Technical Implementation Regulation for Reporting Large Exposures under Art. 394 CRR and Million-Euro Credit Reports under § 14 KWG (Version 2.3)

(Version 2.3; Status April 23, 2021) Deutsche Bundesbank Technical Implementation Regulation for the Submission of Large Exposure Reports under Art. 394 CRR (Standard Data and Submission Procedures) and Million-Euro Credit Reports under § 14 KWG (Overall Procedure) [DFBS 2021 Version 2.3]

Status: 04/2021 (Version: 2.3)

Deutsche Bundesbank Central Department Banks and Financial Supervision Wilhelm-Epstein Str. 14 60431 Frankfurt am Main Telephone (0 69) 9566 - 1 Direct Line (0 69) 9566 – 7281 (Mr. Wehlert) / 7284 (Mr. Ißbrücker) Fax (0 69) 9566 - 5252 E-Mail mio-evidenz@bundesbank.de Internet http://www.bundesbank.de Source citation requested for evaluation for publication or reprint. Completed in April 2021

I General Notes The introduction of Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (Capital Requirements Regulation / Capital Adequacy Ordinance - CRR) on July 26, 2013, and the subsequent revisions of the Banking Act (KWG) as well as the Large Exposure and Million-Euro Credit Ordinance (GroMiKV), have fundamentally changed the legal basis for large and million-euro credits. In the area of large exposure regulations, Articles 387 ff. CRR have largely replaced the old regulations under §§ 13 ff. KWG. The reporting system in this area has thus been harmonized at the European level. In the meantime, most regulations previously contained in the Solvency Ordinance (SolvV) and the GroMiKV have been taken into account in the CRR provisions. Nevertheless, some areas remain under national responsibility. For large exposures, these are particularly the regulations on resolution in § 13 KWG or §§ 3 and 4 GroMiKV, exceptions from the application of the upper limits under §§ 1 and 2 GroMiKV, as well as regulations on the reporting of large exposure-relevant standard data under §§ 8 to 10 GroMiKV. Due to the material competence of the European Banking Authority (EBA) for European large exposure regulations, this implementation regulation contains no material statements on content regulated in the CRR or in the Implementing Technical Standards (ITS) Annex IX. We refer to this regard to corresponding publications of the EBA. The million-euro credit reporting system remains unchanged in national responsibility and was modified as part of the modernization concept for million-euro credit reporting. On January 1, 2019, the still pending part of the adaptation of the million-euro credit reporting system, the expansion of the credit concept, was implemented and explained accordingly in Version 2.0 of the implementation regulations. Simultaneously, with the reporting deadline of March 31, 2019, the report of the data required for participation in cross-border information exchange was discontinued. From this point on, reporting these details was no longer permitted. The same applies to the borrower supplementary key (amount data position BA 095). The adaptation of the GroMiKV in these points was completed in good time (explained with DFBS, Version 2.1). With regard to the European AnaCredit statistics, the joint statement of the Federal Ministry of Finance (BMF), BaFin, and the Bundesbank from 2016 remains valid (published on the Bundesbank homepage).

II The implementation regulation is intended to serve as a guide for those obligated to report in submitting reports, but it cannot clarify all questions of doubt in connection with the legal regulations and thus makes no claim to completeness. In this regard, reference is made to the circulars and publications of BaFin and statements of supervision. Any remaining questions regarding the reporting procedure are to be clarified with the respective responsible head office or the Central Office of the Deutsche Bundesbank - Evidence Center -. Based on the respective chapter heading, it is recognizable which regulatory area the presentation refers to. To enable timely and continuous updates in the future, the implementation regulation will be provided exclusively in electronic form on the homepage of the Deutsche Bundesbank for download (Pdf format). Suggestions and questions are requested to be directed to the specified email address under the keyword "Implementation Regulation Million-Euro Credit Reporting System". The creation of this implementation regulation is solely the responsibility of the Deutsche Bundesbank in this version. The last published implementation regulation of Version 2.2 (Status 01.04.2020) has been revised in some places (changes highlighted in red text). In conjunction with CRR II, § 12 GroMiKV also had to be adapted to achieve the desired alignment of the concept definitions for large exposure. This requires partial adjustment of the calculation to determine the relevant credit amounts (cf. Part I 3.3). BaFin and the Bundesbank will temporarily tolerate the delayed implementation of these adaptations until at least December 31, 2021, for companies involved in the reporting procedure under § 14 KWG that are not subject to Regulation (EU) No 575/2013, such as insurance companies. With the new taxonomy 3.0 in Large Exposure Reporting, the legal anchoring of the standard data feedback under § 9 GroMiKV was also abandoned. Nevertheless, the Deutsche Bundesbank intends to make all large exposure borrowers/groups first submitted with formats STA and STAK available as a service offer in a modified form (cf. Part IV 4.2). At the time of publication of DFBS Version 2.3, the revised GroMiKV has not yet been published. Therefore, the regulations presented in Version 2.3 are subject to reservation. All essential changes at a glance: Part I 3.3, Part II 2.2, Part III 1.26, Part IV 3.8, 4.2, Part V 1.1, 1.2, 1.3.

III Entry into Force The implementation regulation in Version 2.3 enters into force on June 28, 2021 – simultaneously with CRR II and the GroMiKV revised by the 3rd Amendment Ordinance.

IV Table of Contents Part I General Notes ........................................................................... 1 1 Obligated Creditors for Million-Euro Credit Reporting System........................1 1.1 Reporting obligations under § 14 KWG within the framework of individual institution supervision for the million-euro credit reporting system..................................................................................................1 1.2 Reporting obligation under § 14 KWG within the framework of consolidated supervision for the million-euro credit reporting system............................................................................1 2 Borrowers for the purposes of § 14 Para. 1 KWG ................................................2 3 Credit Concept / Basis of Assessment / Credit Equivalent Amount / Netting...............3 3.1 Credit Concept for the purposes of § 14 Para. 1 KWG.............................................................3 3.2 Basis of Assessment for the purposes of § 14 Para. 1 KWG...........................................3 3.3 Basis of Assessment for Derivatives and Netting Agreements for the purposes of § 14 Para. 1 KWG ....................................................................................................................4 3.4 Credit Risk Mitigation for Million-Euro Credits ........................................................................4 3.5 Special Features for Million-Euro Credits..................................................................................4 4 Exemption Cases for Million-Euro Credit Reports under § 14 KWG.................5 5 Reporting Periods / Reporting Deadlines / Reporting Months / Submission Dates.....................6 6 Submission Points and Report Forms ..................................................................7 6.1 Report of Standard Data in Paper Form..............................................................................7 6.2 Report of Amount Data for Million-Euro Credits in Electronic Form ...............................8 6.3 Individual Report Formats and Attachments to the Reports .............................................9 6.3.1 Standard Data Report Borrower for Million-Euro Credits under § 14 KWG (Report Format EA).......................................................................................................9 6.3.2 Advance Standard Data Report Borrower for Large and Million-Euro Credit Reports under Art. 394 CRR as well as § 14 KWG (Report Format STA) ..9 6.3.3 Report on the Composition of a Civil Law Partnership, a Consortium, or a Joint Account for Million-Euro Credit Reports under § 14 KWG (Report Format GbR) .......................................................................11 6.3.4 Report on the Membership of a Borrower in Multiple Borrower Units for Million-Euro Credit Reports under § 14 KWG (Report Format MKNE) .....................................................................................................................12 6.3.5 Advance Standard Data Report Group of Connected Clients for Large Exposure Reports under Art. 394 CRR (Report Format STAK)................................12 6.3.6 Listing of Guarantee and Consortium Relationships for Million-Euro Credit Reports (Report Formats BA6 and BA7)..................................................................................13 6.4 Consolidated Reports / Prepared Reports (File) for Million-Euro Credits.............................13 6.4.1 Consolidated Report for Million-Euro Credits under § 14 KWG .............................................13 6.4.2 Total Sum of Amount Reports for Million-Euro Credits under § 14 KWG (Report Format BAS) ..................................................................................................14 6.5 Report of Amount Data for Large Exposures ........................................................................14 7 Numbering System for Borrowers and Creditors .......................................14 8 Advance Inquiry into the Indebtedness of a Borrower under § 14 Para. 2 Sentences 4 and 5 KWG.................................................................................................................15

V 8.1 Prerequisites for Application ..............................................................................15 8.2 Processing of Advance Inquiries........................................................................................15 Part II Notes on the Content and Filling of Reports ................. 17 1 The Standard Data........................................................................................................17 1.1 Individual Report Borrower under § 14 KWG ..................................................................17 1.2 Standard Data Report Advance Submission Individual Borrower (Report Format STA)...................................................................................................................................25 1.3 Standard Data Report Advance Submission Group of Connected Clients (Report Format STAK) ..............................................................................................................................25 1.4 Supplementary Notes ........................................................................................................26 1.4.1 Notes on the Standard Data of Borrowers for Million-Euro Purposes ........26 1.4.2 Notes on the Standard Data of Borrowers for Large Exposure Purposes ..............27 1.4.3 Notes on the Formation of Borrower Units (Million-Euro Credit).........................28 1.4.4 Notes on the Formation of Groups of Connected Clients (Large Exposure) ..................29 2 The Amount Data.......................................................................................................29 2.1 General Notes on the Amount Data of Reports under § 14 KWG ......................29 2.2 Amount Data Report Borrower for Million-Euro Credit Report under § 14 KWG..............30 2.2.1 Information on the Credits (Credit Characteristics) under § 14 KWG .................................30 2.2.2 Information on the Credits (Amount Data) under § 14 KWG.....................................36 2.3 Sum Report for Million-Euro Credit Reports under § 14 KWG .........................................41 2.3.1 General Sum Information under § 14 KWG .......................................................42 2.3.2 Sum Information on the Credits under § 14 KWG................................................42 2.4 Amount Data Report Borrower Guarantee Relationships Million-Euro Credit Reports under § 14 KWG..................................................................................................................43 2.4.1 Information on the Credits under § 14 KWG (Report Format BA6 and BA7)................43 2.4.2 Adjustment Information Report Format BA6 .................................................................45 2.4.3 Adjustment Information Report Format BA7 .................................................................45 2.5 Sum Report Borrower Guarantee Relationships Million-Euro Credit Reports under § 14 KWG...........................................................................................................................46 2.5.1 Information on the Credits under § 14 KWG (Report Format BAS6)............................46 2.5.2 Adjustment Information Report Format BAS7...............................................................47 Part III Notes for Certain Credits or Borrowers...................... 48 1 Borrower Addresses for Selected Transactions for Million-Euro Purposes .......................................................................................................................48 1.1 Letters of Credit..........................................................................................................................49 1.2 Guarantees / Warranties / Assurances...................................................................50 1.3 Joint Credits (excluding Aval Joint Credits).................................52 1.3.1 Consortium Leader Provides the Funds ........................................................52 1.3.2 Consortium Leader and Consortium Members Provide the Funds ............................53 1.4 Aval Joint Credits ................................................................................................53 1.5 Derivative Transactions..........................................................................................................53

VI 1.6 Factoring ............................................................................................................................54 1.7 Investments in Investment Funds...............................................................................................54 1.8 Credit Orders.....................................................................................................................55 1.9 Partnership Companies (according to PartGG) ............................................................55 1.10 Securities Lending Transactions.....................................................................................................55 1.11 Forward Purchases on Balance Sheet Assets.............................................................................................57 1.12 Trust Credits.................................................................................................................................57 1.13 Sales of Balance Sheet Assets with Recourse ..........................................................................................58 1.14 Administrative Credits ..........................................................................................................................58 1.15 Bill Discount Special Credits with Redemption Guarantee ....................................................................58 1.16 Bill Credits / Endorsement Liabilities ......................................................................................................59 1.17 Pass-Through Credits .............................................................................................................................59 1.18 Securities Loan Transactions (Securities Lending) ...................................................................................59 1.19 Securities Purchases/Sales.......................................................................................................................60 1.20 ABS Financings..........................................................................................................................................60 1.21 True Sale Sold Credits ................................................................................................................................61 1.22 Debt Assumption, Straw Man Credits........................................................................................................61 1.23 Credits of AKA Export Credit Corporation mbH (AKA)...................................................62 1.24 Corporate Shares.................................................................................................................................62 1.25 Joint Bonds of the Federal States .........................................................................................................62 1.26 Credits from Federal and State Development Institutions ..................................................62 1.27 Credits from Central Credit Institutions .....................................................................................63 1.28 Credit Derivatives.....................................................................................................................63 1.29 Look-Through in the Context of Million-Euro Credit Reporting ........................................................68 1.30 Reports under § 34 Para. 6 KAGB ..................................................................................68 2 Civil Law Partnerships and Other Special Forms of Borrowers for Million-Euro Purposes...............................................................69 2.1 Civil Law Partnerships as Communities for the Whole Hand (Whole Hand GbR), Comparable Heir and Account Communities (Joint Accounts)......................................................................................................69 2.2 Civil Law Partnerships with Personal Liability Limitation of Partners (Quota GbR), Comparable Part Ownerships .......................................71 2.3 Civil Law Partnerships without Personal Liability of Partners, Comparable Part Ownerships.........................................................................................72 Part IV Regulations for the Electronic Submission of Large and Million-Euro Credit Amount Data......................................................... 74 1 Principle ..................................................................................................................74 2 Notes on the Million-Euro Credit Report File.............................74 2.1 Consolidated and Individual Reports ............................................................................................74 2.2 Structure of the Million-Euro Credit Report File ...........................................................................75 2.3 Guarantees, Counter-Guarantees, Warranties and Other Assurances as well as the Liability from the Provision of Security for Third-Party Liabilities .....................76

VII 2.4 Number of Data Records.......................................................................................................76 2.4.1 Report Format BA .......................................................................................................76 2.4.2 Report Formats BA6 and BA7 ....................................................................................77 2.4.3 Sum Records BAS, BAS6 and BAS7 .....................................................................77 2.5 Organizational Notes ................................................................................................................77 2.5.1 Service Fields..........................................................................................................77 2.5.2 "Running Number" as Mandatory Field for Assignment of Individual Reports ..................77 3 Notes on the Feedback of the Million-Euro Credit Reporting System..............................78 3.1 Notification under § 14 Para. 2 and 3 KWG ...............................................................78 3.2 Own Reports................................................................................................................78 3.3 KNE Mirror.......................................................................................................................78 3.4 Creditor Directory ......................................................................................................79 3.5 Print-Prepared Lists ....................................................................................................79 3.6 Print-Prepared Lists Conventional Group-Affiliated Companies ....................79 3.7 Probabilities of Default ...............................................................................................79 3.8 Standard Data Feedback ..................................................................................................80 3.9 Notes on the Indicators of the Notification File.................................................80 3.9.1 Civil Law Partnerships (POS0020 IK-GBR).................................81 3.9.2 Internal Indebtedness (POS0021 IK-INTV)..............................................................81 3.9.3 Counter-Guarantee (POS0022 IK-RUECK)...................................................................82 3.9.4 Multiple Group Binding (POS0050 IK-MF).......................................................82 3.9.5 Quota Liability Limitation/Liability Exclusion of a Personally Liable Partner of a Commercial Partnership (POS0040 IK-NQH)..............82 4 Notes on the Large Exposure Reporting System ....................................................................83 4.1 Report File of the Large Exposure Reporting System .....................................................................83 4.2 Standard Data Feedback of the Large Exposure Reporting System ...................................................83 5 Formal Requirements for Electronic Submission (Large and Million-Euro Credit Procedures)..........................................................................................84 5.1 Registration in the ExtraNet of the Deutsche Bundesbank ....................................................84 5.2 Submission Declaration .......................................................................................................84 5.3 Liability Waiver Declaration ..........................................................................................85 6 Closing Remarks ...................................................................................................85 Part V Appendices to Part I. to IV..................................................................... 86 1 Report Formats.............................................................................................................86 1.1 Individual Report (EA, GbR, MKNE).......................................................................................86 1.2 Individual Report (STA) ..........................................................................................................93 1.3 Individual Report (STAK)........................................................................................................95 1.4 BA, BAS, BA6, BAS6, BA7, BAS7 ...................................................................86