2017年-ECB欧洲央行_AnaCredit_Reporting_Manual_–_Questions__Answers_Version_10_17页_234kb

AnaCredit Reporting Manual - Q&A Summary

Core Content

The AnaCredit Reporting Manual - Q&A provides detailed guidance on the interpretation and application of the AnaCredit Regulation, specifically addressing various data attributes and reporting requirements for financial institutions. The document is structured into several sections, each focusing on a particular aspect of AnaCredit reporting, such as enterprise size, extended quarter-end reporting, country codes, code lists, transferred instruments, and other specific reporting scenarios.

Main Points and Key Information

1. Enterprise Size

• Definition: Based on Commission Recommendation 2003/361/EC, which classifies enterprises as micro, small, or medium-sized (SMEs) based on number of employees, annual turnover, and balance sheet total.
• Large Enterprise: An enterprise that does not qualify as a micro, small, or SME.
• Exclusions:
  • Consolidated accounts are not excluded from the SME classification.
  • "Non-applicable" is reported for entities not engaged in economic activity.
• Special Cases:
  • For foreign branches, the head office's data is used.
  • If the SME classification is not available, it is calculated based on the entity's own data (employees, turnover, balance sheet).

2. Extended Quarter-End Reporting

• Applicability: Applies to instruments that incur a write-off, and they must be reported until the end of the quarter in which the write-off occurs.
• No Write-Off: If no write-off has occurred, and the commitment amount falls below €25,000, the instrument is not reported after that date.
• Examples:
  • Instruments fully repaid during the quarter are not reported beyond the last reporting date.
  • Partial write-offs or transfers do not affect the reporting obligation if the write-off has occurred.
  • If the observed agent no longer holds or services the instrument, only the financial and accounting datasets are required to be reported.

3. Reportable Data Attributes in Extended Reporting

• Financial and Accounting Datasets:
  • "Outstanding nominal amount" is reported as 0 for written-off instruments.
  • "Accumulated write-offs" and "cumulative recoveries since default" are reported.
• Other Datasets: Not applicable unless the instrument is still held or serviced by the observed agent.

4. ISO Country Codes

• Standard: ISO 3166 alpha-2 codes are used to identify the country of the counterparty.
• Outlying Areas: Counterparties located in outlying areas (e.g., Puerto Rico) are reported using their specific code (e.g., PR), not the country code of the parent nation.
• Stability: The code lists are stable for a defined period before being updated.

5. External Code Lists (ISO, NUTS, etc.)

• Usage: Code lists are used for specific data attributes (e.g., country, county).
• Updates: Only data reported after the amendment is updated to reflect the new code list.
• Historical Data: Historical data is not retroactively changed, unless the classification itself has changed.

6. Instruments Related to Deregistered Counterparties

• Reporting: Instruments related to deregistered counterparties are still reported to AnaCredit after deregistration, provided they are subject to reporting at the reference date.
• Reasons: Often due to ongoing legal processes or liquidation, which may take years.
• Consolidation: Different views on deregistration can be centrally consolidated.

7. Legal Entity Identifier (LEI) and National Identifier

• LEI Status: Only LEIs with status "issued", "lapsed", or "merged" are reported.
• National Identifier: Mandatory if no LEI is available, unless otherwise decided by the NCB.
• Special Cases:
  • If the national identifier is not in the predefined list, "GEN_OTHER_CD" is used.
  • A short description of the identifier is also reported.

8. Special Categories of Counterparties

• MFIs (Monetary and Financial Institutions):
  • Only "counterparty identifier" (RIAD_CODE) is reported.
  • Applies regardless of the counterparty's role, unless otherwise decided.
• International Organisations:
  • Only "counterparty identifier" is reported.
  • The NCB informs the reporting agents of the identifier to be used.

9. Amortisation Type

• Definition: Based on the contractual obligations of the debtor, not the options available.
• Fixed vs. Variable:
  • Fixed: Interest rate is known at inception.
  • Variable: Interest rate is determined based on a reference rate (e.g., EURIBOR) on specific dates.
• Examples:
  • A loan with a fixed rate based on a reference rate and spread is classified as variable.
  • If the interest rate is fixed and known at inception, it is reported as fixed.

10. Arrears in the Case of Transferred Instruments

• Reporting Obligation: Arrears are reported regardless of transfer.
• Partial Transfer:
  • Each observed agent reports the arrears corresponding to the portion of the instrument they hold.
  • The extent of arrears transfer depends on the contractual agreement between transferor and transferee.

11. Interest Rate Type and Spread/Margin

• Fixed Interest Rate:
  • The rate is known at inception.
  • "Reference rate" and "interest rate spread/margin" are not reported.
• Variable Interest Rate:
  • The rate is based on a reference rate (e.g., EURIBOR) on specific fixing dates.
  • "Reference rate" and "interest rate spread/margin" are reported.
• Mixed Instruments: Instruments with both fixed and variable components are classified as mixed.

12. Baskets of Protection and Protection Type

• Bundled Protection Items: May be reported as a single multi-name protection item if they are valued and considered as one by the reporting agent.
• Like Elements: Only baskets with similar characteristics (e.g., all debt securities or all equity) can be reported as a single item.
• Different Characteristics: Require separate reporting.
• Changes Over Time: If the composition of the basket changes (e.g., more equity added), it may be considered a new protection item with a new identifier.

Conclusion

The AnaCredit Reporting Manual - Q&A serves as a critical reference for financial institutions in understanding and applying the AnaCredit Regulation. It clarifies complex reporting rules, including enterprise size classification, extended reporting periods, use of external code lists, and handling of transferred or deregistered instruments. The document emphasizes consistency, transparency, and the use of specific definitions and examples to ensure accurate and uniform data submission to AnaCredit.