Protection allocated value (PRTCTN_ALLCTD_VL)

Definition: Protection allocated value. The maximum amount of the protection value that can be considered as credit protection for the instrument. The amount of the existing third parties or observed agent priority claims against the protection must be excluded in the protection allocated value. In the context of AnaCredit, the protection allocated value is the maximum amount of the protection value that can be considered as credit protection for the instrument. The amount of the existing third party priority claims against the protection or priority claims against the protection of other instruments relating to the same or another observed agent within the scope of the reporting agent is excluded when deriving the protection allocated value. To clarify, AnaCredit stipulates that, in order to determine a protection allocated value, an observed agent follows the collateral allocation principles that it uses internally for the risk management purposes. In this respect, AnaCredit does not provide any standard allocation algorithm according to which observed agents determine the protection allocated value. Conversely, observed agents are not required to report the protection allocated value in accordance with Part 2 of Annex V to the ITS, irrespective of whether or not the protection item in question is eligible for credit risk mitigation in accordance with the CRR. In particular, the protection allocated value may exceed the outstanding nominal amount of the instrument that the protection secures. The reason why AnaCredit does not require the protection allocated value to be determined in accordance with the ITS is that a broader approach to protection is taken in the context of AnaCredit than in the CRR, where every protection item which secures the instrument is reported, irrespective of its eligibility for the calculation of the minimum capital requirements in accordance with the CRR/ITS. Consequently, it is not advisable to require that the allocation be carried out in accordance with the CRR/ITS while the scope of the protection that can be allocated and the required reporting frequencies are different across the frameworks. Similarly, AnaCredit does not require that a specific prioritisation of protection items (in cases where several protection items secure a particular instrument) or prioritisation of instruments (in cases where one protection item is associated with several instruments) be carried out. In this connection, it is clarified that banks can choose their own prioritisation rules to allocate received protection items to instruments. The AnaCredit requirement stipulates in particular that the allocation logic applied by an observed agent also takes into consideration amounts of the protection values that the observed agent allocates to other instruments which, owing to the limited scope of AnaCredit, are not subject to AnaCredit reporting (e.g. strict off-balance- sheet instruments). Please refer to Example 48 in the previous section for an illustration of this requirement. Observed agents are free in the protection value allocation process and are allowed to allocate independently from FINREP or COREP 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Generally, in the context of AnaCredit, a distinction is made between the protection value taken in principle at its notional amount and the allocated protection value which takes the notional amount only as a starting point and then considers additional factors affecting the maximum amount of the protection value which can actually be considered as protection for the instrument (e.g. the mortgage inscription value, any third party priority claims, the quality or marketability of the protection, other instruments secured with this protection, etc.).

Reporting qualification: The protection allocated value is to be reported for every combination of a protection item and an instrument that the protection item secures.

Values: The protection allocated value is a monetary amount in units of euro. The reported value is a non-negative real number. General reporting instructions, specific cases and examples If a protection item is contractually assigned not to a particular instrument but to a debtor, this implicitly means that the protection item is linked to all instruments in relation to which this counterparty assumes the role of the debtor. Consequently, AnaCredit requires that a record is reported for each combination of the protection item and an instrument in relation to the debtor in the instrument-protection received dataset. By analogy, any protection item linked to a contract that gives rise to one or more instruments, rather than to individual instruments themselves, is reported in the instrument-protection received dataset in relation to every instrument that arises under the contract and that is subject to AnaCredit reporting. In both cases, the allocation of the protection value to the individual instruments secured by the protection item via the protection allocated value is carried out as in the standard case, where a protection item is explicitly linked to instruments rather than to a debtor or contract. In particular, any value of the protection item allocated to one instrument of a debtor to which this protection item is attached decreases the allocated value of the same protection item used to secure another instrument in relation to the same debtor. All protection items received to secure instruments – and not only those that are eligible for the calculation of the minimum capital in accordance with the CRR – are allocated. Furthermore, it is clarified that, if a given protection item can be used to secure an instrument, then the instrument-protection received dataset includes such a link, irrespective of the protection allocated value, even if the protection allocated value amounts to 0. For an illustration of how the dataset is reported in such cases, also taking account of an internal allocation process versus an allocation in accordance with the CRR, consider the following example. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 50: Multiple protection items securing multiple instruments Observed agent (OA#1), which is (part of) a supervised credit institution under the CRR, has three instruments for Debtor#X originated under contract Con#1: Inst#1, Inst#2 and Inst#3, each with an outstanding nominal amount of €10 million as of 30 September 2018. OA#1 has received two protection items, each assigned to Debtor#X (i.e. each covering all instruments of Debtor#X): • Prot#1 with a protection value of €15 million; • Prot#2 with a protection value of €3 million. For internal risk management purposes, OA#1 considers the total of €18 million as the maximum amount that can be used as protection for the instruments of Debtor#X; Prot#1 and Prot#2 are allocated as follows to the instruments of Debtor X using the OA#1protection allocation routine: • Prot#1: €10 million is allocated to Inst#1 and €5 million is allocated to Inst#2; • Prot#2: €3 million is allocated to Inst#2. For the calculation of the minimum capital requirement OA#1applies a haircut of 50% on both protection items, and thus adjusted protection values are allocated to the instruments of Debtor#X as follows: • Prot#1: €7.5 million (= €15 million x [1 – 50%]) is allocated to Inst#1; • Prot#2: €1.5 million (= €3 million x [1 – 50%]) is allocated to Inst#1. As in the context of AnaCredit, the reporting of the instrument-protection received dataset follows the collateral allocation principles that OA#1 internally utilises for the risk management purposes, irrespective of the allocation in accordance with the CRR. Therefore, the allocation scheme described in point 3 above is reported to AnaCredit (i.e. values without applying haircuts). In addition, a record is reported for each combination of the protection item and an instrument in relation to the debtor even if the allocated protection value for such combination is determined by the observed agent to be 0. The reporting is depicted in Table 96. Table 96 Reporting the instrument-protection received dataset Reporting reference date Contract identifier Instrument identifier Protection identifier Protection allocated value 30/09/2018 CON#1 INST#1 PROT#1 10,000,000.00 30/09/2018 CON#1 INST#1 PROT#2 0.00 30/09/2018 CON#1 INST#2 PROT#1 5,000,000.00 30/09/2018 CON#1 INST#2 PROT#2 3,000,000.00 30/09/2018 CON#1 INST#3 PROT#1 0.00 30/09/2018 CON#1 INST#3 PROT#2 0.00 Please note that the instrument-protection dataset includes all links between protection items associated at the level of a debtor and instruments of a debtor, irrespective of whether or not the protection allocated value is larger than 0. As explained in Chapter 9, the protection identifier represents the protection item (e.g. real estate property) rather than a claim on the protection item. Please note, however, that any many-to-many relationship between protection items and instruments which may occur in relation to the so-called claims is also relevant 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes in the context of AnaCredit. In particular, the existence of such claims is implicitly captured in the requirements formulated in respect of the protection allocated value: if the creditor’s right to proceeds from liquidating a protection item (vis-à-vis an instrument) is limited by the amount specified in a claim, this limitation is considered when determining the maximum amount of the protection value that can be considered as credit protection for the instrument. As regards which other factors, besides the protection value, are taken into consideration by an observed agent when determining the protection allocated value, consider the example of a loan secured by a mortgage inscription for an amount lower than the market value/long-term sustainable value. Example 51: Mortgage inscription value affecting the protection allocated value 1. An observed agent (OA#1) has granted a loan of €1 million (Inst#1) to Debtor#1 for the purchase of residential real estate (RRE#1). 2. OA#1 has received (from Debtor#1) a mortgage on the financed property. The market value of the property is estimated to be €2 million, but the mortgage inscription value is €1.2 million. RRE#1 is reported in the protection received dataset in connection with Inst#1. The protection value reported therein is the market value of €2 million. It is the only protection securing Inst#1. However, for the calculation of the protection allocated value, OA#1 takes into account the mortgage inscription value, which affects the maximum amount of the protection value that can be considered as credit protection for Inst#1. This is because, in the event of a default of Debtor#1, followed by a liquidation, OA#1 is only entitled to maximum of €1.2 million (i.e. up to the mortgage inscription value) of the property liquidation/sales value, which may actually be higher than the inscription amount. Therefore, the protection allocated value will not exceed the mortgage inscription value as it is the maximum amount that OA#1 could recover if the protection is realised. Please note that a mortgage inscription value may not be the only factor that affects the protection allocated value. Other relevant factors include: • a third party priority claim that exists in relation to the protection item; • the market conditions at which the protection item could be liquidated (a fair value of debt securities that would be obtained on the stock exchange or other organised financial market if the debt securities were to be liquated); • the quality of the protection concerned (e.g. a portfolio of impaired loans pledged whose high notional amount is in principle not a good reflection of the maximum amount that an observed agent could consider as credit protection for the instrument); • the quality of the issuer of the protection (e.g. for corporate bonds, information is used for the issuer of the bond and remaining tenor). Please note that protection items are always reported only once in the protection received dataset (which records the information on the value of each item of collateral), irrespective of how many instruments they secure (which is reflected in 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes the instrument-protection received dataset). Hence, there is no double-counting of the protection in the protection received dataset.

Definition: Protection allocated value. The maximum amount of the protection value that can be considered as credit protection for the instrument. The amount of the existing third parties or observed agent priority claims against the protection must be excluded in the protection allocated value. In the context of AnaCredit, the protection allocated value is the maximum amount of the protection value that can be considered as credit protection for the instrument. The amount of the existing third party priority claims against the protection or priority claims against the protection of other instruments relating to the same or another observed agent within the scope of the reporting agent is excluded when deriving the protection allocated value. To clarify, AnaCredit stipulates that, in order to determine a protection allocated value, an observed agent follows the collateral allocation principles that it uses internally for the risk management purposes. In this respect, AnaCredit does not provide any standard allocation algorithm according to which observed agents determine the protection allocated value. Conversely, observed agents are not required to report the protection allocated value in accordance with Part 2 of Annex V to the ITS, irrespective of whether or not the protection item in question is eligible for credit risk mitigation in accordance with the CRR. In particular, the protection allocated value may exceed the outstanding nominal amount of the instrument that the protection secures. The reason why AnaCredit does not require the protection allocated value to be determined in accordance with the ITS is that a broader approach to protection is taken in the context of AnaCredit than in the CRR, where every protection item which secures the instrument is reported, irrespective of its eligibility for the calculation of the minimum capital requirements in accordance with the CRR/ITS. Consequently, it is not advisable to require that the allocation be carried out in accordance with the CRR/ITS while the scope of the protection that can be allocated and the required reporting frequencies are different across the frameworks. Similarly, AnaCredit does not require that a specific prioritisation of protection items (in cases where several protection items secure a particular instrument) or prioritisation of instruments (in cases where one protection item is associated with several instruments) be carried out. In this connection, it is clarified that banks can choose their own prioritisation rules to allocate received protection items to instruments. The AnaCredit requirement stipulates in particular that the allocation logic applied by an observed agent also takes into consideration amounts of the protection values that the observed agent allocates to other instruments which, owing to the limited scope of AnaCredit, are not subject to AnaCredit reporting (e.g. strict off-balance- sheet instruments). Please refer to Example 48 in the previous section for an illustration of this requirement. Observed agents are free in the protection value allocation process and are allowed to allocate independently from FINREP or COREP 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Generally, in the context of AnaCredit, a distinction is made between the protection value taken in principle at its notional amount and the allocated protection value which takes the notional amount only as a starting point and then considers additional factors affecting the maximum amount of the protection value which can actually be considered as protection for the instrument (e.g. the mortgage inscription value, any third party priority claims, the quality or marketability of the protection, other instruments secured with this protection, etc.).

Reporting qualification: The protection allocated value is to be reported for every combination of a protection item and an instrument that the protection item secures.

Values: The protection allocated value is a monetary amount in units of euro. The reported value is a non-negative real number. General reporting instructions, specific cases and examples If a protection item is contractually assigned not to a particular instrument but to a debtor, this implicitly means that the protection item is linked to all instruments in relation to which this counterparty assumes the role of the debtor. Consequently, AnaCredit requires that a record is reported for each combination of the protection item and an instrument in relation to the debtor in the instrument-protection received dataset. By analogy, any protection item linked to a contract that gives rise to one or more instruments, rather than to individual instruments themselves, is reported in the instrument-protection received dataset in relation to every instrument that arises under the contract and that is subject to AnaCredit reporting. In both cases, the allocation of the protection value to the individual instruments secured by the protection item via the protection allocated value is carried out as in the standard case, where a protection item is explicitly linked to instruments rather than to a debtor or contract. In particular, any value of the protection item allocated to one instrument of a debtor to which this protection item is attached decreases the allocated value of the same protection item used to secure another instrument in relation to the same debtor. All protection items received to secure instruments – and not only those that are eligible for the calculation of the minimum capital in accordance with the CRR – are allocated. Furthermore, it is clarified that, if a given protection item can be used to secure an instrument, then the instrument-protection received dataset includes such a link, irrespective of the protection allocated value, even if the protection allocated value amounts to 0. For an illustration of how the dataset is reported in such cases, also taking account of an internal allocation process versus an allocation in accordance with the CRR, consider the following example. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 50: Multiple protection items securing multiple instruments Observed agent (OA#1), which is (part of) a supervised credit institution under the CRR, has three instruments for Debtor#X originated under contract Con#1: Inst#1, Inst#2 and Inst#3, each with an outstanding nominal amount of €10 million as of 30 September 2018. OA#1 has received two protection items, each assigned to Debtor#X (i.e. each covering all instruments of Debtor#X): • Prot#1 with a protection value of €15 million; • Prot#2 with a protection value of €3 million. For internal risk management purposes, OA#1 considers the total of €18 million as the maximum amount that can be used as protection for the instruments of Debtor#X; Prot#1 and Prot#2 are allocated as follows to the instruments of Debtor X using the OA#1protection allocation routine: • Prot#1: €10 million is allocated to Inst#1 and €5 million is allocated to Inst#2; • Prot#2: €3 million is allocated to Inst#2. For the calculation of the minimum capital requirement OA#1applies a haircut of 50% on both protection items, and thus adjusted protection values are allocated to the instruments of Debtor#X as follows: • Prot#1: €7.5 million (= €15 million x [1 – 50%]) is allocated to Inst#1; • Prot#2: €1.5 million (= €3 million x [1 – 50%]) is allocated to Inst#1. As in the context of AnaCredit, the reporting of the instrument-protection received dataset follows the collateral allocation principles that OA#1 internally utilises for the risk management purposes, irrespective of the allocation in accordance with the CRR. Therefore, the allocation scheme described in point 3 above is reported to AnaCredit (i.e. values without applying haircuts). In addition, a record is reported for each combination of the protection item and an instrument in relation to the debtor even if the allocated protection value for such combination is determined by the observed agent to be 0. The reporting is depicted in Table 96. Table 96 Reporting the instrument-protection received dataset Reporting reference date Contract identifier Instrument identifier Protection identifier Protection allocated value 30/09/2018 CON#1 INST#1 PROT#1 10,000,000.00 30/09/2018 CON#1 INST#1 PROT#2 0.00 30/09/2018 CON#1 INST#2 PROT#1 5,000,000.00 30/09/2018 CON#1 INST#2 PROT#2 3,000,000.00 30/09/2018 CON#1 INST#3 PROT#1 0.00 30/09/2018 CON#1 INST#3 PROT#2 0.00 Please note that the instrument-protection dataset includes all links between protection items associated at the level of a debtor and instruments of a debtor, irrespective of whether or not the protection allocated value is larger than 0. As explained in Chapter 9, the protection identifier represents the protection item (e.g. real estate property) rather than a claim on the protection item. Please note, however, that any many-to-many relationship between protection items and instruments which may occur in relation to the so-called claims is also relevant 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes in the context of AnaCredit. In particular, the existence of such claims is implicitly captured in the requirements formulated in respect of the protection allocated value: if the creditor’s right to proceeds from liquidating a protection item (vis-à-vis an instrument) is limited by the amount specified in a claim, this limitation is considered when determining the maximum amount of the protection value that can be considered as credit protection for the instrument. As regards which other factors, besides the protection value, are taken into consideration by an observed agent when determining the protection allocated value, consider the example of a loan secured by a mortgage inscription for an amount lower than the market value/long-term sustainable value. Example 51: Mortgage inscription value affecting the protection allocated value 1. An observed agent (OA#1) has granted a loan of €1 million (Inst#1) to Debtor#1 for the purchase of residential real estate (RRE#1). 2. OA#1 has received (from Debtor#1) a mortgage on the financed property. The market value of the property is estimated to be €2 million, but the mortgage inscription value is €1.2 million. RRE#1 is reported in the protection received dataset in connection with Inst#1. The protection value reported therein is the market value of €2 million. It is the only protection securing Inst#1. However, for the calculation of the protection allocated value, OA#1 takes into account the mortgage inscription value, which affects the maximum amount of the protection value that can be considered as credit protection for Inst#1. This is because, in the event of a default of Debtor#1, followed by a liquidation, OA#1 is only entitled to maximum of €1.2 million (i.e. up to the mortgage inscription value) of the property liquidation/sales value, which may actually be higher than the inscription amount. Therefore, the protection allocated value will not exceed the mortgage inscription value as it is the maximum amount that OA#1 could recover if the protection is realised. Please note that a mortgage inscription value may not be the only factor that affects the protection allocated value. Other relevant factors include: • a third party priority claim that exists in relation to the protection item; • the market conditions at which the protection item could be liquidated (a fair value of debt securities that would be obtained on the stock exchange or other organised financial market if the debt securities were to be liquated); • the quality of the protection concerned (e.g. a portfolio of impaired loans pledged whose high notional amount is in principle not a good reflection of the maximum amount that an observed agent could consider as credit protection for the instrument); • the quality of the issuer of the protection (e.g. for corporate bonds, information is used for the issuer of the bond and remaining tenor). Please note that protection items are always reported only once in the protection received dataset (which records the information on the value of each item of collateral), irrespective of how many instruments they secure (which is reflected in 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes the instrument-protection received dataset). Hence, there is no double-counting of the protection in the protection received dataset.

Der berücksichtigungsfähige Sicherheitenbetrag ist der Betrag, bis zu dem die Sicherheit maximal als Kreditbesicherung für das Instrument angesetzt werden kann. Der Betrag von bestehenden vorrangigen Ansprüchen Dritter auf die Sicherheit wird bei der Bestimmung des berücksichtigungsfähigen Sicherheitenbetrags ebenso ausgeschlossen wie der Betrag von vorrangigen Ansprüchen auf Sicherheiten, die der Besicherung anderer Instrumente dienen, die sich auf dieselbe oder eine andere beobachtete Einheit des Berichtspflichtigen beziehen. Es ist ein Betrag in Euro anzugeben. Die beobachtete Einheit hält sich bei der Ermittlung des berücksichtigungsfähigen Sicherheitenbetrags an die diesbezüglich geltenden Grundsätze ihres internen Risikomanagements. Dementsprechend können auf Erlöswahrscheinlichkeiten beruhende Abschläge bei der Ermittlung des berücksichtungsfähigen Sicherheitenbetrags berücksichtigt werden, wenn dies dem internen Risikomanagement entspricht. Indes besteht für die beobachteten Einheiten keine Verpflichtung, den berücksichtigungsfähigen Sicherheitenbetrag gemäß Teil 2 von Anhang V ITS zu melden – unerheblich, ob der betrachtete Sicherungsgegenstand gemäß CRR anerkennungsfähig für die Kreditrisikominderung ist oder nicht. Es ist möglich, dass der berücksichtigungsfähige Sicherheitenbetrag den ausstehenden Nominalwert des mit der Sicherheit unterlegten Instruments übersteigt. Wird eine Sicherheit mehreren Instrumenten zugewiesen, darf die Summe aller Werte im Datenfeld berücksichtigungsfähiger Sicherheitenbetrag den Wert im Datenfeld Wert der Sicherheit nicht wesentlich übersteigen. Deutsche Bundesbank Statistik Richtlinien Januar 2026 6.139 Kreditdaten- statistik Der Verzicht auf eine Vorschrift in AnaCredit, den berücksichtigungsfähigen Sicherheitenbetrag nach Maßgabe der ITS zu bestimmen, wird damit begründet, dass in AnaCredit ein breiterer Ansatz in Bezug auf Sicherheiten verfolgt wird als in der CRR, wonach in der Kreditdatenstatistik (AnaCredit) jeder Sicherungsgegenstand, der ein Instrument besichert, zu melden ist und es keine Rolle spielt, ob dieser gemäß CRR bzw. ITS auf die Mindestkapitalanforderung angerechnet werden kann oder nicht. Ebenso schreibt AnaCredit auch keine bestimmte Priorisierung von Sicherungsgegenständen (sofern es mehrere Sicherungsgegenstände zur Besicherung eines Instruments gibt) oder von Instrumenten (sofern ein Sicherungsgegenstand mit mehreren Instrumenten verbunden ist) vor. Banken können bei der Zuweisung der empfangenen Sicherungsgegenstände zu den Instrumenten ihre eigenen Priorisierungsregeln anwenden. Die von einer beobachteten Einheit gewählte Vorgehensweise für die Zuordnung von Sicherheiten zu Instrumenten sollte auch dem Umstand Rechnung tragen, dass gegebenenfalls Beträge eines Werts einer Sicherheit von der beobachteten Einheit für andere Instrumente berücksichtigt wurden, die jedoch aufgrund des begrenzten Meldeumfangs von AnaCredit nicht in AnaCredit berichtspflichtig sind (z. B. rein außerbilanzielle Instrumente). Im Allgemeinen unterscheidet AnaCredit zwischen dem Wert der Sicherheit, der grundsätzlich mit dem Nominalbetrag angesetzt wird, und dem berücksichtigungsfähigen Sicherheitenbetrag, bei dem der Nominalbetrag lediglich den Ausgangspunkt der Feststellung bildet; es werden dann noch zusätzliche Faktoren einbezogen, die sich auf den maximalen Betrag des Wertes der Sicherheit, der als Kreditbesicherung für das Instrument angesetzt werden kann, auswirken (z. B. der Eintragungswert der Hypothek, vorrangige Ansprüche Dritter, Qualität oder Marktfähigkeit des Sicherungsgegenstands, andere Instrumente, die mit der Sicherheit unterlegt sind).