Article 178 of the CRR at the level of a counterparty. The observed agent has only one parent undertaking (CredInst#A) (under Article 4(1)(15) of the CRR) which is a credit institution under Article 4(1)(1) of the CRR. The parent undertaking of the legal entity has no other subsidiaries than the observed agent. 1. At 31 March 2019, a legal entity (Debtor#1) has a credit obligation (Loan#1) to OA#1. The loan is secured with a financial guarantee provided by counterparty Gurantor#T. Gurantor#T has no direct credit obligation to OA#1 but has one to CredInst#A. Neither Debtor#1 nor Guarantor#T has been classified in default in accordance with the CRR for the entirety of the business relationship with OA#1 and its parent undertaking CredInst#A. In the context of AnaCredit, Debtor#1 is reported to AnaCredit vis-à-vis OA#1 in connection with Loan#1 (as reported in the counterparty-instrument dataset). Guarantor#T acts as protection provider to Loan#1 and is reported in the protection received dataset. The data attribute “default status of the counterparty” is required for both Debtor#1 and Guarantor#T. The reporting is depicted in Table 120. Table 120 Counterparty default dataset for the case as of 31 March Reporting reference date Counterparty identifier Default status of the counterparty Date of the default status of the counterparty 31/03/2019 DEBTOR#1 Not in default “Non-applicable” 31/03/2019 GUARANTOR#T Not in default “Non-applicable” 2. The situation described in 1 above continues unchanged until 15 September 2019, when OA#1 classifies Debtor#1 in default because payments are unlikely in accordance with Article 178(1)(a) of the CRR. As of 30 September, Debtor#1 and Guarantor#T are reported in the counterparty default dataset as follows: Table 121 Counterparty default dataset for the case as of 30 September Reporting reference date Counterparty identifier Default status of the counterparty Date of the default status of the counterparty 30/09/2019 DEBTOR#1 Default because unlikely to pay 15/09/2019 30/09/2019 GUARANTOR#T Not in default “Non-applicable” 3. On 24 January 2020 Guarantor#T becomes past due more than 90 days on the obligation to CredInst#A and is classified in default in accordance with Article 178(1)(b) of the CRR. The counterparty default dataset reported in relation to OA#1 is presented in Table 122. Table 122 Counterparty default dataset for the case as of 31 January 2020 Reporting reference date Counterparty identifier Default status of the counterparty Date of the default status of the counterparty 30/09/2019 DEBTOR#1 Default because unlikely to pay 15/09/2019 30/09/2019 GUARANTOR#T Default because more than 90/180 days past due 24/01/2020 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Counterparty risk dataset 11.1 General aspects The dataset captures the assessment of the counterparty’s credit risk in accordance with the CRR. 11.1.1

Definition: Date of the default status of the counterparty. The date on which the default status, as reported in the data attribute “Default status of the counterparty”, is considered to have arisen. This data attribute captures the date on which the default status as reported in the data attribute “default status of the counterparty” is considered to have arisen. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes

Reporting qualification: The counterparty risk dataset is exclusively relevant for counterparties reported to AnaCredit for which the data attribute “probability of default” is applicable as specified in Section 11.4.1 below. Conversely, the counterparty risk data are not reported (i.e. no records at all are reported) for counterparties which are neither debtors nor protection providers, or for debtors and protection providers for which the PD is not applicable. Specifically, unless the data attribute “probability of default” in the counterparty risk dataset is reported for a counterparty as of a given reporting reference date, no record at all is to be reported to AnaCredit in the respective dataset in relation to the counterparty at the reporting reference date. For an illustration of how the counterparty risk dataset is to be reported, consider the following example. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 65: Reporting the counterparty risk dataset 1. An observed agent (OA#1) is a (part of a) credit institution supervised under the CRR. In March 2019 the observed agent extends a loan (Inst#1) to a legal entity (Cpy#A) for which a PD of 1.35% is estimated in accordance with the IRB approach of the CRR. 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). A PD of 0.75% is estimated in accordance with the IRB approach for the guarantor, and no PD is required to be estimated for the provider of the securities. 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. However, the reporting of PD is required only in relation to the debtor (Cpy#A) and the guarantor (Guarantor#G), whereas no PD is required for the protection provider (ThirdParty#1) of the securities because ThirdParty#1 is not the issuer of the protection. Ultimately, since the reporting of the PD for ThirdParty#1 is not subject to AnaCredit reporting, as of 31 March 2019 the counterparty risk dataset is populated only for the debtor and the guarantor and no record at all is reported for the other protection provider. Table 123 Counterparty risk dataset Reporting reference date Counterparty identifier Probability of default 31/03/2019 CPY#A 0.0135 31/03/2019 GUARANTOR#G 0.0075 2. Observed agent (OA#XY) is supervised under the CRR but does not estimate PD in accordance with the IRB approach. In March 2019 the observed agent extends a loan (Loan#2) to a legal entity (Cpy#B). The debtor is reported in the counterparty-instrument dataset in connection with Loan#2. However, since the observed agent does not estimate a PD for the debtor in accordance with the IRB approach of the CRR, the PD is not required and the counterparty risk dataset is not reported at all for the debtor (i.e. no record in the counterparty risk dataset is reported). 11.2 Level of granularity The level of granularity for the counterparty risk dataset is the counterparty. In the case of natural persons being affiliated with instruments reported to AnaCredit, no record for the natural persons is reported. 11.3 Reporting frequency The records are reported on a monthly basis. However, the relevant NCB may decide to collect the counterparty risk data on a quarterly basis. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes 11.4 The counterparty risk dataset – data attributes The counterparty risk dataset is applicable for counterparties for which the PD is reported. In such cases, the following data attributes are reported. Table 124 Overview of data attributes in the counterparty risk 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 Probability of default Numeric 11.4.1

Values: If subject to reporting, this data attribute is reported as a date indicating the day on which the status as reported in the data attribute “default status of the counterparty” is considered to have arisen. However, in the case of counterparties which are considered by the reporting agent not to have been in default in accordance with Article 178 of the CRR since the beginning of the relationship (until the reporting reference date) and for which the default status of the counterparty is reported as “not in default”, and only in such cases, the data attribute “date of the default status of the counterparty” is reported as “Non-applicable”. General reporting instructions, specific cases and examples If subject to reporting at a reporting reference date, the date of the default status of the counterparty is no later than the reporting reference date. If no default is considered to have occurred with regard to a counterparty prior to the reporting reference date, the date of the default status of the counterparty is reported as “Non-applicable”. In particular, in the case of counterparties which are protection providers – for which the default status of the counterparty is subject to reporting (please refer to Section 10.4.1) – and which are not classified as being in default in accordance with Article 178 of the CRR, the default status of the counterparty is reported as “not in default”, while the date of the default status is reported as “Non-applicable”. If a counterparty which was in default earlier has not been in default since then and is not in default at a reporting reference date, the default status of the counterparty is reported as “not in default”, and the date of the default status of the counterparty at the reporting reference date is the date as of which the counterparty ceased to be in default. For an illustration of how the date of the default status of the counterparty is to be reported, consider the following example. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 64: Reporting the default status of the counterparty Observed agent (OA#1) is a (part of a) credit institution supervised under the CRR and applies the definition of default in accordance with Article 178 of the CRR at the level of a counterparty. The observed agent has only one parent undertaking (CredInst#A) (under Article 4(1)(15) of the CRR) which is a credit institution under Article 4(1)(1) of the CRR. The parent undertaking of the legal entity has no other subsidiaries than the observed agent. 1. At 31 March 2019, a legal entity (Debtor#1) has a credit obligation (Loan#1) to OA#1. The loan is secured with a financial guarantee provided by counterparty Gurantor#T. Gurantor#T has no direct credit obligation to OA#1 but has one to CredInst#A. Neither Debtor#1 nor Guarantor#T has been classified in default in accordance with the CRR for the entirety of the business relationship with OA#1 and its parent undertaking CredInst#A. In the context of AnaCredit, Debtor#1 is reported to AnaCredit vis-à-vis OA#1 in connection with Loan#1 (as reported in the counterparty-instrument dataset). Guarantor#T acts as protection provider to Loan#1 and is reported in the protection received dataset. The data attribute “default status of the counterparty” is required for both Debtor#1 and Guarantor#T. The reporting is depicted in Table 120. Table 120 Counterparty default dataset for the case as of 31 March Reporting reference date Counterparty identifier Default status of the counterparty Date of the default status of the counterparty 31/03/2019 DEBTOR#1 Not in default “Non-applicable” 31/03/2019 GUARANTOR#T Not in default “Non-applicable” 2. The situation described in 1 above continues unchanged until 15 September 2019, when OA#1 classifies Debtor#1 in default because payments are unlikely in accordance with Article 178(1)(a) of the CRR. As of 30 September, Debtor#1 and Guarantor#T are reported in the counterparty default dataset as follows: Table 121 Counterparty default dataset for the case as of 30 September Reporting reference date Counterparty identifier Default status of the counterparty Date of the default status of the counterparty 30/09/2019 DEBTOR#1 Default because unlikely to pay 15/09/2019 30/09/2019 GUARANTOR#T Not in default “Non-applicable” 3. On 24 January 2020 Guarantor#T becomes past due more than 90 days on the obligation to CredInst#A and is classified in default in accordance with Article 178(1)(b) of the CRR. The counterparty default dataset reported in relation to OA#1 is presented in Table 122. Table 122 Counterparty default dataset for the case as of 31 January 2020 Reporting reference date Counterparty identifier Default status of the counterparty Date of the default status of the counterparty 30/09/2019 DEBTOR#1 Default because unlikely to pay 15/09/2019 30/09/2019 GUARANTOR#T Default because more than 90/180 days past due 24/01/2020 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Counterparty risk dataset 11.1 General aspects The dataset captures the assessment of the counterparty’s credit risk in accordance with the CRR. 11.1.1

Dieses Datenfeld erfasst das Datum, zu dem der im Datenfeld Ausfallstatus des Vertragspartners gemeldete Ausfallstatus als eingetreten gilt. Dieses Datenfeld wird nur dann gemeldet, wenn das Datenfeld Ausfallstatus des Vertragspartners berichtspflichtig ist. Ausschließlich bei Vertragspartnern, bei denen der Berichtspflichtige seit Beginn der Geschäftsbeziehung (bis zum Meldestichtag) keinen Ausfall gemäß Art. 178 CRR festgestellt hat, und für die beim Ausfallstatus des Vertragspartners „kein Ausfall“ gemeldet wird, ist im Datenfeld Datum zum Ausfallstatus des Vertragspartners „nicht zutreffend“ anzugeben. Dieses Datum liegt nicht später als der Meldestichtag. Ist in Bezug auf einen Vertragspartner, der bereits früher ausgefallen war, seither kein erneuter Ausfall eingetreten und besteht zum Meldestichtag kein Ausfall in Bezug auf diesen Vertragspartner, wird als Ausfallstatus des Vertragspartners „kein Ausfall“ gemeldet und im Datenfeld Datum zum Ausfallstatus des Vertragspartners wird zum Meldestichtag das Datum angegeben, ab dem in Bezug auf den Vertragspartner kein Ausfall mehr vorlag. Wird der Ausfallstatus gemischt auf Vertragspartner- und Instrumentenebene ermittelt, dann ist das Datenfeld Datum zum Ausfallstatus des Vertragspartners nur für die Instrumente relevant, die auf Ebene des Vertragspartners beurteilt werden, und nicht für diejenigen Instrumente (aus dem Mengengeschäft), die unter den Art. 178 Abs. 1 letzter Satz CRR fallen. 5.10 Tabelle Daten zu Vertragspartner – empfangene Sicherheiten Es wird ein Datensatz zu jeder einzelnen Kombination aus Sicherungsgeber und gestellter Sicherheit gemeldet. Deutsche Bundesbank Statistik Richtlinien Januar 2026 6.144 Kreditdaten- statistik