Carrying amount (CRRYNG_AMNT)

Definition: Carrying amount. The carrying amount in accordance with Annex V to Implementing Regulation (EU) No 680/2014. The carrying amount means the amount to be reported on the asset side of the balance sheet. The carrying amount of financial assets includes accrued interest. This data attribute captures the net carrying amount of assets as reported in accordance with the applied accounting standard.

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 “Not required” is reported. Otherwise, if an instrument is 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. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes In all other case, the net carrying amount of the instrument is reported.

Values: The carrying amount is reported in units of euro. General reporting instructions, specific cases and examples If the reporting agent is subject to Regulation (EU) 2015/534 (ECB/2015/13) it is expected that the carrying amount is reported as the amount used to fulfil the requirements of this Regulation. The carrying amount is the net carrying amount for instruments measured at amortised cost and the fair value for instruments measured at fair value through profit and loss or other comprehensive income. The amount of accrued interest as included in carrying amount is defined in accordance with the data attribute “accrued interest” in the financial dataset. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Counterparty-instrument data 6.1 General aspects Pursuant to the AnaCredit Regulation, reporting agents report relevant data for all instruments satisfying the conditions defined in Articles 1, 4 and 5. The counterparty-instrument dataset identifies counterparties that take on certain roles vis-à-vis an instrument reported in the instrument dataset. Specifically, for every instrument reported to AnaCredit in the instrument dataset, all counterparties that, from the perspective of the observed agent, take any of the following roles in relation to the instrument are reported in the counterparty-instrument dataset: • the creditor to the instrument; • the servicer to the instrument; • the debtor to the instrument. In addition, if the instrument reported to AnaCredit is subject to a securitisation transaction within the meaning of Regulation (EU) No 1071/2013 (ECB/2013/33), the transferor of the instrument to the securitisation structure is also be reported in the counterparty-instrument dataset: • the originator (the transferor) of the instrument. Generally, AnaCredit captures instruments that give rise to credit risk. Taking the perspective of an observed agent, an instrument recorded in the instrument dataset either gives rise to credit risk to the observed agent or (does not give rise to credit risk to the observed agent but it) is serviced by the observed agent. In either case, the counterparties that are creditors, debtors or servicers to such instruments are all recorded in the counterparty-instrument dataset. In accordance with the AnaCredit data model, each counterparty identifier reported in the counterparty-instrument dataset is recorded in the counterparty reference dataset so that it is possible to retrieve up-to-date counterparty related data for creditors, debtors, servicers and, if relevant, originators to the instrument concerned. Conversely, counterparties that do not take on any of the three (or four, if relevant) roles referred to above are not reported in the counterparty-instrument dataset. This means that counterparties whose activity as (i) protection providers, (ii) head office undertakings (of a foreign branch acting as a debtor or protection provider), (iii) immediate parent undertakings (of a debtor or protection provider) and (iv) ultimate parent undertakings (of a debtor or protection provider) that are recorded in the protection received dataset and/or the counterparty reference dataset are not recorded in the counterparty-instrument dataset. In AnaCredit, the existence of one or more creditors and debtors to an instrument implies that the instrument bears credit risk Only the roles of creditors, debtors, servicers and, if relevant, originators are subject to reporting in the counterparty-instrument dataset The roles of protection providers, head office undertakings, and immediate and ultimate parent undertakings are not subject to reporting in the counterparty-instrument dataset 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Consequently, for each instrument recorded in the instrument dataset, the counterparty-instrument dataset contains information about which counterparties constitute the creditor, the servicer, the debtor and, if relevant, the originator vis-à-vis the instrument, by recording the counterparty identifier of the respective counterparty. In other words, in line with the AnaCredit data model, for each instrument recorded in the instrument dataset there are in principle at least three records reported in the counterparty-instrument dataset. This applies for any instrument reported to AnaCredit, including intracompany loans, written-off loans, or fiduciary instruments. 6.1.1 All counterparties are reported Any counterparty acting as creditor, servicer, debtor or originator vis-à-vis an instrument is subject to reporting In accordance with point 4.2 of Template 1 of Annex I to the AnaCredit Regulation, the counterparty-instrument data describe the role of all counterparties to each instrument (though the reporting of natural persons is waived). Consequently, any counterparty, other than a natural person, taking on any of the four roles is subject to reporting in this dataset. In particular, any debtor (other than a natural person) which is jointly liable for an instrument that is reported to AnaCredit is recorded in the counterparty-instrument dataset, even though the debtor’s commitment amount is below the reporting threshold of €25,000. For an illustration of the obligation, please consider the following example. At least one debtor, at least one creditor and at least one servicer are always identified and reported to AnaCredit whenever the instrument is reported to AnaCredit If an instrument is reported, then all counterparties (and in particular all debtors) to the instrument are subject to AnaCredit reporting 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 38: Reporting of debtors vis-à-vis an instrument reportable to AnaCredit As of 30 September 2018, observed agent OA#1 extends: • loan INST#1 (contract CNT#1) with the outstanding nominal amount of €40,000 to debtor DBTR#B; and • loan INST#04 (contract CTRT#2), with the outstanding nominal amount of €15,000, where DBTR#B and OBLGR#A are joint liability, so that DBTR#B is liable for €10,000 while OBLGR#A is liable for €5,000; • loan INST#9 (contract CNT#3), with the outstanding nominal amount of €7,000 to debtor OBLGR#A. Both OBLGR#A and DBTR#B are legal entities and neither has other instruments vis-à- vis OA#1. All the loans have one of the types of instrument referred to in Article 1(23) of the AnaCredit Regulation and by definition do not have the off-balance-sheet amount (reported as “Non-applicable”). The observed agent determines, in accordance with Article 5 of the AnaCredit Regulation, that: • the commitment amount of debtor OBLGR#A is €22,000, which is the sum of the outstanding nominal amounts of INST#4 (€15,000) and INST#9 (€7,000); • the commitment amount of debtor DBTR#B is €55,000, which is the sum of the outstanding nominal amounts of the instrument in which DBTR#B acts as debtor, i.e. INST#1 and INST#4. Consequently, the observed agent establishes that both INST#1 and INST#04 are subject to AnaCredit reporting because the debtor’s commitment amount exceeds the reporting threshold of €25,000, whereas INST#9 is not subject to reporting as the debtor’s commitment amount does not reach the reporting threshold. This is reflected accordingly in the financial dataset as of the reporting reference date (Table 73). Table 73 Indication of the financial dataset Reporting reference date Observed agent identifier Contract identifier Instrument identifier Outstanding nominal amount Off-balance-sheet amount 30/09/2018 OA#1 CNT#1 INST#1 40,000.00 “Non-applicable” 30/09/2018 OA#1 CTRT#2 INST#04 15,000.00 “Non-applicable” For the instruments subject to reporting, the observed agent reports all the counterparties involved in the instruments in the counterparty-instrument dataset, and in particular all the debtors, irrespective of whether or not the commitment amount of all the debtors reaches the reporting threshold. This is presented in Table 74. Table 74 Indication of the counterparty-instrument dataset Reporting reference date Observed agent identifier Contract identifier Instrument identifier Counterparty identifier Counterparty role 30/09/2018 OA#1 CNT#1 INST#1 OA#1 Creditor 30/09/2018 OA#1 CNT#1 INST#1 OA#1 Servicer 30/09/2018 OA#1 CNT#1 INST#1 DBTR#B Debtor 30/09/2018 OA#1 CTRT#2 INST#4 OA#1 Creditor 30/09/2018 OA#1 CTRT#2 INST#4 OA#1 Servicer 30/09/2018 OA#1 CTRT#2 INST#4 DBTR#B Debtor 30/09/2018 OA#1 CTRT#2 INST#4 OBLGR#A Debtor 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Please note that the reason for reporting INST#04 is that all instruments vis-à-vis OA#1 in which debtor DBTR#B is involved have to be reported, i.e. both INST#1 and INST#4. If this is the case, DBTR#B is reported twice, once in relation to INST#1 and once in relation to INST#04. Furthermore, since INST#4 is reported, OBLGR#A also has to be reported in relation to the instrument, even though the commitment amount of this (joint) debtor does not reach the reporting threshold. However, since the commitment amount of debtor OBLGR#A is less than €25,000, INST#9 is not subject to reporting. 6.1.2 Multiple creditors Plurality of creditors and transferred instruments All creditors are identified in the counterparty-instrument dataset, irrespective of whether it is the observed agent’s activity as creditor or its activity as servicer being reported to AnaCredit. This means that the observed agent may not be the only creditor identified in relation to an instrument reported to AnaCredit. The case of multiple creditors holding (parts of) one and the same instrument exists primarily in relation to partially transferred loans, where, after the economic ownership of an instrument has been partially transferred to a third party, there may be several creditors. The definition of transferred instruments goes beyond instruments subject to a securitisation and also includes instruments that have otherwise been transferred in terms of the collection of principal and interest from the debtor. The general principle is that a counterparty acquiring the economic ownership of transferred instruments originally held by the observed agents becomes a creditor and is recorded in the counterparty-instrument dataset. Accordingly, an observed agent who holds an instrument is a creditor; if later on the observed agent transfers the instrument to a third party, the observed agent ceases to be the creditor to the instrument and the third party becomes a creditor from the transfer moment onwards. Alternatively, if the transfer is partial, the observed agent and the third party are both creditors to the instrument. In the special case of an instrument transferred to more than one creditor, the creditors are captured as stated above via the counterparty-instrument dataset. In cases where the reporting agent splits such an instrument into separate instruments, then the information delivered to AnaCredit is expected to reflect that view. This means that the instruments would in that case be delivered as split and mapped to their respective creditors and servicers following the general reporting principles. Conversely, an observed agent who purchases an instrument giving rise to credit risk becomes a creditor to the instrument. As in any other dataset, all counterparties identified in the counterparty-instrument dataset are recorded in the counterparty reference dataset, in accordance with the general reporting principles 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Any counterparty that assumes the credit risk of an instrument through the use of credit derivatives, guarantees or any similar mechanism, but is not the economic owner of the instrument, is not a creditor and is not recorded in the counterparty-instrument dataset as such. Consequently, if an observed agent holding an instrument transfers the risk associated with an instrument to a third party through the use of a guarantee, the observed agent nonetheless continues to be the creditor to the instrument while the third party becomes a protection provider to the instrument. 6.1.3 Plurality of debtors In the context of AnaCredit, debtors are fully or partially liable debtors when they are united in making repayments arising under one and the same instrument under the same contract4. (a) Fully liable debtors (i) The creditor may claim repayments from any one of the fully liable debtors until the full amount has been repaid. (ii) If one fully liable debtor has repaid the amount in full or in part, the liability of the other fully liable debtor(s) to the creditor is discharged to the extent of such repayment. (b) Partially liable debtors (i) The creditor may claim from any partially liable debtor only that part of the repayment for which the debtor is liable and the partially liable debtor is bound to repay only to that extent. (ii) Partially liable debtors carry separate liabilities vis-à-vis the creditor for their own shares. They may also be liable in equal shares if the contract or the law provides so. In the case of a plurality of debtors, the instrument is reported as one instrument in the instrument dataset and multiple records are entered in the counterparty-instrument dataset, one for each existing debtor. Note that in the case of fully liable debtors, which are frequently encountered in practice, the creditor may claim the whole amount from any of the debtors without having to involve all the debtors. In contrast, there can also be cases of partial but not fully liable debtors. In terms of AnaCredit, the treatment of such cases does not significantly differ from the general principle already presented, where for each joint debtor, the joint liability amount is determined on the basis of the actual amount the debtors are liable for. Please refer to Part I of the Manual for a general description of a plurality of debtors. A counterparty assuming the credit risk of an instrument by providing protection (e.g. a guarantee) is a protection provider, not a creditor. Protection providers are not identified in the counterparty- instrument dataset but instead in the protection received dataset 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes By contrast, in the case of partially liable debtors, the creditor may claim from each partially liable debtor only that part of the repayment for which the debtor is liable. This means that the partially liable debtors carry separate liabilities vis-à-vis the creditor for their own shares. A lack of payment by one debtor does not affect the obligations of the other partially liable debtors. Instruments with a plurality of debtors versus instruments with debtors and guarantors A question arises as to the difference between (i) a multi-debtor instrument where debtors are fully (or partially) liable and (ii) a single debtor instrument with a guarantor that is also liable for the full (or part of the) amount if the debtor does not pay. Although the answer depends on how the obligations of the parties are defined exactly vis-à-vis the creditor (as a guarantor does not mean the same as a debtor), in certain situations there appears to be no clear boundary because the two types of instruments are identical from an economic perspective. Generally, in case (ii) above, the fact that a guarantee is provided by the one counterparty to the other suggests that there is a certain relationship between these counterparties (e.g. economic interconnectedness). Although the counterparties may be slightly different from the creditor’s point of view, both have to have sufficient creditworthiness. Briefly, in AnaCredit both types of instruments are collected, i.e.: (a) instruments where there are debtors fully liable vis-à-vis the creditor, and where both debtors have the unconditional obligation to make repayments arising under the instrument; (b) instruments where there is a debtor and a guarantor, and where the debtor has the obligation to make payments arising under the instrument in the first place, whereas the protection provider grants protection against the event of the debtor’s failure to meet its obligation. In any case, the information in AnaCredit makes it possible to identify what kind of instruments they are and to analyse them jointly or separately, depending on the purpose. Instruments granted to civil-law partnerships Depending on the national law, civil-law partnerships which are a party to an instrument may or may not meet the definition of legal entity as defined in Article 1(5) of the AnaCredit Regulation. In this context, it is clarified that a civil-law partnership which, according to the national law, is considered to be a legal entity in the sense of Article 1(5) referred to above is reported to AnaCredit as one counterparty. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes On the other hand, instruments granted to civil-law partnerships which do not qualify as legal entities according to the national law are considered a group of joint debtors, with only those members which are legal entities in accordance with Article 1(5) being subject to AnaCredit reporting. Furthermore, such an instrument is subject to AnaCredit reporting only if at least one of the members is a legal entity. Please refer to Section 12.4.13 in Chapter 12 dealing specifically with legal forms which qualify as a legal entity in the context of AnaCredit. For an illustration of how civil-law partnerships are considered in the context of AnaCredit, please consider the following examples. In the following case, a partnership under civil law between a legal entity and a natural person is considered. Example 39: Civil-law partnership meets the definition of a legal entity A loan is extended to a partnership under civil law. In the country where the partnership is registered, the partnership is a legal entity in accordance with Article 1(5) of the AnaCredit Regulation. In this case, the loan is considered an instrument where the partnership as a whole is the debtor. In this connection, the counterparty reference data relating to the partnership is reported. The individual members of the partnership are not recognised at all as counterparties, and are not reported to AnaCredit, regardless of whether or not they are legal entities. In particular, only one debtor is reported in the joint liabilities dataset, namely the partnership itself. As none of the partners is considered to be a counterparty to the instrument, no counterparty reference data are therefore required for any of them. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes 6.1.4 No natural persons In accordance with Article 4.1(b) of the AnaCredit Regulation, reporting agents report only instruments “where at least one debtor is a legal entity or is part of a legal entity as defined in Article 1(5)”. This article establishes that “a ‘legal entity’ means any entity which, under the national law to which it is subject, can acquire legal rights and obligations.” Additionally, points 1.6 and 4.3 of Annex I indicate that “in the case of natural persons being affiliated with instruments reported to AnaCredit, no record for the natural persons is reported.” Consequently, in the case of natural persons being affiliated with instruments reported to AnaCredit, no record for the natural persons is recorded in the counterparty-instrument dataset. For example, if a natural person is a joint debtor to an instrument reported to AnaCredit (and the other joint debtor is a legal entity), the counterparty-instrument dataset does not include the record in which the natural person would be identified as debtor. However, all other counterparties that are legal entities, and their respective roles to the instrument, are recorded in the counterparty-instrument dataset. As regards civil-law partnerships in particular, these may be reported to AnaCredit as a counterparty (as opposed to the member of the association being counterparties reportable to AnaCredit), depending on whether the national law considers such associations legal entities. Example 40: Civil-law partnership does not meet the definition of a legal entity A loan is extended to a partnership under civil law. The partnership is made between a natural person (NP#1) and a legal entity (LgEty#A). In the country where the partnership is registered, the partnership is not a legal entity in accordance with Article 1(5) of the AnaCredit Regulation. In this case, the loan is considered an instrument where the partners, rather than the partnership, are joint debtor. Since one of the partners is a legal entity, the instrument is subject to AnaCredit reporting in accordance with Article 4(1)(b). Consequently, the individual joint debtors are reported in the counterparty-instrument dataset. However, owing to the fact that no natural persons are reported to AnaCredit, there is no data record for partner NP#1 (and hence no counterparty reference data for this partner). By contrast, a data record is reported for the legal entity (partner LgEty#A) in the counterparty-instrument dataset (and hence the counterparty reference data for this partner is reported). 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Data reported in the counterparty-instrument dataset in cases where a natural person is acting as a counterparty to the instrument 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. This in particular concerns natural persons who are debtors to instruments reported in the instrument dataset, which is the most likely situation to be actually encountered when reporting to AnaCredit. In principle, an instrument in which a natural person is a debtor can be reported to AnaCredit only under a specific situation, i.e. when a plurality of debtors exists and a natural person is one of the (partial or joint) debtors where at least one other debtor is not a natural person. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes For an illustration of how the reporting of the counterparty-instrument dataset is done in relation to an instrument reported in the instrument dataset where one of the debtors is a natural person, please consider the following example. Example 41: Reporting the counterparty-instrument dataset in the case of natural persons as co-borrowers In this example, a joint liability exists, and one of the debtors is a natural person. An instrument with instrument identifier “MixLbltyIns” arises under a contract with contract identifier “C#MixLblty”. The nominal outstanding amount of €100,000 is reported in the financial dataset for the instrument as of 31 March 2019. The instrument is held and serviced solely by Counterparty Bank#1 with counterparty identifier “Cpty#A”. Counterparty A with counterparty identifier “LegalEntity#1” and counterparty B 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. Counterparty A is a legal entity while Counterparty B is a natural person. In this situation, the actual number of debtors is two. However, the debtor who is a natural person is not recorded in the counterparty-instrument dataset. Thus, only the debtor that is not a natural person is recorded in the dataset. The other counterparties which as creditor and servicer roles are also recorded in the dataset accordingly. Note that it is not possible to read from the information reported solely in the counterparty-instrument dataset that the actual number of debtors in this instrument is (at least) two. However, this can be concluded from the fact that in such a situation a record is reported in the (joint) liability dataset. Reporting reference date Counterparty identifier Contract identifier Instrument identifier Counterparty role Subject to reporting 31/03/2019 CPTY#A C#MIXLBLTY MIXLBLTYINS Creditor Yes 31/03/2019 CPTY#A C#MIXLBLTY MIXLBLTYINS Servicer Yes 31/03/2019 LEGALENTITY#1 C#MIXLBLTY MIXLBLTYINS Debtor Yes 31/03/2019 PERSON#B C#MIXLBLTY MIXLBLTYINS Debtor No Note also that the last record in the dataset which relates to the instrument concerned is not reported to AnaCredit. In fact, natural persons would not even be assigned a counterparty identifier. For illustration purposes, the record is shown in the dataset, but it should be expressly noted that this as a record which is not subject to reporting. Level of granularity 6.2 The level of granularity for the counterparty-instrument data is the “counterparty- instrument” combination and each record is uniquely identified by the combination of the following data attributes: • reporting agent identifier; • observed agent identifier; • counterparty identifier; • contract identifier; • instrument identifier; • counterparty role. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes The counterparty-instrument dataset is compiled at the level of an observed agent, i.e. it takes the perspective of an observed agent whose data are reported by the reporting agent. The counterparty identifier refers to a counterparty that takes on any of the roles mentioned in Section 6.1 in relation to an instrument. The contract identifier and the instrument identifier both uniquely identify the instrument subject to reporting at the level of the observed agent. The counterparty role is the role a counterparty takes on in relation to the instrument. Reporting frequency 6.3 In accordance with the general reporting principle regarding datasets reported on- change (cf. Part I, Section 6.3.2, “Reporting methods, frequencies and timeliness”), the information contained in the counterparty-instrument dataset is considered valid as of the reporting reference date to which it refers. This means that the data accurately describes a relevant situation at a given reporting reference date. In this connection, if at a given reporting reference date, e.g. 31 March 2019, counterparty Bank A with counterparty identifier “Cpty#A” is the creditor and the servicer to an instrument with instrument identifier “Inst#123”, arising under contract with a contract identifier “Cntrct#A#2016”, to which counterparty borrower, with counterparty identifier “OBLGR#B1”, is the debtor, then the counterparty-instrument dataset contains the following information as of the applicable reporting reference date. Reporting reference date Counterparty identifier Contract identifier Instrument identifier Counterparty role 31/03/2019 CPTY#A CNTRCT#A#2016 INST#123 Creditor 31/03/2019 CPTY#A CNTRCT#A#2016 INST#123 Servicer 31/03/2019 OBLGR#B1 CNTRCT#A#2016 INST#123 Debtor However, if in course of April 2019 the same instrument becomes subject to a traditional securitisation within the meaning of Regulation (EU) No 1075/2013 (ECB/2013/40), where the instrument is transferred to counterparty FVC S, with counterparty identifier “FVC#S”, and to which counterparty “Cpty#A” retains servicing rights, the up-to-date data describing the situation as of 30 April 2019 encompasses the following information: Reporting reference date Counterparty identifier Contract identifier Instrument identifier Counterparty role 30/04/2019 CPTY#A CNTRCT#A#2016 INST#123 Servicer 30/04/2019 OBLGR#B1 CNTRCT#A#2016 INST#123 Debtor 30/04/2019 FVC#S CNTRCT#A#2016 INST#123 Creditor 30/04/2019 CPTY#A CNTRCT#A#2016 INST#123 Originator 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Obviously, from the above illustration, the information in the counterparty-instrument dataset is updated in a timely manner in order to keep the information up to date at each reporting reference date. Consequently, it is necessary to update the dataset with a monthly frequency, meaning that records which are not valid any more, or new records, which describe the situation at a given reporting reference date are submitted to AnaCredit no later than 30 (or 35) working days after the reporting reference date to which they refer. This in particular means that, following the reporting method relevant for the counterparty-instrument dataset, only the changed records have to be transmitted with reference to 30 April 2019, whereas any unchanged records do not need to be transmitted. Considering the previous example, the following is an illustration indicating the reporting obligations. Reporting reference date Counterparty identifier Contract identifier Instrument identifier Counterparty role What to report? 30/04/2019 CPTY#A CONA2016 INST#123 Servicer Record not changed compared with 31/03, no need to report (update) this record 30/04/2019 OBLGR#B1 CONA2016 INST#123 Debtor Record not changed compared with 31/03, no need to report (update) this record 30/04/2019 FVC#S CONA2016 INST#123 Creditor Record changed compared with 31/03; an update is submitted as of 30/04 30/04/2019 CPTY#A CONA2016 INST#123 Originator Record changed compared with 31/03; an update is submitted as of 30/04 In this way, any change in the actual situation that takes place between two consecutive reporting reference dates (i.e. between moments T and T+1) and is still valid at T+1 is accurately reflected in the counterparty-instrument dataset that refers to the moment T+1. The counterparty-instrument dataset – data attributes 6.4 This dataset is required for instruments reported in the financial dataset. For each pair of counterparty and instrument, the following data attributes are reported. Table 75 Overview of data attributes in the counterparty-instrument 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 Counterparty role Code list 6.4.1 The counterparty-instrument dataset is up to date as of each reporting reference date 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes

Definition: Carrying amount. The carrying amount in accordance with Annex V to Implementing Regulation (EU) No 680/2014. The carrying amount means the amount to be reported on the asset side of the balance sheet. The carrying amount of financial assets includes accrued interest. This data attribute captures the net carrying amount of assets as reported in accordance with the applied accounting standard.

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 “Not required” is reported. Otherwise, if an instrument is 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. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes In all other case, the net carrying amount of the instrument is reported.

Values: The carrying amount is reported in units of euro. General reporting instructions, specific cases and examples If the reporting agent is subject to Regulation (EU) 2015/534 (ECB/2015/13) it is expected that the carrying amount is reported as the amount used to fulfil the requirements of this Regulation. The carrying amount is the net carrying amount for instruments measured at amortised cost and the fair value for instruments measured at fair value through profit and loss or other comprehensive income. The amount of accrued interest as included in carrying amount is defined in accordance with the data attribute “accrued interest” in the financial dataset. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Counterparty-instrument data 6.1 General aspects Pursuant to the AnaCredit Regulation, reporting agents report relevant data for all instruments satisfying the conditions defined in Articles 1, 4 and 5. The counterparty-instrument dataset identifies counterparties that take on certain roles vis-à-vis an instrument reported in the instrument dataset. Specifically, for every instrument reported to AnaCredit in the instrument dataset, all counterparties that, from the perspective of the observed agent, take any of the following roles in relation to the instrument are reported in the counterparty-instrument dataset: • the creditor to the instrument; • the servicer to the instrument; • the debtor to the instrument. In addition, if the instrument reported to AnaCredit is subject to a securitisation transaction within the meaning of Regulation (EU) No 1071/2013 (ECB/2013/33), the transferor of the instrument to the securitisation structure is also be reported in the counterparty-instrument dataset: • the originator (the transferor) of the instrument. Generally, AnaCredit captures instruments that give rise to credit risk. Taking the perspective of an observed agent, an instrument recorded in the instrument dataset either gives rise to credit risk to the observed agent or (does not give rise to credit risk to the observed agent but it) is serviced by the observed agent. In either case, the counterparties that are creditors, debtors or servicers to such instruments are all recorded in the counterparty-instrument dataset. In accordance with the AnaCredit data model, each counterparty identifier reported in the counterparty-instrument dataset is recorded in the counterparty reference dataset so that it is possible to retrieve up-to-date counterparty related data for creditors, debtors, servicers and, if relevant, originators to the instrument concerned. Conversely, counterparties that do not take on any of the three (or four, if relevant) roles referred to above are not reported in the counterparty-instrument dataset. This means that counterparties whose activity as (i) protection providers, (ii) head office undertakings (of a foreign branch acting as a debtor or protection provider), (iii) immediate parent undertakings (of a debtor or protection provider) and (iv) ultimate parent undertakings (of a debtor or protection provider) that are recorded in the protection received dataset and/or the counterparty reference dataset are not recorded in the counterparty-instrument dataset. In AnaCredit, the existence of one or more creditors and debtors to an instrument implies that the instrument bears credit risk Only the roles of creditors, debtors, servicers and, if relevant, originators are subject to reporting in the counterparty-instrument dataset The roles of protection providers, head office undertakings, and immediate and ultimate parent undertakings are not subject to reporting in the counterparty-instrument dataset 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Consequently, for each instrument recorded in the instrument dataset, the counterparty-instrument dataset contains information about which counterparties constitute the creditor, the servicer, the debtor and, if relevant, the originator vis-à-vis the instrument, by recording the counterparty identifier of the respective counterparty. In other words, in line with the AnaCredit data model, for each instrument recorded in the instrument dataset there are in principle at least three records reported in the counterparty-instrument dataset. This applies for any instrument reported to AnaCredit, including intracompany loans, written-off loans, or fiduciary instruments. 6.1.1 All counterparties are reported Any counterparty acting as creditor, servicer, debtor or originator vis-à-vis an instrument is subject to reporting In accordance with point 4.2 of Template 1 of Annex I to the AnaCredit Regulation, the counterparty-instrument data describe the role of all counterparties to each instrument (though the reporting of natural persons is waived). Consequently, any counterparty, other than a natural person, taking on any of the four roles is subject to reporting in this dataset. In particular, any debtor (other than a natural person) which is jointly liable for an instrument that is reported to AnaCredit is recorded in the counterparty-instrument dataset, even though the debtor’s commitment amount is below the reporting threshold of €25,000. For an illustration of the obligation, please consider the following example. At least one debtor, at least one creditor and at least one servicer are always identified and reported to AnaCredit whenever the instrument is reported to AnaCredit If an instrument is reported, then all counterparties (and in particular all debtors) to the instrument are subject to AnaCredit reporting 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 38: Reporting of debtors vis-à-vis an instrument reportable to AnaCredit As of 30 September 2018, observed agent OA#1 extends: • loan INST#1 (contract CNT#1) with the outstanding nominal amount of €40,000 to debtor DBTR#B; and • loan INST#04 (contract CTRT#2), with the outstanding nominal amount of €15,000, where DBTR#B and OBLGR#A are joint liability, so that DBTR#B is liable for €10,000 while OBLGR#A is liable for €5,000; • loan INST#9 (contract CNT#3), with the outstanding nominal amount of €7,000 to debtor OBLGR#A. Both OBLGR#A and DBTR#B are legal entities and neither has other instruments vis-à- vis OA#1. All the loans have one of the types of instrument referred to in Article 1(23) of the AnaCredit Regulation and by definition do not have the off-balance-sheet amount (reported as “Non-applicable”). The observed agent determines, in accordance with Article 5 of the AnaCredit Regulation, that: • the commitment amount of debtor OBLGR#A is €22,000, which is the sum of the outstanding nominal amounts of INST#4 (€15,000) and INST#9 (€7,000); • the commitment amount of debtor DBTR#B is €55,000, which is the sum of the outstanding nominal amounts of the instrument in which DBTR#B acts as debtor, i.e. INST#1 and INST#4. Consequently, the observed agent establishes that both INST#1 and INST#04 are subject to AnaCredit reporting because the debtor’s commitment amount exceeds the reporting threshold of €25,000, whereas INST#9 is not subject to reporting as the debtor’s commitment amount does not reach the reporting threshold. This is reflected accordingly in the financial dataset as of the reporting reference date (Table 73). Table 73 Indication of the financial dataset Reporting reference date Observed agent identifier Contract identifier Instrument identifier Outstanding nominal amount Off-balance-sheet amount 30/09/2018 OA#1 CNT#1 INST#1 40,000.00 “Non-applicable” 30/09/2018 OA#1 CTRT#2 INST#04 15,000.00 “Non-applicable” For the instruments subject to reporting, the observed agent reports all the counterparties involved in the instruments in the counterparty-instrument dataset, and in particular all the debtors, irrespective of whether or not the commitment amount of all the debtors reaches the reporting threshold. This is presented in Table 74. Table 74 Indication of the counterparty-instrument dataset Reporting reference date Observed agent identifier Contract identifier Instrument identifier Counterparty identifier Counterparty role 30/09/2018 OA#1 CNT#1 INST#1 OA#1 Creditor 30/09/2018 OA#1 CNT#1 INST#1 OA#1 Servicer 30/09/2018 OA#1 CNT#1 INST#1 DBTR#B Debtor 30/09/2018 OA#1 CTRT#2 INST#4 OA#1 Creditor 30/09/2018 OA#1 CTRT#2 INST#4 OA#1 Servicer 30/09/2018 OA#1 CTRT#2 INST#4 DBTR#B Debtor 30/09/2018 OA#1 CTRT#2 INST#4 OBLGR#A Debtor 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Please note that the reason for reporting INST#04 is that all instruments vis-à-vis OA#1 in which debtor DBTR#B is involved have to be reported, i.e. both INST#1 and INST#4. If this is the case, DBTR#B is reported twice, once in relation to INST#1 and once in relation to INST#04. Furthermore, since INST#4 is reported, OBLGR#A also has to be reported in relation to the instrument, even though the commitment amount of this (joint) debtor does not reach the reporting threshold. However, since the commitment amount of debtor OBLGR#A is less than €25,000, INST#9 is not subject to reporting. 6.1.2 Multiple creditors Plurality of creditors and transferred instruments All creditors are identified in the counterparty-instrument dataset, irrespective of whether it is the observed agent’s activity as creditor or its activity as servicer being reported to AnaCredit. This means that the observed agent may not be the only creditor identified in relation to an instrument reported to AnaCredit. The case of multiple creditors holding (parts of) one and the same instrument exists primarily in relation to partially transferred loans, where, after the economic ownership of an instrument has been partially transferred to a third party, there may be several creditors. The definition of transferred instruments goes beyond instruments subject to a securitisation and also includes instruments that have otherwise been transferred in terms of the collection of principal and interest from the debtor. The general principle is that a counterparty acquiring the economic ownership of transferred instruments originally held by the observed agents becomes a creditor and is recorded in the counterparty-instrument dataset. Accordingly, an observed agent who holds an instrument is a creditor; if later on the observed agent transfers the instrument to a third party, the observed agent ceases to be the creditor to the instrument and the third party becomes a creditor from the transfer moment onwards. Alternatively, if the transfer is partial, the observed agent and the third party are both creditors to the instrument. In the special case of an instrument transferred to more than one creditor, the creditors are captured as stated above via the counterparty-instrument dataset. In cases where the reporting agent splits such an instrument into separate instruments, then the information delivered to AnaCredit is expected to reflect that view. This means that the instruments would in that case be delivered as split and mapped to their respective creditors and servicers following the general reporting principles. Conversely, an observed agent who purchases an instrument giving rise to credit risk becomes a creditor to the instrument. As in any other dataset, all counterparties identified in the counterparty-instrument dataset are recorded in the counterparty reference dataset, in accordance with the general reporting principles 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Any counterparty that assumes the credit risk of an instrument through the use of credit derivatives, guarantees or any similar mechanism, but is not the economic owner of the instrument, is not a creditor and is not recorded in the counterparty-instrument dataset as such. Consequently, if an observed agent holding an instrument transfers the risk associated with an instrument to a third party through the use of a guarantee, the observed agent nonetheless continues to be the creditor to the instrument while the third party becomes a protection provider to the instrument. 6.1.3 Plurality of debtors In the context of AnaCredit, debtors are fully or partially liable debtors when they are united in making repayments arising under one and the same instrument under the same contract4. (a) Fully liable debtors (i) The creditor may claim repayments from any one of the fully liable debtors until the full amount has been repaid. (ii) If one fully liable debtor has repaid the amount in full or in part, the liability of the other fully liable debtor(s) to the creditor is discharged to the extent of such repayment. (b) Partially liable debtors (i) The creditor may claim from any partially liable debtor only that part of the repayment for which the debtor is liable and the partially liable debtor is bound to repay only to that extent. (ii) Partially liable debtors carry separate liabilities vis-à-vis the creditor for their own shares. They may also be liable in equal shares if the contract or the law provides so. In the case of a plurality of debtors, the instrument is reported as one instrument in the instrument dataset and multiple records are entered in the counterparty-instrument dataset, one for each existing debtor. Note that in the case of fully liable debtors, which are frequently encountered in practice, the creditor may claim the whole amount from any of the debtors without having to involve all the debtors. In contrast, there can also be cases of partial but not fully liable debtors. In terms of AnaCredit, the treatment of such cases does not significantly differ from the general principle already presented, where for each joint debtor, the joint liability amount is determined on the basis of the actual amount the debtors are liable for. Please refer to Part I of the Manual for a general description of a plurality of debtors. A counterparty assuming the credit risk of an instrument by providing protection (e.g. a guarantee) is a protection provider, not a creditor. Protection providers are not identified in the counterparty- instrument dataset but instead in the protection received dataset 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes By contrast, in the case of partially liable debtors, the creditor may claim from each partially liable debtor only that part of the repayment for which the debtor is liable. This means that the partially liable debtors carry separate liabilities vis-à-vis the creditor for their own shares. A lack of payment by one debtor does not affect the obligations of the other partially liable debtors. Instruments with a plurality of debtors versus instruments with debtors and guarantors A question arises as to the difference between (i) a multi-debtor instrument where debtors are fully (or partially) liable and (ii) a single debtor instrument with a guarantor that is also liable for the full (or part of the) amount if the debtor does not pay. Although the answer depends on how the obligations of the parties are defined exactly vis-à-vis the creditor (as a guarantor does not mean the same as a debtor), in certain situations there appears to be no clear boundary because the two types of instruments are identical from an economic perspective. Generally, in case (ii) above, the fact that a guarantee is provided by the one counterparty to the other suggests that there is a certain relationship between these counterparties (e.g. economic interconnectedness). Although the counterparties may be slightly different from the creditor’s point of view, both have to have sufficient creditworthiness. Briefly, in AnaCredit both types of instruments are collected, i.e.: (a) instruments where there are debtors fully liable vis-à-vis the creditor, and where both debtors have the unconditional obligation to make repayments arising under the instrument; (b) instruments where there is a debtor and a guarantor, and where the debtor has the obligation to make payments arising under the instrument in the first place, whereas the protection provider grants protection against the event of the debtor’s failure to meet its obligation. In any case, the information in AnaCredit makes it possible to identify what kind of instruments they are and to analyse them jointly or separately, depending on the purpose. Instruments granted to civil-law partnerships Depending on the national law, civil-law partnerships which are a party to an instrument may or may not meet the definition of legal entity as defined in Article 1(5) of the AnaCredit Regulation. In this context, it is clarified that a civil-law partnership which, according to the national law, is considered to be a legal entity in the sense of Article 1(5) referred to above is reported to AnaCredit as one counterparty. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes On the other hand, instruments granted to civil-law partnerships which do not qualify as legal entities according to the national law are considered a group of joint debtors, with only those members which are legal entities in accordance with Article 1(5) being subject to AnaCredit reporting. Furthermore, such an instrument is subject to AnaCredit reporting only if at least one of the members is a legal entity. Please refer to Section 12.4.13 in Chapter 12 dealing specifically with legal forms which qualify as a legal entity in the context of AnaCredit. For an illustration of how civil-law partnerships are considered in the context of AnaCredit, please consider the following examples. In the following case, a partnership under civil law between a legal entity and a natural person is considered. Example 39: Civil-law partnership meets the definition of a legal entity A loan is extended to a partnership under civil law. In the country where the partnership is registered, the partnership is a legal entity in accordance with Article 1(5) of the AnaCredit Regulation. In this case, the loan is considered an instrument where the partnership as a whole is the debtor. In this connection, the counterparty reference data relating to the partnership is reported. The individual members of the partnership are not recognised at all as counterparties, and are not reported to AnaCredit, regardless of whether or not they are legal entities. In particular, only one debtor is reported in the joint liabilities dataset, namely the partnership itself. As none of the partners is considered to be a counterparty to the instrument, no counterparty reference data are therefore required for any of them. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes 6.1.4 No natural persons In accordance with Article 4.1(b) of the AnaCredit Regulation, reporting agents report only instruments “where at least one debtor is a legal entity or is part of a legal entity as defined in Article 1(5)”. This article establishes that “a ‘legal entity’ means any entity which, under the national law to which it is subject, can acquire legal rights and obligations.” Additionally, points 1.6 and 4.3 of Annex I indicate that “in the case of natural persons being affiliated with instruments reported to AnaCredit, no record for the natural persons is reported.” Consequently, in the case of natural persons being affiliated with instruments reported to AnaCredit, no record for the natural persons is recorded in the counterparty-instrument dataset. For example, if a natural person is a joint debtor to an instrument reported to AnaCredit (and the other joint debtor is a legal entity), the counterparty-instrument dataset does not include the record in which the natural person would be identified as debtor. However, all other counterparties that are legal entities, and their respective roles to the instrument, are recorded in the counterparty-instrument dataset. As regards civil-law partnerships in particular, these may be reported to AnaCredit as a counterparty (as opposed to the member of the association being counterparties reportable to AnaCredit), depending on whether the national law considers such associations legal entities. Example 40: Civil-law partnership does not meet the definition of a legal entity A loan is extended to a partnership under civil law. The partnership is made between a natural person (NP#1) and a legal entity (LgEty#A). In the country where the partnership is registered, the partnership is not a legal entity in accordance with Article 1(5) of the AnaCredit Regulation. In this case, the loan is considered an instrument where the partners, rather than the partnership, are joint debtor. Since one of the partners is a legal entity, the instrument is subject to AnaCredit reporting in accordance with Article 4(1)(b). Consequently, the individual joint debtors are reported in the counterparty-instrument dataset. However, owing to the fact that no natural persons are reported to AnaCredit, there is no data record for partner NP#1 (and hence no counterparty reference data for this partner). By contrast, a data record is reported for the legal entity (partner LgEty#A) in the counterparty-instrument dataset (and hence the counterparty reference data for this partner is reported). 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Data reported in the counterparty-instrument dataset in cases where a natural person is acting as a counterparty to the instrument 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. This in particular concerns natural persons who are debtors to instruments reported in the instrument dataset, which is the most likely situation to be actually encountered when reporting to AnaCredit. In principle, an instrument in which a natural person is a debtor can be reported to AnaCredit only under a specific situation, i.e. when a plurality of debtors exists and a natural person is one of the (partial or joint) debtors where at least one other debtor is not a natural person. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes For an illustration of how the reporting of the counterparty-instrument dataset is done in relation to an instrument reported in the instrument dataset where one of the debtors is a natural person, please consider the following example. Example 41: Reporting the counterparty-instrument dataset in the case of natural persons as co-borrowers In this example, a joint liability exists, and one of the debtors is a natural person. An instrument with instrument identifier “MixLbltyIns” arises under a contract with contract identifier “C#MixLblty”. The nominal outstanding amount of €100,000 is reported in the financial dataset for the instrument as of 31 March 2019. The instrument is held and serviced solely by Counterparty Bank#1 with counterparty identifier “Cpty#A”. Counterparty A with counterparty identifier “LegalEntity#1” and counterparty B 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. Counterparty A is a legal entity while Counterparty B is a natural person. In this situation, the actual number of debtors is two. However, the debtor who is a natural person is not recorded in the counterparty-instrument dataset. Thus, only the debtor that is not a natural person is recorded in the dataset. The other counterparties which as creditor and servicer roles are also recorded in the dataset accordingly. Note that it is not possible to read from the information reported solely in the counterparty-instrument dataset that the actual number of debtors in this instrument is (at least) two. However, this can be concluded from the fact that in such a situation a record is reported in the (joint) liability dataset. Reporting reference date Counterparty identifier Contract identifier Instrument identifier Counterparty role Subject to reporting 31/03/2019 CPTY#A C#MIXLBLTY MIXLBLTYINS Creditor Yes 31/03/2019 CPTY#A C#MIXLBLTY MIXLBLTYINS Servicer Yes 31/03/2019 LEGALENTITY#1 C#MIXLBLTY MIXLBLTYINS Debtor Yes 31/03/2019 PERSON#B C#MIXLBLTY MIXLBLTYINS Debtor No Note also that the last record in the dataset which relates to the instrument concerned is not reported to AnaCredit. In fact, natural persons would not even be assigned a counterparty identifier. For illustration purposes, the record is shown in the dataset, but it should be expressly noted that this as a record which is not subject to reporting. Level of granularity 6.2 The level of granularity for the counterparty-instrument data is the “counterparty- instrument” combination and each record is uniquely identified by the combination of the following data attributes: • reporting agent identifier; • observed agent identifier; • counterparty identifier; • contract identifier; • instrument identifier; • counterparty role. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes The counterparty-instrument dataset is compiled at the level of an observed agent, i.e. it takes the perspective of an observed agent whose data are reported by the reporting agent. The counterparty identifier refers to a counterparty that takes on any of the roles mentioned in Section 6.1 in relation to an instrument. The contract identifier and the instrument identifier both uniquely identify the instrument subject to reporting at the level of the observed agent. The counterparty role is the role a counterparty takes on in relation to the instrument. Reporting frequency 6.3 In accordance with the general reporting principle regarding datasets reported on- change (cf. Part I, Section 6.3.2, “Reporting methods, frequencies and timeliness”), the information contained in the counterparty-instrument dataset is considered valid as of the reporting reference date to which it refers. This means that the data accurately describes a relevant situation at a given reporting reference date. In this connection, if at a given reporting reference date, e.g. 31 March 2019, counterparty Bank A with counterparty identifier “Cpty#A” is the creditor and the servicer to an instrument with instrument identifier “Inst#123”, arising under contract with a contract identifier “Cntrct#A#2016”, to which counterparty borrower, with counterparty identifier “OBLGR#B1”, is the debtor, then the counterparty-instrument dataset contains the following information as of the applicable reporting reference date. Reporting reference date Counterparty identifier Contract identifier Instrument identifier Counterparty role 31/03/2019 CPTY#A CNTRCT#A#2016 INST#123 Creditor 31/03/2019 CPTY#A CNTRCT#A#2016 INST#123 Servicer 31/03/2019 OBLGR#B1 CNTRCT#A#2016 INST#123 Debtor However, if in course of April 2019 the same instrument becomes subject to a traditional securitisation within the meaning of Regulation (EU) No 1075/2013 (ECB/2013/40), where the instrument is transferred to counterparty FVC S, with counterparty identifier “FVC#S”, and to which counterparty “Cpty#A” retains servicing rights, the up-to-date data describing the situation as of 30 April 2019 encompasses the following information: Reporting reference date Counterparty identifier Contract identifier Instrument identifier Counterparty role 30/04/2019 CPTY#A CNTRCT#A#2016 INST#123 Servicer 30/04/2019 OBLGR#B1 CNTRCT#A#2016 INST#123 Debtor 30/04/2019 FVC#S CNTRCT#A#2016 INST#123 Creditor 30/04/2019 CPTY#A CNTRCT#A#2016 INST#123 Originator 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Obviously, from the above illustration, the information in the counterparty-instrument dataset is updated in a timely manner in order to keep the information up to date at each reporting reference date. Consequently, it is necessary to update the dataset with a monthly frequency, meaning that records which are not valid any more, or new records, which describe the situation at a given reporting reference date are submitted to AnaCredit no later than 30 (or 35) working days after the reporting reference date to which they refer. This in particular means that, following the reporting method relevant for the counterparty-instrument dataset, only the changed records have to be transmitted with reference to 30 April 2019, whereas any unchanged records do not need to be transmitted. Considering the previous example, the following is an illustration indicating the reporting obligations. Reporting reference date Counterparty identifier Contract identifier Instrument identifier Counterparty role What to report? 30/04/2019 CPTY#A CONA2016 INST#123 Servicer Record not changed compared with 31/03, no need to report (update) this record 30/04/2019 OBLGR#B1 CONA2016 INST#123 Debtor Record not changed compared with 31/03, no need to report (update) this record 30/04/2019 FVC#S CONA2016 INST#123 Creditor Record changed compared with 31/03; an update is submitted as of 30/04 30/04/2019 CPTY#A CONA2016 INST#123 Originator Record changed compared with 31/03; an update is submitted as of 30/04 In this way, any change in the actual situation that takes place between two consecutive reporting reference dates (i.e. between moments T and T+1) and is still valid at T+1 is accurately reflected in the counterparty-instrument dataset that refers to the moment T+1. The counterparty-instrument dataset – data attributes 6.4 This dataset is required for instruments reported in the financial dataset. For each pair of counterparty and instrument, the following data attributes are reported. Table 75 Overview of data attributes in the counterparty-instrument 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 Counterparty role Code list 6.4.1 The counterparty-instrument dataset is up to date as of each reporting reference date 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes

In diesem Datenfeld wird der Nettobuchwert von Aktiva in Übereinstimmung mit dem angewandten Rechnungslegungsstandard erfasst. Dies ist der auf der Aktivseite der Bilanz auszuweisende Betrag. Der Buchwert schließt aufgelaufene Zinsen ein. Bei Instrumenten, die nicht gemäß dem Rechnungslegungsstandard in der Bilanz des Rechtsträgers der beobachteten Einheit erfasst werden, ist der Wert „nicht zutreffend“ zu melden. Der Buchwert ist in Euro anzugeben. Unterliegt die berichtspflichtige Einheit der FINREP-Verordnung, dann sollte sie als Buchwert den Betrag angeben, den sie zur Erfüllung der Anforderung dieser Verordnung ansetzt. Bei Instrumenten, die zu fortgeführten Anschaffungskosten bewertet werden, entspricht der Buchwert dem Nettobuchwert. Bei Instrumenten, die entweder erfolgswirksam zum beizulegenden Zeitwert oder zum beizulegenden Zeitwert im sonstigen Ergebnis bewertet werden, entspricht der Buchwert dem beizulegenden Zeitwert. Der im Buchwert zu berücksichtigende Betrag der aufgelaufenen Zinsen entspricht dem Eintrag im Datenfeld aufgelaufene Zinsen in der Tabelle Finanzdaten. 5.6 Tabelle Daten empfangener Sicherheiten Die Tabelle Daten empfangener Sicherheiten beschreibt die Eigenschaften einer Sicherheit (mit oder ohne Sicherheitsleistung gemäß CRR), die der Absicherung der Rückzahlung von gemeldeten Instrumenten dient. Sicherheiten, die nicht der Besicherung eines gemäß den AnaCredit-Anforderungen gemeldeten Instruments dienen, müssen nicht gemeldet werden. Eine Sicherheit wird in der Tabelle Daten empfangener Sicherheiten erfasst, wenn der Berichtspflichtige diese als Absicherung oder Schutz gegen potenzielle negative Kreditereignisse im Zusammenhang mit einem Instrument behandelt. Anders ausgedrückt dient die Sicherheit dem Gläubiger als Schutz gegen einen Zahlungsausfall des Schuldners, wenn der Wert der Sicherheit zur Begleichung der Verbindlichkeiten im Rahmen des Kredits verwendet werden kann, falls der Schuldner seinen Zahlungsverpflichtungen im Rahmen des Kreditvertrags nicht nachkommt. Es sind alle Sicherheiten zu melden, die von den Berichtspflichtigen als solche behandelt werden, unabhängig davon, ob diese bei der Berechnung der Mindestkapitalanforderungen gemäß der CRR für die Kreditrisikominderung anerkennungsfähig sind oder gemäß Anhang V ITS als Sicherheiten gemeldet werden. Ebenso sind Sicherheiten unabhängig vom Beleihungsauslauf zu melden. Die Kreditdatenstatistik (AnaCredit) sieht eine weit gefasste Definition von „Sicherheit“ vor und enthält keine Vorgabe oder Vorwegnahme bezüglich der Entscheidung eines Gläubiger in der Frage, welche Positionen als Sicherheit in Bezug auf ein Instrument, einen Vertrag oder einen Schuldner akzeptabel sind. Für FINREP-Zwecke gemäß Abschnitt 12 in Teil 2 von Anhang V ITS Deutsche Bundesbank Statistik Richtlinien Januar 2026 6.127 Kreditdaten- statistik gemeldete Sicherheiten bilden eine Teilmenge der Sicherheiten, die im Zusammenhang mit AnaCredit gemeldet werden können. Ist eine Sicherheit vertraglich nicht einem bestimmten Instrument zugewiesen, sondern einem Schuldner oder Vertrag, bedeutet dies gleichzeitig, dass alle Instrumente des Schuldners bzw. alle Instrumente im Rahmen des Vertrags mit dieser Sicherheit unterlegt sind. Dementsprechend wird diese Sicherheit als einzelner Datensatz in der Tabelle Daten empfangener Sicherheiten erfasst, während die Tabelle Daten zu Instrument – empfangene Sicherheit einen Datensatz für jede Kombination dieser Sicherheit mit einem Instrument des Schuldners enthält, das für die Kreditdatenstatistik (AnaCredit) gemeldet wird. Abhängig vom Bewertungansatz der beobachteten Einheit können Sicherheiten mit ähnlichen Merkmalen (wie Art und Art des Wertes der Sicherheit, Ansatz der Sicherheitenbewertung) in einem Sicherheitenkorb gebündelt und als eine Globalsicherheit gemeldet werden. Dies betrifft die Meldung von Wertpapierportfolios, welche eine Vielzahl einzelner Wertpapiere enthalten können, oder den Sachverhalt, dass Sicherheiten eines Sicherungsgebers mit ähnlichen Merkmalen (z. B. Kraftfahrzeuge) insgesamt als Globalsicherheit für viele Instrumente dienen. Eine Bündelung von Sicherheiten zu einem Sicherheitenkorb ist immer dann vorzunehmen, wenn eine Einzelmeldung der Sicherheiten den Umfang einer Teilmeldung für einen Meldestichtag deutlich übersteigen würde. In diesem Fall ist der Gesamtwert im Datenfeld Wert der Sicherheit anzugeben. Der auf die einzelnen mit der Sicherheit verbundenen Instrumente entfallende Anteil des Sicherheitenwertes ist im Datenfeld Berücksichtigungsfähiger Sicherheitenbetrag zuzuordnen.