Prudential portfolio (Bankaufsichtliches Portfolio)

Definition: Prudential portfolio. Classification of exposures in the trading book as defined in Article 4(1)(86) of Regulation (EU) No 575/2013. This data attributes identifies instruments in the trading book. The value of this attribute depends on the actual classification of the instrument in the trading or in the non-trading book for capital ratio purposes and not on the type of instrument or the accounting classification of the instrument. Example 37: Cumulative recoveries in the case of partial write-offs An instrument (Inst#1) with an outstanding nominal amount of €100,000 has been in default since 1 June 2017. No recoveries have been received since then, although the observed agent holding the instrument expects to recover €30,000. In this connection, on 15 September 2018 a decision is taken to partially write off the instrument (no write-offs made beforehand), with an amount of €70,000 being written off. Thereafter, in the course of December 2018 an amount of €50,000 is recovered. Table 72 presents the reporting as of 30 September and 31 December 2018, taking into account the proceeds received after the write-off. Table 72 Cumulative recoveries since default and accumulated write-offs Reporting reference date Instrument identifier Cumulative recoveries since default Outstanding nominal amount Accumulated write- offs 30/09/2018 INST#1 0.00 30,000.00 70,000.00 31/12/2018 INST#1 50,000.00 0.00 50,000.00 Please note that at 30 September the cumulative recoveries are 0, as no amount has been recovered yet. The outstanding nominal amount is €30,000 as a write-off was made in the amount of €70,000 as reflected in the data attribute “accumulated write-offs”. However, by 31 December an amount of €50,000 has been recovered (as reflected in the cumulative recoveries since default). The amount recovered has led to a full repayment of the outstanding nominal amount of €30,000 and a partial reversal of the write-off made in September. Accordingly, the accumulated write-offs are lowered to €50,000 and the outstanding nominal amount set to €0. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes

Reporting qualification: This data attribute is not reported for fully derecognised instruments being serviced as defined in Annex II of the AnaCredit Regulation, so in such cases the value “Non- applicable” is reported. In addition, for instruments which are not recognised in the balance sheet of the observed agent’s legal entity in accordance with the accounting standard, the value “Non-applicable” is reported. In all other cases, one of the two values as specified below is reported.

Values: 1. Trading book – Instruments in the trading book 2. Non-trading book – Instruments not in the trading book General reporting instructions, specific cases and examples Instruments in the trading book are all financial instruments held by the observed agent either with trading intent or in order to hedge positions held with trading intent. Generally, instruments classified as “financial assets held for trading” or “trading financial assets” in according with the accounting standard will be held in the trading book. However, please note that there may be exceptions, particularly with regard to national GAAP (e.g. Part 2.128 (c) of Annex V to the ITS in the case of financial derivatives).

Definition: Prudential portfolio. Classification of exposures in the trading book as defined in Article 4(1)(86) of Regulation (EU) No 575/2013. This data attributes identifies instruments in the trading book. The value of this attribute depends on the actual classification of the instrument in the trading or in the non-trading book for capital ratio purposes and not on the type of instrument or the accounting classification of the instrument. Example 37: Cumulative recoveries in the case of partial write-offs An instrument (Inst#1) with an outstanding nominal amount of €100,000 has been in default since 1 June 2017. No recoveries have been received since then, although the observed agent holding the instrument expects to recover €30,000. In this connection, on 15 September 2018 a decision is taken to partially write off the instrument (no write-offs made beforehand), with an amount of €70,000 being written off. Thereafter, in the course of December 2018 an amount of €50,000 is recovered. Table 72 presents the reporting as of 30 September and 31 December 2018, taking into account the proceeds received after the write-off. Table 72 Cumulative recoveries since default and accumulated write-offs Reporting reference date Instrument identifier Cumulative recoveries since default Outstanding nominal amount Accumulated write- offs 30/09/2018 INST#1 0.00 30,000.00 70,000.00 31/12/2018 INST#1 50,000.00 0.00 50,000.00 Please note that at 30 September the cumulative recoveries are 0, as no amount has been recovered yet. The outstanding nominal amount is €30,000 as a write-off was made in the amount of €70,000 as reflected in the data attribute “accumulated write-offs”. However, by 31 December an amount of €50,000 has been recovered (as reflected in the cumulative recoveries since default). The amount recovered has led to a full repayment of the outstanding nominal amount of €30,000 and a partial reversal of the write-off made in September. Accordingly, the accumulated write-offs are lowered to €50,000 and the outstanding nominal amount set to €0. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes

Reporting qualification: This data attribute is not reported for fully derecognised instruments being serviced as defined in Annex II of the AnaCredit Regulation, so in such cases the value “Non- applicable” is reported. In addition, for instruments which are not recognised in the balance sheet of the observed agent’s legal entity in accordance with the accounting standard, the value “Non-applicable” is reported. In all other cases, one of the two values as specified below is reported.

Values: 1. Trading book – Instruments in the trading book 2. Non-trading book – Instruments not in the trading book General reporting instructions, specific cases and examples Instruments in the trading book are all financial instruments held by the observed agent either with trading intent or in order to hedge positions held with trading intent. Generally, instruments classified as “financial assets held for trading” or “trading financial assets” in according with the accounting standard will be held in the trading book. However, please note that there may be exceptions, particularly with regard to national GAAP (e.g. Part 2.128 (c) of Annex V to the ITS in the case of financial derivatives).

Dieses Datenfeld dient der Klassifikation von Risikopositionen im Handelsbuch wie in Art. 4 Abs. 1 Ziffer 86 CRR definiert. Der zu meldende Wert hängt von der tatsächlichen Kategorisierung des Instruments im Handels- oder Anlagebuch zum Zweck der Berechnung der Eigenmittelanforderungen und nicht von der Art bzw. der Rechnungslegungsklassifikation des Instruments ab. Bei Instrumenten, die nicht gemäß dem einschlägigen Rechnungslegungsstandard in der Bilanz des Rechtsträgers der beobachteten Einheit erfasst werden, ist der Wert „nicht zutreffend“ zu melden. Es ist einer der nachfolgend aufgeführten Werte zu erfassen: Handelsbuch Instrumente im Handelsbuch Anlagebuch Instrumente nicht im Handelsbuch Bei den Instrumenten im Handelsbuch handelt es sich allesamt um Finanzinstrumente, die die beobachtete Einheit entweder mit Handelsabsicht oder zur Absicherung anderer mit Handelsabsicht gehaltener Positionen hält. In der Regel werden Instrumente, die in Übereinstimmung mit dem einschlägigen Rechnungslegungsstandard als „zu Handelszwecken gehaltene finanzielle Vermögenswerte“ oder „finanzielle Vermögenswerte, die Teil des Handelsbestands sind“ eingestuft sind, im Handelsbuch geführt. Allerdings kann es insbesondere in Bezug auf nationale Rechnungslegungsvorschriften Ausnahmen geben (siehe beispielsweise Anhang V Teil 2 Nr. 128 der geänderten ITS zu Finanzderivaten). Deutsche Bundesbank Statistik Richtlinien Januar 2026 6.126 Kreditdaten- statistik