Protection value (PRTCTN_VL)

Definition: Protection value. The amount of the protection value as established for the relevant “Type of protection value” following the valuation approach. The protection value is the monetary value of the protection item that was established at the latest valuation date prior to the reporting reference date under the chosen protection valuation approach (cf. Section 9.1.1 ). The protection value reflects the total value of the protection being either its notional amount, if relevant, or otherwise an amount that best represents the value of the protection, established at the latest valuation, for which the protection may be taken into account at a reporting reference date. The total protection value without considering any (regulatory) haircuts is reported.

Reporting qualification: The protection value is reported for each protection item received.

Values: The protection 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 The type of the protection value is identified in the respective data attribute. The protection value is based on the most recent valuation carried out prior to the reporting reference date. For each protection item that is reported as a separate record in the protection received dataset, a single protection value is reported, which is the protection item’s total value, established under a certain valuation approach. For a bundled protection item (for example a basket of securities) that was valued as one multi-name protection item, the protection value is in accordance to the valuation approach. The value is that obtained in the latest valuation. For protection items valued at their notional amount, the date of protection value is the reporting reference date. The total (gross) protection value is reported without applying any (regulatory) haircuts (i.e. deductible percentage that is applicable if certain conditions are met). In other words, no haircuts are applied to protection values. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes For an illustration of which value to report, consider the following example. Example 56: Reporting the protection value 1. Observed agent (OA#1) is a (part of a) credit institution supervised under the CRR. In March 2019, the observed agent extends a loan of €250,000 (Inst#1) to a legal entity (SmallCpy#A). The loan is secured by a financial guarantee (Gua#1) provided by a natural person (Guarantor#NP) and by a debt security (Sec#2) pledged by SmallCpy#A. There are no other protection items securing Inst#1. 2. The guaranteed amount, being the maximum amount Guarantor#NP would have to pay if the guarantee is called on equals €150,000. However, the protection provider does not qualify as an eligible protection provider and the guarantee is not eligible for credit risk mitigation in accordance with the CRR. 3. The nominal amount of the debt security is $100,000. As the debt security is denominated in a currency different from the currency of the loan and there is a requirement to apply a currency mismatch haircut of 10% in accordance with the CRR. As of 31 March 2019 the EUR/USD exchange rate is 1.2. In connection with Inst#1, both the financial guarantee and the debt security pledged are considered as protection securing Inst#1 and reported accordingly to AnaCredit. As regards the guarantee, the protection is not eligible for the CRR, and a haircut of 100% is applied to the guarantee amount in the context of the CRR. However, for AnaCredit purposes, the total guarantee amount is reported as it secures Inst#1. At 31 March, the protection value of the debt security is €120,000, and although the amount of the protection adjusted for the currency mismatch haircut of 10% is €108,000 for the purposes of the CRR, it is the total protection value of the debt security that is reported to AnaCredit. This reporting is depicted in Table 107. Table 107 Protection value in the case Reporting reference date Protection identifier Type of protection Protection provider identifier Protection value Type of protection value 31/03/2019 GUA#1 Financial guarantee other than credit derivatives “Non-applicable” 150,000.00 Notional amount 31/03/2019 SEC#2 Securities SMALLCPY#A 120,000.00 Notional amount Please note that for the purposes of AnaCredit, all protection items are reported, irrespective of their eligibility for credit risk mitigation in accordance with the CRR. Please also note that there is no requirement to apply any haircuts to the protection value. In particular, there is no requirement to apply a currency mismatch haircut when converting another currency of the protection into the instrument’s currency in relation to the potential exchange rate loss. In line with the general rule that an amount denominated in a currency other than euro is converted into euro using the respective exchange rate as of the date to which the amount refers, the following clarification is given. • If a protection item is valued at its notional amount, then the date of protection value is the reporting reference date, and the foreign currency exchange rate as of the reporting reference date is applied to convert the amount into euro. In such cases, this data attribute is updated whenever the exchange rate changes (from one reporting reference date to another). 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes • If a protection item is not valued at a notional amount (but instead at fair value, for instance), then the exchange rate on the date of protection value is used to convert the original protection currency into euro and, consequently, the protection value is not updated at a reporting reference date unless an evaluation of the protection takes place. For an illustration of how often this dataset is reported to AnaCredit, consider the following example which takes into account possible implications of changes in foreign exchange rates on the reporting obligation. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 57: Reporting frequency of the protection received dataset On 17 March 2019 observed agent (OA#1) – a foreign branch in the United Kingdom – extends a loan (Inst#1) to a legal entity (Cpy#A). At the origination, the loan is secured by a financial guarantee (GUA#1) provided by a legal entity (PP#G) and by real estate collateral (RE#1) belonging to a legal entity (PP#TrPty). There are no other protection items securing the instrument. The guarantee amounts to £50,000 and the real estate collateral, which was evaluated on 11 February 2019, has a market value of £75,000. 1. Since Inst#1 is secured both by the financial guarantee and by the real estate, both protection items are reported in the protection received dataset as of 31 March 2019. As regards the protection value, the foreign exchange (FX) rate as of 11 February 2019 (EUR/GBP=0.75) is used for the real estate and the FX rate as of 31 March 2019 (EUR/GBP=0.8) is used for the guarantee. This reporting is depicted in Table 108. Table 108 Indication of the protection received dataset as of March Reporting reference date Protection provider identifier Protection identifier Protection value Date of protection value Type of protection value 31/03/2019 PP#G GUA#1 62,500.00 31/03/2019 Notional amount 31/03/2019 PP#TRPTY RE#1 100,000.00 11/02/2019 Market value 2. As of 30 April, the EUR/GBP currency exchange rate is 0.9; consequently, the notional amount of the guarantee is equivalent to €55,555.56 as of the month-end date. Therefore, the protection value reported as of March is updated by submitting a record relating to the guarantee. As regards the real estate protection, the FX rate as of 11 February 2019 is also applied as of 30 April: as the date of protection value is the date of the latest evaluation, the FX rate of the date of protection value is used. Consequently, the record on the real estate is not reported as of 30 April 2019. The reporting requirement is presented in Table 109. Table 109 Indication of the protection received dataset as of April Reporting reference date Protection provider identifier Protection identifier Protection value Date of protection value Type of protection value 30/04/2019 PP#G GUA#1 55,555.56 30/04/2019 Notional amount Please note that, in this example, on 30 April 2019 the protection value of the guarantee is updated to reflect the change in FX rate (in order to capture the impact). However, it is not necessary to update the value each month based solely on FX fluctuations unless the FX rate triggers a new evaluation based on the techniques applied by the reporting agent. Consequently, while the record on the guarantee is updated, there is no need to send a record on the real estate protection as its euro-denominated value does not change. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes

Definition: Protection value. The amount of the protection value as established for the relevant “Type of protection value” following the valuation approach. The protection value is the monetary value of the protection item that was established at the latest valuation date prior to the reporting reference date under the chosen protection valuation approach (cf. Section 9.1.1 ). The protection value reflects the total value of the protection being either its notional amount, if relevant, or otherwise an amount that best represents the value of the protection, established at the latest valuation, for which the protection may be taken into account at a reporting reference date. The total protection value without considering any (regulatory) haircuts is reported.

Reporting qualification: The protection value is reported for each protection item received.

Values: The protection 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 The type of the protection value is identified in the respective data attribute. The protection value is based on the most recent valuation carried out prior to the reporting reference date. For each protection item that is reported as a separate record in the protection received dataset, a single protection value is reported, which is the protection item’s total value, established under a certain valuation approach. For a bundled protection item (for example a basket of securities) that was valued as one multi-name protection item, the protection value is in accordance to the valuation approach. The value is that obtained in the latest valuation. For protection items valued at their notional amount, the date of protection value is the reporting reference date. The total (gross) protection value is reported without applying any (regulatory) haircuts (i.e. deductible percentage that is applicable if certain conditions are met). In other words, no haircuts are applied to protection values. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes For an illustration of which value to report, consider the following example. Example 56: Reporting the protection value 1. Observed agent (OA#1) is a (part of a) credit institution supervised under the CRR. In March 2019, the observed agent extends a loan of €250,000 (Inst#1) to a legal entity (SmallCpy#A). The loan is secured by a financial guarantee (Gua#1) provided by a natural person (Guarantor#NP) and by a debt security (Sec#2) pledged by SmallCpy#A. There are no other protection items securing Inst#1. 2. The guaranteed amount, being the maximum amount Guarantor#NP would have to pay if the guarantee is called on equals €150,000. However, the protection provider does not qualify as an eligible protection provider and the guarantee is not eligible for credit risk mitigation in accordance with the CRR. 3. The nominal amount of the debt security is $100,000. As the debt security is denominated in a currency different from the currency of the loan and there is a requirement to apply a currency mismatch haircut of 10% in accordance with the CRR. As of 31 March 2019 the EUR/USD exchange rate is 1.2. In connection with Inst#1, both the financial guarantee and the debt security pledged are considered as protection securing Inst#1 and reported accordingly to AnaCredit. As regards the guarantee, the protection is not eligible for the CRR, and a haircut of 100% is applied to the guarantee amount in the context of the CRR. However, for AnaCredit purposes, the total guarantee amount is reported as it secures Inst#1. At 31 March, the protection value of the debt security is €120,000, and although the amount of the protection adjusted for the currency mismatch haircut of 10% is €108,000 for the purposes of the CRR, it is the total protection value of the debt security that is reported to AnaCredit. This reporting is depicted in Table 107. Table 107 Protection value in the case Reporting reference date Protection identifier Type of protection Protection provider identifier Protection value Type of protection value 31/03/2019 GUA#1 Financial guarantee other than credit derivatives “Non-applicable” 150,000.00 Notional amount 31/03/2019 SEC#2 Securities SMALLCPY#A 120,000.00 Notional amount Please note that for the purposes of AnaCredit, all protection items are reported, irrespective of their eligibility for credit risk mitigation in accordance with the CRR. Please also note that there is no requirement to apply any haircuts to the protection value. In particular, there is no requirement to apply a currency mismatch haircut when converting another currency of the protection into the instrument’s currency in relation to the potential exchange rate loss. In line with the general rule that an amount denominated in a currency other than euro is converted into euro using the respective exchange rate as of the date to which the amount refers, the following clarification is given. • If a protection item is valued at its notional amount, then the date of protection value is the reporting reference date, and the foreign currency exchange rate as of the reporting reference date is applied to convert the amount into euro. In such cases, this data attribute is updated whenever the exchange rate changes (from one reporting reference date to another). 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes • If a protection item is not valued at a notional amount (but instead at fair value, for instance), then the exchange rate on the date of protection value is used to convert the original protection currency into euro and, consequently, the protection value is not updated at a reporting reference date unless an evaluation of the protection takes place. For an illustration of how often this dataset is reported to AnaCredit, consider the following example which takes into account possible implications of changes in foreign exchange rates on the reporting obligation. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes Example 57: Reporting frequency of the protection received dataset On 17 March 2019 observed agent (OA#1) – a foreign branch in the United Kingdom – extends a loan (Inst#1) to a legal entity (Cpy#A). At the origination, the loan is secured by a financial guarantee (GUA#1) provided by a legal entity (PP#G) and by real estate collateral (RE#1) belonging to a legal entity (PP#TrPty). There are no other protection items securing the instrument. The guarantee amounts to £50,000 and the real estate collateral, which was evaluated on 11 February 2019, has a market value of £75,000. 1. Since Inst#1 is secured both by the financial guarantee and by the real estate, both protection items are reported in the protection received dataset as of 31 March 2019. As regards the protection value, the foreign exchange (FX) rate as of 11 February 2019 (EUR/GBP=0.75) is used for the real estate and the FX rate as of 31 March 2019 (EUR/GBP=0.8) is used for the guarantee. This reporting is depicted in Table 108. Table 108 Indication of the protection received dataset as of March Reporting reference date Protection provider identifier Protection identifier Protection value Date of protection value Type of protection value 31/03/2019 PP#G GUA#1 62,500.00 31/03/2019 Notional amount 31/03/2019 PP#TRPTY RE#1 100,000.00 11/02/2019 Market value 2. As of 30 April, the EUR/GBP currency exchange rate is 0.9; consequently, the notional amount of the guarantee is equivalent to €55,555.56 as of the month-end date. Therefore, the protection value reported as of March is updated by submitting a record relating to the guarantee. As regards the real estate protection, the FX rate as of 11 February 2019 is also applied as of 30 April: as the date of protection value is the date of the latest evaluation, the FX rate of the date of protection value is used. Consequently, the record on the real estate is not reported as of 30 April 2019. The reporting requirement is presented in Table 109. Table 109 Indication of the protection received dataset as of April Reporting reference date Protection provider identifier Protection identifier Protection value Date of protection value Type of protection value 30/04/2019 PP#G GUA#1 55,555.56 30/04/2019 Notional amount Please note that, in this example, on 30 April 2019 the protection value of the guarantee is updated to reflect the change in FX rate (in order to capture the impact). However, it is not necessary to update the value each month based solely on FX fluctuations unless the FX rate triggers a new evaluation based on the techniques applied by the reporting agent. Consequently, while the record on the guarantee is updated, there is no need to send a record on the real estate protection as its euro-denominated value does not change. 28 February 2017 AnaCredit Reporting Manual – Part II – Datasets and data attributes

In diesem Datenfeld ist der Betrag des Wertes der Sicherheit, wie er für die einschlägige Art des Wertes der Sicherheit nach dem gewählten Ansatz der Sicherheitenbewertung ermittelt wurde, anzugeben. Der Wert der Sicherheit spiegelt den Gesamtwert der Sicherheit wider, bei dem es sich entweder um den Nominalbetrag, sofern relevant, oder andernfalls um einen Betrag handelt, der am ehesDeutsche Bundesbank Statistik Richtlinien Januar 2026 6.131 Kreditdaten- statistik ten dem im Zuge der letzten Bewertung ermittelten Wert der Sicherheit entspricht, mit dem die Sicherheit an einem Meldestichtag berücksichtigt werden kann. Gemeldet wird der gesamte Wert der Sicherheit ohne Berücksichtigung etwaiger (aufsichtsrechtlicher) Sicherheitsabschläge. Der Wert der Sicherheit ist ein auf Euro lautender Betrag. Bei der Umrechnung von Fremdwährungsbeträgen ist der Referenzkurs zum Datum des Wertes der Sicherheit maßgeblich. Siehe Teil III, „Umrechnung von Fremdwährungsbeträgen“ Der Wert der Sicherheit basiert auf der letzten Bewertung, die vor dem Meldestichtag durchgeführt wurde. Werden unterschiedliche Vermögenswerte als einheitliche Sicherheit zur Verfügung gestellt (z. B. Wertpapierportefeuille, Verpfändung eines Warenlagers), ergibt sich der Wert der Sicherheit aus der Summe der einzelnen Vermögenswerte. Es ist nicht jeder einzelne Vermögenswert für sich als Sicherheit zu melden. Im Falle von Bürgschaften wird der Wert der Sicherheit eingetragen, der sich aus dem internen Risikomanagement der beobachteten Einheit ergibt. Dies gilt auch dann, wenn dieser null beträgt.