Performing status of the instrument (PRFRMNG_STTS)

Definition: Performing status of the instrument. The instrument is to be classified on the reporting reference date under one of the following categories: performing or non-performing, in accordance with Implementing Regulation (EU) No 680/2014. This data attribute identifies the performing status of instruments.

Reporting qualification: This data attribute is reported for all instruments subject to AnaCredit reporting. There can be no derogations in accordance with Article 7 of the AnaCredit Regulation in respect of this data attribute.

Values: 1. Non-performing – Instruments classified as non-performing in accordance with the ITS. 2. Performing – Instruments which are not non-performing in accordance with the ITS. General reporting instructions, specific cases and examples This data attribute serves to identify the performing status of an instrument even if the instrument is not recognised in the balance sheet. Instruments recognised in the balance sheet in accordance with the accounting standard, including instruments classified in the accounting portfolios “financial assets held for trading” and “trading financial assets”, are reported with the value used for their classification in FINREP Template 18. For further details regarding the classification as non-performing, refer to Part 2 of Annex V to the ITS. For written-off instruments subject to reporting to AnaCredit, the value “Non- performing” is reported. The reporting of this data attribute is further illustrated using the following examples of the performing status of the instrument in connection with the default status on a counterparty level and/or an instrument level. Example 29 illustrates the reporting in the case of a “transaction-based” assessment in line with paragraph 154 of Annex V to the ITS applying the definition of default at the level of an individual instrument in line with Article 178(1) of the CRR. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 30 illustrates the reporting in the case of “a debtor-based” assessment in line with paragraph 154 of Part 2 of Annex V to the ITS applying the definition of default at the level of a debtor. Example 29: Performing status of the instrument – “transaction-based” assessment A reporting agent considers a debtor (DEBT#1) with two instruments (INS#1 and INS#2), both classified as retail exposures, and the reporting agent uses the option provided by the last sentence of Article 178(1) of the CRR for calculating the own funds requirement. The assessment of the performing status is “transaction-based” in line with para. 154 of Part 2 of Annex V to the ITS. Both instruments were originated on 31 December 2017. The reporting agent determines that: • INS#1 is not in default, has been but non-performing since 12 September 2019; • INS#2 is considered to be in default on 20 September 2019 because it is 90 days past due and is hence non-performing. Table 61 provides an overview of the data attributes “default status of the instrument” and “performing status of the instrument” as well as the corresponding dates to be reported as of 30 September 2019 in the financial and accounting datasets respectively. Table 61 Overview of the relevant data attributes relating to the performing and default status of the instruments Reporting reference date Instrument identifier Default status of the instrument Date of the default status of the instrument Performing status of the instrument Date of the performing status of the instrument 30/09/2019 INS#1 Not in default 31/12/2017 Non-performing 12/09/2019 30/09/2019 INS#2 Default because more than 90/180 days past due 20/09/2019 Non-performing 20/09/2019 Please note that under the assumption that Inst#1 has not been in default since it was originated, the date of the default status should be the inception date of the instrument, which is 31 December 2017 (which means that the instrument’s default status has been “not in default” since the inception date). Please note that because the reporting agent applies the definition of default at the level of an individual credit facility in line with Article 178(1) of the CRR, the data attribute “default status of the counterparty” does not apply and, in accordance with the explanation provided in Chapter 10 dealing with the counterparty default dataset, the data attributes “default status of the counterparty” and “date of the default status of the counterparty” are not reported in this case. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 31 illustrates the reporting in the case of non-retail exposures, applying the definition of default at the level of a debtor. Example 30: Performing status of the instrument – “debtor-based” assessment A reporting agent considers a debtor (DEBT#1) with two instruments (INS#1 and INS#2), both classified as retail exposures and both originated on 31 December 2017. The reporting agent does not use the option provided by the last sentence of Article 178(1) of the CRR for calculating the own funds requirement. The assessment of the performing status is “debtor based” in line with para. 154 of Annex V to the ITS. The reporting agent determines: • INS#1 is not past due, but because the assessment of the performing status is “debtor based” and INS#2 is more than 90 days past due, INS#1 is non- performing; • INS#2 is more than 90 days past due on 20 September 2019 and is therefore considered non-performing. Table 62 provides an overview of the data attributes “default status of the instrument” and “performing status of the instrument” as well as the corresponding dates to be reported as of 30 September 2019 in the financial and accounting datasets, respectively. Please note that because the reporting agent applies the definition of default at the level of a debtor, the data attribute “default status of the instrument” is reported as “Non-applicable”. Table 62 Overview of the relevant data attributes relating to the performing status of the instruments Reporting reference date Instrument identifier Default status of the instrument Date of the default status of the instrument Performing status of the instrument Date of the performing status of the instrument 30/09/2019 INS#1 “Non-applicable” “Non-applicable” Non-performing 20/09/2019 30/09/2019 INS#2 “Non-applicable” “Non-applicable” Non-performing 20/09/2019 Table 63 provides an overview of the data in the counterparty default dataset. Table 63 Overview of the relevant data attributes relating to the default status of the debtor Reporting reference date Counterparty identifier Default status of the counterparty Date of the default status of the counterparty 30/09/2019 DEBT#1 Default because more than 90/180 days past due 20/09/2019 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 32 illustrates the reporting in the case of a “transaction-based” assessment in line with paragraph 154 of Annex V to the ITS applying the definition of default at the level of a debtor. Example 31: Performing status of the instrument – non-retail exposures A reporting agent has a portfolio consisting of three debtors (DEBT#1, DEBT#2 and DEBT#3) which are assigned to the following exposure classes: • DEBT#1: corporate exposure (INS#1) not in default and performing (since the inception date of INS#1, which is the only instrument of DEBT#1); • DEBT#2: corporate exposure (INS#2) non-performing and in default because unlikely to pay (since 15 September 2019), which is the only instrument of DEBT#2; • DEBT#3: exposure to central government/central banks (INS#3) not in default and performing (since the inception date of INS#3, which is the only instrument of DEBT#3); • Ins#1 and Ins#2 were originated at 11 May 2018, while Ins#3 was originated on 21 January 2019. Table 64 provides an overview of the data attributes “default status of the instrument” and “performing status of the instrument” as well as the respective dates to be reported as of 30 September 2019 in the financial and accounting datasets, respectively. Please note that because the reporting agent applies the definition of default at the level of a debtor, the data attribute “default status of the instrument” is reported as “Non-applicable”. Table 64 Overview of the relevant data attributes relating to the performing status of the instruments Reporting reference date Instrument identifier Default status of the instrument Date of the default status of the instrument Performing status of the instrument Date of the performing status of the instrument 30/09/2019 INS#1 “Non-applicable” “Non-applicable” Performing 11/05/2018 30/09/2019 INS#2 “Non-applicable” “Non-applicable” Non-performing 15/09/2019 30/09/2019 INS#3 “Non-applicable” “Non-applicable” Performing 21/01/2019 Table 65 provides an overview of the data in the counterparty default dataset. Table 65 Overview of the relevant data attributes relating to the default status of the debtors Reporting reference date Counterparty identifier Default status of the counterparty Date of the default status of the counterparty 30/09/2019 DEBT#1 Not in default “Non-applicable” 30/09/2019 DEBT#2 Default because of unlikely to pay 15/09/2019 30/09/2019 DEBT#3 Not in default “Non-applicable” Please note that in the case of counterparties which have not been in default with the reporting agent for the entirety of the business relationship, including at the reporting reference date, “Non-applicable” is reported as the date of the default status of the counterparty. For more details regarding the counterparty default dataset please refer to Chapter 10 below. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 33 illustrates the reporting in the case of a “transaction-based” assessment in line with paragraph 154 of Annex V to the ITS applying the definition of default at the level of an individual credit facility in line with Article 178(1) of the CRR. Example 32: Performing status of the instrument – retail exposures A reporting agent has a portfolio consisting of one debtor (DEBT#1) with the instruments described below. The reporting agent does not use the option provided by the last sentence of Article 178(1) of the CRR for calculating the own funds requirement. However, the assessment of the performing status is “transaction-based” in line with paragraph 154 of Annex V to the ITS. Knowing that INS#2 accounts for more than 20% of the gross carrying amount of all on- balance sheet exposures of the debtor, the reporting agent determines the following. • INS#1: retail exposure not in default; this exposure would be performing if it were evaluated on its own. However, as INS#2 is (a) more than 90 days past due and (b) accounts for more than 20% of the gross carrying amount of all on- balance-sheet exposures of the debtor, para. 155 of Part 2 of Annex V to the ITS applies and INS#1 is non-performing; • INS#2: exposure secured by mortgages on immovable property in default because more than 90 days past due (since 15 September 2019) and hence non-performing. Table 66 provides an overview of the data attributes “default status of the instrument” and “performing status of the instrument” as well as the respective dates to be reported as of 30 September 2019 in the financial and accounting datasets respectively. Please note that because the reporting agent applies the definition of default at the level of a debtor, the data attribute “default status of the instrument” is reported as “Non-applicable”. Table 66 Overview of the relevant data attributes relating to the performing status of the instruments Reporting reference date Instrument identifier Default status of the instrument Date of the default status of the instrument Performing status of the instrument Date of the performing status of the instrument 30/09/2019 INS#1 “Non-applicable” “Non-applicable” Non-performing 15/09/2019 30/09/2019 INS#2 “Non-applicable” “Non-applicable” Non-performing 15/09/2019 Table 67 provides an overview of the data in the counterparty default dataset. Table 67 Overview of the relevant data attributes relating to the default status of the debtors Reporting reference date Counterparty identifier Default status of the counterparty Date of the default status of the counterparty 30/09/2019 DEBT#1 Default because more than 90/180 days past due 15/09/2019 Please refer to Chapter 10 below for more details regarding the reporting of the data attributes “date of the default status of the counterparty” and “default status of the counterparty”. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 34 illustrates the reporting in the case of a “transaction-based” assessment in line with paragraph 154 of Annex V to the ITS when the definition of default applies at the level of the individual credit facility in line with the first sentence of Article 178(1) of the CRR only for a subset of all (retail) instruments extended towards a debtor, while for the other (non-retail) instruments vis-à-vis the same debtor the definition of default applies at the level of the counterparty. Example 33: Performing status of the instrument – retail exposures A reporting agent has a portfolio consisting of one debtor (DEBT#1) with the instruments described below. The reporting agent uses the option provided by the last sentence of Article 178(1) of the CRR for calculating the own funds requirement. However, the assessment of the performing status is “transaction-based” in line with paragraph 154 of Annex V to the ITS. Knowing that INS#2 accounts for more than 20% of gross carrying amount of all on- balance sheet exposures of the debtor, the reporting agent determines the following. • INS#1: retail exposure not in default; this exposure would be performing if it were evaluated on its own. However, as INS#2 is (a) more than 90 days past due and (b) accounts for more than 20% of the gross carrying amount of all on- balance sheet exposures of the debtor, para. 155 of Part 2 of Annex V to the ITS applies and INS#1 is non-performing; in this respect, it does not matter that the assessment of default status is at the level of the instrument and the default status of the instrument is thus “Not in default”, because para. 155 of Part 2 of Annex V to the ITS applies independently of the default status of the instrument. • INS#2: retail exposure in default because more than 90 days past due (since 20 September 2019) and hence non-performing. • Ins#1 was originated on 29 March 2018. Table 68 provides an overview of the data attributes “default status of the instrument” and “performing status of the instrument” as well as the corresponding dates to be reported as of 30 September 2019 in the financial and accounting datasets respectively. Table 68 Overview of the relevant data attributes relating to the performing and default status of the instruments Reporting reference date Instrument identifier Default status of the instrument Date of the default status of the instrument Performing status of the instrument Date of the performing status of the instrument 30/09/2019 INS#1 Not in default 29/03/2018 Non-performing 20/09/2019 30/09/2019 INS#2 Default because more than 90/180 days past due 20/09/2019 Non-performing 20/09/2019 Please note that because the reporting agent applies the definition of default at the level of an individual credit facility in line with Article 178(1) of the CRR, the data attribute “default status of the counterparty” in the counterparty default dataset does not apply. Please refer to Chapter 10 below for more details regarding the reporting of the data attributes “date of the default status of the counterparty” and “default status of the counterparty”. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 34: Performing status of the instrument – mixed retail and non-retail exposures A reporting agent has a portfolio consisting of one debtor (DEBT#1) with four instruments. For the two non-retail instruments, the default status is assessed at the level of the counterparty. For the two retail instruments, the reporting agent uses the option provided by the last sentence of Article 178(1) of the CRR and assesses the default status at the level of the individual credit facility. The assessment of the performing status is “transaction-based” in line with paragraph 154 of Annex V to the ITS. The retail portfolio (INS#1 and INS#2) and the non-retail portfolio (INS#3 and INS#4) are separated for the assessment of the default status. The reporting agent determines: • INS#1 is a retail exposure, originated on 15 April 2017, which is not in default; • INS#2 is a retail exposure, originated on 6 October 2018, which is not in default but non-performing as of 10 July 2019; • INS#3 is a non-retail exposure which is 90 days past due as of 20 August 2019 and accounts for more than 20% of the gross carrying amount of all on-balance sheet exposures of the debtor; • INS#4 is a non-retail exposure, originated on 29 January 2019, which is not in default. In the retail portfolio, where the default status is assessed at the level of the individual instrument, INS#1 and INS#2 are not in default at instrument level. In the non-retail portfolio, the default status is assessed at the level of the whole counterparty, disregarding all the retail exposures. As INS#3 is a material obligation and more than 90 days past due, the default status of DEBT#1is “default because more than 90/180 days past due”. As regards the performing status, para. 155 of Part 2 of Annex V to the ITS applies, i.e. all exposures to DEBT#1, including the retail instruments INS#1 and INS#2, are classified as “non-performing” because INS#2 (a) is 90 days past due and (b) accounts for more than 20% of the gross carrying amount of all on-balance sheet exposures to DEBT#1. However, INS#2 was already non-performing prior to the default of INS#3, hence the “date of the performing status of the instrument” of INS#2 remains unchanged. This is shown in Table 69. Table 69 The performing and default status of the instruments of DEBT#1 Reporting reference date Instrument identifier Default status of the instrument Date of the default status of the instrument Performing status of the instrument Date of the performing status of the instrument 30/09/2019 INS#1 Not in default 15/04/2017 Non-performing 20/08/2019 30/09/2019 INS#2 Not in default 06/10/2018 Non-performing 10/07/2019 30/09/2019 INS#3 Non-applicable Non-applicable Non-performing 20/08/2019 30/09/2019 INS#4 Non-applicable Non-applicable Non-performing 20/08/2019 As regards the default status of the counterparty in the counterparty default dataset, DEBT#1 is reported as “default because more than 90/180 days past due” with the date 20 August 2019 (not shown here). 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes

Definition: Performing status of the instrument. The instrument is to be classified on the reporting reference date under one of the following categories: performing or non-performing, in accordance with Implementing Regulation (EU) No 680/2014. This data attribute identifies the performing status of instruments.

Reporting qualification: This data attribute is reported for all instruments subject to AnaCredit reporting. There can be no derogations in accordance with Article 7 of the AnaCredit Regulation in respect of this data attribute.

Values: 1. Non-performing – Instruments classified as non-performing in accordance with the ITS. 2. Performing – Instruments which are not non-performing in accordance with the ITS. General reporting instructions, specific cases and examples This data attribute serves to identify the performing status of an instrument even if the instrument is not recognised in the balance sheet. Instruments recognised in the balance sheet in accordance with the accounting standard, including instruments classified in the accounting portfolios “financial assets held for trading” and “trading financial assets”, are reported with the value used for their classification in FINREP Template 18. For further details regarding the classification as non-performing, refer to Part 2 of Annex V to the ITS. For written-off instruments subject to reporting to AnaCredit, the value “Non- performing” is reported. The reporting of this data attribute is further illustrated using the following examples of the performing status of the instrument in connection with the default status on a counterparty level and/or an instrument level. Example 29 illustrates the reporting in the case of a “transaction-based” assessment in line with paragraph 154 of Annex V to the ITS applying the definition of default at the level of an individual instrument in line with Article 178(1) of the CRR. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 30 illustrates the reporting in the case of “a debtor-based” assessment in line with paragraph 154 of Part 2 of Annex V to the ITS applying the definition of default at the level of a debtor. Example 29: Performing status of the instrument – “transaction-based” assessment A reporting agent considers a debtor (DEBT#1) with two instruments (INS#1 and INS#2), both classified as retail exposures, and the reporting agent uses the option provided by the last sentence of Article 178(1) of the CRR for calculating the own funds requirement. The assessment of the performing status is “transaction-based” in line with para. 154 of Part 2 of Annex V to the ITS. Both instruments were originated on 31 December 2017. The reporting agent determines that: • INS#1 is not in default, has been but non-performing since 12 September 2019; • INS#2 is considered to be in default on 20 September 2019 because it is 90 days past due and is hence non-performing. Table 61 provides an overview of the data attributes “default status of the instrument” and “performing status of the instrument” as well as the corresponding dates to be reported as of 30 September 2019 in the financial and accounting datasets respectively. Table 61 Overview of the relevant data attributes relating to the performing and default status of the instruments Reporting reference date Instrument identifier Default status of the instrument Date of the default status of the instrument Performing status of the instrument Date of the performing status of the instrument 30/09/2019 INS#1 Not in default 31/12/2017 Non-performing 12/09/2019 30/09/2019 INS#2 Default because more than 90/180 days past due 20/09/2019 Non-performing 20/09/2019 Please note that under the assumption that Inst#1 has not been in default since it was originated, the date of the default status should be the inception date of the instrument, which is 31 December 2017 (which means that the instrument’s default status has been “not in default” since the inception date). Please note that because the reporting agent applies the definition of default at the level of an individual credit facility in line with Article 178(1) of the CRR, the data attribute “default status of the counterparty” does not apply and, in accordance with the explanation provided in Chapter 10 dealing with the counterparty default dataset, the data attributes “default status of the counterparty” and “date of the default status of the counterparty” are not reported in this case. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 31 illustrates the reporting in the case of non-retail exposures, applying the definition of default at the level of a debtor. Example 30: Performing status of the instrument – “debtor-based” assessment A reporting agent considers a debtor (DEBT#1) with two instruments (INS#1 and INS#2), both classified as retail exposures and both originated on 31 December 2017. The reporting agent does not use the option provided by the last sentence of Article 178(1) of the CRR for calculating the own funds requirement. The assessment of the performing status is “debtor based” in line with para. 154 of Annex V to the ITS. The reporting agent determines: • INS#1 is not past due, but because the assessment of the performing status is “debtor based” and INS#2 is more than 90 days past due, INS#1 is non- performing; • INS#2 is more than 90 days past due on 20 September 2019 and is therefore considered non-performing. Table 62 provides an overview of the data attributes “default status of the instrument” and “performing status of the instrument” as well as the corresponding dates to be reported as of 30 September 2019 in the financial and accounting datasets, respectively. Please note that because the reporting agent applies the definition of default at the level of a debtor, the data attribute “default status of the instrument” is reported as “Non-applicable”. Table 62 Overview of the relevant data attributes relating to the performing status of the instruments Reporting reference date Instrument identifier Default status of the instrument Date of the default status of the instrument Performing status of the instrument Date of the performing status of the instrument 30/09/2019 INS#1 “Non-applicable” “Non-applicable” Non-performing 20/09/2019 30/09/2019 INS#2 “Non-applicable” “Non-applicable” Non-performing 20/09/2019 Table 63 provides an overview of the data in the counterparty default dataset. Table 63 Overview of the relevant data attributes relating to the default status of the debtor Reporting reference date Counterparty identifier Default status of the counterparty Date of the default status of the counterparty 30/09/2019 DEBT#1 Default because more than 90/180 days past due 20/09/2019 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 32 illustrates the reporting in the case of a “transaction-based” assessment in line with paragraph 154 of Annex V to the ITS applying the definition of default at the level of a debtor. Example 31: Performing status of the instrument – non-retail exposures A reporting agent has a portfolio consisting of three debtors (DEBT#1, DEBT#2 and DEBT#3) which are assigned to the following exposure classes: • DEBT#1: corporate exposure (INS#1) not in default and performing (since the inception date of INS#1, which is the only instrument of DEBT#1); • DEBT#2: corporate exposure (INS#2) non-performing and in default because unlikely to pay (since 15 September 2019), which is the only instrument of DEBT#2; • DEBT#3: exposure to central government/central banks (INS#3) not in default and performing (since the inception date of INS#3, which is the only instrument of DEBT#3); • Ins#1 and Ins#2 were originated at 11 May 2018, while Ins#3 was originated on 21 January 2019. Table 64 provides an overview of the data attributes “default status of the instrument” and “performing status of the instrument” as well as the respective dates to be reported as of 30 September 2019 in the financial and accounting datasets, respectively. Please note that because the reporting agent applies the definition of default at the level of a debtor, the data attribute “default status of the instrument” is reported as “Non-applicable”. Table 64 Overview of the relevant data attributes relating to the performing status of the instruments Reporting reference date Instrument identifier Default status of the instrument Date of the default status of the instrument Performing status of the instrument Date of the performing status of the instrument 30/09/2019 INS#1 “Non-applicable” “Non-applicable” Performing 11/05/2018 30/09/2019 INS#2 “Non-applicable” “Non-applicable” Non-performing 15/09/2019 30/09/2019 INS#3 “Non-applicable” “Non-applicable” Performing 21/01/2019 Table 65 provides an overview of the data in the counterparty default dataset. Table 65 Overview of the relevant data attributes relating to the default status of the debtors Reporting reference date Counterparty identifier Default status of the counterparty Date of the default status of the counterparty 30/09/2019 DEBT#1 Not in default “Non-applicable” 30/09/2019 DEBT#2 Default because of unlikely to pay 15/09/2019 30/09/2019 DEBT#3 Not in default “Non-applicable” Please note that in the case of counterparties which have not been in default with the reporting agent for the entirety of the business relationship, including at the reporting reference date, “Non-applicable” is reported as the date of the default status of the counterparty. For more details regarding the counterparty default dataset please refer to Chapter 10 below. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 33 illustrates the reporting in the case of a “transaction-based” assessment in line with paragraph 154 of Annex V to the ITS applying the definition of default at the level of an individual credit facility in line with Article 178(1) of the CRR. Example 32: Performing status of the instrument – retail exposures A reporting agent has a portfolio consisting of one debtor (DEBT#1) with the instruments described below. The reporting agent does not use the option provided by the last sentence of Article 178(1) of the CRR for calculating the own funds requirement. However, the assessment of the performing status is “transaction-based” in line with paragraph 154 of Annex V to the ITS. Knowing that INS#2 accounts for more than 20% of the gross carrying amount of all on- balance sheet exposures of the debtor, the reporting agent determines the following. • INS#1: retail exposure not in default; this exposure would be performing if it were evaluated on its own. However, as INS#2 is (a) more than 90 days past due and (b) accounts for more than 20% of the gross carrying amount of all on- balance-sheet exposures of the debtor, para. 155 of Part 2 of Annex V to the ITS applies and INS#1 is non-performing; • INS#2: exposure secured by mortgages on immovable property in default because more than 90 days past due (since 15 September 2019) and hence non-performing. Table 66 provides an overview of the data attributes “default status of the instrument” and “performing status of the instrument” as well as the respective dates to be reported as of 30 September 2019 in the financial and accounting datasets respectively. Please note that because the reporting agent applies the definition of default at the level of a debtor, the data attribute “default status of the instrument” is reported as “Non-applicable”. Table 66 Overview of the relevant data attributes relating to the performing status of the instruments Reporting reference date Instrument identifier Default status of the instrument Date of the default status of the instrument Performing status of the instrument Date of the performing status of the instrument 30/09/2019 INS#1 “Non-applicable” “Non-applicable” Non-performing 15/09/2019 30/09/2019 INS#2 “Non-applicable” “Non-applicable” Non-performing 15/09/2019 Table 67 provides an overview of the data in the counterparty default dataset. Table 67 Overview of the relevant data attributes relating to the default status of the debtors Reporting reference date Counterparty identifier Default status of the counterparty Date of the default status of the counterparty 30/09/2019 DEBT#1 Default because more than 90/180 days past due 15/09/2019 Please refer to Chapter 10 below for more details regarding the reporting of the data attributes “date of the default status of the counterparty” and “default status of the counterparty”. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 34 illustrates the reporting in the case of a “transaction-based” assessment in line with paragraph 154 of Annex V to the ITS when the definition of default applies at the level of the individual credit facility in line with the first sentence of Article 178(1) of the CRR only for a subset of all (retail) instruments extended towards a debtor, while for the other (non-retail) instruments vis-à-vis the same debtor the definition of default applies at the level of the counterparty. Example 33: Performing status of the instrument – retail exposures A reporting agent has a portfolio consisting of one debtor (DEBT#1) with the instruments described below. The reporting agent uses the option provided by the last sentence of Article 178(1) of the CRR for calculating the own funds requirement. However, the assessment of the performing status is “transaction-based” in line with paragraph 154 of Annex V to the ITS. Knowing that INS#2 accounts for more than 20% of gross carrying amount of all on- balance sheet exposures of the debtor, the reporting agent determines the following. • INS#1: retail exposure not in default; this exposure would be performing if it were evaluated on its own. However, as INS#2 is (a) more than 90 days past due and (b) accounts for more than 20% of the gross carrying amount of all on- balance sheet exposures of the debtor, para. 155 of Part 2 of Annex V to the ITS applies and INS#1 is non-performing; in this respect, it does not matter that the assessment of default status is at the level of the instrument and the default status of the instrument is thus “Not in default”, because para. 155 of Part 2 of Annex V to the ITS applies independently of the default status of the instrument. • INS#2: retail exposure in default because more than 90 days past due (since 20 September 2019) and hence non-performing. • Ins#1 was originated on 29 March 2018. Table 68 provides an overview of the data attributes “default status of the instrument” and “performing status of the instrument” as well as the corresponding dates to be reported as of 30 September 2019 in the financial and accounting datasets respectively. Table 68 Overview of the relevant data attributes relating to the performing and default status of the instruments Reporting reference date Instrument identifier Default status of the instrument Date of the default status of the instrument Performing status of the instrument Date of the performing status of the instrument 30/09/2019 INS#1 Not in default 29/03/2018 Non-performing 20/09/2019 30/09/2019 INS#2 Default because more than 90/180 days past due 20/09/2019 Non-performing 20/09/2019 Please note that because the reporting agent applies the definition of default at the level of an individual credit facility in line with Article 178(1) of the CRR, the data attribute “default status of the counterparty” in the counterparty default dataset does not apply. Please refer to Chapter 10 below for more details regarding the reporting of the data attributes “date of the default status of the counterparty” and “default status of the counterparty”. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 34: Performing status of the instrument – mixed retail and non-retail exposures A reporting agent has a portfolio consisting of one debtor (DEBT#1) with four instruments. For the two non-retail instruments, the default status is assessed at the level of the counterparty. For the two retail instruments, the reporting agent uses the option provided by the last sentence of Article 178(1) of the CRR and assesses the default status at the level of the individual credit facility. The assessment of the performing status is “transaction-based” in line with paragraph 154 of Annex V to the ITS. The retail portfolio (INS#1 and INS#2) and the non-retail portfolio (INS#3 and INS#4) are separated for the assessment of the default status. The reporting agent determines: • INS#1 is a retail exposure, originated on 15 April 2017, which is not in default; • INS#2 is a retail exposure, originated on 6 October 2018, which is not in default but non-performing as of 10 July 2019; • INS#3 is a non-retail exposure which is 90 days past due as of 20 August 2019 and accounts for more than 20% of the gross carrying amount of all on-balance sheet exposures of the debtor; • INS#4 is a non-retail exposure, originated on 29 January 2019, which is not in default. In the retail portfolio, where the default status is assessed at the level of the individual instrument, INS#1 and INS#2 are not in default at instrument level. In the non-retail portfolio, the default status is assessed at the level of the whole counterparty, disregarding all the retail exposures. As INS#3 is a material obligation and more than 90 days past due, the default status of DEBT#1is “default because more than 90/180 days past due”. As regards the performing status, para. 155 of Part 2 of Annex V to the ITS applies, i.e. all exposures to DEBT#1, including the retail instruments INS#1 and INS#2, are classified as “non-performing” because INS#2 (a) is 90 days past due and (b) accounts for more than 20% of the gross carrying amount of all on-balance sheet exposures to DEBT#1. However, INS#2 was already non-performing prior to the default of INS#3, hence the “date of the performing status of the instrument” of INS#2 remains unchanged. This is shown in Table 69. Table 69 The performing and default status of the instruments of DEBT#1 Reporting reference date Instrument identifier Default status of the instrument Date of the default status of the instrument Performing status of the instrument Date of the performing status of the instrument 30/09/2019 INS#1 Not in default 15/04/2017 Non-performing 20/08/2019 30/09/2019 INS#2 Not in default 06/10/2018 Non-performing 10/07/2019 30/09/2019 INS#3 Non-applicable Non-applicable Non-performing 20/08/2019 30/09/2019 INS#4 Non-applicable Non-applicable Non-performing 20/08/2019 As regards the default status of the counterparty in the counterparty default dataset, DEBT#1 is reported as “default because more than 90/180 days past due” with the date 20 August 2019 (not shown here). 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes

An diesem Datenfeld lässt sich der Leistungsstatus von Instrumenten ablesen. Es gibt die folgenden Ausprägungen: Notleidend Instrumente, die in Übereinstimmung mit den ITS als notleidend eingestuft sind. Abgeschriebene Instrumente gelten als „notleidend“ im Sinne dieser Erhebung. Wird für ein Instrument im Datenfeld Art der Wertminderung eine Spezifische Wertberichtigung gemeldet, ist damit immer der Leistungsstatus „notleidend“ verbunden. Vertragsgemäß bedient Instrumente, die in Übereinstimmung mit den ITS nicht notleidend sind. Dieses Datenfeld dient dazu, den Leistungsstatus für bilanziell erfasste Instrumente zu ermitteln. Vollständig ausgebuchte Instrumente sind ab dem Meldestichtag 31.03.2025 mit dem Wert „nicht zutreffend“ zu melden.1) Instrumente, die gemäß dem verwendeten Rechnungslegungsstandard bilanziell erfasst werden, einschließlich Instrumenten, die in den Rechnungslegungsportfolios als „zu Handelszwecken gehaltene finanzielle Vermögenswerte“ und „finanzielle Vermögenswerte, die Teil des Handelsbestands sind“ klassifiziert werden, sind mit dem Wert zu melden, der auch für ihre Klassifikation in FINREP Template 18 verwendet wird. Weitere Einzelheiten zur Einstufung als notleidende Risikoposition finden sich in Anhang V Teil 2 Nr. 213 bis 239 geänderte ITS. Weitere Abhängigkeiten zu anderen Datenfeldern: Dieses Datenfeld ist konsistent zu den für die Datenfelder Art der Wertminderung und Bilanzieller Ansatz gemeldeten Werten anzugeben. Der Leistungsstatus des Instruments kann nur dann mit „nicht zutreffend“ gemeldet werden1), wenn es sich um ein vollständig ausgebuchtes Instrument handelt. Zu beachten ist, dass bei vollständig abgeschriebenen Instrumenten, die als „vollständig ausgebucht“ gemeldet werden, der bisherige Leistungsstatus unverändert beizubehalten ist. Wird „vertragsgemäß bedient“ angegeben, ist als Art der Wertminderung die Ausprägung „Allgemeine Berichtigungen (GAAP)“, „Stufe 1 (IFRS)“, „Stufe 2 (IFRS)“ oder „POCI (IFRS)“ erforderlich. 1 Der Wert „nicht zutreffend“ wird zum 01. Februar 2025 in die Code List für das Datenfeld aufgenommen; bis zu diesem Zeitpunkt ist für nicht bilanziell erfasste Instrumente nach wie vor einer der beiden vorgenannten Werte anzugeben. Deutsche Bundesbank Statistik Richtlinien Januar 2026 6.120 Kreditdaten- statistik