AnaCredit Reporting Manual

Part II – Datasets and data attributes

May 2019
31 May 2019

About the second edition of the

AnaCredit Manual

The AnaCredit Reporting Manual (the “Manual”) has been updated. The previous
version dated back to November 2016.

H i gh l i gh ts o f t hi s e di t i o n

The Manual has been updated to acknowledge and incorporate the additional
explanations provided in the Q&As published on the ECB’s website between July
2017 and December 2018.

The updated Manual also incorporates a number of adjustments to address previous

inconsistencies. At the same time, the structure has been reorganised and
streamlined. Specifically, some explanatory paragraphs have been moved to
different parts of the Manual, and cross-references have been added with a view to
facilitating consistency and readability. Moreover, references to the implementing
technical standards (ITS) on supervisory reporting have been updated throughout
the Manual to keep them in line with the amendments to Commission Implementing
Regulation (EU) No 680/2014 (the “amended ITS”).

Finally, the format and the language style have been aligned throughout the whole
text.

M a r k e d c ha ng e s

Marked changes: changes have In order to help trace where amendments other than additional cross-references or
been annotated with revision marks minor textual adjustments have been made throughout the text, changes are
indicated in the margin of the document, with a brief explanation. Furthermore,
where relevant, hyperlinks to the published Q&As are provided there. The Q&As,
although rendered redundant by the updated Manual, are still accessible on the ECB
website.

Am e n d me nt s i n P a r t I I

• Clarifications have been significantly expanded, incorporating 58 Q&As.

• In addition, in the update:

o the sections are streamlined and duplicate explanations are removed;

o the guidance on special reporting values is consolidated in one place in

Part II;

o the references to the ITS are updated, and definitions are added in line
with the CRR and the ITS;

o the information on foreign branches and special funds as counterparties

under AnaCredit is consolidated;

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o the section on the counterparty reference data attributes is reorganised

to follow a standard structure: (i) definition, (ii) reporting qualification, (iii)
values and (iv) general reporting instructions, specific cases and
examples;

o the sections are fully updated with new and expanded examples and
further clarifications.

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Contents
About the second edition of the AnaCredit Manual 2

AnaCredit Reporting Manual – Part II 5

1 Contents of Part II 5

2 Guidance on internal identifiers, special reporting values, monetary

amounts and the use of external code lists 9

3 Instrument dataset 19

4 Financial dataset 80

5 Accounting dataset 112

6 Counterparty-instrument data 167

7 Joint liabilities dataset 182

8 Instrument-protection received dataset 193

9 Protection received dataset 204

10 Counterparty default dataset 244

11 Counterparty risk dataset 251

12 Counterparty reference dataset 256

References to legal acts 314

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AnaCredit Reporting Manual – Part II

1 Contents of Part II

1.1 Overview of Part II

1 Revision mark: this section is The AnaCredit Reporting Manual (hereinafter referred to as “the Manual”) is
reorganised and streamlined
2 organised into three parts following a top-down approach.

3 The Manual provides detailed information and guidance on AnaCredit reporting

4 requirements. It does not contain any additional requirements and has no binding
5 legal status. The AnaCredit Regulation 1 is the sole legally binding act.

6 While Part I of the Manual describes the general methodology and Part III presents
7 various case studies and in particular covers special scenarios that require more in-
8 depth explanations, this document, the AnaCredit Reporting Manual – Part II,
9 focuses on the specific data attributes of the reported datasets.

1.2 Structure of the Manual

10 Revision mark: this section is The structure of Part II follows the AnaCredit logical data model which is introduced
streamlined, also considering the
11 explanations provided in the former in Section 6.2, “Logical data model – the reporting agent’s perspective”, in Part I of
12 Sections 1.1, 1.2 and 1.3 the Manual.

13 Based on the AnaCredit conceptual data model 2 presented in Section 6 in Part I of

14 the Manual, the AnaCredit logical data model contains details about the distinct data
15 entities, which are divided into different reportable datasets. 3 In particular, the logical
16 data model:

17 • includes all entity tables and relationships between them;

18 • specifies data attributes for each entity table;

19 • specifies a primary key for each entity table;

20 • specifies foreign keys, which identify the relationship between

21 different entity tables.

1
Regulation (EU) 2016/867 of the European Central Bank of 18 May 2016 on the collection of granular
credit and credit risk data (ECB/2016/13) (OJ L 144, 1.6.2016, p. 44).
2
The AnaCredit conceptual data model is fully described in Part I, Section 6.1, “Conceptual data model”.
The AnaCredit conceptual data model establishes a broad view of what should be considered in
AnaCredit reporting, as the data model includes the distinct data entities and the relationships between
them. However, the conceptual data model specifies neither data attributes nor primary keys.
Nonetheless, choosing a conceptual data model means that dimensions, measures and the granularity
of data have been defined.
3
The entity tables of the logical data model are divided into different reportable datasets. This is
described in Part I, Section 6.3, “Reportable datasets and reporting timeliness”.

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1 Most of the identifying data attributes belong by nature to more than one entity table
2 or dataset respectively, Chapter 2 of this document presents an overview of the
3 internal identifiers for each reporting dataset. In a similar vein, Chapter 2 also
4 provides explanations applicable to several data attributes across the different
5 reportable datasets.

6 Subsequently, the entity tables are discussed.

7 Therefore, the description of the identifying data attributes and their allocation to
8 datasets is summarised in a dedicated chapter (Chapter 2).

9 The instrument entity table is discussed first of all. This entity table comprises the
10 following datasets:

11 • instrument dataset (Chapter 3);

12 • financial dataset (Chapter 4);

13 • accounting dataset (Chapter 5).

14 Next, in Chapters 6 and 7, the counterparty-instrument entity table is presented,

15 which includes the following datasets:

16 • counterparty-instrument dataset;

17 • joint liabilities dataset.

18 The instrument-protection received entity table is then discussed in Chapter 8, while

19 the protection received entity table is presented in Chapter 9.

20 Finally, the counterparty entity table is described. It includes the following datasets:

21 • counterparty default dataset (Chapter 10);

22 • counterparty risk dataset (Chapter 11);

23 • counterparty reference dataset (Chapter 12).

24 For a better understanding of the information provided below, the reader is expected
25 to be familiar with the general AnaCredit methodology as explained in Part I of the
26 Manual.

27 The table below gives an overview of the available documentation about the
28 reportable datasets.

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Table 1 Entity tables, templates and datasets: available documentation

AnaCredit Reporting Manual Part I AnaCredit Regulation, Annex I Chapter in

AnaCredit
Entity table in the Section Section 6.3. Dataset name Template Reporting
logical data model Reportable Manual Part
Datasets II

Instrument entity 6.2.2.1 Instrument Instrument data 1 3

table dataset

Financial dataset Financial data 1 4

Accounting Accounting data 2 5

dataset

Counterparty- 6.2.2.2 Counterparty- Counterparty- 1 6

instrument entity instrument instrument data
table dataset

Joint liabilities Joint liabilities data 1 7

dataset

Instrument- 6.2.2.3 Instrument- Instrument- 2 8

protection received protection protection received
entity table received dataset data

Protection received 6.2.2.4 Protection Protection received 2 9

entity table received dataset data

Counterparty 6.2.2.5 Counterparty Counterparty 2 10

risk/default entity default dataset default data
table
Counterparty risk Counterparty risk 2 11
dataset data

Counterparty 6.2.2.6 Counterparty Counterparty 1 12

reference data reference dataset reference data
entity table

1.3 Structure of the chapters on datasets

1 Revision mark: this section is As stated in the introduction, one chapter is dedicated to each of the ten datasets
streamlined as some points are
2 moved up to the previous sections (Chapters 3 to 12).

3 Each chapter on datasets is organised into four sections:

4 • the first section describes general aspects of the dataset concerned and also
5 looks at specific aspects depending on the scope and complexity of the dataset;

6 • the second section discusses the level of granularity of the dataset;

7 • the third section provides information on the reporting frequency of the dataset;

8 • the fourth section introduces the data attributes belonging to the dataset,
9 beginning with a comprehensive table that lists the relevant data attributes, and
10 provides some other important information regarding the dataset.

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1.4 Structure of the sections on data attributes

1 The most extensive section of each chapter on datasets is the fourth section, which
2 covers data attributes. This fourth section breaks down into subsections, each
3 dedicated to a specific data attribute.

4 Each of these subsections begins with a description of the data attribute.

5 Where applicable, this is followed by a description of the conditions under which the
6 data attribute is reported (under the heading “Reporting qualification”).

7 Next, the eligible values for an attribute are described under the heading “Values”.

8 Finally, under the heading “Reporting instructions, examples and specific cases”,
9 instructions are provided that relate specifically to the data attribute in question.
10 Examples and specific cases are also provided where necessary and meaningful.

Revision mark: the former Section

1.5 containing guidance on the use
of special reporting values is
consolidated with clarifications from
Section 2.3.8 in Part I of the
AnaCredit Manual and moved down
to Section 2.2

Revision mark: the former Section

1.6 providing rules regarding
monetary amounts is moved down

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2 Guidance on internal identifiers, special reporting values,

monetary amounts and the use of external code lists

2.1 Guidance on internal identifiers

2.1.1 Overview of internal identifiers

1 Revision mark: the former The reporting requirements of AnaCredit involve ten interrelated reporting datasets.
Sections 2.1 and 2.2 are
2 renumbered under this section Each dataset stores individual records and consists of a number of data attributes
3 (please refer to Part I, Chapter 6, of the Manual dealing with the data model).

4 In addition to the data attributes, each reporting dataset includes a number of

5 internal identifiers. These identifiers are a key part of the AnaCredit data model and
6 generally have no meaning outside AnaCredit. 4 They ensure that each entry can be
7 (uniquely) identified by one or a combination of identifiers in the dataset. In this way
8 they help to maintain data integrity and identify the relationship between the
9 datasets. This means that reporting agents report the internal identifiers consistently
10 across all the datasets and across all data transmissions.

11 Table 2 provides an overview of the internal identifiers for the reporting datasets.

Table 2 Overview of internal identifiers

Financial data

liabilities data
Counterparty-

received data

received data

Counterparty

Counterparty

Counterparty
default data
Accounting
Instrument

instrument

Instrument

Protection
protection

reference
risk data
Joint
data

data

data

data
Reporting
dataset

Reporting agent
√ √ √ √ √ √ √ √ √ √
identifier
Observed agent
√ √ √ √ √ √ √ √ √
identifier
Counterparty
√ √ √* √ √ √
identifier
Contract
√ √ √ √ √ √
identifier
Instrument
√ √ √ √ √ √
identifier
Protection
provider √*
identifier
Protection
√ √
identifier

12 (*) Please note that the protection provider identifier appearing in the protection
13 received dataset is the counterparty identifier for the protection provider.

4
Please note that, in some cases, an internal identifier may be replaced by an external one. For
example, NCBs may already require reporting agents to use counterparty identifiers which have been
assigned by the relevant NCB (e.g. unique internal NCB code).

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2.1.2 Description

2.1.2.1 Reporting agent identifier

Definition: Counterparty identifier for the reporting agent

1 The reporting agent identifier is the counterparty identifier of the reporting agent
2 which reports the data.

2.1.2.2 Observed agent identifier

Definition: Counterparty identifier for the observed agent

3 The observed agent identifier is the counterparty identifier of the observed agent
4 (i.e. an institutional unit of the reporting agent) whose data are reported by the
5 reporting agent.

2.1.2.3 Counterparty identifier

Definition: An identifier applied by the reporting agent to uniquely identify each

counterparty. Each counterparty has a unique and exclusive counterparty identifier.
This means that this value will not change over time and can never be used as the
counterparty identifier for any other counterparty.

6 In general, the reporting agent specifies the counterparty identifier and ensures that
7 it meets the above criteria. However, in countries where an entity register has
8 already been established by the NCB (e.g. for the purpose of running the national
9 credit register) and a unique counterparty identifier has been assigned to each
10 counterparty by the NCB, this identifier is used by all reporting agents at national
11 level.

Reporting qualification

12 The counterparty identifier is reported for all counterparties.

Values

13 Alphanumeric: a code consisting of alphabetical and numerical symbols.

General reporting instructions, specific cases and examples

Revision mark: the paragraphs in
14 this section are streamlined The counterparty identifier is used by a reporting agent to refer to each counterparty
15 (both resident and non-resident) when transmitting AnaCredit data to the respective
16 NCB.

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1 Revision mark: clarifications are Reporting agents use the counterparty identifier consistently across all data
added in line with Section 12.4.1
2 transmissions and always use the unique code for the same counterparty (principle
3 of uniqueness), even if the counterparty is reintroduced into AnaCredit reporting after
4 a period in which it was not subject to reporting, e.g. owing to the impact of the
5 reporting threshold on the data to be transmitted (cf. Section 12.4.1).

6 Counterparty identifiers consist of a sequence of alphanumeric symbols that are

7 assigned exclusively to a specific counterparty. Moreover, even if a counterparty no
8 longer falls under the AnaCredit reporting requirements, is no longer active or is to
9 be deleted from the system for any reason, a counterparty identifier which was used
10 to identify a counterparty at any point in time is never re-used to identify another
11 counterparty (principle of exclusivity). Together, uniqueness and exclusivity ensure
12 the unique identification of counterparties at the level of a reporting agent.

13 Note that the above guidance does not limit the national discretion of the relevant
14 NCBs to implement all necessary measures to ensure the unique identification of
15 counterparties at the national level. In particular, as specified in Point 1.2 of Template
16 I in Annex I to the AnaCredit Regulation, NCBs may require reporting agents to use
17 counterparty identifiers which have already been assigned by the relevant NCB and
18 communicated by the latter to the reporting agents (e.g. unique internal NCB codes).

19 Please also note that changes in the counterparty reference data (such as a change
20 in the legal form of a counterparty) do not result in a new counterparty identifier
21 being assigned to the counterparty.

2.1.2.4 Contract identifier

Definition: An identifier applied by the reporting agent to uniquely identify each

contract. Each contract must have one contract identifier. This value will not change
over time and cannot be used as the contract identifier for any other contract.

22 The contract identifier refers to the credit agreement between two or more parties
23 under which the instrument is created. In particular, the contract identifier refers to
24 the legal contract under which instruments are extended by the creditor to the debtor
25 and conditions of the instruments are specified. In accordance with the definition, the
26 contract identifier uniquely identifies a contract within the scope of a reporting agent.
27 This means that each contract identifier is unique for each contract reported by the
28 same reporting agent and, conversely, that a reporting agent always consistently
29 identifies a given contract by the same contract identifier, irrespective of observed
30 agents in relation to which the data are reported. However, with the exception of the
31 syndicated contract identifier, two different reporting agents are not required to use
32 the same contract identifier, even if they refer to the same credit agreement or loan.

33 In essence, the contract identifier makes it possible to record one or more

34 instruments arising in relation to the same credit contract.

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2.1.2.5 Instrument identifier

Definition: An identifier applied by the reporting agent to uniquely identify each

instrument under a single contract. Each instrument must have one instrument
identifier. This value will not change over time and cannot be used as the instrument
identifier for any other instrument under the same contract.

1 The instrument identifier refers to an instrument created under a contract with a

2 given contract identifier. The instrument identifier together with the contract identifier
3 uniquely identifies an instrument reported in AnaCredit within the scope of a
4 reporting agent as the instrument identifier cannot refer to more than one instrument
5 within the same contract.

6 Revision mark: this section is Both the contract identifier and the instrument identifier are required for all the types
expanded in line with
7 Q&A 2018/0008 of instrument referred to in Article 1(23) of the AnaCredit Regulation. Moreover,
8 Annex IV to the AnaCredit Regulation stipulates that each reporting agent must use
9 a unique contract identifier to identify each contract and a unique instrument
10 identifier to identify each instrument belonging to the respective contract.

11 No two different reporting agents However, with the exception of the syndicated contract identifier, two different
are required to use the same
12 contract identifier, even if they refer reporting agents are not required to use the same contract identifier, even if they
13 to the same credit agreement or refer to the same credit agreement or loan. In particular, when an observed agent
loan
14 sells, or otherwise transfers, an instrument to another creditor, the transferee is not
15 required to use the same contract and instrument identifiers as the transferor. 5

16 Please note, however, that if a loan transfer takes place across different observed
17 agents of the same reporting agent, the loan’s contract and instrument identifiers
18 remain unchanged, given the provisions of the AnaCredit Regulation regarding the
19 contract identifier, provided that this does not conflict with the requirement for the
20 transferee to uniquely identify all contracts and all instruments under the respective
21 contract.

22 If more than one contract gives rise to the same instrument, the data are reported at
23 the instrument level, associating the instrument with a single contract (i.e. referring to
24 just one of the several contracts).

25 Please refer to Section 3.5 of Part III of the Manual for more guidance on contract
26 and instrument identifiers in the case of credit cross limits and similar complex
27 structures under which credit facilities exist with multiple instruments.

28 Note that while the instrument identifier (in combination with the contract identifier) is
29 used to identify the instrument in the AnaCredit data, the data attribute “type of
30 instrument” categorises the instrument (e.g. revolving credit, deposits, financial
31 leases or trade receivables).

5
Such a requirement could interfere with the requirement for each contract/instrument identifier
combination to be unique at reporting agent level.

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2.1.2.6 Protection identifier

Definition: An identifier applied by the reporting agent to uniquely identify each

protection used to secure the instrument. Each protection must have one protection
identifier. This value will not change over time and cannot be used as the protection
identifier for any other protection.

1 The definition of the protection identifier set out in Annex IV to the AnaCredit
2 Regulation further clarifies that the protection identifier is applied by the reporting
3 agent to uniquely identify each protection used to secure an instrument.

4 Consequently, each record in the protection received dataset represents an

5 individual protection item and is uniquely identified by a protection identifier at the
6 level of the reporting agent. This means that each protection identifier is unique for
7 each protection item reported by the same reporting agent and, conversely, that a
8 reporting agent always consistently identifies a given protection item by the same
9 protection identifier, irrespective of observed agents in relation to which the data are
10 reported. This protection identifier is not reused by the same reporting agent at any
11 point in time to identify a different protection item, including when it relates to a
12 different observed agent.

2.1.2.7 Protection provider identifier

Definition: Counterparty identifier for the protection provider

Revision mark: clarification is
13 added concerning the possibility for The protection provider identifier is the counterparty identifier of the counterparty that
protection providers to cede
14 protection items grants protection against a contractually agreed negative credit event and that is
15 obliged to make payments, or cede the assets that it has provided as collateral, to
16 the creditor if the debtor fails to meet the obligation to make repayments arising
17 under the instrument secured by the protection item (i.e. when the negative credit
18 event under Article 1(13) of the AnaCredit Regulation occurs).

19 For instance, in these specific cases, the protection provider is:

20 • the owner of the physical item/real estate;

21 • the holder of the security pledged as a protection (and not the issuer of the
22 security itself);

23 • the policy holder in the case of life insurance policies issued by an insurance
24 company.

25 For a more specific overview of protection providers whose counterparty identifier is

26 reported as the protection provider identifier, please refer to Section 9.4.1 of this
27 Manual.

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Reporting qualification
Revision mark: clarification in line
1 with Q&A 2018/0031 is added in the If the only protection provider is a natural person, the protection provider identifier is
footnote
2 reported as “non-applicable”. 6 This is relevant in instances of natural persons acting
3 as protection providers for instruments granted to legal entities as well as in cases
4 where a protection item is jointly provided by a natural person and a legal entity. In
5 the latter case, the protection provider identifier of the legal entity is reported.

2.2 Guidance on the use of “non-applicable” and “not required”

6 Revision mark: the former Section Pursuant to the AnaCredit Regulation, there are a total of 88 data attributes and, in
1.5 is consolidated with the
7 clarifications from the former principle, all data attributes are mandatory.
Section 2.3.8 in Part I of the
AnaCredit Manual which dealt with
8 However, the AnaCredit Regulation also clarifies that some data attributes are not
the special reporting values
9 (or, at the discretion of the NCB, may not be) required under certain circumstances,
10 for instance, in relation to instruments that meet specific conditions (cf. Chapter 7 in
11 Part I of the Manual) or for which a partial derogation was granted under Article 16(1)
12 of the AnaCredit Regulation (cf. Chapter 8 in Part I of the Manual). Consequently, if
13 such circumstances apply, AnaCredit is informed that a given data attribute is not
14 required (in respect of a given observed agent).

15 Furthermore, certain data attributes do not apply in some situations and/or no

16 information is available even in relation to data attributes that are required to be
17 reported. For example, no accounting information is in principle available for
18 instruments that are not assets of the observed agent. In such cases, which are
19 identified and explained in the Manual, AnaCredit should be informed that a given
20 data attribute is not applicable.

21 Revision mark: a footnote is added In this connection, the special reporting values “non-applicable” and “not required”
in line with Q&A 2018/0031
22 are introduced and used throughout the Manual. 7

23 The general use of these special reporting values (i.e. “not required” and “non-
24 applicable”) is explained in Chart 1 below. Specific situations in which a data attribute
25 may be reported as “non-applicable” are a particular subject of this Manual, which
26 deals specifically with data attributes.

27 Generally, AnaCredit reporting comprises three types of values:

6
The value “non-applicable” is reported if the attribute concerned is not subject to a derogation in
accordance with the AnaCredit Regulation but no appropriate value in fact exists or can be reported
because the concept itself is not applicable in a certain situation (following the clarifications provided in
the AnaCredit Reporting Manual). Please refer to Section 2.2 for more guidance on special reporting
values.
7
While the concepts of “not required” and “non-applicable” may seem similar, they are interpreted
differently. As a general rule, where information pertaining to an attribute of AnaCredit is not reported as
a consequence of derogations applied by NCBs, as provided for in the AnaCredit Regulation, the value
“not required” is reported to AnaCredit. For example, as the AnaCredit Regulation does not provide for
any derogations in relation to the data attribute “protection provider identifier”, the value “non-
applicable” is reported in accordance with the clarifications in Section 9.4.1 in cases where the
protection provider is a natural person to indicate that there is no protection provider that is reportable
to AnaCredit (i.e. no legal entity).

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1 • a value as defined in Annex IV to the AnaCredit Regulation;

2 • “non-applicable”;

3 • “not required”.

4 Specifically, if a data attribute is not required (i.e. either explicitly specified as such in
5 the AnaCredit Regulation or as decided by the relevant NCB in the circumstances
6 set out in Articles 7 and 16 and Annexes II and III of the AnaCredit Regulation), the
7 data attribute is reported as “not required” in the specific circumstances. Otherwise,
8 a value as specified in Annex IV to the AnaCredit Regulation is reported for a data
9 attribute, unless no value can actually be provided as the data attribute does not
10 apply (in a given situation).

11 Revision mark: clarification is Whereas the use of the value “not required” is objectively prescribed by the
added that the fact that the use of
12 the value “non-applicable” is AnaCredit Regulation, certain situations in which the use of “non-applicable” is
13 restricted to data attributes and justified are solely referred to in the Manual. Please note that the use of the value
circumstances is explicitly
14 mentioned in the Manual “non-applicable” is restricted to the data attributes where this possibility is explicitly
15 mentioned in the Manual. Nevertheless, despite the provisions of the Manual it is
16 reporting agents who are ultimately responsible for determining whether or not “non-
17 applicable” actually applies, and their use of this value is monitored.

Chart 1: The use of special reporting values

Data attribute

Conditionally not
required

At NCB discretion
Not required under
(under specific
specific conditions
conditions)

Exempted by
No Required
NCB?

Yes

Value to report: Non applicable

“Not required” (under certain Applicable
circumstances)

Value to report:
Value to report:
pursuant to
“Non-applicable”
Annex IV

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1 Revision mark: the reference to a Please note that “not required” and “non-applicable” are substitutes for exact
possible scheme in the actual
2 transmission by the reporting agent technical values to be used by reporting agents in certain situations – the exact
3 is dropped values, which may depend on the type of data attribute (for example, numerical
4 versus textual data attributes), are not covered in this Manual and are specified by
5 NCBs in a technical specification of the data transmission protocol.

6 Please also note that, in any event, reporting a data attribute as “non-applicable”
7 means that the data attribute has been carefully considered in a given situation and it
8 has been confirmed that the data attribute does not apply.

2.3 General rules regarding monetary amounts

9 Revision mark: the former Section In accordance with the AnaCredit reporting requirements set out in the AnaCredit
1.6 is moved down to this section
10 Regulation, all monetary amounts are reported in euro. All foreign currency amounts
Revision mark: the details
11 regarding the reporting of monetary are converted into euro at the respective euro foreign exchange reference rates (i.e.
12 amounts are dropped the mid-rate) on the reporting reference date.

13 This means that, as a general rule, an amount is converted into euro at the
14 respective mid-rate at the date to which the amount refers. The vast majority of the
15 amount data attributes refer to the reporting reference date, although there a few
16 exceptions.

17 Any amount originally denominated In connection with the above, the exchange rate applied to convert non-euro
in a currency other than euro is
18 converted into euro using the amounts into euro is the euro foreign exchange reference rate as at the date to
19 respective exchange rate as at the which the amount refers. For example, for the original protection value, it is the
date to which the amount refers
20 exchange rate as of the date of original protection value, while for the annual
21 turnover, it is the exchange rate as of the date to which the annual turnover amount
22 refers (e.g. typically the year-end date up to which the financial statements are
23 prepared).

24 However, as regards the data attribute “protection value”, the value reported may
25 refer either to the reporting reference date or to the valuation date of the protection,
26 depending on whether or not the protection is valued at its notional amount. Please
27 refer to Example 68 in Section 9.4.4 for further details.

28 Amount data attributes which are reported as amounts and refer to a date other than
29 the reporting reference date are considered fixed as of the date for which they are
30 reported in the sense that once reported they are not updated, even if the respective
31 euro foreign exchange reference rates change after the date.

32 Table 3 provides an overview of all the data attributes that are reported as amounts,
33 showing the date to which they refer (i.e. the date of the respective euro foreign
34 exchange reference rate used for the conversion).

35

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Table 3 Overview of data attributes that are reported as amounts in euro

Static Date of the respective euro foreign
Data attribute amounts exchange reference rate

Balance sheet total Date to which the amount reported in the

√
data attribute “balance sheet total” refers
Annual turnover Date to which the amount reported in the
√
data attribute “annual turnover” refers
Commitment amount at inception Inception date as reported in the data
√
attribute “inception date”
Fair value changes due to changes in Date of the purchase
√
credit risk before purchase

Original protection value Date of original protection value as

√ reported in the data attribute “date of
original protection value”
Protection value (if the type of Date of protection value as reported in
protection value is not “notional √ the data attribute “date of protection
amount”) value”

Protection value (if the type of Reporting reference date

protection value is “notional amount”)

Transferred amount Reporting reference date

Arrears for the instrument Reporting reference date

Outstanding nominal amount Reporting reference date

Off-balance-sheet amount Reporting reference date

Accrued interest Reporting reference date

Accumulated write-offs Reporting reference date

Accumulated impairment amount Reporting reference date

Accumulated changes in fair value due Reporting reference date

to credit risk

Provisions associated with off- Reporting reference date

balance-sheet exposures

Cumulative recoveries since default Reporting reference date

Carrying amount Reporting reference date

Joint liability amount Reporting reference date

Protection allocated value Reporting reference date

Third-party priority claims against the Reporting reference date

protection

1 The data attributes marked as static data in the above table which were originally
2 denominated in currencies other than euro are converted into euro applying the euro
3 foreign exchange reference rate of the date to which the amounts refer.

4 2.4 External code lists (ISO, NUTS, etc.)

5 Revision mark: clarifications on the For the reporting of several data attributes, AnaCredit refers to external code lists.
use of external code lists are
included in line with
6 Q&A 2017/0005 The external code lists to which the AnaCredit Regulation refers can change for
7 various reasons. For example, with regard to the NUTS 3 codes, national interests

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1 sometimes require a change in the regional breakdown of a country. Or, regarding

2 the ISO country codes, country names might be amended or even removed from
3 ISO 3166-1 because a country might change a significant part of its name, or a
4 country may divide into two or more new ones, or two or more countries may merge
5 into one.

6 However, a version of the external code lists is valid for a certain period of time
7 before it is replaced by a newer version (for example, Regulation (EC) No
8 1059/2003 8 specifies that the NUTS classification must be stable for at least three
9 years). Thus, only one version of a code list is valid at any given moment in time.

10 In the context of AnaCredit, at a reporting reference date reporting agents report data
11 to AnaCredit using the codes that are valid as of the reporting reference date. In
12 particular, in the case of an amendment to a classification, reporting agents take into
13 account the new classification for any data reported after the amendment and submit
14 updates to any data that are affected by the amendment. However, contrary to the
15 requirement of Article 5(5) of Regulation (EC) No 1059/2003, in the context of
16 AnaCredit, reporting agents are generally not required to update historical data when
17 there is a new classification.

18 For example, assume that the NUTS 3 classification that is valid at present will be
19 effectively replaced by a new version as of 1 January 2020. Accordingly, any
20 counterparty reference data reported to AnaCredit before 1 January 2020 will be
21 based on the current version of the classification. However, any counterparty
22 reference data reported from 1 January 2020 onwards will need to be based on the
23 amended classification. Furthermore, as the counterparty reference data of a given
24 counterparty are required to be updated if a change takes place, an additional record
25 of the counterparty reference data is reported as of 1 January 2020 for those
26 counterparties whose counterparty reference data were reported before 2020 and
27 which are affected by the change in the classification (to reflect the new classification
28 for these counterparties). Nevertheless, in no instances do the data reported before
29 2020 have to be changed in line with the amended classification.

30 In other words, if a new version of an external classification is released, only those

31 counterparties in the counterparty reference data for which the classification has
32 actually changed will have to be updated.

33 Revision mark: Example 1 is By the same token, at a reporting reference date reporting agents report data to
added concerning the use of
34 external code lists AnaCredit using codes that are valid as of the reporting reference date and any
35 subsequent change to the codes does not imply that backward corrections are
36 required. For an illustration of the reporting, please refer to Example 1.

8
Regulation (EC) No 1059/2003 of the European Parliament and of the Council of 26 May 2003 on the
establishment of a common classification of territorial units for statistics (NUTS) (OJ L 154, 21.6.2003,
p. 1).

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Example 1: Reporting of data using code lists

Consider a loan denominated in currency AB which is subject to AnaCredit reporting

from September 2018. Suppose also that currency AB is split into two currencies A and
B as of 1 January 2019. Moreover, suppose that in March 2019 it is ascertained that a
backward correction must be made concerning data relating to the loan as at 30
November 2018.
In this case, despite the fact that on March 2019 currency AB does not exist, it is this
currency that is used to report retroactively the data concerning 30 November 2018.
Conversely, neither currency A nor currency B can be used to report data relating to 30
November 2018 as the currencies were not valid on that reporting reference date.

3 Instrument dataset
1 This chapter provides explanations of the definitions in the AnaCredit Regulation in
2 relation to the instrument dataset, including the concepts of “contract” and
3 “instrument”. Examples of several product types are used to illustrate the definitions.

3.1 General aspects

3.1.1 Contract

4 In the context of AnaCredit, a contract is a credit agreement between two or more

5 entities where at least one entity acts as the debtor and at least one other entity acts
6 as the creditor providing the debtor with credit of any amount.

7 Specific features referred to in a contract which gives rise to an instrument are

8 recorded at the instrument level.

3.1.2 Instrument

9 In AnaCredit, a credit contract can give rise to one or more instruments. The contract
10 may be managed as a whole even if the instruments under the contract, or the
11 constituent parts of the instruments, have different characteristics.

12 AnaCredit considers instruments in the way they are typically managed by credit
13 institutions, i.e. it considers instruments as banking products with outstanding
14 balances and credit limits. In this connection, an instrument is a specific instance of
15 credit arising under a contract, with specified characteristics, enabling the debtor to
16 receive from the creditor funds to an amount or value regulated in the contract.
17 Consequently, instruments are typically associated with an account.

18 In particular, if an observed agent considers a loan under which several drawings are
19 made (possibly with different characteristics, such as different interest rates, etc.) to
20 be one instrument, then the agent reports the loan accordingly without compromising

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1 the AnaCredit data structure. However, if an observed agent considers the different
2 parts of the loan to be different instruments, then the agent reports multiple
3 instruments (which typically exist under the same contract) to AnaCredit, again
4 without compromising the structure of AnaCredit reporting.

5 In AnaCredit, any instance of credit (i.e. any instrument) that is held or serviced by
6 the observed agent is potentially subject to reporting. However, only those
7 instruments that meet the conditions in Articles 1(23), 4 and 5 of the AnaCredit
8 Regulation are actually reported.

9 From the perspective of a credit institution, instruments may have a positive or credit
10 balance where the credit institution owes funds to the counterparty; or a negative or
11 debit balance where the counterparty owes funds to the credit institution. This is
12 reflected in the balance sheet, i.e. debit balances are on the assets side while credit
13 balances are on the liabilities side. AnaCredit focuses on the assets side of the
14 balance sheet.

15 Generally, instruments which are opened with the purpose of holding credit balances
16 are referred to as deposit accounts (not to be confused with the type of instrument
17 “deposits”), while instruments opened with the purpose of holding debit balances are
18 referred to as loan accounts. Some instruments can switch between credit and debit
19 balances (e.g. current accounts, revolving credit other than overdraft and credit card).

3.1.3 Credit limits

20 A credit limit is the maximum debit balance allowed to stand on an account at any
21 given moment under the terms of the credit agreement.

22 For details and examples regarding limit structures and multiple instruments with a
23 common credit limit, please refer to Chapter 3 in Part III of the Manual regarding
24 credit facilities and cross-limit structures.

25 The outstanding nominal amount is For a given instrument reported to AnaCredit, the individual outstanding balances
the amount drawn under the
26 instrument; the off-balance-sheet under the instrument are reported in the data attribute “outstanding nominal amount” in
27 amount measures the remaining the financial dataset, whereas the remaining amount by which the outstanding balance
amount that is contractually agreed
28 and that can be drawn so that the can be still increased within the credit limit associated with the instrument (or group of
credit limit is not exceeded
29 instruments, following the limit structure of which the instrument is a part) is reported in
30 the data attribute “off-balance-sheet amount” in the financial dataset.

31 Whether or not there is any undrawn amount (off-balance-sheet amount) for an

32 instrument depends on the credit limit associated with the instrument and the
33 drawing possibilities agreed on in relation to the instrument. In this respect, the
34 following distinction is made:

35 (a) a revolving credit is an instrument under a contract whereby the

36 outstanding balances are permitted to fluctuate based on the decisions of
37 the debtor to borrow and repay, up to an agreed limit;

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1 (b) a non-revolving credit is a fixed-sum credit under a contract that may be

2 disbursed in one amount or by instalments/tranches, such that the debtor
3 is enabled to receive credit that does not replenish after payments are
4 made (whether in one amount or by instalments/tranches).

5 Revision mark: a reference to For further details on revolving and non-revolving credit, please refer to the type of
Section 3.4.1 is added
6 instrument “revolving credit other than overdrafts and credit card debt” in
7 Section 3.4.1.

3.1.4 Instruments in debit

8 The requirements of AnaCredit are interpreted so that, subject to certain exceptions

9 which are thoroughly explained in the relevant sections of the Manual (e.g. as
10 regards transferred assets, certain off-balance-sheet items, etc.), the instruments
11 that are assets for the observed agent meet the definition in Article 1(23) of the
12 AnaCredit Regulation referring to the data attribute “type of instrument”.

13 More specifically, the distinction between instruments subject to AnaCredit reporting

14 and those not subject to reporting is based on the difference between instruments
15 with intrinsic off-balance-sheet amounts (i.e. undrawn amounts), and instruments
16 which are strict off-balance-sheet items. The former are instruments where a drawn
17 amount – the outstanding nominal amount – and an undrawn amount – the off-
18 balance-sheet amount – are part of the same instrument.

19 Certain types of instrument reported to AnaCredit can only have a positive

20 outstanding nominal amount, but there are also types of instrument for which the
21 outstanding nominal amount may be 0. However, not all instruments reported to
22 AnaCredit may have a positive off-balance-sheet amount. Thus, it may be the case
23 that an instrument reported to AnaCredit has a zero outstanding nominal amount and
24 a positive off-balance-sheet amount, as long as a positive outstanding nominal
25 amount can be drawn on the basis of the credit contract under which the instrument
26 arises, e.g. a credit card where no amount has been drawn.

27 Instruments which are strict off-balance-sheet items are those where no outstanding
28 amount may exist in combination with the off-balance-sheet amount, rendering this
29 instrument a fully off-balance-sheet item at any time and under any condition. These
30 are commitments which under specific circumstances may be called upon and
31 converted into instruments for which an outstanding nominal amount may be shown,
32 e.g. a guarantee provided by a credit institution.

33 Revision mark: further Strict off-balance-sheet items are loan commitments (other than the “undrawn credit
clarifications on the types of off-
34 balance-sheet items are added, facilities” that are the undrawn amounts of loans), financial guarantees and other
35 references to the amended ITS are commitments as defined in paragraphs 113, 114 and 115 of Part 2 of Annex V to
updated
36 Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014, as
37 amended by Commission Implementing Regulation (EU) 2017/1443 of 29 June 2017
38 (hereinafter referred to as “the amended ITS”), which do not have outstanding
39 balances, are not considered to be any of the types of instrument referred to in
40 Article 1(23) of the AnaCredit Regulation.

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3.1.5 Starting date from which an instrument is reported

1 An instrument is not reported from As regards the date when an instrument is reported, Part I, Section 4.6.6 of the Manual
the moment when the contract is
2 signed but from the moment when clarifies that an instrument first becomes subject to reporting at the moment at which
3 the amount is made available to the the creditor enables the debtor to draw funds after entering into a legally binding
debtor (even if it is at that moment
4 entirely off-balance-sheet) contract with the debtor, or when funds are disbursed to the debtor for the first time in
5 Revision mark: the paragraph is the case of overdrafts that are not associated with an agreed credit limit (cf.
expanded with clarifications
6 “Overdrafts” in Section 3.4.1).
regarding the point at which the
reporting of overdrafts commences
7 This means that the instrument is subject to reporting as soon as the instrument is
8 actually created (i.e. when an instrument identifier is assigned, as opposed to when the
9 instrument is originated) by, for example, opening and making operational a dedicated
10 bank account, irrespective of whether or not any funds have been drawn on that date.

11 The date on which the debtor draws funds for the first time under the instrument, or
12 when funds are disbursed to the debtor for the first time, after entering into a legally
13 binding contract with the debtor, is reported in the data attribute “settlement date”.

14 For an illustration of the first moment when an instrument is subject to AnaCredit

15 reporting, please consider Example 2.

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Example 2: Date from which an instrument is reported

1. Debtor Dbtr#A has instrument Ins#1 vis-à-vis observed agent OA#1. Ins#1 is
originated on the basis of contract Cntr#1 issued on 24 March 2019. The
instrument type of Ins#1 is “revolving credit other than overdrafts and credit card
debt”. OA#1 first enables the debtor to draw funds under the instrument on 5 April
when the instrument is created in the observed agent’s system. No amount has
been up until 19 May, the date when the debtor draws a first amount.

Although Ins#1 is already originated (the inception date is 24 March), it is not subject to
reporting as of 31 March, as the instrument does not exist yet. The instrument first
becomes subject to AnaCredit reporting only as of 5 April, when the debtor is enabled to
use this instrument, irrespective of whether or not the debtor uses this instrument on
that date. Moreover, the instrument’s settlement date applies only when the debtor first
draws amounts under the instrument – in this case, 19 May.
The reporting of the instrument to AnaCredit in the period concerned is illustrated in
Table 4 on the basis of the instrument dataset. In this context, Ins#1 is reported for the
first time on 30 April (not 31 March). Thereafter, the instrument dataset is updated on 31
May with the information about the settlement date.
Table 4 Overview of the reporting of Ins#1 in the period after 24 March
Contract Instrument
Date identifier identifier Inception date Settlement date
30/04/2019 CNTR#1 INS#1 24/03/2019 “Non-applicable”

31/05/2019 CNTR#1 INS#1 24/03/2019 19/05/2019

2. On 29 June 2019 a contract (DpCntr#2) is made between bank BNK#A and

observed agent OA#1 that a deposit DPST#2 will be placed by OA#1 with BNK#A
with the settlement date (plus two working days as per market conditions) later
than the forthcoming reporting reference.

On the reporting reference date 30 June, DPST#2 is not subject to AnaCredit reporting
as the deposit has not yet been placed with BNK#A, which is the condition for the
instrument to be created (it is a forward deposit). The instrument first becomes subject
to AnaCredit reporting on 1 July when it is effectively created. In other words, although
originated earlier, the deposit is not reportable until it is settled, i.e. when the funds are
placed at BNK#A. The reporting of the deposit in the period between 29 June and 31
July is illustrated in Table 5. Note that in this case the instrument’s creation date
coincides with its settlement date.
Table 5 Overview of the reporting of DPST#2 in the period after 29 June
Contract Instrument
Date identifier identifier Inception date Settlement date
31/07/2019 DPCNTR#2 DPST#2 29/06/2019 01/07/2019

1 Revision mark: a further Please note that instruments arising under (multi-product) cross-limits become
clarification is added in line with
2 Q&A 2018/0010 regarding the point subject to reporting at the moment at which the creditor, after communicating and
3 at which the reporting of legally defining the commitment, creates an eligible instrument giving the debtor the
instruments arising under (multi-
4 product) cross-limits commences possibility of taking advantage of funds (e.g. if they have been created in the
5 reporting agent’s IT system and have been assigned unique identifiers). Conversely,
6 a commitment/offer does not result in any reporting to AnaCredit until an instrument
7 has been created which allows it to be utilised – for example, a credit limit

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1 (regardless of whether it has been communicated to the debtor) which has not
2 resulted in the creation of an eligible instrument, such as a credit card account or an
3 overdraft, is not subject to AnaCredit reporting. For additional information about the
4 point at which a fully off-balance-sheet item becomes subject to reporting, please
5 also refer to Section 3.5 in Part III of the Manual.

3.1.6 End date after which an instrument need not be reported

6 Instruments that have ceased to In principle, an instrument stops being reported to AnaCredit if it is no longer held or
exist are in principle not reported
7 beyond their termination date, serviced by the observed agent. In such cases, the requirement to report the
8 although there are exceptions instrument ceases on the day on which the observed agent ceases to hold or service
9 the instrument, and the requirement to report until the end of the quarter does not
10 apply. In particular, a fully paid-off instrument is not reported to AnaCredit after the
11 redemption date. In other words, non-existent instruments are not reportable.

12 However, as an exception to this principle, if a write-off takes place, then the

13 instrument is reported at least until the end of the quarter, even if the instrument is
14 neither held nor serviced by the observed agent after the write-off.

15 Instruments existing after the final Even if the legal final maturity date of an instrument has passed, this does not
maturity date has passed are not
16 necessarily terminated or outdated necessarily imply that the instrument is terminated and is hence no longer subject to
17 AnaCredit reporting. For example, consider a defaulted instrument which is not paid
18 off by the legal final maturity date: the instrument remains subject to reporting for as
19 arrears exist, because it is still held and/or serviced in this case.

3.1.6.1 Treatment of written-off instruments

20 Revision mark: this section is As explained above, instruments in relation to which a write-off takes place are
aligned with Q&A 2017/0002,
21 Q&A 2017/0003 and reported until at least the end of the quarter in which the write-off occurs.
22 Q&A 2018/0009 Furthermore, the reporting requirements in relation to such instruments depend on
23 whether or not the instrument is still held or serviced by the observed agent.

24 In particular, a written-off instrument is reported beyond the end of the quarter only if
25 the instrument is still held or serviced by the observed agent and the debtor’s
26 commitment amount is equal to or exceeds the reporting threshold of €25,000 (i.e.
27 when the debtor of the written-off instrument also has other instruments vis-à-vis the
28 observed agent and the instruments are subject to reporting).

29 On the other hand, an instrument that is no longer held or serviced by the observed
30 agent (for example, when it is sold to another counterparty or debt forgiveness
31 applies) and in relation to which a write-off has taken place is reported only until the
32 end of the quarter in which the observed agent ceases to hold or service the
33 instrument. In this case, the only datasets that are reported are the financial dataset
34 (on a monthly basis) and the accounting dataset, while the remaining datasets are, in
35 principle, not reportable. Please note that with regard to the financial and accounting
36 datasets, only very few data attributes are actually applicable during this extended
37 reporting period (so as to make the capturing of the loss incurred by the instrument

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1 possible in AnaCredit); these include, in particular, the “outstanding nominal amount”

2 (which is reported as “0”), the “accumulated write-offs” and the “cumulative
3 recoveries since default”, while the vast majority of data attributes no longer apply
4 and are reported using one of the special reporting values (cf. Section 2.2).

5 Revision mark: references to For an illustration of the reporting requirements in relation to such instruments,
relevant examples are added
6 please refer to Example 21 in Section 4.4.3 which concerns the sale of a non-
7 performing loan to a third party and to Case 13.2 in Chapter 8 in Part III of the
8 AnaCredit Manual which presents an example of reporting in the case of debt
9 forgiveness and write-offs.

3.2 Level of granularity

10 The instrument dataset is compiled at the level of the instrument itself from the
11 perspective of an observed agent whose data are reported by the reporting agent.

3.3 Reporting frequency

12 The instrument dataset is reported according to the on-change method. This means
13 that initially the instrument dataset is reported to AnaCredit for all reportable
14 instruments, but subsequently the instrument dataset is only reported for (a) new
15 instruments or (b) instruments for which any of the data attributes in the dataset has
16 changed compared with the data reported previously. 9

17 In accordance with the general reporting principle, the information contained in the
18 instrument dataset is considered valid as of the reporting reference date to which the
19 instrument refers.

20 Please note that, with the passage of time, values of certain data attributes that were
21 previously reported to AnaCredit may become outdated and an update may
22 therefore be necessary. This means that, after the update, the data available at a
23 reporting reference date accurately describe an instrument as of the reporting
24 reference date.

25 In general, whether or not an observed agent holds or services an instrument as of a

26 reporting reference date is implied by the information reported in the financial
27 dataset. This means that, for an instrument reported in the financial dataset, a record
28 for this instrument is sought in the instrument dataset. Conversely, if an instrument is
29 not reported in the financial dataset as of a reporting reference date, then the
30 instrument is assumed not to be subject to AnaCredit reporting, even if a record for
31 the instrument was submitted previously and exists in the instrument dataset.

9
Please note that this applies to all AnaCredit datasets which are reported according to the on-change
method, and not only to the instrument dataset.

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1 In particular, if at a given reporting reference date, an instrument is reported in the

2 financial dataset, the instrument dataset contains a record which describes the
3 instrument as of the reporting reference date.

4 If the instrument is further reported in the financial dataset as of a subsequent reporting

5 reference date, and the information in the instrument dataset still accurately describes
6 the instrument as of that date (although the information was only submitted to
7 complement the part of the instrument described in the financial dataset in respect of
8 an earlier reporting reference date), there is no need to report a record in the
9 instrument dataset (as the information is already present and accurate in AnaCredit).

10 Revision mark: clarification and a However, if later on one or more features of the instrument changes (e.g. the interest
reference to Part I are added
11 rate spread/margin is increased), then in order to have up-to-date information
12 describing the instrument reported in the financial dataset as of the reporting
13 reference date following the change, an update of the instrument dataset is
14 submitted to AnaCredit, sending the complete record with information on the
15 instrument, i.e. sending the values of all data attributes of the instrument dataset,
16 including those that have not changed (cf. Section 6.3.2 in Part I of the Manual).

17 For an illustration of how the instrument dataset is reported vis-à-vis the financial
18 dataset, please considered the following example.

Example 3: Updating the instrument dataset

At a given reporting reference date, the financial dataset reported in relation to observed
agent Bank A with counterparty identifier “Cpty#A” includes an instrument with instrument
identifier “Inst#123” arising under a contract with contract identifier “Cntrct#A#2016”. The
instrument dataset contains a record which describes the instrument as of the reporting
reference date.

Instrument “Inst#123” is reported for the first time as of 30 September 2019. In particular,
the following record presented in Table 6 is entered in the financial dataset.
Table 6 Indication of the financial dataset in relation to instrument “Inst#123”
Reporting Outstanding nominal
reference date Contract identifier Instrument identifier amount
30/09/2019 CNTRCT#A#2016 INST#123 50,000.00

The information in AnaCredit describing the instrument as at 30 September 2019 needs

to be up to date. Therefore, a record is submitted to the instrument dataset in a timely
manner so that it can be updated with the information valid as of 30 September 2019.
Table 7 illustrates the reporting of the instrument dataset as at 30 September 2019.
Table 7 Indication of the instrument dataset as of September 2019
Reporting Contract Interest rate
reference date identifier Instrument identifier spread/margin
30/09/2019 CNTRCT#A#2016 INST#123 0.0075

Instrument “Inst#123” continues to be reported as of 31 October 2019. In particular, the

following record is transmitted to AnaCredit in the financial dataset as at 31 October 2019
(Table 8).

However, as no change has actually taken place in relation to any of the data attributes in
the instrument dataset since the last time the information was submitted to AnaCredit (i.e.
to accompany the financial dataset as of 30 September 2019), the relevant information

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available in AnaCredit in respect to these attributes is still up to date and need not be
sent again. Instead, in order to describe the instrument reported in the financial dataset
as at 31 October 2019, AnaCredit copies the instrument information that was available as
at 30 September 2019 (i.e. no record is submitted if no change has occurred in the
information already available in AnaCredit).
Table 8 Indication of a record reported in the financial dataset in relation to
instrument “Inst#123” as of 31 October
Reporting Contract Instrument Outstanding nominal
reference date identifier identifier amount
31/10/2019 CNTRCT#A#2016 INST#123 45,000.00

Instrument “Inst#123” continues to be reported as at 30 November 2019, and the

following record is entered in the financial dataset.
Table 9 Indication of the financial dataset on 30 November 2019
Reporting Outstanding nominal
reference date Contract identifier Instrument identifier amount
30/11/2019 CNTRCT#A#2016 INST#123 40,000.00

However, the interest rate spread/margin of the instrument (as captured in the instrument
dataset) changed in November, and the record of the instrument dataset available in
AnaCredit is not up to date. Consequently, an up-to-date record of the instrument dataset
(Table 10) needs to be submitted to AnaCredit to accompany the information submitted in
the financial dataset with reference to 30 November 2019.
Table 10 Indication of the instrument dataset that is sent to AnaCredit as of 30 November
2019 when a change takes place
Reporting Interest rate
reference date Contract identifier Instrument identifier spread/margin
30/11/2019 CNTRCT#A#2016 INST#123 0.0050

1 In other words, the information in the instrument dataset is submitted in a timely

2 manner in order to keep it up to date at each reporting reference date. As this
3 information accompanies the information reported regularly in the financial dataset, it
4 is consequently necessary to update the dataset so that records which are outdated
5 or new records are submitted to AnaCredit no later than the time of the regular
6 transmission (in which, inter alia, the financial dataset is submitted) for the reporting
7 reference date to which they refer.

8 In this way, any change in the actual situation that takes place between two
9 consecutive reporting reference dates (i.e. between moments T and T+1) and is still
10 valid at T+1 is accurately reflected in the instrument dataset that refers to the
11 reference date T+1.

3.4 The instrument dataset – data attributes

12 This dataset is for instruments reported in the financial dataset where for each
13 combination of contract and instrument identifier a record exists in the instrument
14 dataset describing the instrument – either because such a record was submitted in a
15 previous period and all the data attributes contained therein are still up to date, or
16 because such a record is submitted to accompany, inter alia, the record in the

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1 financial dataset. In particular, the following data attributes are available for an
2 instrument on a reporting reference date.

Table 11 Overview of data attributes in the instrument dataset

Internal Section in
Data attribute identifier Data type Part II

Reporting agent identifier √ String 2.1.2.1

Observed agent identifier √ String 2.1.2.2
Contract identifier √ String 2.1.2.4
Instrument identifier √ String 2.1.2.5
Type of instrument Code list 3.4.1
Inception date Date 3.4.4
Amortisation type Code list 3.4.15
Currency Code list 3.4.3
Fiduciary instrument Code list 3.4.20
End date of interest-only period Date 3.4.10
Interest rate cap Numerical value 3.4.13
Interest rate floor Numerical value 3.4.13
Interest rate reset frequency Code list 3.4.9
Interest rate spread/margin Numerical value 3.4.12
Interest rate type Code list 3.4.8
Legal final maturity date Date 3.4.6
Commitment amount at inception Amount in euro 3.4.21
Payment frequency Code list 3.4.16
Project finance loan Code list 3.4.2
Purpose Code list 3.4.14
Recourse Code list 3.4.7
Reference rate Code list 3.4.11
Settlement date Date 3.4.5
Subordinated debt Code list 3.4.18
Syndicated contract identifier String 3.4.17
Repayment rights Code list 3.4.19
Fair value changes due to changes in
Amount in euro 3.4.22
credit risk before purchase

3.4.1 Type of instrument

Definition: Classification of the instrument according to the type of contractual terms

agreed between the parties.

3 This section provides a detailed description of the instrument categories into which
4 reporting agents classify individual financial instruments reported under the
5 AnaCredit Regulation. The classification put forward in the AnaCredit Regulation

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1 does not constitute an exhaustive list of all financial instruments that exist but only
2 categorises eligible instruments.

3 Revision mark: further The classification of instruments into the different types of instrument in AnaCredit is
clarifications are included in this
4 paragraph based on the intrinsic characteristics of the operations (e.g. whether they are credit
5 limits with or without revolving nature or whether they are disbursed in one
6 instalment, etc.), except those classified as “deposits other than reverse repurchase
7 agreements” where the institutional sector of the debtor (i.e. when the debtor is a
8 monetary financial institution) is also considered.

9 Instruments of any of the types discussed below are reported to AnaCredit on

10 condition that they fulfil the general criteria triggering the reporting obligation at a
11 given reporting reference date, as explained in Part I, Chapter 5, of the Manual,
12 “Criteria triggering the reporting obligation”.

Values

13 For each instrument reported, one of the following values is reported in this data
14 attribute to provide a qualification of the type of the instrument.

Deposits other than reverse repurchase agreements

Definition: Deposits as defined in paragraph 5.79 of Annex A to

Regulation (EU) No 549/2013 other than reverse repurchase agreements.

15 Deposits other than reverse repurchase agreements are transferable deposits as

16 defined in paragraph 5.80 and other deposits (excluding reverse repurchase
17 agreements) as defined in paragraph 5.85 of Annex A to Regulation (EU) No
18 549/2013.

19 Revision mark: clarification is Moreover, in accordance with Regulation (EU) No 1071/2013 concerning the balance
added that “deposits” also covers
20 “loans” received by monetary sheet of the monetary financial institutions sector, it is clarified that loans to monetary
21 financial institutions financial institutions are also classified as deposits. For this reason, the type of
22 Revision mark: updated instrument “deposits other than reverse repurchase agreements” also covers any
references to the amended ITS are
23 provided type of deposit or loan (except those that meet the definition of reverse repurchase
24 agreements in paragraphs 85(e), 183 and 184 of Part 2 of Annex V to the amended
25 ITS) when the debtor is a monetary financial institution (i.e. when its institutional
26 sector 10 is central banks, credit institutions, deposit-taking corporations other than
27 credit institutions or money market funds, irrespective of whether or not it is resident
28 in a reporting Member State).

29 Revision mark: clarification is In a similar vein, repayable margins payments, which are payments of cash as
added regarding repayable margin
30 payments in line with collateral that cover actual or potential obligations incurred through financial
31 Q&A 2018/0011 derivatives, are instruments that are subject to AnaCredit reporting and are classified
32 as “deposits other than reverse repurchase agreements” if the holding institution is a
33 monetary financial institution as referred to in the previous paragraph.

10
For the definition of the data attribute “institutional sector”, please refer to Section 12.4.14.

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1 Consequently, the instrument type “deposits other than reverse repurchase

2 agreements” includes:

3 • (short-term) money market lending to other monetary financial institutions;

4 • cash collateral, including repayable margin payments deposited in cash under

5 transactions in financial derivatives (for example, in a forex contract) posted by
6 the observed agent to protect the other counterparty against default or
7 settlement risk, on condition that that counterparty is a monetary financial
8 institution;

9 • any other deposits placed by the observed agent, irrespective of the institutional
10 sector of the counterparty with whom they are deposited, with the exception of
11 deposits which meet the definition of reverse repurchase agreements in
12 paragraphs 85(e), 183 and 184 of Part 2 of Annex V to the amended ITS.

13 In no case do deposits received by the observed agent fall within the scope of this
14 item. Notably, any inter-bank positions between monetary financial institutions are in
15 general referred to as deposits (cf. paragraph 5.119 of Annex A to Regulation (EU)
16 549/2013). Taking the perspective of the observed agent, only deposits in debit are
17 subject to reporting (i.e. a debtor owes funds to the observed agent).

18 Conversely, in line with the requirements laid down in Articles 1(23), 4 and 5 (and as
19 discussed in Chapter 4 in Part I of the Manual regarding instruments within the
20 scope of AnaCredit), deposits which are owed to creditors by the observed agent do
21 not comply with the type of instrument as referred to by the definition because they
22 are liabilities of the observed agent.

23 Revision mark: further Note that current accounts of the observed agent held with other credit institutions
clarifications are added regarding
24 the treatment of nostro account (such as nostro account balances) fall into the category of deposits and are reported
25 balances in line with to AnaCredit if the other credit institution owes funds to the observed agent (i.e.
Q&A 2018/0014
26 when the current account has a debit balance or nostro account balance, as defined
27 in Section 4.6.1 in Part I of the Manual.

Overdrafts

Definition: Overdraft as defined in point 2(1)(c) of the Table in Part 2 of Annex II to

Regulation (EU) No 1071/2013 (ECB/2013/33).
Revision mark: this paragraph is
28 streamlined following the inclusion In accordance with Regulation (EU) No 1071/2013 (ECB/2013/33), overdrafts are
of a reference to “deposits other
29 than reverse repurchase “debit balances on current accounts”, i.e. funds provided to debtors 11 in the form of
agreements”
30 debit balances on current accounts.

31 Current accounts are created with An instrument (a debit balance) classified as an overdraft is necessarily one that
the primary goal of allowing credit
32 balances, although ordinary debit arises on a current account, i.e. an account created with the primary goal of allowing
33 balances are also allowed credit balances mainly, although ordinary debit balances are also allowed on such an

11
I.e. debtors other than monetary financial institutions; cf. the clarifications on deposits other than
reverse repurchase agreements above.

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1 account. By contrast, a standard loan account or a revolving credit other than an

2 overdraft is primarily intended only to have debit balances.

3 Please note that the requirement for an overdraft to be associated with a current
4 account distinguishes overdrafts (with a credit limit) from “revolving credit other than
5 overdrafts”. In other words, if a credit limit under which the debtor may use and repay
6 funds (i.e. a credit limit of a revolving nature) is not directly assigned to a current
7 account, then such a credit limit is considered a revolving credit other than an
8 overdraft.

9 Debit balances on current accounts arise with regard to:

10 • current accounts with a credit limit;

11 • current accounts with no credit limit.

12 Where a credit limit is associated with a current account, it is understood that this
13 credit limit was granted under a credit contract which specifies the conditions on
14 which the funds may be used. Such a contract may either be made at the same time
15 as a current account is created or may be an addendum to the current account
16 agreement made after the current account was created.

17 As regards current accounts which are not associated with a contractually agreed
18 credit limit, debit balances may arise on such accounts in a number of cases,
19 including:

20 • unauthorised debits;

21 • nostro/vostro accounts. 12
Revision mark: further
22 clarifications are added regarding Regarding overdrafts which arise on current accounts with an agreed credit limit
23 the settlement date for overdrafts (which are of a revolving nature), please note that:
arising on current accounts with an
agreed credit limit
24 • the inception date is the date on which the credit limit was contractually agreed,
25 rather than the date on which the current account was created (cf. Section
26 3.4.4);

27 • the settlement date is the date on which the debtor draws funds under the credit
28 limit for the first time (irrespective of whether or not there is a debit balance on
29 the current account on the reporting reference date); in cases where no funds
30 have been drawn at all in the period between the inception date and the
31 reporting reference date, the settlement date is reported as “non-applicable” (cf.
32 Section 3.4.5);

33 • the legal final maturity date is the date on which the credit limit will be revoked
34 in accordance with the contract of the credit limit; in cases where the contract
35 does not specify such a date, “non-applicable” is reported (cf. Section 3.4.6).

12
Cf. the clarifications on deposits other than reverse repurchase agreements above concerning the type
of instrument reported to AnaCredit in such cases.

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1 Revision mark: further In the case of overdrafts which arise on current accounts that are not associated with
clarifications are added regarding
2 the inception date for overdrafts an agreed credit limit as such, please note that:
arising on current accounts that are
3 not associated with an agreed
• the inception date is the date since when the current account has been in debit
credit limit
4 for an uninterrupted period until the reporting reference date, rather than the
5 date on which the current account was created (cf. Section 3.4.4);

6 • the settlement date coincides with the inception date, which is the date when
7 the debit balance is considered to have been disbursed (cf. Section 3.4.5);

8 • the legal final maturity date does not in principle exist, as it is not contractually
9 specified (although it is not excluded that such a date may exist in certain
10 cases); as a result, “non-applicable” is reported (cf. Section 3.4.6).

11 Please note that credit balances on current accounts are not subject to AnaCredit
12 reporting. However, a distinction is drawn between:

13 • credit balances on current accounts with an agreed credit limit;

14 • credit balances on current accounts which are not associated with an agreed
15 credit limit.

16 The reporting of current accounts with an agreed credit limit is triggered by the
17 existence of the credit limit, irrespective of whether the balance on the current
18 account is debit or credit. However, the credit balance is set to 0 (zero) when
19 reported to AnaCredit.

20 Meanwhile, current accounts which are not associated with an agreed credit limit are
21 subject to AnaCredit reporting only if they are in debit at a reporting reference date.
22 Otherwise, when in credit, they are not overdrafts in accordance with Article 1(23) of
23 the AnaCredit Regulation.

24 The revolving nature of this type of Current accounts with a credit limit are a banking product (of a revolving nature) that
instrument comes from the fact that
25 the amount of available credit can enables the debtor to draw funds directly from the current account up to the specified
26 increase and decrease as funds are credit limit amount. Therefore, it is irrelevant whether or not the credit limit has been
drawn and repaid
27 exceeded, and the total debit balance outstanding on a current account with a credit
28 limit is reported, irrespective of whether or not the specified credit limit has been
29 exceeded, in the data attribute “outstanding nominal amount” in accordance with the
30 AnaCredit Regulation (cf. Section 4.4.9).

31 Off-balance-sheet amount under Funds that can, in accordance with the contract (under which the instrument arises),
overdraft with a credit limit
32 still be drawn in addition to the outstanding nominal amount, so that the credit limit is
33 not exceeded, are reported as the data attribute “off-balance-sheet amount”. In
34 particular, if the outstanding nominal amount exceeds the instrument’s credit limit,
35 the off-balance-sheet amount is reported as €0 (cf. Section 4.4.10).

36 The commitment amount at inception for debit balances on current accounts with a
37 credit limit is the credit limit as at the inception date (cf. Section 3.4.21).

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1 Debit balances on current accounts As regards debit balances with no credit limit, these typically arise without a specific
with no credit limit have no off-
2 balance-sheet amount and are credit contract being created (cf. Example 4 and Example 5). Nevertheless, having
3 typically payable on call regard to the general terms of the current account agreement, the agreement
4 Revision mark: Example 4 is typically provides that, if a debit balance arises on the current account, conditions
added in line with Q&A 2018/0033
5 favouring the creditor typically come into operation – for instance, the debtor is
6 required to repay this (unauthorised) debt immediately. The debit balance is reported
7 as the outstanding nominal amount (cf. Section 4.4.9). As no credit limit exists as
8 such, the off-balance-sheet amount is reported as “non-applicable” because by
9 definition there is no amount that could be additionally drawn by or disbursed to the
10 debtor vis-à-vis the instrument without changing the contract (cf. Section 4.4.10).The
11 commitment amount at inception for debit balances on current accounts with no
12 credit limit is reported as “non-applicable” (cf. Section 3.4.21).

Example 4: Unauthorised debits arising on current accounts

Debit balances on current accounts can arise in current accounts that do not have a
credit limit attached. This, for example, can happen owing to fees incurred when opening
a deposit account or another product, possibly unrelated to lending activities, the current
account may be debited, even if the account holder does not have the funds at his/her/its
disposal).

If such a fee is booked in an overdraft account or current account with no credit limit
resulting in a debit balance, the fee amount (as part of the outstanding amount) is subject
to AnaCredit reporting. This is due to the fact that any unpaid past due interest, penalty
fees or other fees charged to the instrument are included in the outstanding nominal
amount (cf. Section 4.4.9).

13 Revision mark: clarifications Overdrafts are reported to AnaCredit where the debtor’s commitment amount vis-à-
regarding operational overdrafts on
14 currents accounts are added in line vis the observed agent is or exceeds €25,000 at the reporting reference date,
15 with Q&A 2018/0003 regardless of whether such debit balances are operational in nature and only last for
16 short periods of time (e.g. due to mismatches between the settlement dates of
17 transactions related with the activity of custody).

18 Revision mark: further Please also note that, as far as counterparty reference data relating to unauthorised
clarifications are added in line with
19 Q&A 2018/0001 debit balances are concerned, there are no reduced requirements in such cases,
20 even if an unauthorised debit balance (exceeding the reporting threshold of €25,000)
21 is the debtor’s only instrument with the observed agent.

22 Overdrafts are funds in the form of Debit balances on current accounts where the debtor is a monetary financial
debit balances on current accounts
23 provided to debtors other than institution are not classified as overdrafts but are instead classified as “deposits other
24 Monetary Financial Institutions than reverse repurchase agreements”.

Credit card debt

Definition: Credit granted via delayed debit cards, i.e. cards providing convenience
credit, or via credit cards, i.e. cards providing convenience credit and extended credit.

25 Credit card debt comprises credit granted via either of the following two types of
26 card:

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1 • delayed debit cards, i.e. cards providing convenience credit (credit granted at
2 an interest rate of 0% in the period between the payment transactions made
3 with the card during one billing cycle and the date at which the debit balances
4 from this specific billing cycle become due);

5 • credit cards, i.e. cards providing convenience credit and extended credit (credit
6 granted after the due dates of the previous billing cycles have passed, i.e. debit
7 amounts on the card account that have not been settled when this was first
8 possible, for which an interest rate or tiered interest rates usually greater than
9 0% are charged).
The amount of available credit
10 under credit cards can increase and Credit card debt is considered to be a revolving credit instrument where funds can be
11 decrease as funds are drawn and repeatedly repaid and drawn up to an agreed credit limit.
repaid

12 Revision mark: editorial changes The balance outstanding under credit cards is reported in the data attribute
are applied
13 “outstanding nominal amount”. Funds that can be still drawn under credit cards, on
14 top of the balance outstanding, without exceeding the credit limit, are reported in the
15 data attribute “off-balance-sheet amount”. If the outstanding nominal amount
16 exceeds the credit limit of the instrument, the off-balance-sheet amount to be
17 reported is €0.

18 Reporting in the case of a credit As a general practice, credit card debt is recorded on dedicated card accounts and
card debt linked to a current
19 account therefore not evident on current accounts, although in certain cases the credit may
20 Revision mark: further be debited to a current account of the debtor. In both cases, irrespective of whether
21 clarifications are included in or not credit card debt is linked to a current account, credit card debt is reported as a
Example 5
22 separate instrument. For an illustration of the reporting and how the outstanding
23 nominal amount is determined in the case of a credit card debt linked to a current
24 account, please consider the following example.

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Example 5: Credit card debt linked to a current account

DBTR#CC has credit vis-à-vis observed agent OA#1, where DBTR#CC has a current
account with a credit limit of €25,000 (OVRDRFT#1) originated under contract Cntr#Ovr
and a credit card limit of €5,000 (CC#2) originated under contract Cntr#CC linked to the
same current account. According to the billing cycle, any amounts outstanding on the
credit card on the 21st day of each month are debited to the current account. In the
course of March and April, the following takes place:

• on 28 February, both OVRDRFT#1 and CC#2 have outstanding nominal

amounts of €0;

• DBTR#CC has used the credit card to the effect that on 21 March it has an
outstanding balance of €1,200, which is then debited to the current account
(resulting in a balance of €1,200 that remains unpaid on 31 March);

• thereafter, DBTR#CC continues using the credit card so that on 31 March the
card’s outstanding balance amounts to €950;

• on 4 April DBTR#CC pays in full the balance outstanding on the current account;
• on 15 April DBTR#CC draws an amount of €5,000 directly from the current
account, resulting in an outstanding balance of €5,000;

• in the period between 1 and 21 April, DBTR#CC further uses the credit card so
that on 21 April the outstanding balance increases to €3,500, which is then
debited to the current account, resulting in a balance of €8,5000 outstanding on
the current account;

• DBTR#CC does not use the credit card for the rest of April;

• DBTR#CC neither draws any other amounts from nor pays amounts to the
current account for the rest of April.

Both OVRDRFT#1 and CC#2 are reported as separate instruments, with the type of
instrument being “overdraft” for the first instrument and “credit card debt” for the second
instrument. An overview of the outstanding nominal amount and the off-balance-sheet
amount is provided in Table 12.
Table 12 Overview of the amounts across the debtor’s instruments
Reporting Contract Instrument Outstanding nominal Off-balance-sheet
reference date identifier identifier amount amount
28/02/2019 CNTR#OVR OVRDRFT#1 0.00 25,000.00

28/02/2019 CNTR#CC CC#2 0.00 5,000.00

31/03/2019 CNTR#OVR OVRDRFT#1 1,200.00 23,800.00

31/03/2019 CNTR#CC CC#2 950.00 4,050.00

30/04/2019 CNTR#OVR OVRDRFT#1 8,500.00 16,500.00

30/04/2019 CNTR#CC CC#2 0.00 5,000.00

1 Typically, credit card debt is unsecured, meaning that no protection specific to the
2 credit card is provided. In such cases, no entry in the instrument-protection received
3 dataset is made for a credit card debt instrument.

4 The debtor to a credit card debt The debtor to these forms of credit is the entity liable to eventually repay the
instrument
5 amounts outstanding on the credit card account in accordance with the credit
6 contract, which not necessarily coincides with the cardholder – for example, in the
7 case of company credit cards, it is typically the company that is liable for the debt as
8 opposed to the person who holds the credit card.

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Revolving credit other than overdrafts and credit card debt

Definition: Credit that has the following features: (i) the debtor may use or withdraw
funds up to a pre-approved credit limit without giving prior notice to the creditor; (ii) the
amount of available credit can increase and decrease as funds are borrowed and
repaid; (iii) the credit may be used repeatedly; (iv) it is not credit card debt or
overdrafts.
The revolving nature of this type of
1 instrument comes from the fact that Revolving credit other than overdrafts and credit card debt is any instrument, other
the amount of available credit can
2 increase and decrease as funds are than a current account with a credit limit or a credit card debt, where funds can be
drawn and repaid
3 repeatedly repaid and drawn again up to an agreed credit limit. This means that a
4 Revision mark: the repeated credit limit is granted, and the debtor is enabled to receive funds from the creditor to
reference to current accounts and
5 credit card debt is dropped an amount such that, taking into account payments made by or to the credit of the
6 debtor, the credit limit is not exceeded.

7 In the context of AnaCredit, the following types of instrument are considered to be

8 revolving because funds available under the credit limit replenishes after payments
9 are made by the debtor (cf. Section 3.1.3 (a)):

10 • current accounts with an agreed credit limit (classified as overdrafts in

11 accordance with Article 1(23) of the AnaCredit Regulation);

12 • credit card debt;

13 • revolving credit other than overdrafts and credit card debt.

Revision mark: clarifications are
14 added regarding revolving trade In addition, some instruments that meet the definition of trade receivables may be
15 receivables formalised in contracts with a credit limit which replenishes after payments by the
16 debtor. Consequently, they may have a revolving nature; nevertheless, they are
17 reported to AnaCredit as “trade receivables” instead of “revolving credit other than
18 overdrafts and credit card debt” (cf. the definition of “trade receivables” below).

19 Revision mark: clarifications are The remaining types of instrument as referred to in Article 1(23) of the AnaCredit
added concerning non-revolving
20 credit lines Regulation are not deemed to be revolving. This includes credit lines other than
21 revolving credit which are not revolving, despite the fact that these instruments may
22 have an undrawn part that may be utilised by the debtor, because funds available
23 under the credit limit do not replenish even if repayments are made by the debtor (cf.
24 Section 3.1.3 (b)).

25 As an indication, a revolving credit granted on the basis of pledged trade receivables

26 is typically classified as “revolving credit other than overdrafts and credit card debt”.
27 However, a fixed-sum credit which does not entail any off-balance-sheet amount
28 granted on the basis of pledged trade receivables is typically classified as “other
29 loans”.

30 Part III of the Manual provides Often, multi-product credit facilities under which a number of individual instruments
clarification regarding the reporting
31 of credit facilities under which exist, each with possibly different characteristics, are of a revolving nature.
32 different types of instrument exist Notwithstanding their revolving nature, such multi-product credit facilities are not
33 considered “revolving credit other than overdrafts and credit card debt”. The
34 reporting of credit facilities under which different individual instruments may be

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1 created is clarified in a case study in Part III of the Manual dealing specifically with
2 credit cross-limit structures (multi-product credit facilities). Additionally, general rules
3 regarding such multi-product credit facilities are elaborated on in Section 4.6.3 in
4 Part I of the Manual.

Credit lines other than revolving credit

Definition: Credit that has the following features: (i) the debtor may use or withdraw
funds up to a pre-approved credit limit without giving prior notice to the creditor; (ii) the
credit may be used repeatedly; (iii) it is not revolving credit, credit card debt or
overdrafts.
Credit lines other than revolving
5 credit that are not of a revolving “Credit lines other than revolving credit” are (as the term makes explicit) instruments
nature
6 which are not of a revolving nature, i.e. which do not allow repaid funds to be drawn
7 again. In fact, the amount of available credit can only decrease as funds are drawn,
8 and repaying funds does not increase the available amounts.

9 Credit lines other than revolving credit involve a credit limit, i.e. the maximum debit
10 balance which is allowed to stand on the instrument’s account. The debtor may
11 receive the maximum debit balance in one amount or by instalments (or tranches);
12 however, in contrast to revolving credits, any amount once paid to the debtor always
13 reduces the funds still available to the debtor under the instrument, even though it
14 has been repaid by the debtor. Consequently, credit lines other than revolving credit
15 may not have any off-balance-sheet amount available from a certain moment in time
16 onwards even though such amounts were available in earlier periods of the lifecycle
17 of such instruments.

18 Revision mark: editorial changes Please refer to the type of instrument “revolving credit other than overdrafts and
are applied
19 credit card debt” above and Section 3.1.3 for guidance regarding the difference
20 between revolving credit and credit lines other than revolving credit. Funds that can
21 still be drawn under “revolving credit other than overdrafts and credit card debt” are
22 reported in the data attribute “off-balance-sheet amount”. If the total available credit
23 has been completely drawn, either in one amount or by instalments, the off-balance-
24 sheet amount is reported as €0.

25 For an illustration of how the outstanding nominal amount and off-balance-sheet

26 amount are reported for this type of instrument, please consider the following
27 example.

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Example 6: Credit lines other than revolving credit

On 1 March 2019, observed agent OA#1 contractually agrees with debtor Dbtr#2 a credit
line other than revolving credit of €900,000 (Ins#1). In accordance with the contract
(Cntr#A), the credit institution first makes the credit line available to the debtor on 15
March 2019, and the debtor agrees to draw this down in full by 1 August 2019 in three
instalments of €300,000 each. The following takes place:

• on 22 April 2019, the debtor draws the first tranche;

• on 20 May 2019, the debtor draws the second tranche;

• on 25 June 2019, the debtor repays an amount of €150,000;

• on 3 July 2020, the debtor draws the last tranche.

Table 13 shows a record of the instrument dataset as reported in the initial transmission
of Ins#1 on the assumption that no other changes take place, whereas Table 14 shows
an analogous record that is submitted as of 30 April following the change in the
settlement date. Finally, Table 15 shows the development of the outstanding nominal
amount and the off-balance-sheet amount as reported in the entire period concerned.
Table 13 Indication of the instrument data reported as of 31 March
Reporting Commitment
reference Contract Instrument Inception amount at
date identifier identifier Type of instrument date Settlement date inception
Credit lines other
31/03/2019 CNTR#A INS#1 01/03/2019 “Non-applicable” 900,000.00
than revolving credit

Table 14 Indication of the instrument data subsequently reported as of 30 April

Reporting Commitment
reference Contract Instrument Inception amount at
date identifier identifier Type of instrument date Settlement date inception
Credit lines other
30/04/2019 CNTR#A INS#1 01/03/2019 22/04/2019 900,000.00
than revolving credit

Table 15 Indication of the financial data reported monthly

Reporting
reference Instrument Outstanding Off-balance-sheet
date Contract identifier identifier nominal amount amount
31/03/2019 CNTR#A INS#1 0.00 900,000.00

30/04/2019 CNTR#A INS#1 300,000.00 600,000.00

31/05/2019 CNTR#A INS#1 600,000.00 300,000.00

30/06/2019 CNTR#A INS#1 450,000.00 300,000.00

31/07/2019 CNTR#A INS#1 750,000.00 0.00

Note that Ins#1 is subject to reporting as soon as the debtor is enabled to draw funds, i.e.
from 15 March 2019, although no funds have yet been disbursed on that date.
Please note also that although Dbtr#2 repays €150,000 on 25 June, this repayment,
unlike in the case of revolving credit, does not increase the amount of available funds
(i.e. the off-balance-sheet amount is not affected). Consequently, the off-balance-sheet
amount on 30 June is €300,000, rather than €450,000, as repayments do not increase
the available funds. The amount of €300,000 in particular reflects the fact that two
tranches of the loan have already been paid out and the third one is still to be disbursed.

1 Any instrument that satisfies the conditions referred to in the definition above is
2 classified as “credit lines other than revolving credit”. For instance, a non-revolving
3 credit granted on the basis of pledged trade receivables is typically classified as
4 “credit lines other than revolving credit”. Similarly, a non-revolving credit granted to

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1 finance projects is typically classified as “credit lines other than revolving credit”,
2 even when the disbursement of funds for projects depends on the progress of the
3 project. This is because, from the credit risk perspective, there is a possibility that the
4 funds will be disbursed even though prior notice to and the approval of the creditor
5 will typically be necessary.

6 Revision mark: clarifications about The difference between “credit lines other than revolving credit” and “other loans” is
the difference between “credit lines
7 other than revolving credit” and that the former includes the possibility to draw the credit limit in one or more
8 “other loans” are added instalments, while the latter is necessarily disbursed in one instalment. It should also
9 be noted that if funds available under “credit lines other than revolving credit” are
10 actually disbursed in one instalment, their type of instrument does not change to
11 “other loans” under AnaCredit.

12 Part III of the Manual provides Credit lines other than revolving credit do not include multi-instrument/multi-product
clarifications regarding the reporting
13 of credit facilities under which credit facilities that cover different kinds of instrument in which the off-balance-sheet
14 different types of instrument exist amount is shared between some or all instruments belonging to such a credit facility.
15 Revision mark: this paragraph is The reporting of credit facilities under which different individual instruments may be
consolidated with the clarifications
16 formerly provided above created is clarified in a case study in Part III of the Manual dealing specifically with
17 credit cross-limit structures (multi-product credit facilities). Additionally, general rules
18 regarding such multi-product credit facilities are elaborated on in Section 4.6.3 in
19 Part I of the Manual.

Reverse repurchase agreements

Definition: Reverse repurchase agreements as defined Part 2, paragraph 85(e) of

Annex V to the amended Implementing Regulation (EU) No 680/2014.
Revision mark: the references are
20 updated in line with the amended Reverse repurchase agreements (reverse repos) are the instruments to be reported
ITS
21 to FINREP as reverse repurchase loans as defined in Part 2, paragraphs 85(e), 183
22 and 184, of Annex V to the amended ITS, where reverse repurchase agreements are
23 transactions in which the credit institution lends cash in exchange for financial assets
24 or gold sold at a given price under a commitment to repurchase the same (or
25 identical) assets at a fixed price on a specified future date.

26 Revision mark: further In the context of AnaCredit, “reverse repurchase agreements” includes any
clarifications are added on the
27 types of assets that are exchanged transaction in which the observed agent lends cash in exchange for any financial
28 for cash under “reverse repurchase assets or gold transferred by a third party where there is a commitment to reverse
agreements”
29 the operation and not merely an option to do so. It is clarified that in all such cases
30 the type of instrument is reported as “reverse repurchase agreements”, even (in the
31 rare cases) where the exchanged asset is not a financial asset or gold (e.g. a
32 commodity).

33 In particular, reverse repurchase agreements include:

34 (a) amounts loaned out in exchange for securities temporarily transferred to a

35 third party in the form of securities lending against cash collateral;

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1 (b) amounts loaned out in exchange for securities temporarily transferred to a

2 third party in the form of sale/buy-back agreement (cf. Part III, Section 2.1.
3 of the Manual for more details).

4 The specific type of a reverse Whether a given reverse repurchase agreement regards securities or other assets is
repurchase agreement may be
5 determined by the associated made explicit on the basis of the protection item linked to the instrument as reported
6 collateral in the instrument-protection received dataset and in the protection dataset. If the
7 assets serving as protection to a reverse repurchase agreement are securities, it is
8 concluded that the reverse repurchase agreement is a transaction in securities.

9 In all cases, a commitment to repurchase the assets (or assets of the same
10 description) by the transferor (i.e. the counterparty selling the assets) at a specified
11 price on a future date is key for this type of instrument (i.e. constitutes a specific
12 contractual relationship). In other words, a temporary purchase of assets will be
13 classed as “reverse repurchase agreements” only if there is a contractual
14 commitment to reversing the operation and not merely an option to do so.

15 Revision mark: further In the context of AnaCredit, a reverse repo transaction is economically equivalent to
clarifications are added in line with
16 Part I of the Manual a secured loan (where the sold assets are treated as collateral) (cf. Section 6.1.1 in
17 Part I of the Manual). For that reason, these instruments are reported as follows:

18 • The cash loaned out in exchange for assets is reported as an instrument. The
19 type of instrument is “reverse repurchase agreements”.

20 • The assets underlying the reverse repo transaction, which in essence

21 collateralise the instrument, are recorded as protection; if the assets are
22 securities, the type of protection is reported as “securities”, while if the operation
23 involves the temporary transfer of cash against gold, the type of protection is
24 “gold”. Otherwise, if the assets are commodities, the type of protection to be
25 reported is “other physical collateral”.

26 • The counterparty receiving the assets (the credit institution) is the instrument’s
27 creditor because it lends the cash in exchange for the assets.

28 • The counterparty receiving the loan is the instrument’s debtor.

29 • The debtor is the protection provider, because if the protection is exercised, the
30 debtor cedes ownership of the asset to the creditor and absorbs the loss.
No netting in AnaCredit
31 Please note that AnaCredit reporting is done on an instrument-by-instrument basis
32 without netting of collateral, even in the case of 100% cash-backed instruments.
33 Similarly, when reverse repurchase agreements are reported to AnaCredit, any
34 netting agreements are left out of consideration. For additional information, please
35 refer to Section 2.2.2 in Part III of the AnaCredit Manual.

36 Revision mark: the clarifications on It should be also noted that, in line with the clarifications regarding the moment at
the data attribute “off-balance-sheet
37 amount” are moved down to which an instrument becomes relevant for AnaCredit reporting, as discussed in
38 Section 4.4.10 Section 4.6.6 in Part I of the Manual, forward-starting reverse repurchase
39 agreements, in which no cash has yet been loaned out, are not subject to reporting
40 to AnaCredit until the cash is actually loaned out.

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1 A pool of assets underlying a As regards the reporting of a pool of assets (as opposed to a single asset)
reverse repurchase agreement is
2 reported in the protection received exchanged under a reverse repurchase agreement in the protection received
3 data at the pool level if the assets dataset, the assets may be reported at the pool level or at the individual asset level,
are valued at that level
4 depending on the valuation approach applied by the observed agent. Please refer to
5 Section 9.2 dealing specifically with the level of granularity of protection in the
6 protection received dataset.

7 For more details regarding the reporting of reverse repurchase agreements, please
8 refer to Chapter 2 in Part III of the Manual.

Trade receivables

Definition: Trade receivables as defined in paragraph 85(c) of part 2 of Annex V to the

amended Implementing Regulation (EU) No 680/2014.
Revision mark: references to the
9 amended ITS are added, including Pursuant to paragraph 85(c) of the amended ITS, the type of instrument “trade
clarification on the meaning of
10 “trade receivables” receivables” includes loans granted on the basis of bills or other documents that give
11 the right to receive the proceeds of transactions for the sale of goods or provision of
12 services (i.e. on the basis of “trade credit” as defined in Annex A to Regulation (EU)
13 No 549/2013) 13. This type of instrument includes all factoring and similar
14 transactions, such as acceptances, outright purchase of trade receivables, forfaiting,
15 discounting of invoices, bills of exchange, commercial papers and other claims, on
16 the condition that the credit institution buys the trade receivables (both with and
17 without recourse to the debtor).

18 Revision mark: this paragraph is Notably, accounts receivable stemming from sales of non-banking products by credit
expanded with additional
19 clarifications regarding receivables institutions are not trade receivables if the creditor has not bought them from a third
20 that are not “trade receivables” party. Furthermore, they are advances other than loans for the credit institution that
21 has sold the non-banking products and, consequently, they are not reported to
22 AnaCredit.

23 The type of instrument “trade receivables” is distinguished from financing against

24 trade credit (receivables).

25 Revision mark: editorial changes While “trade receivables” means purchasing receivables (the factoring client sells the
are applied
26 receivables), in financing against receivables credit institutions typically advance
27 funds against a pool of receivables which serve as protection (the seller of the goods
28 keeps the receivables and books the cash that it gets from the credit institution as a
29 loan received). In other words, financing against receivables is an instance of credit
30 that involves the use of receivables as protection for the credit (i.e. the receivables
31 are pledged as a form of funded protection).

32 Revision mark: clarifications are Some instruments that meet the definition of trade receivables may take the form of
included regarding revolving trade
33 receivables and trade receivables a credit line that replenishes after payments are made by the debtor. Consequently,
34 comprising undrawn amounts in line some trade receivables may have a revolving nature. Nevertheless, irrespective of
with Q&A 2018/0054
35 their revolving nature, such instruments are reported to AnaCredit as “trade

13
Paragraph 5.124 of Annex A to Regulation (EU) No 549/2013 defines “trade credit” as credit extended
by the supplier of goods and services to its customers.

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1 receivables” rather than as “revolving credit other than overdrafts and credit card
2 debt”.

3 In addition, in some cases, “trade receivables” can also be disbursed in several

4 instalments, although they do not have a revolving nature. For that reason,
5 depending on the terms of the contract, these instruments may have an off-balance-
6 sheet amount different from zero and therefore the data attribute “off-balance-sheet
7 amount” is reported as a monetary amount different from “non-applicable” in such
8 cases.

9 The type of instrument reported for Where a credit institution provides financing against receivables – i.e. the receivable
loans secured by pledged trade
10 receivables is not trade receivables is merely pledged but not purchased – the type of instrument reported to AnaCredit
11 for this financing is not trade receivables. Please refer to the type of instrument
12 “revolving credit other than overdrafts and credit card debt” for more information.

13 Revision mark: clarifications are Please note that the reporting of trade receivables varies depending on whether the
added that the reporting of trade
14 receivables varies depending on transferor of the trade receivables is considered, in accordance with the applicable
15 which counterparty is the debtor accounting standard, to have transferred substantially all the risks and rewards of
16 ownership of the receivables. 14

17 The reporting of factoring transactions and other trade receivables, including

18 reporting of individual data attributes, irrespective of whether they are with or without
19 recourse, is clarified in a case study on factoring and other trade receivables in
20 Chapter 5 in Part III of the Manual.

Financial leases

Definition: Financial leases as defined in paragraphs 5.134 to 5.135 of Annex A to

Regulation (EU) No 549/2013
Revision mark: further
21 clarifications are added concerning The type of instrument “financial leases” applies to all instruments which meet the
financial leases
22 definition of financial leases as set out in paragraphs 5.134 to 5.135 of Annex A to
23 Regulation (EU) No 549/2013, irrespective of whether the debtor has the right to
24 acquire possession of the asset at the end of the lease period. This means that a
25 financial lease is a contract under which the lessor as legal owner of an asset
26 conveys the risks and benefits of ownership of the asset to the lessee (i.e. the user
27 of the asset). Under a financial lease, the lessor is deemed to provide a loan to the
28 lessee with which the lessee (economically) acquires the asset.

29 Revision mark: the references are Under IFRS or consistent national GAAP, “financial leases” correspond to “finance
updated in line with the amended
30 ITS leases” as defined in IAS 17 and in FINREP (cf. Part 2, paragraph 85(d) of Annex V
31 to the amended ITS).

32 Revision mark: further Financial leases are economically equivalent to collateralised loans from the lessor
clarifications regarding AnaCredit
33 reporting in the case of financial (i.e. the legal owner of an asset, such as a durable good) to the lessee (i.e. the
34 leases are added in line with Q&A economic owner of the leased asset, which is the party to whom the lessor lends this
2018/0051

14
The distinction between recourse and non-recourse is provided as an indication of which counterparty
is reported as the debtor.

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1 asset), enabling the lessee to use the asset in return for payment of a rent, where
2 the leased asset is treated as collateral (cf. Section 6.1.1 in Part I of the Manual).

3 Consequently, the following are considered when reporting financial leases to

4 AnaCredit:

5 • the financial lease operation is reported as an instrument, with the type of

6 instrument being “financial leases”;

7 • the legal owner of the leased assets (the lessor) is the creditor to the
8 instrument;

9 • the economic owner of the assets (the lessee) is the debtor to the instrument;

10 • the lessee is also reported as the protection provider as it absorbs the loss if the
11 protection is exercised (cf. Section 3.3.1 in Part I of the Manual);

12 • the asset which has been lent to the lessee is recorded as protection and the
13 appropriate protection type is assigned to the protection item.

14 Please refer to Example 66 in Section 9.4.3 for an illustration of reporting in the case
15 of financial leases.

16 Please note that operating leases (being such from the perspective of the lessee,
17 although the transaction could qualify as a financial lease for the lessor) 15 are not
18 subject to AnaCredit reporting.

Other loans

Definition: Other loans not included in any of the categories listed above. Loan has the
same meaning as defined in paragraphs 5.112, 5.113 and 5.114 of Annex A to
Regulation (EU) No 549/2013.

19 This instrument type is assigned to instruments which meet the definition of a loan as
20 set out in paragraphs 5.112, 5.113 and 5.114 of Annex A to Regulation (EU) No
21 549/2013 and are not any of the following types of instrument: deposits other than
22 reverse repurchase agreements, overdrafts, credit card debt, revolving credit other
23 than overdrafts and credit card debt, credit lines other than revolving credit, reverse
24 repurchase agreements, trade receivables or financial leases as defined in the
25 AnaCredit Regulation.

26 Revision mark: the clarifications Any instruments that satisfy all the following conditions are classified as “other
are streamlined, also considering
27 explanations about loans included loans”:
in the categories listed in the points
28 above
• they are entirely disbursed in one instalment (and therefore have no off-
29 balance-sheet amount at any time); and

30 • they do not meet the definition of trade receivables, financial leases or reverse
31 repurchase agreements; and
15
This case arises when the lessor has an additional contract with a third party other than the lessee
under which the third party has an unconditional commitment to buy the rent asset in the event that the
lessee does not.

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1 • the debtor is not a monetary financial institution.

Revision mark: the sample of
2 instruments meeting the definition In particular, the following instruments meet the definition of “other loans”:
of “other loans” is revised, also
3 considering the clarifications • outstanding balances stemming from credits as a result of called and unpaid
provided in Q&A 2018/0011 and
4 Q&A 2018/0013 financial and non-financial guarantees given (e.g. if a guarantee given by the
5 observed agent is called and the observed agent is the creditor extending a
6 credit to the counterparty that failed to meet the obligations under the guarantee
7 – cf. Example 7 below and Example 7 in Part I of the Manual);

8 • loans arising from other commitments given which were converted into on-
9 balance-sheet exposures, unless they meet the definition of any other type of
10 instrument specified in the points above;

11 • amounts due as a result of unsettled transactions in derivatives with a positive

12 value for the holder;

13 • instruments resulting from converting financial and non-financial guarantees

14 (and other commitments) received into on-balance-sheet exposures (e.g. if a
15 non-financial guarantee received by the observed agent is called and the
16 guarantor is obliged to pay an amount to the observed agent, an instrument is
17 created in which the creditor is the observed agent and the guarantor now acts
18 as debtor); in this case, the inception date is the date when the contract (on
19 which the non-financial guarantee or other commitment received) was
20 originated and the settlement date is the date on which the observed agent has
21 to recognise the amount as an asset;

22 • repayable margin payments deposited in cash under transactions in financial

23 derivatives (for example, in a forex contract) posted by the observed agent to
24 protect the other counterparty against default risk, on condition that this
25 counterparty is not a monetary financial institution.
Revision mark: the sample of
26 instruments that are not “other
Conversely, it should be noted that the category “other loans” does not include:
loans” is revised following the
27 clarifications provided in • operating leases and sale and leaseback agreements;
Q&A 2018/0021, Q&A 2018/0019,
Q&A 2018/0011
28 • non-revolving loans that are disbursed in two or more instalments, as they are
29 credit lines other than revolving credit;

30 • treasury products that do not meet the definition of loans, including foreign
31 exchange credit exposures, interest rate swaps and government bonds;

32 • debt securities (including purchased securities issued as a substitute to

33 extending a loan);

34 • financial derivatives (for example, currency forward contracts);

35 • financial guarantees and other commitments given;

36 • multi-product/multi-instrument credit facilities;

37 • forward deposits;

38 • accounts receivable of the observed agent resulting from sales of non-banking

39 products;

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1 • other financial assets that are “advances that are not loans”, as defined in
2 Part 2, paragraph 85(g), of the amended ITS (for example, gross amounts
3 receivable in respect of suspense items – such as funds awaiting investment,
4 transfer, or settlement – and transit items – such as cheques and other forms of
5 payment that have been sent for collection);

6 • repayable margin payments deposited in non-cash assets (such as securities);

7 • non-repayable margin payments reducing or eliminating any asset/liability

8 positions which may emerge during the life of a transaction in financial
9 derivatives.
Revision mark: the assumptions of
10 Example 7 are expanded to further For an illustration of the reporting obligation in relation to off-balance-sheet
11 explain the resultant reporting as exposures once they are converted into instruments that are subject to AnaCredit
shown in the tables
12 reporting, please consider the following example.

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Example 7: Reporting called guarantees (given by the observed agent)

Counterparty CUST#1, a customer of Bank#A, engages in a commercial relationship with

counterparty CPTY#2. In this connection, CUST#1 and Bank#A concluded a contract
(CNTRT#1) on 25 November 2018 on the basis of which Bank#A extended a loan
(LOAN#1) to its customer (CUST#1) – with a credit limit of a non-revolving nature of
€225,000 that can be drawn in one or more instalments on or after 10 December 2018
and must be repaid on 10 December 2019 – and issued a guarantee (GUA#2) in favour
of beneficiary CPTY#2. The guarantee is an obligation of Bank#A to pay a sum of money
to the beneficiary on behalf its customer (CUST#1) in the event that CUST#1 does not
pay the beneficiary (consider, for example, a standby letter of credit).

From the perspective of Bank#A, acting as an observed agent, LOAN#1 (of €225,000 was
disbursed on 12 December 2018) is reportable to AnaCredit from December 2018
(because it is the first month in which the debtor is able to drawn the funds, although the
contract was extended in November); however, the guarantee given, which is an off-
balance-sheet exposure, is not subject to AnaCredit reporting.
Table 16 and Table 17 illustrate the instrument and financial datasets reported as of
December 2018.
Please note that the reporting does not cover the guarantee GUA#2 provided in favour of
CPTY#2.
Table 16 Indication of the instrument dataset reported as of 31 December
Reporting Observed
reference agent Contract Instrument Inception Settlement
date identifier identifier identifier Type of instrument date date
Credit line other than
31/12/2018 BANK#A CNTRT#1 LOAN#1 revolving credit 25/11/2018 12/12/2018

Table 17 Indication of the financial dataset reported as of 31 December

Reporting Observed
reference agent Outstanding nominal
date identifier Contract identifier Instrument identifier amount
31/12/2018 BANK#A CNTRT#1 LOAN#1 225,000.00

In January CUST#1 does not pay CPTY#2 for the delivery of goods and the letter of
credit becomes payable. Consequently, an amount of €145,000 is paid under the
guarantee by Bank#A to the beneficiary (CPTY#2) on 27 January 2019. Upon the
payment by Bank#A under the guarantee, CUST#1 has an obligation to reimburse
Bank#A. In this connection, Bank#A recognises the obligation as an instrument
reportable to AnaCredit. Bank#A determines that the newly recognised instrument
(LOAN#GUA#2), which in fact arises from off-balance-sheet transactions, meets the
definition of “Other loans”. To reflect this, a record of the instrument dataset concerning
LOAN#GUA#2 is reported to AnaCredit as of 31 January.

Table 18 Indication of the instrument dataset reported after the guarantee is called
Reporting Observed
reference agent Contract Instrument Type of Inception Settlement
date identifier identifier identifier instrument date date
31/01/2019 BANK#A CNTRT#1 LOAN#GUA#2 Other loans 25/11/2018 27/01/2019

After the guarantee is called, two instruments are reported in relation to the debtor
(CUST#1). This is illustrated in the financial dataset (Table 19).

Please note that before the guarantee is called, the guarantee constitutes an off-balance-
sheet exposure and is not subject to reporting. However, after the guarantee is called
and the guaranteed amount paid by the bank, the customer’s obligation to reimburse the

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payment to the bank is recognised as an instrument reportable to AnaCredit. The fact

that the customer (CUST#1) acts as debtor to the instrument is covered in the
counterparty-instrument dataset (not shown in this example).
Table 19 Indication of the financial dataset reported after the guarantee is called
Reporting Observed
reference agent Instrument Outstanding nominal
date identifier Contract identifier identifier amount

31/01/2019 BANK#A CNTRT#1 LOAN#01 225,000.00

31/01/2019 BANK#A CNTRT#1 LOAN#GUA#2 145,000.00

3.4.2 Project finance loan

Definition: Identification of project finance

1 This data attribute is defined at the instrument level for the purposes of identification
2 of project finance loans.

3 Revision mark: references to the Annex IV to the AnaCredit Regulation stipulates that the classification of instruments
amended ITS are added throughout
4 this section as project finance is in accordance with the amended ITS.

5 In particular, Part 2, paragraph 89, of Annex V of the amended ITS establishes that
6 project finance loans are loans that fulfil the characteristics of specialised lending
7 exposures as defined in Article 147(8) of Regulation (EU) No 575/2013 of the
8 European Parliament of the Council of 26 June 2013 on prudential requirements for
9 credit institutions and investment firms and amending Regulation (EU) No 648/2012
10 (the Capital Requirements Regulation, hereinafter referred to as “the CRR”).

11 Please note that, in accordance with Article 147(8) of the CRR, a loan is classified as
12 project finance when it possesses the following characteristics:

13 • the loan is granted to an entity which was created specifically to finance or

14 operate physical assets or is an economically comparable loan;

15 • the contractual arrangements give the creditor a substantial degree of control

16 over the assets and the income that they generate;

17 • the primary source of repayment of the obligation is the income generated by

18 the assets being financed, rather than the independent capacity of a broader
19 commercial enterprise.

20 Project finance may take the form of financing of the construction of a new capital
21 installation, or refinancing of an existing installation, with or without improvements.

22 In such transactions, the creditor is usually paid solely or almost exclusively out of
23 the money generated by the contracts for the facility’s output, such as the electricity
24 sold by a power plant. The debtor is usually a special purpose entity (SPE) that is not
25 permitted to perform any function other than developing, owning and operating the
26 installation. The consequence is that repayment depends primarily on the project’s
27 cash flow and on the collateral value of the project’s assets.

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1 More details regarding project finance loans are provided in Chapter 4 in Part III of
2 the Manual.

Values

3 For each instrument reported to AnaCredit, one of the two values is reported.

Project finance loan

4 The value “project finance loan” is used if the instrument is a project finance loan in
5 accordance with Part 2, paragraph 89, of Annex V to the amended ITS.

6 Project finance loans are a form of financing that is recovered solely from the income
7 of the project financed. Although this form of financing can regard any of the types of
8 instrument, it is typically relevant for “credit lines other than revolving credit”. This
9 financing may be also provided as “revolving credit other than overdrafts and credit
10 card debt”.

11 Revision mark: clarification is When object/asset-based finance has the characteristics of project finance, it is
added about when object/asset-
12 based finance is reported as a subject to AnaCredit reporting, whereby the financed object/asset is reported as a
13 “project finance loan” protection item. The type of protection to be reported for this protection item depends
14 on the type of object/asset that is financed by the project finance loan; in most cases,
15 the type of protection is “other physical collateral”.

Non-project finance loan

16 For instruments which are not project finance loans, the data attribute is reported as
17 “non-project finance loan”.

18 Please note that finance leases are not project finance loans.

3.4.3 Currency

Definition: currency denomination of instruments, in accordance with the ISO 4217

standard.

19 This data attribute identifies the currency that is the unit of account, i.e. the currency
20 in which the debt instrument is effectively denominated.

Values

21 For every instrument reported, the currency is specified by one of the values set out
22 in the ISO 4217 standard.

23 Note that in the context of AnaCredit, an instrument is defined at such a level that
24 there is only one currency in which the instrument is denominated. Credit
25 agreements which include multiple tranches denominated in different currencies are
26 reported as different instruments within a single contract, and the data attribute
27 currency is the currency in which the instrument is denominated.

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1 Instruments with both principal and interest indexed to a currency are classified and
2 treated as though they are denominated in that currency.

3 For instruments denominated in one currency but settled in another currency, the
4 currency is the currency in which the instrument is denominated.

5 This data attribute identifies the currency in which the instrument is denominated and
6 not the currency in which the instrument is reported to AnaCredit (note that in
7 AnaCredit all amounts are reported in euro).

8 For more information on how foreign currencies are converted into euro please refer
9 to Section 2.3 above.

3.4.4 Inception date

Definition: The date on which the contractual relationship originated, i.e. the date on
which the contract agreement becomes binding for all parties

10 The inception date refers to the date of the legal contract which led to the creation of
11 the instrument.

12 The inception date is broadly The inception date is the same as the date on which the contract which gives rise to
interpreted as the date on which the
13 credit and the debtor agreed to the instrument becomes binding, which is considered for practical reasons to be the
14 create the instrument signature date rather than the documentation completion date. In this connection, it
15 is clarified that, although the information is provided at the level of an instrument, the
16 inception date means the date on which the contract that gives rise to the instrument
17 is originated.

18 If an existing contract is amended, The inception date does not change for an existing instrument, even if an
the inception date of the contract
19 thus amended does not change. amendment to the contract which has given rise to the instrument is made (for
20 The date on which the contract is instance if the credit limit of an instrument is increased or decreased), while the
thus amended is recorded in the
21 data attribute “date of the amendment date is reported under the data attribute “date of the forbearance and
forbearance and renegotiation
22 renegotiation status” (cf. Section 5.4.13). Consider for example instruments where
status”
23 the initial contract is modified and the running instruments are adjusted accordingly,
24 rather than a new contract being created and new instruments being issued to
25 replace the existing ones.

26 The contract may also indicate a future date T+1 on which the instrument will be
27 created, in which case, at the moment T+1 when the instrument becomes relevant
28 for reporting, the date when the contract was signed (i.e. T+0) is considered as the
29 “inception date” because it is the date when the responsibilities became binding
30 (example, forward repurchase agreements).

31 However, in the case of roll-overs or restructuring, when the existing contract is

32 superseded by a new contract (i.e. where all or some of the conditions have
33 changed), the new instrument that arises is entered as a new record in the
34 instrument dataset (under the new contract). In this record, the inception date on
35 which the new contract was made is reported.

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1 Loan acquisitions in which the economic transfer of the instrument takes place from
2 a transferor to the observed agent, achieved either by transfer of ownership or by
3 sub-participation, do not affect the inception date of the instrument as such. Thus,
4 the initial inception date remains unchanged.

Example 8: Inception date in the case of loan acquisition

Bank#1 originated on 1 June 2016 (contract identifier Con#1) a loan (BnkLn#1) that was
disbursed on 25 June 2016. Later, the loan became non-performing, and Bank#1 sold it
on 14 December 2018 on the basis of sale contract SlCntr#1 to Bnk#2, which is an
observed agent. Bnk#2, which purchased this loan, identifies the loan as NPLn#4. Table
20 provides an illustration of how Bnk#2 reports the loan in the instrument dataset as of
31 December 2018.
Table 20 Indication of the instrument data reported as of 31 March
Reporting Observed Contract Instrument
reference date agent identifier identifier identifier Inception date Settlement date
31/12/2018 BNK#2 CON#1 NPLN#4 01/06/2016 25/06/2016

Please note that the inception date for the instrument is the original inception date rather
than the date on which Bnk#2 acquired the loan.

5 The inception date for any debit balances on current accounts where there is no
6 contractual agreement on a credit limit supporting the debit balance is reported as
7 the actual settlement date on which the current debit balance occurred (cf. the
8 instrument type “overdrafts” in Section 3.4.1).

9 Revision mark: an illustration of Please refer to Example 9 for an illustration of reporting in the case of renegotiation
reporting in the case of
10 renegotiation of an existing current of an existing current account and changes to the account’s attributes.
account is included in line with
Q&A 2018/0002
Example 9: Renegotiation of an existing current account and the inception date

A debtor holds current account CA1. Initially (at time t0), the current account does not
have an agreed credit limit, and at time t1 it goes into debit (i.e. there is an unauthorised
debit balance). Thereafter, the credit institution and the debtor agree a credit limit for the
current account.
In such instances, the choice of reporting option depends on whether the reporting agent
regards moving from an unauthorised overdraft to an agreed overdraft as a renegotiation
or a new instrument.

In the former case, the change is reported using the same methodological approach as
for any other renegotiated instrument – i.e. the date and status of the renegotiation
should be reported, attributes which are renegotiated are adjusted accordingly, and the
inception date and the settlement date remain unchanged.
In the latter case, however, the change should be reported as a new instrument – i.e. with
a new contract, a new inception date and other data attributes reported in accordance
with the conditions in the contract.

11 Revision mark: further examples For an illustration of the reporting of the data attribute “inception date” in the case of
are added regarding the inception
12 date of “other loans” “other loans”, please refer to the following example.

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Example 10: Inception date for “other loans” resulting from off-balance-sheet
commitments

For “other loans” that are outstanding balances stemming from credits as a result of
called and unpaid financial and non-financial guarantees given, the inception date is the
date when the guarantee contract was originated (on which the guarantee was
extended), and the settlement date is the date when the guarantor recognises the called
amount as an asset (although the amount is disbursed after that date).
In a similar vein, for “other loans” which are amounts due as a result of unsettled
transactions in derivatives with a positive value for the holder, both the inception date and
the settlement date are the date when the derivative was not settled and, consequently,
recognised as a loan.

3.4.5 Settlement date

Definition: The date on which the conditions specified in the contract are or can be
executed for the first time, i.e. the date on which financial instruments are initially
exchanged or created.

1 The settlement date of an instrument is the date on which the instrument was used
2 or drawn for the first time after the instrument’s inception date. In that sense, it is the
3 date on which (a part or all) funds are disbursed.

4 The settlement date refers to the instrument rather than to the contract on the basis
5 of which the instrument is created. In other words, in contrast to the inception date,
6 which is specified in the contract, the settlement date is instrument-specific based on
7 the actual usage of the terms specified under the contract.

8 Revision mark: further In particular, the settlement date for fixed sum credits is the date of the pay-out of the
clarifications are added in the
9 following examples credit, if such a pay-out has taken place before or on the reporting reference date.

Figure 1 Settlement date for a fixed sum credit

Disbursement of funds

Fixed-sum credit

Settlement date = Reporting

Inception date Date of pay-out reference date

10 The settlement date for revolving credit instruments, where the debit balance can be
11 replenished by the debtor, is the first date on which the debtor has taken advantage
12 of the funds, irrespective of whether or not the funds are subsequently replenished.

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Figure 2 Settlement date for an instrument of a revolving nature

Agreed credit limit > 0

Subsequent usage of the funds
Initial usage of the funds

Settlement date = Date of subsequent

Date of first drawing drawing Reporting
Inception date reference date

1 The settlement date for debit balances on current accounts with no credit limit is the
2 date on which the debit balance (as outstanding at the reporting reference date)
3 arose. In this particular case the inception and settlement date are the same.

Figure 3 Settlement date for unauthorised debit balances

Unauthorised debit balance

Credit limit = 0

Inception date =
Settlement date = Date Reporting
when unauthorised reference date
balance arose

4 If no amount has ever been drawn In cases where no funds have even been drawn or disbursed under an instrument in
under the instrument, the
5 settlement date is reported as “non- the period between the instrument’s inception date and the reporting reference date,
6 applicable” at the reporting the settlement date is reported as “non-applicable”.
reference date

7 Revision mark: clarification is Loan acquisitions in which the economic transfer of the instrument takes place from
added concerning the settlement
8 date in the case of acquired a transferor to the observed agent, achieved either by transfer of ownership or by
9 instruments sub-participation, do not affect the settlement date of the instrument as such. Thus,
10 in principle, the original settlement date remains unchanged.

11 Revision mark: the inception date For an illustration of how the settlement date is reported for reporting reference dates
in Table 21 is updated for INST#3
12 before and after an instrument’s first usage, please refer to Table 13 and Table 14 in
13 Example 6 where a credit line other than revolving credit is presented. For further
14 examples of the settlement date, please refer also to Example 11 below.

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Example 11: Determining the settlement date

Bank A had entered into contract CNT#1 on 5 March for the following three instruments
for the reporting period with reference date 31/03/2019:

• a loan (Inst#1) where a fixed sum of €50,000 was disbursed to the customer on
15 March and repayments are made quarterly;

• a financing arrangement with a line of credit (Inst#2) where the instrument has
been physically created and funds were made available totalling €100,000 but
the client has made no withdrawals yet;

• a revolving line of credit (Inst#3) totalling €150,000 which was first activated (i.e.
it can be used for the first time) on 7 March, whereas the client made two
withdrawals on 9 and 23 March in the amounts of €30,000 and €40,000
respectively.

Following the stated logic, Table 21 illustrates the settlement dates for the three
instruments.
Table 21 Determining the settlement date across products as of 31 March
Outstanding
nominal Inception
amount Off-balance-sheet date Settlement date
Reporting Contract Instrument (financial amount (instrument (instrument
date identifier identifier dataset) (financial dataset) dataset) dataset)

31/03/2019 CNT#1 INST#1 50,000.00 “Non-applicable” 05/03/2019 15/03/2019

31/03/2019 CNT#1 INST#2 0.00 100,000.00 05/03/2019 “Non- applicable”

31/03/2019 CNT#1 INST#3 70,000.00 80,000.00 05/03/2019 09/03/2019

3.4.6 Legal final maturity date

Definition: The contractual maturity date of the instrument, taking into account any
agreements amending initial contracts.

1 The legal final maturity date is the date by which any funds drawn under the
2 instrument are contractually to be ultimately paid or repaid and any undrawn funds
3 can no longer be drawn.

4 The legal final maturity date refers to the maturity date specified (if any) in the contract
5 (i.e. valid as of the reporting reference date) that gives rise to the instrument.

6 Generally, the contract specifies conditions for all instruments that may arise under
7 the contract. Nevertheless, the legal final maturity date may be specifically provided
8 for in the contract for individual instruments.

9 Note that certain instruments (e.g. some credit cards, stock lending or open reverse
10 repurchase agreements) have no legal final maturity date defined in the contract
11 owing to the fact that the instruments are of a perpetual nature or have an embedded
12 optionality. Therefore, for instruments with no maturity date, the value “non-
13 applicable” is reported.

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1 For instruments repayable on demand or at short notice, the value “non-applicable”

2 is reported. However, if a legal final maturity date is specified for such instruments,
3 then the date is reported.

4 By convention, for any debit balances on current accounts with no credit limit, the
5 value “non-applicable” is reported as the legal final maturity date.

6 The legal final maturity date does not determine the final reporting of an instrument
7 to AnaCredit (i.e. an instrument is reported after its legal final maturity if it meets the
8 criteria for being reported).

9 In contrast with the inception date, the legal final maturity date may change over the
10 lifetime of an instrument as, by amending the contract, the legal final maturity date
11 may be put forward or backward compared with the date originally set. In such
12 cases, the previously reported legal final maturity date is updated, and the change is
13 duly flagged in the data attributes “status of forbearance and renegotiation” and “date
14 of the forbearance and renegotiation status”. However, a change in the legal final
15 maturity date can only be effected by a change in the contract. In the absence of a
16 contractual change, the legal final maturity date is not changed.

17 Revision mark: the reporting In particular, as regards late payments which occur before the legal final maturity
reference date in the description
18 below Table 24 is corrected date to the effect that the instrument is not paid back by the legal final maturity date,
19 please consider the following example as an illustration of how such late payments
20 affect the legal maturity date.

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Example 12: Legal final maturity date in the case of late payments

Observed agent OA#1 has a loan (Loan#D) which was granted to debtor DBTR#4 on the
basis of a contract (CNTRC#4) issued on 4 March 2017. The contractually agreed legal
final maturity date for Loan#D is 20 September 2018. In the course of 2018, the debtor
does not make all the payments it is contractually obliged to make, and by the maturity
date the instrument is past due.

Loan#D has been subject to AnaCredit reporting since September 2018. Despite the fact
that the legal final maturity date has passed and the instrument has not been repaid yet,
the legal final maturity date is not changed, and OA#1 submits the following information in
the instrument dataset (Table 22).
Table 22 Legal final maturity date as initially reported
Reporting Contract Instrument Inception Legal final
reference date identifier identifier date maturity date

30/09/2018 CNTRC#4 LOAN#D 04/03/2017 20/09/2018

The legal final maturity date still remains unchanged at the reporting reference date, even
though on 25 July OA#1 considers the instrument in default, which is reported in the
financial dataset (not shown here).

On 5 October 2018, OA#1 and DBTR#4 agree to modify the distressed loan, and the
following forbearance measure is applied: the original tenor of the loan is extended until
20 March 2019. Subsequently, Table 23 illustrates the instrument data that are submitted
to AnaCredit as at 31 October 2018:
Table 23 Legal final maturity date as contractually amended
Reporting Contract Instrument Inception Legal final
reference date identifier identifier date maturity date

31/10/2018 CNTRC#4 LOAN#D 04/03/2017 20/03/2019

As the instrument is forborne as of October, OA#1 reports the following information in the
financial dataset, where the date of the contractual changes is provided.
Table 24 Forbearance and renegotiation status
Date of the
Reporting Contract Instrument Status of forbearance and forbearance and
reference date identifier identifier renegotiation renegotiation status

31/10/2018 CNTRC#4 LOAN#D Forborne: instruments with other 05/10/2018

modified terms and conditions

Please note that a changed legal final maturity date is reported as of 31 October 2018 as
a result of the contractual change of this specific condition of the instrument.

3.4.7 Recourse

Definition: Classification of instruments based on the creditor’s rights to seize assets

other than any protection pledged to secure the instrument.

No recourse

1 For a non-recourse instrument, the value “no recourse” is reported.

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1 An instrument other than trade receivables is non-recourse instrument if its recovery

2 is limited only to the value of the protection pledged to secure the instrument. In
3 particular, if the debtor defaults, the creditor can seize and sell the collateral which is
4 pledged to secure the loan, but if the collateral sells for less than the debt, the
5 creditor cannot seek that deficiency balance from the debtor.

6 Revision mark: clarifications are As regards trade receivables, “no recourse” is reported when the observed agent
added about the value “no
7 recourse” in the case of trade acting as the factor does not retain the full risk of default by the factoring client’s
8 receivables in line with Part III of customer(s). For more information, please refer to Chapter 5 in Part III of the Manual
the Manual
9 which deals specifically with factoring and other trade receivables.

10 Non-recourse debt is typically used to finance commercial real estate, shipping, or

11 other projects with high capital expenditures and long loan periods.

12 The loans used in project finance are non-recourse loans. In the event that the project
13 defaults, the creditors can use the proceedings out of the received protection for
14 compensation, but have no right to seek compensation beyond the protection received.

Recourse

15 The value “recourse” is reported for recourse instruments.

16 An instrument other than trade receivables is a recourse instrument if it is not a non-

17 recourse instrument. More specifically, for instruments other than trade receivables,
18 a recourse instrument is one where the creditor has the right to seize the debtor’s
19 assets other than any protection pledged to secure the instrument. With a recourse
20 loan, the debtor is liable for any unpaid debt, and if the debtor defaults the creditor
21 can take action to collect the debtor’s assets even after seizing collateral.

22 Revision mark: clarifications are For trade receivables, the value “recourse” is reported if the risk of default of the
added about the value “recourse” in
23 the case of trade receivables in line debtors of the trade receivables is retained fully or partially by the factoring client
24 with Part III of the Manual (notwithstanding additional protection that may secure the factoring transaction), in
25 which case the factor is able to hold the factoring client liable if the company’s
26 customer is unable to pay). For more information about trade receivables, please
27 refer to Chapter 5 in Part III of the Manual which deals specifically with factoring and
28 other trade receivables.

3.4.8 Interest rate type

Definition: Classification of credit exposures based on the base rate for establishing the
interest rate for each payment period.

29 This data attribute identifies the applicable interest rate type.

Reporting qualification
Revision mark: clarifications are
30 added concerning instruments for This data attribute is reported for every instrument reported in the financial dataset.
which no interest rate applies
31 Where the relevant NCB decides, in accordance with Article 7 of the AnaCredit

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1 Regulation, not to collect this data attribute, then the value “not required” is reported.
2 For instruments where no interest rate applies, the value “non-applicable” is
3 reported. In particular, “non-applicable” is reported in the case of trade receivables
4 where the account debtor is reported as the debtor and the interest rate is reported
5 as “non-applicable”.

Values

6 Unless this data attribute is not required or does not apply, one of the following
7 values is reported.

Fixed

Definition: Scheme defining the interest rates during the life of the exposure which only
includes constant rates – numerically constant rate known with certainty at the
inception of the exposure – and where the interest rates apply to the whole exposure.
The scheme may contain more than one constant interest rate to be applied at different
periods during the life of the exposure (e.g. loan with a constant interest rate during the
initial fixed rate period, which then changes to a different interest rate, which is still
constant, and which was known at the inception of the exposure).
Revision mark: further
8 clarifications are added in line with Instruments with an interest rate that is known to both the creditor and the debtor at
Q&A 2017/0011
9 the date of inception, or that can be revised periodically but where the future interest
10 rates are known to both the creditor and the debtor at the date of inception, are
11 classified as having a fixed interest rate.

Variable

Definition: Scheme defining the interest rates during the life of the exposure which only
includes interest rates based on the evolution of another variable (the reference
variable) and where the interest rate applies to the whole exposure.
Revision mark: further
12 clarifications are added in line with Instruments with an interest rate that is predefined for certain periods during the life
Q&A 2017/0011
13 of the exposure on the basis of a reference interest rate (e.g. EURIBOR or LIBOR)
14 on specific dates (known as fixing dates) are classified as instruments with a variable
15 interest rate. The key determinant is the fact that, in the case of variable interest rate
16 instruments, neither the creditor nor the debtor knows at the date of inception the
17 value of interest payments during the entire life of the instrument.

Mixed

Definition: Other interest rate type not included in any of the categories listed above.
Revision mark: further
18 clarifications are added in line with Instruments which have both a fixed and a variable interest rate over their life are
Q&A 2017/0011
19 classified as mixed. For example, a loan where for limited periods of time both fixed
20 and variable interest rates interchange can be classified as a mixed interest rate loan.

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General reporting instructions, specific cases and examples

Revision mark: the instructions are
1 expanded in line with One of the values listed above is always reported when the data attribute “interest
Q&A 2017/0011 and the
2 instructions applicable to trade rate” is reported for the instrument.
receivables
3 In cases where no interest rate is applicable for the instrument and, consequently, no
4 interest rate type is assigned, the value “non-applicable” is reported.

5 In particular, in the case of overdrafts with no agreed credit limit, the value “non-
6 applicable” is reported unless an interest rate type is assigned when the debit
7 balance arose, in accordance with the contract set by the creditor.

8 In a similar vein, in the case of trade receivables where the account debtor is reported
9 as the debtor and the interest rate is reported as “non-applicable”, the value “non-
10 applicable” is also reported in the data attribute “interest rate type” (cf. Section 5.4.11 in
11 Part III which deals specifically with interest rates in the case of trade receivables).

12 The interest rate type can be changed during the lifetime of an instrument by
13 amending the contract under which the instrument is created. The change is
14 reported to AnaCredit accordingly. However, an instrument classified at inception
15 date as “mixed interest rate” does not change later to a “fixed” or “variable” interest
16 rate when the interest rate of the loan changes from fixed to variable or vice versa.

17 In addition, if a fixed interest rate instrument has an option to be renegotiated within

18 the foreseeable future for the purpose of determining a new fixed interest rate, such
19 an instrument is considered to be of fixed interest rate type, irrespective of the
20 change in the rate of interest.

21 Please refer to the following example for an illustration of the reporting of the data
22 attribute “interest rate type”.

Example 13: Variable interest rate

The data attribute “interest rate type” is reported as “variable” for a loan where an interest
rate of 2.7% is charged in the first year (where the rate is calculated by taking the 12-month
EURIBOR on a fixed date, e.g. 1 November, plus a spread of 2.4%), after which the interest
rate is reset on the first day of each year (following the same EURIBOR formula).
This is based on the fact that, although the interest rate is fixed in any given year during
the life of the instrument, the future rates are not known to the parties at the date of
inception of the instrument.

3.4.9 Interest rate reset frequency

Definition: Frequency at which the interest rate is reset after the initial fixed-rate period,
if any.

23 This data attribute identifies the interest rate reset frequency.

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Reporting qualification

1 This data attribute is always reported, i.e. there can be no derogations in respect of
2 this data attribute.

3 For instruments where no interest rate reset applies, the value “non-applicable” is
4 reported. In particular, “non-applicable” is reported for instruments which do not
5 include a contractual agreement to change the interest rate.

6 Otherwise, one of the following values is reported.

Values

Overnight

Definition: Instrument with a contractual agreement to change the interest rate on a

daily basis.

7 “Overnight” is reported if in accordance with the contract the interest rate can be
8 changed on a daily basis.

Monthly/quarterly/semi-annual/annual

Definition: Instrument with a contractual agreement to change the interest rate on a

monthly/quarterly/semi-annual/annual basis.

9 Please note that Annex IV to the AnaCredit Regulation refers to these four values,
10 and that each is a value in its own right. However, as the values are reported in the
11 same way (where one of the four interest rate reset frequencies is reported), they are
12 described in the Manual within the same category.

13 For example, “Monthly” is reported if in accordance with the contract the interest rate
14 can be changed on a monthly basis.

At creditor discretion

Definition: Instrument with a contractual agreement by which the creditor has the right
to establish the interest rate reset date.

15 This value is reported if in accordance with the contract the creditor has the right to
16 establish the interest reset date.

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Other frequency

Definition: Instrument with a contractual agreement to change the interest rate at a

frequency other than any of the categories listed above.

1 “Other frequency” is reported if in accordance with the contract the interest rate can
2 be changed at a frequency other than overnight, monthly, quarterly, semi-annual,
3 annual or at creditor discretion.

General reporting instructions, specific cases and examples

4 Note that for instruments which do not include a contractual agreement to change
5 the interest rate, including overnight loans (one day loans) and instruments whose
6 interest rate type is fixed, the value in the data attribute “interest rate reset
7 frequency” is reported as “non-applicable”.

8 An instrument with a mixed interest rate is reported as “non-applicable” during the

9 period of time for which it has a fixed interest rate and with the corresponding value
10 during the period of time for which it has a variable interest rate.

11 Note that for instruments for which the interest rate is not resettable, the value “non-
12 applicable” is reported.

3.4.10 End date of interest-only period

Definition: The date on which the interest-only period ends. Interest-only instruments
are those for which, for a contractually set period, only the interest on the principal
balance is paid, with the principal balance remaining unchanged.

13 For interest-only instruments where, for a set term, the debtor is enabled to pay only
14 the interest on the principle balance, the date reported is the date on which the
15 interest-only period ends and beyond which the debtor is obliged to repay the
16 principal balance. Even if the interest-only period end date has been reached, the
17 original value of the end date is reported unchanged in this field.

18 For instruments which are not interest-only instruments, the value “non-applicable” is
19 reported.

General reporting instructions, specific cases and examples

Revision mark: further
20 clarifications are added in line with The data attribute “end date of interest-only period” indicates whether, on the
Q&A 2018/0005
21 reporting reference date, the instrument is within a contractually defined period
22 during which the debtor is only paying the interest. If so, the end date of the current
23 interest-only period is reported. If it is not, but an interest-only period has already
24 been completed (and regardless of whether there will be another such period in the
25 future), the end date of the most recent interest-only period is reported. If the
26 instrument is not interest-only on the reporting reference date and has not been at
27 any point in the past, the value to report is “non-applicable”, regardless of whether an

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1 interest-only period is due to start at some point in the future (i.e. after the reporting
2 reference date).

3 Revision mark: clarification is For instruments where no principal has yet been disbursed for (thus where no interest-
added concerning instruments
4 which are not disbursed yet only payments are yet possible), no date is reported until a disbursement (settlement)
5 takes place.

6 In addition, if an interest-only period has already ended (i.e. the end date of the
7 interest-period is in the past) and the instrument is not interest-only at the reporting
8 reference date, the past end-date is reported (i.e. there is no need to update the
9 instrument dataset).

10 By way of illustration, the example below considers the case of an instrument with
11 multiple interest-only periods during its lifetime.

Example 14: Instrument with multiple interest-only periods during its lifetime

A five-year instrument is originated on 1 January 2019, and the parties agree that in the
second and fourth years of the instrument’s life, the debtor will pay only the interest on
the principal balance. Thus, the instrument has two contractually defined interest-only
periods. This is reported as follows:

• For all reporting reference dates in the first year (i.e. up to 31 December 2019), the
“end date of interest-only period” should be reported as “non- applicable”, as both
interest-only periods are in the future.

• In the second year, the instrument is interest-only on all reporting reference dates,
and the “end-date of interest-only period” should be reported as “31 December
2020”.

• In the third year, the instrument is not interest-only on any of the reporting reference
dates. However, as the instrument was interest-only in the previous year, the end
date of the previous interest-only period (i.e. 31 December 2020) still applies.

• In the fourth year, the instrument is interest-only on all reporting reference dates, and
the “end date of interest-only period” should be reported as “31 December 2022”.

• In the fifth year, the instrument is not interest-only on any of the reporting reference
dates. However, the end date of the previous interest-only period (i.e. 31 December
2022) still applies.

12 Revision mark: further It is also clarified that the question of whether an instrument is interest-only on a
clarifications are added in line with
13 Q&A 2018/0006 reporting reference date does not depend on the frequency of the payment of
14 interest and principal. For an instrument to be interest-only, the contract has to
15 specify a period in which only interest is paid.

16 In other words, if the contract does not set out a period during which only interest on
17 the principal balance has to be paid, the instrument is not interest-only, regardless of
18 the frequency of interest and principal payments.

19 So, in the absence of explicit provisions in the contract, an instrument is not

20 interest-only on any reporting reference date, even if there are periods during which,
21 effectively, only interest is paid (e.g. in the case of monthly interest payments and
22 quarterly principal payments).

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1 The question of whether the principal balance remains unchanged during a

2 contractually defined interest-only period is irrelevant in this regard, as is the question
3 of whether the debtor makes the required interest payments during the period.

3.4.11 Reference rate

Definition: Reference rate used for the calculation of the actual interest rate. The
reference rate code is a combination of the reference rate value and maturity value.

4 This data attribute identifies the reference rate.

5 The reference rate code is formed by combining the reference rate value with the
6 maturity value

7 The following reference rate values are used: EURIBOR, USD LIBOR, GBP LIBOR,
8 EUR LIBOR, JPY LIBOR, CHF LIBOR, MIBOR, OTHER SINGLE REFERENCE
9 RATES, OTHER MULTIPLE REFERENCE RATES.

10 The following maturity values are used: overnight, one week, two weeks, three
11 weeks, one month, two months, three months, four months, five months, six months,
12 seven months, eight months, nine months, 10 months, 11 months, 12 months.

13 EONIA is reported as “EURIBOR – OVERNIGHT”.

14 In the case of a maturity longer than 12 months, the maturity value “12 MONTHS” is
15 reported.

16 Single reference rates which are not EURIBOR, USD LIBOR, GBP LIBOR, EUR
17 LIBOR, JPY LIBOR, CHF LIBOR or MIBOR, are registered using the value “OTHER
18 SINGLE REFERENCE RATE”.

General reporting instructions, specific cases and examples

19 Instruments using multiple reference rates are registered using the value “OTHER
20 MULTIPLE REFERENCE RATES”.

21 For instruments with fixed interest rates, the value “non-applicable” is reported as the
22 reference rate.

23 In particular, this data attribute is reported in accordance with the following example
24 of six-month EURIBOR.

25 Revision mark: an explanation is The six-month EURIBOR is reported as “EURIBOR – SIX MONTHS”, which is
added that the presented values do
26 not reflect the technical standards formed by stringing together “EURIBOR”, “–” and “SIX MONTHS”.
for the reporting
27 Please note that the values presented do not reflect the technical standards for the
28 reporting, which are communicated by the relevant NCB.

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3.4.12 Interest rate spread/margin

Definition: Margin or spread (expressed as a percentage) to add to the reference rate

that is used for the calculation of the interest rate in basis points.

1 The value to be reported is the margin/spread added to the reference rate to account
2 for the applied interest rate. This applies to interest rates charged for variable-
3 interest loans. The margin or spread is reported with a negative sign when it is
4 deducted from the reference rate.

Values

5 The margin is expressed as a numerical expression and is reported in basis points as

6 a numerical value. One basis point is equal to 0.01 percentage point and is used to
7 denote the “percentage margin/spread” in a financial instrument. This is illustrated in
8 Example 15.

Example 15: Reporting percentages

Percentage terms Basis points Value to report

0.01% 1 0.0001

0.1% 10 0.0010

0.5% 50 0.0050

1% 100 0.0100

9 Please note that the presented values do not reflect the technical standards for the
10 reporting, meaning that the NCB may require a different degree of precision for the
11 value.

General reporting instructions, specific cases and examples

12 If no interest rate spread/margin applies, then the value to be reported is “non-

13 applicable”.

14 Revision mark: further In particular, the data attribute “interest rate spread/margin” is reported as “non-
clarifications are included in line
15 with Q&A 2017/0011 applicable” in cases where the interest rate type is “fixed”.

3.4.13 Interest rate cap/floor

Definition: Maximum/minimum value for the interest rate charged.

16 This is the maximum (interest rate cap) and the minimum (interest rate floor) interest rate
17 per annum that can be charged on the outstanding nominal amount (or parts thereof).

Values

18 Interest rate cap/floor values are reported in basis points with the same convention as for
19 the attribute “interest rate spread/margin”, i.e. they are expressed as a numerical value.

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General reporting instructions, specific cases and examples

1 For instruments where the “interest rate cap” or “interest rate floor” values do not
2 apply, the value “non-applicable” is reported.

3 Table 25 below shows the interest rates for various interest rate cap and floor
4 structures.

Table 25 Interest rates for different interest rate cap and floor structures

Type A: Variable-rate loan with cap; becomes fixed-interest loan when cap is reached
(fixed floater)
Type B: Variable-rate loan with cap; interest rate can fall again (cap floater)
Type C: Variable-rate loan with cap; interest rate can only fall
Type D: Variable-rate loan without cap
Type E: Fixed rate loan
Note: The dotted line shows the interest rate. The green line shows the interest rate
when interest rate cap is not reached. The red line shows the fixed interest rate. The
yellow line shows the interest rate when interest rate cap is reached, but when the
interest rate can fall again. The blue line shows the variable rate without cap.

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3.4.14 Purpose

Definition: Classification of instruments according to their purpose.

1 As a general rule, the value of the attribute “purpose” refers to the contract running at
2 the reporting reference date. In particular, if the initial contract has been changed,
3 the purpose refers to the changed contract.

4 Please note that a change qualifies only if it is a contractual change, i.e. when the
5 contract is changed.

6 If the same instrument is used for several purposes, the most relevant one, as
7 determined by the reporting agent, is expected to be reported.

8 For every instrument reported in the instrument dataset, one of the following values
9 is reported.

Values

Residential real estate purchase

Definition: Financing of residential property. Residential property is defined in Article

4(1)(75) of Regulation (EU) No 575/2013.

10 According to Article 4(1)(75) of Regulation (EU) No 575/2013 (the CRR), “residential

11 property” means a residence which is occupied by the owner or the lessee of the
12 residence, including the right to inhabit an apartment in housing cooperatives located
13 in Sweden.

14 Revision mark: clarification is Furthermore, for exposures “secured by mortgages on residential property which is
added in line with Q&A 2017/0013
15 or shall be occupied or let by the owner, or the beneficial owner in the case of
16 personal investment companies” (see Article 125(1)(a) of the CRR), the data
17 attribute “purpose” is reported as “residential real estate purchase”, including for
18 loans provided to finance unoccupied residential real estate.

19 Consequently, the value “residential real estate purchase” is reported for instruments
20 extended for the purpose of purchasing residential property or investing in residential
21 property, including unoccupied residential real estate, buildings and refurbishments
22 thereof. The value is reported irrespective of the protection used to secure the
23 instrument (i.e. whether the instrument used for the purchase of residential property
24 is secured by the purchased residential property, whether it is secured by other
25 forms of assets, or whether it is unsecured).

26 Revision mark: clarification is Any refurbishment of existing residential real estate, including changes to the
added in line with Q&A 2018/0036
27 external dimensions of the property (length, width, height, etc.), is reported as
28 “residential real estate purchase”.

29 Please note that loans to construction companies for the building of residential
30 property are reported as “construction investment” rather than “residential real estate
31 purchase”.

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Commercial real estate purchase

Definition: Financing of real estate property other than residential property.

1 The value “commercial real estate purchase” is reported for instruments extended for
2 the purpose of purchasing commercial property or investing in commercial property,
3 including buildings and refurbishments thereof. The value is reported irrespective of
4 whether the instrument used for the purchase of commercial property is secured by
5 the purchased commercial property or whether instruments for commercial property
6 purchase are secured by other forms of assets or whether they are unsecured.

7 It is clarified that refurbishment of existing commercial real estate is included under

8 this category.

Margin lending

Definition: Instruments in which an institution extends credit in connection with the

purchase, sale, carrying or trading of securities. Margin lending instruments do not
include other loans that are secured by collateral in the form of securities.
Revision mark: clarifications are
9 added regarding loans secured by Loans that are secured by securities are not classified as margin lending if they are
securities
10 extended for a purpose other than the purchase, sale, carrying or trading of
11 securities.

Debt financing

Definition: Financing of outstanding or maturing debt. This includes debt refinancing.

12 If the instrument is extended for the purpose of debt financing, the value “debt
13 financing” is reported, irrespective of the initial purpose for which the refinanced
14 instrument was extended.

15 The value “debt financing” is not used when the terms and conditions of the
16 instrument are modified as a consequence of forbearance measures. In this case,
17 the original purpose remains unchanged.

18 Debt financing covers cases in which the debtor is “switching” creditors as well as
19 cases in which the debtor is extending an expiring credit agreement, for example
20 working capital finance, or to gain access to more favourable financing conditions,
21 such as lower interest rates.

Imports/Exports

Definition: Financing of goods and services (purchases, barter and/or gifts) from non-
residents to residents/residents to non-residents.

22 Please note that this section refers to two separate values of the attribute “purpose”,
23 namely:

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1 • imports;

2 • exports.

3 Note that for a mixed case where both export and import needs are being
4 addressed, the value “working capital facility” is reported.

Construction investment

Definition: Financing of construction of buildings, infrastructure and industrial facilities.

5 For instruments extended for the purpose of investing in construction, including the
6 purchase of the land on which the building, infrastructure and industrial facilities are
7 constructed, the value “construction investment” is reported.

8 As construction investments constitute financing for the purpose of construction,

9 meaning the object does not exist at the time of financing, they are inherently
10 different from the category of “commercial real estate purchase”, which refers to the
11 acquisition/refurbishment of already existing real estate.

12 Please note that, besides financing towards real estate and project finance,
13 construction investment also concerns other construction investments, such as:

14 • shipping finance;

15 • aviation finance;

16 • financing of energy or infrastructure sector on a long term basis;

17 • all other types of construction investment (industrial plant, pipeline and others).

Working capital facility

Definition: Financing the cash flow management of an organisation.

18 This value is for any working capital facility, excluding financing of imports or exports.

19 However, if the financing is provided for both export and import, then the value
20 “working capital facility” is reported.

Other purposes

Definition: Other purposes not included in any of the categories listed above.

21 For instruments extended for purposes different from any of the purposes listed
22 above, the value “other purposes” is reported. The value “other purposes” is also
23 reported in the case of debit balances for overdrafts which are current accounts with
24 no credit limit.

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3.4.15 Amortisation type

Definition: Type of amortisation of the instrument including principal and interest.

1 This data attribute identifies the amortisation type applicable to the instrument at the
2 reporting reference date.

Values

3 For each instrument in the instrument dataset, one of the following values is
4 reported.

French

Definition: Amortisation in which the total amount – principal plus interest – repaid in
each instalment is the same.

German

Definition: Amortisation in which the first instalment is interest-only and the remaining
instalments are constant, including capital amortisation and interest.

Fixed amortisation schedule

Definition: Amortisation in which the principal amount repaid in each instalment is the
same.

Bullet

Definition: Amortisation in which the full principal amount is repaid in the last
instalment.

Other

Definition: Other amortisation type not included in any of the categories listed above.

5 The amortisation types not included in the above values (for example balloon) are
6 reported as “Other”. This in particular regards instruments for which no amortisation
7 applies, for example in the case of overdrafts with no agreed credit limit.

General reporting instructions, specific cases and examples

Revision mark: further
8 clarifications are included in line The amortisation type is determined by the debtor’s obligations towards the creditor
with Q&A 2017/0009
9 (e.g. it sets the minimum payment schedule) as opposed to the options the debtor
10 has in addition to the minimum payment schedule.

11 For example, if a loan has the French amortisation schedule but the debtor also has
12 the right to redeem the loan partially or in full at any moment during the lifetime of the

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1 instrument, the amortisation type for the instrument is “French” and the option to
2 prepay the instrument is not taken into account as it does not reflect a contractual
3 obligation, regardless of how likely it is that the debtor will prepay.

3.4.16 Payment frequency

Definition: Frequency of payments due, either of principal or interest, i.e. number of

months between payments.

4 This data attribute identifies the payment frequency applicable to the instrument at
5 the reporting reference date.

6 In the context of AnaCredit, the payment frequency is the frequency of the

7 instalments in which the principal and the interest is repaid.

Values

8 For each instrument in the instrument dataset, one of the following values is
9 reported.

Monthly/quarterly/semi-annual/annual

Definition: On a monthly/quarterly/semi-annual/annual basis.

10 Please note that Annex IV to the AnaCredit Regulation refers to these four values,
11 and each is a value in its own right. However, as the values are reported in the same
12 way (where one of the four values is reported in accordance with the actually applied
13 payment frequency) they are described in the Manual within the same category.

14 If the payment frequency is neither “bullet” nor “zero coupon”, and the frequency of
15 both the principal payments and the interest payments is monthly or quarterly or
16 semi-annual or annual, then the respective value is reported as payment frequency.

17 Otherwise, if the payment frequency is neither “bullet” nor “zero coupon” and the
18 frequencies of principal and interest payments differ but are both regular, and the
19 higher of the two payment frequencies is monthly or quarterly or semi-annual or
20 annual, then that value is reported in the data attribute “payment frequency”.

21 Please note that “with a higher frequency” means “more often”. Hence, from among
22 the four categories, monthly is the highest frequency while annually is the lowest.

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Bullet

Definition: Amortisation in which the full principal amount is repaid in the last instalment
regardless of the interest payment frequency.

Zero coupon

Definition: Amortisation in which the full principal amount and interest is repaid in the
last instalment.

Other

Definition: Other payment frequency not included in any of the categories listed above.

If the payment frequency is not any of the payment frequencies referred to in the
previous points then the payment frequency to be reported is “Other”. In particular,
the value “Other” is reported in the case of overdrafts with no agreed credit limit.

General reporting instructions, specific cases and examples

This data attribute is reported considering the following logical steps.

1 • If the repayment schedule of the instrument meets the definition of “bullet” or

2 “zero coupon” payment as defined above, then the corresponding value is
3 reported.

4 • Otherwise, if the payment frequency of the instrument is neither “bullet” nor

5 “zero coupon”, then if the payment frequency is such that the frequency of
6 principal payments and the frequency of interest payments are both the same
7 and are either monthly or quarterly, or semi-annual, or annual, the respective
8 value is reported.

9 • Otherwise, if the payment frequency of the instrument is neither “bullet” nor

10 “zero coupon”, and the payment frequency of principal payments is not the
11 same as the frequency of interest payments, then the higher of the two payment
12 frequencies is considered. In particular, if the higher frequency is either monthly
13 or quarterly, or semi-annual, or annual, the respective value is reported.

14 • Otherwise, the value “other” is reported.

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3.4.17 Syndicated contract identifier

Definition: “Contract identifier” applied by the lead arranger of the syndicated contract
to uniquely identify each contract. Each syndicated contract will have one “syndicated
contract identifier”. This value will not change over time and cannot be used by the
lead arranger as the contract identifier for any other contract. All creditors participating
in the syndicated contract use the same “syndicated contract identifier”.

1 The purpose of this identifier is for AnaCredit to be able to combine the individual
2 shares of the members of the syndicated loan into one loan.

3 This identifier does not generally need to be the AnaCredit contract identifier as used
4 by the lead arranger (if the lead arranger is subject to AnaCredit reporting). Rather, it
5 is a common identifier that all members of the same syndicated loan use.

Reporting qualification

6 This data attribute is reported only if the instrument is a syndicated loan. Otherwise,
7 if the instrument is not a syndicated loan, the value “non-applicable” is reported.

General reporting instructions, specific cases and examples

8 In the context of AnaCredit, syndicated loans are single loan agreements, in which
9 several institutions participate as creditors. The syndicated loan is usually arranged
10 and coordinated by one institution (often called the “lead arranger”) and is actually
11 granted by various participants in the syndicate. Participants, including the lead
12 arranger, all report their share of the loan vis-à-vis the debtor, i.e. not vis-à-vis the
13 lead arranger.

14 In the case of syndicated loans, the value to be reported is the identifier of the
15 contract of the syndicated loan as agreed by all the members of the syndicate,
16 irrespective of whether or not the lead arranger reports to AnaCredit. This means
17 that the observed agents that participate in a syndicated loan report the same
18 syndicated contract identifier to AnaCredit.

19 Revision mark: further In the case of syndicated loans, the value to be reported is the identifier of the
clarifications are included in line
20 with Q&A 2018/0052 contract of the syndicated loan as agreed by all members of the syndicate,
21 irrespective of whether or not the lead arranger reports to AnaCredit. However, the
22 syndicated contract identifier could be reported differently depending on whether or
23 not the lead arranger is a reporting agent under the AnaCredit Regulation. For
24 example:

25 (a) if the lead arranger is a reporting agent in AnaCredit, the syndicated

26 contract identifier is the identifier applied by the lead arranger to uniquely
27 identify the contract for the purpose of reporting to AnaCredit;

28 (b) otherwise, the syndicated contract identifier to be reported by all reporting

29 agents participating in a syndicated loan is a combination of the Business

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1 Identifier Code (BIC) 16 of the lead arranger and the inception date of the
2 syndicated loan.

3 Importantly, irrespective of whether scheme (a) or (b) above is followed, all observed
4 agents which are members of the same syndicated loan use just one scheme and
5 report the same syndicated contract identifier. In this way, the various instruments
6 that finance the syndicated loan and that are reported by each reporting agent (or by
7 the same observed agent when it acts as the servicer and the other creditors are not
8 observed agents) can be brought together in order to understand the structure of the
9 transaction.

10 Although different shares of a syndicated loan are held by different creditors, the
11 instruments (i.e. the parts of the syndicated loan) that are reported to AnaCredit (i.e.
12 the creditor thereof is subject to AnaCredit reporting) share certain characteristics.
13 For example, the separately reported parts of the syndicated loan have the same
14 inception date.

15 For more details regarding this attribute, please refer to Chapter 7 in Part III of the
16 Manual dealing specifically with the subject of syndicated loans.

3.4.18 Subordinated debt

Definition: Identification of subordinated debt. Subordinated debt instruments provide a

subsidiary claim on the issuing institution that can only be exercised after all claims
with a higher status (e.g. deposits/loans) have been satisfied.

17 This data attribute identifies loans which are subordinated debt.

Reporting qualification

18 This attribute is always reported with either of the values below.

Values

Subordinated debt

Definition: The instrument is a subordinated debt in accordance with the Table in Annex
II to Regulation (EU) No 1071/2013 (ECB/2013/33).

19 Subordinated debt instruments provide a subsidiary claim on the issuing institution

20 that can only be exercised after all claims with a higher status (e.g. deposits/loans)
21 have been satisfied. This means that if an instrument held by an observed agent and
22 reported to AnaCredit is classified as “subordinated debt”, the claim arising from this

16
The Business Identifier Code as defined in accordance with ISO 9362. Please note that the code is
also known as the SWIFT-BIC, the SWIFT ID or the SWIFT code.

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1 instrument can be exercised by the observed agent only if “more senior” claims have
2 been fully satisfied.

3 If the instrument is a subordinated debt instrument in accordance with the given

4 definition, the value to be reported in the data attribute “subordinated debt” is
5 “subordinated debt”.

6 Note that in the context of AnaCredit, the identification of subordinated debt relates
7 to the instruments held or serviced by the observed agent and is thus entirely
8 unrelated to subordinated debt issued by the observed agent.

9 Please note that the value “subordinated debt” is also reported in the case of partially
10 subordinated amounts.

Non-subordinated debt

Definition: The instrument is not a subordinated debt in accordance with the Table in
Annex II to Regulation (EU) No 1071/2013 (ECB/2013/33).

11 If the instrument is not a subordinated debt in accordance with the given definition,
12 the value to be reported is “non-subordinated debt”.

3.4.19 Repayment rights

Definition: Classification of credit exposures according to the creditor’s rights to claim

the repayment of the exposure.
Revision mark: editorial changes
13 are applied The data attribute “repayment rights” indicates whether the creditor may or may not
14 claim the repayment of the instrument “on demand or at short notice”.

Reporting qualification

15 For every instrument subject to AnaCredit, one of the two following values is
16 reported.

On demand or at short notice

Definition: Instruments which are repayable on demand or at short notice at the

request of the creditor.
Revision mark: further
17 clarifications are included regarding In AnaCredit, instruments “on demand or at short notice” include the following types
debit balances on current accounts
18 of loan:

19 • balances receivable on demand (call);

20 • at short notice (by close of business on the day following that on which the
21 demand was made);

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1 • debit balances on current accounts without an agreed credit limit (and similar
2 balances), unless they are not repayable on demand or at short notice;

3 • loans that are overnight deposits for the borrower (loans to be repaid by close
4 of business on the day following that on which they were granted), regardless of
5 their legal form.

6 In particular, overnight balances, which are receivable by the creditor, are reported
7 as “on demand or at short notice”. These include cash balances at central banks and
8 other demand deposits, depending on the sector of the counterparty.

9 For overdrafts which are debit balances on current accounts with no credit limit and
10 which are payable on demand, the value “on demand or at short notice” is reported.
11 Meanwhile, debit balances on current accounts with a credit limit which are not
12 payable on demand or at short notice are reported as “other”. This includes cases
13 where the credit limit is exceeded and where the excess alone may be payable on
14 demand, but the instrument as a whole is not payable on demand.

Other

Definition: Instruments subject to repayment rights other than on demand or at short

notice.

15 Instruments are reported as subject to “other” repayment rights if they are not
16 payable on demand or at short notice.

General reporting instructions, specific cases and examples

Revision mark: further
17 clarifications are included in line As a general rule, the data attribute does not concern just a part of the current
with Q&A 2018/0039
18 balance outstanding, but rather it covers the right to use the instrument as a whole.

19 Consequently, the value “other”, rather than “on demand or at short notice”, is
20 reported even if an instrument is in excess of the assigned credit limit and where the
21 excess alone may be payable on demand, provided that the instrument which is
22 considered as a whole is not immediately payable (depending on the contractual
23 agreement, such an excess may be a breach of covenant rendering the instrument
24 immediately payable).

25 In the same vein, the data attribute “repayment rights” is not necessarily changed to
26 “on demand or at short notice” even if an amount under the instrument becomes
27 due, unless the instrument’s being past due implies that the instrument as a whole is
28 contractually cancelled and becomes immediately payable (in accordance with the
29 contractual agreement, the lack of payment may be considered a breach of covenant
30 resulting in the instrument becoming repayable “on demand or at short notice”).

31 However, as regards debit balances on current accounts without an agreed credit

32 limit (and similar balances), where, typically, the amounts are repayable as soon as
33 they arise, the value “on demand or at short notice” is reported to AnaCredit because
34 the outstanding debit balance is the whole instrument.

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1 The paragraphs below provide an overview of the possible values of the data
2 attribute by type of instrument. Please note that this serves only as a general
3 guideline and exceptions may be possible in practice, depending on actual
4 contractual agreements.

5 • The value “other” is typically reported in the data attribute “repayment rights” for
6 “revolving credit other than overdrafts and credit card debt”, “credit lines other
7 than revolving credit”, “financial leases” and “trade receivables” because, in
8 principle, such instruments are neither payable on demand, nor repayable by
9 close of business on the day following that on which they were granted.

10 • The value “on demand or at short notice” is typically reported in the data
11 attribute “repayment rights” for reverse repurchase agreements when they are
12 repayable by close of business on the day following the trading date; otherwise,
13 they are reported under the value “other”.

14 • Regarding open reverse repurchase agreements (i.e. where no legal final

15 maturity date is defined in the contract owing to the fact that they are of a
16 perpetual nature) which can be terminated on any day after the trading date (by
17 either party, provided the party gives notice before an agreed daily deadline),
18 the value “on demand or at short notice” is reported in the data attribute
19 “repayment rights”, despite the fact that they roll over every day.

3.4.20 Fiduciary instrument

Definition: Identification of instruments in which the observed agent acts in its own
name but on behalf of and with the risk borne by a third party.

20 All instruments will be reported as fiduciary, with the observed agent acting in its own
21 name but for the account and at the risk of its customers, irrespective of whether the
22 observed agent additionally provides other services.

Reporting qualification

23 This data attribute is always reported, i.e. every instrument subject to AnaCredit
24 reporting is flagged as either fiduciary or non-fiduciary.

Value

25 One of the two values is reported.

Fiduciary instrument

Definition: Value to be used if the instrument is held in a fiduciary capacity.

Revision mark: clarification is
26 added that instruments held in a The value “fiduciary instrument” is reported if the observed agent is the trustee of the
fiduciary capacity are only classified
27 as “fiduciary instruments” if they are instrument held in a fiduciary capacity.
reported by the trustee, not by the
trustor

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1 “Fiduciary instrument” refers to the activities where the observed agent acts in its
2 own name but for the account and at the risk of its customers, i.e. are instruments
3 made in the name of the observed agent (the trustee) on behalf of a third part (the
4 trustor). With fiduciary instruments, the observed agent provides services such as
5 custody asset management for a structured entity or portfolio management on a
6 discretionary basis. All fiduciary instruments are labelled “fiduciary instrument”,
7 irrespective of whether the observed agent additionally provides other services.

8 Note that the observed agent is reported as the servicer to a fiduciary instrument,
9 whereas the trustor is reported as the creditor to a fiduciary instrument.

10 Typically, fiduciary instruments are instruments that have been used in a fiduciary
11 capacity since inception (i.e. have been originated as fiduciary), although an
12 instrument may be held in a fiduciary capacity following a contractual change after its
13 inception.

14 Instruments serviced by the observed agent where at a certain moment in the

15 lifetime of the instrument the observed agent ceases to act as creditor do not
16 become fiduciary instruments.

Non-fiduciary instrument

Definition: To be used if the instrument is not held in a fiduciary capacity.

Revision mark: clarification is
17 added that instruments held in a Otherwise, if the observed agent does not hold the instrument in a fiduciary capacity,
fiduciary capacity are only classified
18 as “fiduciary instruments” if they are the value “non-fiduciary instrument” is reported in the data attribute. In particular,
reported by the trustee, not by the
19 instruments subject to (traditional) securitisation do not become fiduciary and are to
trustor
20 be reported as “non-fiduciary”, unless they have been fiduciary instruments since
21 their origination.

3.4.21 Commitment amount at inception

Definition: Observed agent’s maximum exposure to credit risk on the inception date of
the instrument, without taking into account any protection held or other credit
enhancements. Total commitment amount on the inception date is established during
the approval process and is intended to restrict an observed agent’s amount of credit
risk to a given counterparty for the relevant instrument.

22 The amount reported in this data attribute is the amount committed by the creditor
23 under the instrument. In particular, it is the agreed credit limit (if any), that is
24 contractually agreed between the debtor and the creditor, and above which the debit
25 balances of the instrument/instruments may not rise in accordance with the contract.

Reporting qualification
Revision mark: clarifications are
26 added regarding the reporting This data attribute is always reported. However, if no maximum exposure is
qualification of the data attribute
27 contractually defined, the value “non-applicable” is reported.

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General reporting instructions, specific cases and examples

1 For fixed-sum credits, the commitment amount is the fixed sum specified in the
2 contract giving rise to the instrument, irrespective of whether the amount is drawn in
3 one amount or by instalments (tranches).

4 For debit balances without an agreed credit limit and for trade receivables with no
5 recourse (cf. Section 5.4.9 in Part III of the Manual) the value “non-applicable” is
6 reported.

7 Commitment amount at inception is Contractual changes in the commitment amount are not subject to AnaCredit
not subject to updates, also in the
8 case of contractual changes thereof reporting in the sense that the commitment amount at inception is not updatable. For
9 example, consider a fixed-sum credit where at inception a commitment amount was
10 contractually agreed but the debtor later decides to adjust this amount downwards.
11 And although the contract is amended accordingly, the change does not trigger any
12 updates of the commitment amount at inception.

Example 16: Commitment amount at inception

Credit Institution C enters into a contract (Cont#1) with Debtor D on 10 December 2018
to extend a fixed-amount loan of €200,000 (Inst#1) to be drawn in two instalments. On 20
February 2019, the first instalment of €100,000 is paid out. In May 2019, Debtor D
communicates to C that it will not draw any additional funds, and as of 29 May 2019 the
initial contract is changed and the repayment schedule is adjusted.

The instrument is initially reported to AnaCredit as of February 2019. This is

presented in Table 26.
Table 26 Relevant data attributes reported as of 28 February 2019

Reporting Contract Instrument Commitment

reference date identifier identifier amount at inception Inception date Settlement date

28/02/2019 CONT#1 INST#1 200,000.00 10/12/2018 20/02/2019

Under the condition that no changes other than those mentioned above take place after
the initial reporting of the instrument, no updates of the instrument dataset are required,
not even as of 31 May 2019 despite the contractual change. However, it is expected that
the decrease in the commitment amount will be reflected in such data attributes as the
off-balance-sheet amount reported in the financial dataset or in the accounting dataset in
which the renegotiation flag is raised in the accounting dataset as of 31 May 2019.

Table 27 Relevant data attributes in the accounting dataset after the contractual change
of the commitment amount

Reporting Contract Instrument Status of forbearance and Date of the forbearance

reference date identifier identifier renegotiation and renegotiation status

Renegotiated instrument without

30/06/2019 CONT#1 INST#1 29/05/2019
forbearance measures

Note that the contractual change does not affect the commitment amount at inception.

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1 Revision mark: the clarifications For multiple instruments drawn under the “limit structures”, the commitment amount
regarding the commitment amount
2 at inception for instruments drawn at inception is allocated to each such instrument as appropriate, whereby a
3 under limit structures are adjusted distinction is made between lump-sum loans and instruments which are not lump-
in line with Q&A 2018/0032
4 sum loans. This means that:

5 • the commitment amount at inception for lump-sum loans under the cross-limit is
6 the amount of funding disbursed (taking into consideration that such
7 instruments do not have an off-balance-sheet amount);

8 • for instruments under the cross-limit that are not lump-sum loans (irrespective
9 of whether or not they are of a revolving nature), the commitment amount at
10 inception is reported as “non-applicable”.

11 For more details regarding reporting multiple instruments arising under a multi-
12 instrument credit facility, refer to Chapter 3 in Part III of the Manual, which deals
13 specifically with this subject.

14 Revision mark: clarifications are In relation to deposits which are current accounts between banks, if on the inception
added in line with Q&A 2018/0034
15 concerning deposits which are date a maximum deposit amount is contractually defined which limits the observed
16 current accounts between banks agent’s exposure to credit risk, this amount is effectively the “commitment amount at
17 inception”. Otherwise this data attribute is reported as “non-applicable”.

3.4.22 Fair value changes due to changes in credit risk before purchase

Definition: The difference between the outstanding nominal amount and the purchase
price of the instrument at the purchase date. This amount should be reported for
instruments purchased for an amount lower than the outstanding amount due to credit
risk deterioration.

18 The variable is reported for any instrument that was purchased (by the creditor
19 holding the instrument at the reporting reference date) at a discount and the discount
20 was due to the instrument’s higher credit risk at the purchase date, irrespective of
21 whether or not the instrument is still non-performing as of the reporting reference
22 date, and irrespective of the accounting portfolio in which the instrument is classified.

23 In such cases, the value to be reported is the outstanding nominal amount at the
24 purchase date (disregarding any write-offs made up to the purchase date) minus the
25 purchase price. If not readily available, the value to be reported may be replaced by
26 the outstanding nominal amount at the purchase date minus the initial accounting
27 recognition amount.

28 The amount of fair value changes due to changes in credit risk before purchase is a
29 positive number (i.e. greater than 0), clearly indicating the decreased value of the
30 instrument at the purchase date.

31 In the case of a pool of instruments transferred according to an overall purchase

32 price, the fair value changes due to changes in credit risk are suitably allocated to
33 each instrument in the pool.

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1 Otherwise, if the instrument was not purchased (but was originated by the reporting
2 agent) or the instrument was not purchased at a discount due to credit risk, the data
3 attribute is reported as “non-applicable”.

4 It is clarified that a discount endorsed by any previous creditor (which is typically not
5 available to the current creditor) is not accounted for in this data attribute. More
6 specifically, in the case of instruments that had been purchased (at a discount) by a
7 previous creditor and later on re-purchased, also at a discount, by the observed
8 agent, it is only the latter discount, i.e. the discount of the observed agent, that is
9 covered in the fair value changes due to changes in credit risk before purchase.

10 For an illustration of how this data attribute is reported, refer to Example 22 in

11 Section 4.4.3, which deals with a purchase of a non-performing loan.

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4 Financial dataset

4.1 General aspects

1 The financial data describe the instrument’s financial development.

2 The data reported are the actual data reflecting the situation of the instrument at the
3 reporting reference date.

4.2 Level of granularity

4 The level of granularity for the financial data is the instrument itself.

4.3 Reporting frequency

5 The financial dataset is reported on a monthly basis.

6 For those reporting agents that have been granted a derogation by the relevant NCB
7 in accordance with Article 16(2) of the AnaCredit Regulation, the financial dataset
8 may be reported on a quarterly basis (cf. Section 8.2 in Part I of the Manual for more
9 details).

4.4 The financial dataset – data attributes

10 This dataset is applicable for instruments subject to AnaCredit reporting. For each
11 such instrument, the following data attributes are reported.

Table 28 Overview of data attributes in the financial dataset

Data attribute Internal identifier Data type Section in Part II

Reporting agent identifier √ String 2.1.2.1
Observed agent identifier √ String 2.1.2.2
Contract identifier √ String 2.1.2.4
Instrument identifier √ String 2.1.2.5

Interest rate Numerical 4.4.1

Next interest rate reset date Date 4.4.2
Default status of the instrument Code list 4.4.4
Date of the default status of the instrument Date 4.4.5
Transferred amount Amount in euro 4.4.3
Arrears for the instrument Amount in euro 4.4.6
Date of past due for the instrument Date 4.4.7
Type of securitisation Code list 4.4.8
Outstanding nominal amount Amount in euro 4.4.9
Accrued interest Amount in euro 4.4.11
Off-balance-sheet amount Amount in euro 4.4.10

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4.4.1 Interest rate

Definition: Annualised agreed rate or narrowly defined interest rate in accordance with
Regulation (EU) No 1072/2013 of the European Central Bank (ECB/2013/34).
Disagio, defined as the difference
1 between the nominal amount of the Regulation (EU) No 1072/2013 (ECB/2013/34) defines the annualised agreed rate
loan and the amount received by
2 the debtor, is considered as an (AAR) as “the interest rate that is individually agreed between the reporting agent
interest payment at the start of the
3 and the household or non-financial corporation for a deposit or loan, converted to an
contract (time t0)
4 annual basis and quoted in percentages per annum. The AAR covers all interest
5 payments on deposits and loans, but no other charges that may apply. Disagio,
6 defined as the difference between the nominal amount of the loan and the amount
7 received by the customer, is considered as an interest payment at the start of the
8 contract (time t0) and is therefore reflected in the AAR”.

9 The narrowly defined effective rate (NDER) is defined as “the interest rate, on an
10 annual basis, that equalises the present value of all commitments other than charges
11 (deposits or loans, payments or repayments, interest payments), future or existing,
12 agreed by the reporting agents and the household or non-financial corporation. The
13 NDER is equivalent to the interest rate component of the annual percentage rate of
14 charge (APRC) as defined in Article 3(i) of Directive 2008/48/EC of the European
15 Parliament and of the Council of 23 April 2008 on credit agreements for consumers
16 and repealing Council Directive 87/102/EEC. The NDER uses successive
17 approximation and can therefore be applied to any type of deposit or loan, whereas
18 the AAR is only applicable to deposits and loans with regular capitalisation of interest
19 payments”.

20 Although both definitions refer to loans extended to households and non-financial

21 corporations, this data attribute is reported for all instruments regardless of the
22 sector of the debtor.

23 More information on the methodology for calculating the interest rate can be found in
24 the Manual on MFI interest rate statistics. 17

Reporting qualification

25 This data attribute is reported for each instrument. There can be no derogations in
26 accordance with Article 7 of the AnaCredit Regulation in respect of this data attribute.

27 Revision mark: clarification is Consequently, a percentage interest rate is reported, including in cases where there
included concerning cases of
28 instruments for which no interest is no explicit interest rate. However, in the case of instruments for which no interest
29 rate applies rate applies, the interest is reported as “non-applicable” (this specifically concerns
30 certain types of trade receivables).

Values

31 A percentage interest rate with two decimals is reported as a numerical value. Both
32 positive and negative values are admitted.
17
The Manual on MFI interest rate statistics can be found in the Statistics section of the ECB’s website.

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1 For an illustration, consider the following examples.

Example 17: Reporting percentage interest rates as numerical values

A percentage interest rate with two decimal places is reported as a numerical value with
four decimal places.

Percentage interest rates are reported as numerical values as follows:

• An interest rate of 3.57% on an annual basis is reported as 0.0357.

• An interest rate of -0.5% on an annual basis is reported as -0.005.

• An interest rate of 0% is reported as 0.

2 Please note that the presented values do not reflect the technical standards for the
3 reporting, meaning that the NCB may require a different degree of precision for the
4 value.

General reporting instructions, specific cases and examples

5 In accordance with the requirements for MFI interest rate statistics, the interest rate
6 to be reported is as follows.

7 If there is an amount outstanding at the reporting reference date, then:

8 • the interest rate referring to the outstanding amount is the weighted average
9 interest rate applied to the outstanding amount at the reporting reference date;

10 • the weighted average interest rate is the sum of the AAR/NDER multiplied by
11 the corresponding outstanding amounts and divided by the total outstanding
12 amount.

13 To that extent, undrawn amounts are not considered for the calculation of the
14 weighted interest rate.

15 Revision mark: a reference is Please refer to Examples 8 and 9 in Section 4.3.2 in Part III of the Manual for an
added to Part III of the Manual
16 illustration of the reporting of interest rates.

17 For instance, for a credit card debt for which the outstanding nominal reported at the
18 reference date is a “convenience credit”, the interest rate of 0% is to be reported as
19 0; for those credit card debts which at the reporting reference data comprise both an
20 “extended credit” and a “convenience credit”, the weighted average of the respective
21 interest rates charged is reported.

22 Otherwise, if the outstanding amount is 0 (zero) at the reporting reference date, then
23 reporting agents provide the weighted average interest rate applied to the maximum
24 amount (considering the credit limit but disregarding any possibility to exceed the
25 credit limit) that could be outstanding under the instrument; in other words, in the
26 case of instruments with an undrawn amount available, the interest rate is reported
27 although the whole amount is undrawn.

28 In accordance with the MIR statistics, penalties in the form of special fees are not
29 covered by the AAR/NDER (the fees are not part of the outstanding amount either).

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1 Please also note that in the calculation there is no differentiation between the
2 ordinary interest rate and the penalty interest rate. For instance, if the outstanding
3 amount includes an excess amount (above the credit limit) and a penalty interest
4 rate is charged on the excess amount, this is considered in the calculation of the
5 weighted average interest rate; in other words, if a penalty is charged in the form of
6 higher interest rates, this penalty is also reflected in the (weighted average) interest
7 rate to be reported. If the penalty is applied in the form of fees or other non-interest
8 components, it is not covered.

9 Revision mark: clarification In the case of instruments for which no interest rate applies, the interest is reported
concerning the reporting in the case
10 of trade receivables is added in line as “non-applicable”. In particular, in the case of instruments that are trade
11 with Section 5.4.11 in Part III of the receivables where the account debtor is reported as the debtor, the interest rate is
Manual
12 reported as “non-applicable” (unless the factor is entitled to charge interest on late
13 payment directly to the account debtor). However, please note that, although there is
14 no explicit interest rate, instruments with disagio or zero-coupon instruments are not
15 considered instruments for which no interest rate applies (implying that a value other
16 than “non-applicable” is reported).

17 Regarding the interest rate for loans with step up/step down provisions whereby the
18 interest rates are increased or decreased when the debtor’s credit rating is upgraded
19 above or downgraded below certain levels, it is the actual interest rate (at the
20 reference date) that is reported.

21 In the case of a current account overdraft, calculating the interest rate may require
22 weighting of the higher rate (charged when the debit balance exceeds the agreed
23 credit limit) with the “normal” usage interest rate proportionally to the overdraft total
24 debit balance, where the weighted average interest rate is the sum of the
25 AAR/NDER multiplied by the corresponding amounts and divided by the sum of the
26 corresponding amounts.

27 Please note that penalties in the form of special fees are not included in the
28 calculation of the AAR/NDER (for example, a loan of €110,000 is issued at a
29 discount of €10,000 for a tenor of one year; the loan was repaid with a delay for
30 which a penalty of €5,000 was charged so that eventually the debtor repaid
31 €115,000; however, the penalty amount of €5,000 is not taken into account for the
32 calculation of the NDER, which is estimated to be €10,000/€100,000 = 10%).

33 Please also note, however, that any unpaid penalties and other fees are added to the
34 outstanding nominal amount at a reporting reference date, and therefore are
35 accounted for when calculating the outstanding weighted average interest rate
36 (although they are not covered in the AAR/NDER which are thus averaged).

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4.4.2 Next interest rate reset date

Definition: The date when the next interest rate reset, as defined in Part 3 of Annex I to
Regulation (EU) No 1071/2013 (ECB/2013/33), takes place.

1 An interest rate reset is understood as a change in the interest rate of an instrument

2 which is provided for in the contract.

3 Instruments subject to an interest rate reset include, inter alia, loans with variable
4 interest rates which are periodically revised in accordance with the evolution of an
5 index, e.g. EURIBOR, loans with interest rates which are revised on a continuous
6 basis, i.e. floating rates, and loans with interest rates which are revisable at the credit
7 institution’s discretion.

Reporting qualification

8 This data attribute is reported unless an observed agent is a foreign branch which is
9 not resident in any reporting Member State and has been granted a derogation in
10 accordance with Article 7 of the AnaCredit Regulation. In cases of such derogations,
11 the value “not required” is reported.

12 In addition, in the case of instruments which do not include a contractual agreement

13 to change the interest rate (i.e. the interest rate is not resettable), including overnight
14 loans (one day loans), the value “non-applicable” is reported.

15 Revision mark: clarification is It is clarified that, to simplify the reporting, the value “non-applicable” is also reported
included concerning instruments
16 not subject to a future interest rate when the instrument is not subject to a future interest rate reset, although, in
17 reset accordance with Annex IV to the AnaCredit Regulation, the value to be reported is
18 the legal final maturity of the instrument.

Values

19 Unless “non-applicable” is reported, a date is reported indicating the day on which

20 the next change in the interest rate of an instrument as provided in the contract will
21 take place.

General reporting instructions, specific cases and examples

22 Unless “non-applicable” is reported, the next interest rate reset date should not be
23 earlier than the reporting reference date.

24 In particular, the following applies:

25 • if provided for in the contract, the date is as specified therein;

26 • otherwise, if no date is specified in the contract, but the contract (also taking
27 account of general terms and conditions) provides for such a possibility (for
28 instance, revised on notice or on a continuous basis), then, as a convention, it
29 is the reporting reference date (i.e. the date is rolled over on a monthly basis);

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1 • otherwise, if the instrument is not subject to a future interest rate reset, then
2 “non-applicable” is reported;

3 • similarly, in the case of instruments for which the last interest rate reset date
4 has already passed, the value “non-applicable” is reported.

5 In the case of fixed interest rate instruments – where the data attribute “interest rate
6 type” in the instrument dataset is reported as “fixed” – a distinction is broadly made
7 between the following two cases:

8 • a fixed interest rate has been contractually agreed for the entire life of the
9 instrument; in such cases, the value “non-applicable” is reported;

10 • an interest rate has been contractually fixed only until a specific future date t
11 after which the fixed interest rate can be reset; in such cases, the future date t
12 is reported in this data attribute.

4.4.3 Transferred amount

Definition: Transferred amount of the economic ownership of the financial asset.

13 This data attribute captures the part of the outstanding nominal amount that has
14 been transferred to another creditor.

15 Please note that this data attribute refers to the amount transferred to third parties
16 rather than amounts acquired from third parties.

17 This data attribute is primarily relevant in the case of transferred instruments, and in
18 particular transferred as part of a traditional securitisation scheme.

19 Transferred instruments are those that have been granted or acquired by the
20 observed agent and legally transferred (sold) to third parties but are still subject to
21 AnaCredit reporting vis-à-vis the observed agent because it retains the servicing
22 rights of the instrument, regardless of whether the amount reported is in the balance
23 sheet of the observed agent (i.e. regardless of whether the instrument is entirely or
24 partially recognised in the balance sheet). Please refer to Section 6.1.2 for more
25 information concerning instruments with multiple creditors.

Reporting qualification

26 This data attribute is always reported, i.e. there can be no derogations in respect of
27 this data attribute.

Values

28 The transferred amount is reported in euro.

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General reporting instructions, specific cases and examples

1 If an instrument is not transferred, i.e. if no amount of the instrument has been

2 transferred, zero is reported under this data attribute.

3 Revision mark: clarifications are Otherwise, if an instrument is fully transferred (i.e. the whole outstanding nominal
included regarding the meaning of
4 fully and partially transferred amount is transferred) or partially transferred (i.e. a percentage of the outstanding
5 instruments nominal amount is transferred), the “transferred amount” is the transferred part of the
6 “outstanding nominal amount” of the instrument (as reported at a reporting reference
7 date) rather than the amount transferred at the transfer date. In other words, at any
8 reporting reference date, the transferred amount specifies the part of the outstanding
9 nominal amount which is not held by the observed agent which transferred (the part
10 of) the instrument.

11 In any case, on a given reporting reference date, the amount reported in this data
12 attribute does not exceed the outstanding nominal amount.

13 The transferred amount is the The transferred amount includes the part(s) of the outstanding nominal amount that
accumulated transferred amount
14 have been transferred prior to or at a reporting reference date, i.e. including all
15 amounts transferred at or before the reporting reference date, and not only the
16 amounts transferred after the previous reporting reference date.

17 The transferred amount does not include the accrued interest.

18 Regarding instruments that are fully transferred (sold) to a third party and are no
19 longer serviced by the observed agent, the observed agent does not report such
20 instruments to AnaCredit any longer after the transfer date, irrespective of whether or
21 not the transfer date is a quarter-end date.

22 Revision mark: a reference to However, in the case of transferred instruments for which a write-off has occurred,
Part I is included concerning the
23 reporting of written-off instruments the observed agent reports such instruments until at least the quarter-end date of the
24 quarter in which the transfer takes place – i.e. extended quarter-end reporting
25 applies. “Extending” the reporting in this way is necessary in order to capture the
26 amount received (the price) for the transfer of a written-off instrument. The amount
27 received (i.e. the sale price) is in such cases considered to be recoveries and is
28 reported in the data attribute “cumulative recoveries in default”. For more information
29 concerning the reporting of written-off instruments, please refer to Section 5.2.2 in
30 Part I of the Manual and Section 3.1.6.1 above which deal specifically with extended
31 quarter-end reporting.

32 Please note that partially transferred instruments may be reported following one of
33 the two broadly defined approaches:

34 • the bank splits a partially transferred instrument into multiple parts which are
35 then considered individual instruments upon the transfer;

36 • the bank does not split a partially transferred instrument into parts and the
37 partially transferred instrument continues to be just one instrument.

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Bank splits a partially transferred instrument into multiple parts

1 In the case of a transferred instrument with multiple creditors (i.e. where two or more
2 creditors hold different parts of the instrument), where the observed agent actually
3 perceives each transferred part as a separate instrument, each part is reported as an
4 individual instrument accordingly.

5 All the transferees are recorded in In fact, each of the transferred parts represents an instrument in its own right, with
the counterparty-instrument dataset
6 as creditors to the instrument parts the observed agent reporting each part as long as it retains the servicing rights over
7 the part (the observed agent does not act as creditor to this transferred part of the
8 instrument), and the transferred amount equals the outstanding nominal amount
9 reported for the part.

10 Revision mark: the clarifications If the instrument is not split because of a partial transfer to multiple creditors, the
regarding instruments that are not
11 split is removed from this point transferred amount of the instrument represents the total of all parts transferred,
12 irrespective of the creditor to which instrument parts were transferred.

13 However, regarding the non-transferred instrument part, where the observed agent
14 acts as both creditor and servicer, the transferred amount is 0 (as this instrument
15 part is not considered a transferred instrument).

Bank does not split a partially transferred instrument into parts

16 In cases where the partially transferred instrument is not split, the transferred amount
17 of the instrument represents the total of all parts transferred irrespective of the
18 creditor to which instrument parts were transferred.

19 All the transferees are recorded in From the perspective of the observed agent which has transferred an instrument to
the counterparty-instrument dataset
20 as creditors to the instrument other creditors, where the observed agent continues to act as servicer of the
21 instrument, all the creditors to which the parts of the instrument are transferred are
22 reported in the counterparty-instrument dataset.

23 By contrast, taking the perspective of those creditors to whom the parts of the
24 instrument are transferred, if they are observed agents for AnaCredit themselves,
25 they report their parts of the transferred instrument.

26 The following instruments are considered transferred regardless of the value in the
27 data attribute “balance sheet recognition”:

28 • traditional securitisations when the servicer is the observed agent;

29 • other instruments sold, on condition that they remain serviced by the observed
30 agent.

31 By contrast, the following instruments are not considered as transferred:

32 • instruments subject to synthetic securitisations;

33 • instruments used as collateral to issue covered bonds;

34 • fiduciary loans;

35 • syndicated loans.

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1 Syndicated loans are not Please note that syndicated loans are not considered as transferred instruments,
considered as transferred
2 instruments because each member of a syndicated loan which is an observed agent in the
3 context of AnaCredit reports only its own share in the syndicated loan.

The reporting of accounting-related data in the case of transferred

instruments
4 The reporting of any accounting- As a general rule, although the instrument dataset tends to describe the instrument
related data (such as the carrying
5 amount) is restricted only to the part as a whole (e.g. the transferred amount is included in the outstanding nominal
6 of the instrument (outstanding) amount), the reporting of any accounting-related data (such as carrying amount, etc.)
which the observed agent
7 is restricted only to the part of the instrument (outstanding) which the observed agent
recognises in its balance sheet
8 recognises in its balance sheet. Any part of the instrument which is not recognised
Revision mark: the reference to
9 accrued interest is removed as, in by the observed agent is excluded from all of the accounting-related data attributes
10 line with Section 4.4.11, the data (which go beyond the attributes in the accounting dataset) so as to remain in line
attribute “accrued interest” is also
11 reported in cases of no interest
with the accounting policies and the general ledger of the reporting institution. To that
12 accrual in accordance with the extent, it is the amount that was transferred itself which is always subject to reporting
13 accounting standard in the designated attribute of the AnaCredit financial dataset.

Transferred amount for instruments in traditional securitisation

14 The following stylised examples of the treatment of securitisation transactions within

15 the AnaCredit framework serve as an illustration of how instruments transferred in a
16 traditional securitisation are reported in the context of AnaCredit. To that extent,
17 these examples deal with the general methodology of reporting for the individual
18 transferred instruments rather than the specifics of securitisation transactions which
19 are covered in Chapter 6 in Part III of the Manual dealing with the specifics of
20 securitisation transactions.

21 The transferred amount reflects the part of the outstanding nominal amount that has
22 been physically (in terms of balance sheet recognition) transferred from one creditor
23 to another or others. It is therefore the amount which was derecognised in the
24 balance sheet of the transferor for the benefit of the transferee.

25 Example 18 presents the reporting in the case of a fully transferred loan in a

26 securitisation transaction.

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Example 18: Fully transferred loan to a financial vehicle corporation (FVC) in a

securitisation transaction

Credit institution Bank#A extends a loan Ins#1 to debtor Deb#1 on the basis of contract
Con#A. On 15 October, Bank#A fully transfers the loan to an FVC (FVC#X) in traditional
securitisation (true sale). Throughout the whole time considered, Bank#A acts as
servicer. From the perspective of Bank#A as an observed agent, the reporting of the data
is illustrated in Table 29 and Table 30 (before the transfer) and in Table 31 and Table 32
(after the transfer).
Table 29 Indication of the financial dataset before the transfer
Outstanding
Reporting Observed agent Contract Instrument nominal Transferred
reference date identifier identifier identifier amount amount
30/09/2018 BANK#A CON#A INS#1 50,000.00 0.00

Table 30 Indication of the counterparty-instrument dataset before the transfer

Reporting Observed agent Contract Instrument Counterparty Counterparty
reference date identifier identifier identifier identifier role
30/09/2018 BANK#A CON#A INS#1 BANK#A Creditor

30/09/2018 BANK#A CON#A INS#1 BANK#A Servicer

30/09/2018 BANK#A CON#A INS#1 DEB#1 Debtor

Upon the true sale of the asset, FVC#X assumes the role of creditor of the instrument,
while Bank#A ceases to act as creditor as reflected in Table 32.
Table 31 Indication of the financial dataset after the transfer
Outstanding
Reporting Observed agent Contract Instrument nominal Transferred
reference date identifier identifier identifier amount amount
31/10/2018 BANK#A CON#A INS#1 50,000.00 50,000.00

Table 32 Indication of the counterparty-instrument dataset after the transfer

Reporting Observed agent Contract Instrument Counterparty Counterparty
reference date identifier identifier identifier identifier role
31/10/2018 BANK#A CON#A INS#1 FVC#X Creditor

31/10/2018 BANK#A CON#A INS#1 BANK#A Servicer

31/10/2018 BANK#A CON#A INS#1 DEB#1 Debtor

31/10/2018 BANK#A CON#A INS#1 BANK#A Originator

In this case, Bank#A continues servicing the instrument and, in light of the fact that
FVC#X is not an observed agent, Bank#A continues the reporting even after the transfer
of the instrument, with the transferred amount indicating that the entire outstanding
nominal amount has been transferred to the FVC.
Any payment received after the transfer affects both the outstanding nominal amount and
transferred amount. For example, Table 33 gives an illustration of how a payment by
Deb#1 of €1,000 on 29 November is reflected in both amounts.
Table 33 Indication of the financial dataset after the transfer with payments received
Outstanding
Reporting Observed agent Contract Instrument nominal Transferred
reference date identifier identifier identifier amount amount
30/11/2018 BANK#A CON#A INS#1 49,000.00 49,000.00

Bank#A continues to report the instrument as long as it meets the general criteria for
reporting (including the threshold of €25,000 commitment of the debtor). The FVC, which
is not an observed agent, does not report the instrument to AnaCredit at all, not even
after the transfer.

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Subsequently, Example 19 illustrates the reporting in the case of a loan which has
been partially transferred to an FVC in a securitisation transaction where the
observed agent does not split the instrument upon transfer.

Example 19: Loan which has been partially transferred to an FVC in a securitisation
transaction – bank does not split the instrument upon transfer

Credit institution Bank#A extends a loan Ins#1 to debtor Deb#1 on the basis of contract
Con#A. On 15 October, Bank#A transfers 40% of the loan to an FVC (FCV#X) in
traditional securitisation.
For reporting purposes, Bank#A does not split the transferred instrument. Throughout the
observed time period, Bank#A acts as servicer of the loan. From the perspective of
Bank#A as an observed agent, the reporting of the data is illustrated in Table 29 and
Table 30 above (the situation before the transfer) and in Table 34 and Table 35 below,
where after the transfer Bank#A still considers Ins#1 as one instrument.
Table 34 Indication of the financial dataset after the partial transfer
Outstanding
Reporting Observed agent Contract Instrument nominal Transferred
reference date identifier identifier identifier amount amount
31/10/2018 BANK#A CON#A INS#1 50,000.00 20,000.00

Table 35 Indication of the counterparty-instrument dataset after the partial transfer

Reporting Observed agent Contract Instrument Counterparty Counterparty
reference date identifier identifier identifier identifier role
31/10/2018 BANK#A CON#A INS#1 BANK#A Creditor

31/10/2018 BANK#A CON#A INS#1 BANK#A Servicer

31/10/2018 BANK#A CON#A INS#1 DEB#1 Debtor

31/10/2018 BANK#A CON#A INS#1 FVC#X Creditor

31/10/2018 BANK#A CON#A INS#1 BANK#A Originator

Bank#A continues the reporting after the transfer as it continues to service the
instrument, whereas FVC#X is not an observed agent. However, both the FVC and the
bank act as creditor of Ins#1. The transferred amount specifies the part of the
outstanding nominal amount which is not held by Bank#A (the originator) as it is held by
the FVC.
Any payment received after the transfer affects the outstanding nominal amount and,
depending on the securitisation contract, may also affect the transferred amount. For the
purpose of this example, it is assumed that any payment received after the transfer
affects both amounts proportionally. Consequently, payments are distributed pro rata in
the transferred amount. For example, a payment by Deb#1 of €1,000 on 29 November
2018 is reflected in full in the outstanding nominal amount while only 40% of it (i.e. €400)
affects the transferred amount. This is illustrated in Table 36.
Table 36 Outstanding and transferred amounts after the partial transfer
Outstanding
Reporting Observed agent Contract Instrument nominal Transferred
reference date identifier identifier identifier amount amount
30/11/2018 BANK#A CON#A INS#1 49,000.00 19,600.00

Bank#A continues to report the instrument as long as it meets the general criteria for
reporting (including the threshold of €25,000 commitment of the debtor). The FVC, which
is not an observed agent, does not report the instrument to AnaCredit at all, even after
the transfer.

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Example 20: Securitisation transaction – a loan partially transferred to an FVC –

bank splits the instrument upon the transfer

On the basis of contract Con#A, Bank#A extends Ins#1 to debtor Deb#1. On 15 October,
Bank#A transfers 40% of Ins#1 to an FVC (FVC#X) in a traditional securitisation.
For reporting purposes, Bank#A splits the partially transferred instrument into respective
parts Ins#1#6 and Ins#1#4 which together replace the original instrument. Throughout
the observed time period, Bank#A acts as servicer of the instrument as a whole.
From the perspective of Bank#A as an observed agent, the reporting of the data is
illustrated in Table 29 and Table 30 above (the situation before the transfer) and in Table
37 and Table 38 below (after the transfer).
Table 37 Indication of the financial dataset after the partial transfer
Reporting Observed agent Contract Instrument Outstanding Transferred
reference date identifier identifier identifier nominal amount amount
31/10/2018 BANK#A CON#A INS#1#6 30,000.00 0.00

31/10/2018 BANK#A CON#A INS#1#4 20,000.00 20,000.00

Table 38 Indication of the counterparty-instrument dataset after the partial transfer

Reporting Observed agent Contract Instrument Counterparty Counterparty
reference date identifier identifier identifier identifier role
31/10/2018 BANK#A CON#A INS#1#6 BANK#A Creditor

31/10/2018 BANK#A CON#A INS#1#6 BANK#A Servicer

31/10/2018 BANK#A CON#A INS#1#6 DEB#1 Debtor

31/10/2018 BANK#A CON#A INS#1#4 FVC#X Creditor

31/10/2018 BANK#A CON#A INS#1#4 BANK#A Servicer

31/10/2018 BANK#A CON#A INS#1#4 DEB#1 Debtor

31/10/2018 BANK#A CON#A INS#1#4 BANK#A Originator

Bank#A continues servicing both parts of the original Ins#1, and since FVC#X is not an
observed agent, Bank#A reports two instruments in the instrument dataset. Ins#1#4 is
the part of the instrument that is transferred (in which the FVC assumes the creditor’s
role) and is treated as a fully transferred instrument for which a transferred amount
matching the outstanding nominal amount is reported. Meanwhile, Ins#1#6 is the part
that is not transferred and therefore 0 is reported as the transferred amount.
For the purpose of this example, it is assumed that any payment received after the
transfer affects both amounts proportionally. For example, a payment by Deb#1 of
€1,000 on 29 November 2018 is taken pro rata and reduces the outstanding nominal
amount of Ins#1#6 by €600 and the outstanding nominal amount of Ins#1#4 by €400. In
relation to Ins#1#4, the payment is also reflected in the transferred amount. This is
illustrated in Table 39.
Table 39 Outstanding and transferred amounts after the partial transfer
Reporting Observed agent Contract Instrument Outstanding Transferred
reference date identifier identifier identifier nominal amount amount
30/11/2018 BANK#A CON#A INS#1#6 29,400.00 0.00

30/11/2018 BANK#A CON#A INS#1#4 19,600.00 19,600.00

Bank#A continues to report the split parts of the original instrument as long as they
together meet the general criteria for reporting. Because the FVC is not an observed
agent, it does not report the instrument to AnaCredit at all, even after the transfer.

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Transferred amount for sold instruments

1 The following examples serve as an illustration of how instruments transferred in a

2 sale (other than securitisation) are reported under AnaCredit.

3 Revision mark: Example 21 In particular, Example 21 depicts how the transferred amount is reported for a non-
4 (former Example 13) is updated in performing loan that is sold (not securitised) to a third party and where the selling
line with Q&A 2018/0009 and
5 Q&A 2017/0003 institution ceases to act as servicer of the loan after the sale.

Example 21: Sale of a non-performing loan to a third party (servicing stops)

Credit institution Bank#B extends a non-performing loan Ins#3 to debtor Deb#3 on the
basis of contract Con#7. On 15 October Bank#B entirely sells off the loan to a third-party
buyer (BUYER#T) for a fraction (i.e. 15%) of its nominal amount, and at the same time
Bank#B writes off the remaining part of the loan. Bank#B ceases to act as servicer of the
loan after the sale.
From the perspective of Bank#B as an observed agent, the reporting before the sale is
analogous to the case illustrated in Example 18 above and is not shown here. After the sale,
Bank#B acts as neither creditor nor servicer of Ins#3, but, owing to the fact that a write-off
occurs, Bank#B reports Ins#3 until the end of the quarter (i.e. until 31 December 2018).
The obligation to report Ins#3 after the sale exists irrespective of whether or not the buyer is
a credit institution and is triggered by extended quarter-end reporting (cf. Section 5.2.2 in
Part I of the Manual). The reporting of the transferred amount and the accumulated write-
offs in the extended period in the accounting dataset is presented in Table 40 and Table 41.
Table 40 Indication of the financial dataset after the sale
Reporting Observed agent Contract Instrument Outstanding Transferred
reference date identifier identifier identifier nominal amount amount
31/10/2018 BANK#B CON#7 INS#3 0.00 Non-applicable 18

31/11/2018 BANK#B CON#7 INS#3 0.00 Non-applicable

31/12/2018 BANK#B CON#7 INS#3 0.00 Non-applicable

Please note that at the moment of sale, BUYER#T acquires the ownership of the
instrument and assumes the roles of creditor and servicer while Bank#B ceases to act as
creditor. Consequently, as the instrument is considered non-existing from the seller’s
perspective, in accordance with Section 3.1.6.1, the counterparty-instrument dataset is
not reported after the sale.
Bank#B continues reporting the instrument in the financial dataset until 31 December
2018, with the values as reported on 31 October 2018 being repeated as of 30 November
and 31 December 2018. Thereafter, Bank#B stops reporting Ins#3.
Table 41 Indication of the accounting dataset after the sale
Cumulative
Reporting Observed agent Contract Instrument Accumulated recoveries since
reference date identifier identifier identifier write-offs default
31/12/2018 BANK#B CON#7 INS#3 85,000.00 15,000.00

Accumulated write-offs, which are part of the accounting dataset, are reported only as of
quarter-ends. Therefore, the information that €85,000 has been written off is reported to
AnaCredit only as of 31 December 2018, as no reporting of the accounting dataset takes
place for October and November. The cumulative recoveries since default are reported as
of 31 December 2018 and amount to €15,000 (under the assumption that no additional
recoveries were obtained before or after the sale of the instrument on 15 October 2018).
If Bank#B continues to service the instrument after the sale, then Bank#B would report
the instrument beyond 2018, provided that BUYER#T is not a credit institution.

18
The value “non-applicable” in this case is due to the general instructions on extended quarter-end
reporting, cf. Section 5.2.2 in Part I of the Manual.

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1 Revision mark: the clarifications Conversely, Example 22 illustrates the reporting of a sold instrument from the
and the accumulated impairment
2 amount in Table 45 (former Table perspective of the buyer.
46) are updated in accordance with
Q&A 2018/0049
Example 22: Purchase of a non-performing loan by an observed agent

In line with description of Example 21 above, on 15 October credit institution CI#2

purchases from Bank#B a non-performing loan (Loan#10) which was extended by
Bank#B to debtor Deb#3 on the basis of contract Con#7. The purchase price amounts to
a fraction (i.e. 15%) of the loan’s outstanding nominal amount (€100,000 throughout the
whole period considered). At the purchase date, CI#2 becomes the sole creditor and
servicer of Loan#10, i.e. Bank#B ceases to act as servicer of the loan after the sale.
From the perspective of CI#2 as an observed agent, CI#2 reports Loan#10 irrespective of
whether Bank#2 still reports the sold instrument to AnaCredit.
In particular, CI#2 reports the instrument dataset, with the difference between the
outstanding nominal amount and the purchase price of the instrument at the purchase
date being reported. This difference amounts to €85,000. This is illustrated in Table 42.
Table 42 Indication of the instrument dataset after the purchase
Fair value changes due to
Reporting Observed agent Contract Instrument changes in credit risk before
reference date identifier identifier identifier purchase

31/10/2018 CI#2 CON#7 LOAN#10 85,000.00

Table 43 provides information about the outstanding nominal amount and the transferred
amount (0) and Table 44 about the counterparties involved in the instrument. While the
instrument dataset is – as long as no changes occur – reported only as of 31 October,
both the financial and the counterparty-instrument datasets are reported (with the same
values) also in November and December (not shown).
Table 43 Indication of the financial dataset after the purchase
Outstanding
Reporting Observed agent Contract Instrument nominal Transferred
reference date identifier identifier identifier amount amount
31/10/2018 CI#2 CON#7 LOAN#10 100,000.00 0.00

Table 44 Indication of the counterparty-instrument dataset after the purchase

Reporting Observed agent Contract Instrument Counterparty Counterparty
reference date identifier identifier identifier identifier role
31/10/2018 CI#2 CON#7 LOAN#10 CI#2 Creditor
31/10/2018 CI#2 CON#7 LOAN#10 CI#2 Servicer

31/10/2018 CI#2 CON#7 LOAN#10 DEB#3 Debtor

CI#2 recognises the loan in its balance sheet at its fair value at the acquisition date,
which is equal to the acquisition price (€15,000), in conformity with the applicable
accounting rules (assumed to be the IFRS). Note that since CI#2 has not incurred any
impairment or write-off since the purchase, €0 is reported for both the accumulated
impairment amount and the accumulated write-offs. This is illustrated in Table 45.
Table 45 Indication of the accounting dataset after the purchase
Reporting Observed Accumulated
reference agent Contract Instrument Type of impairment Carrying Accumulated
date identifier identifier identifier impairment amount amount write-offs
Stage 3
31/12/2018 CI#2 CON#A LOAN#10 0.00 15,000.00 0.00
(IFRS)

Please note that the accounting dataset is reported only as of quarter-ends.

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4.4.4 Default status of the instrument

Definition: Identification of the default status of the instrument. Categories describing

the situations in which an instrument can be described as being at default in
accordance with Article 178 of Regulation (EU) No 575/2013.

1 This data attribute identifies instruments in default in accordance with the CRR.

2 Revision mark: a reference to the For details on the definition of default, please refer to the European Banking
Guidelines on the application of the
3 definition of default is added Authority (EBA) Guidelines on the application of the definition of default under Article
4 178 of Regulation (EU) No 575/2013 (EBA/GL/2016/07).

Reporting qualification

5 This data attribute is reported unless the observed agent is not subject to capital
6 requirements (i.e. it is a credit institution under Article 4(1)(1) of the CRR which is
7 exempted from capital requirements under Article 2 of the CRD IV) and has been
8 granted a derogation by the relevant NCB in accordance with Annex II to the
9 AnaCredit Regulation. In cases of such derogations, the value “not required” is
10 reported.

11 In addition, in relation to instruments where the reporting agent applies the definition
12 of default in accordance with Article 178 of the CRR at the counterparty level rather
13 than at the level of an individual instrument, the default status of the instrument is
14 reported as “non-applicable” (cf. Section 10.4.1).

Values

15 1. Not in default – Instrument not in default in accordance with the CRR

16 2. Default because unlikely to pay – Instrument in default because the debtor is

17 unlikely to pay in accordance with Article 178(1)(a) of the CRR but the
18 instrument is not more than 90/180 days past due.

19 3. Default because more than 90/180 days past due – Instrument in default
20 because the debt is more than 90/180 days past due in accordance with Article
21 178(1)(b) of the CRR but the debtor has not been classified as unlikely to pay.

22 4. Default because both unlikely to pay and more than 90/180 days past due –
23 Instrument in default both because it is considered that the debtor is unlikely to
24 pay and because the debt is more than 90/180 days past due in accordance with
25 Article 178(1)(a) and (b) of the CRR.

General reporting instructions, specific cases and examples

26 The criteria to be applied for reporting this data attribute are the same as those used
27 by the reporting agent for the calculation of the minimum capital requirement in
28 accordance with the CRR.

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1 If the default status is not assessed at the level of the instrument but at the level of
2 the debtor, the value “non-applicable” is reported – refer to Example 37 through to
3 Example 41 in Section 5.4.9 for more details. Please refer also to Chapter 10, which
4 deals specifically with the default status of the counterparty.

5 Revision mark: editorial changes More specifically, only one of the four values listed above is reported for instruments
are applied
6 whose default status is assessed at the instrument level. This is only possible for
7 instruments that are classified as retail exposures for CRR purposes if the credit
8 institution exercises the option provided by the last sentence of Article 178(1) of the
9 CRR. In all other cases, where default is not defined at the level of the individual
10 instrument but rather at the level of the counterparty (refer to Section 10.4.1), the
11 value “non-applicable” is reported.

12 Please note that a special case arises if, in accordance with Article 178(1) of the
13 CRR, the option to apply the definition of default at the level of an instrument is
14 exercised only for a subset of instruments extended to a counterparty, while this
15 option is not exercised for other instruments extended to the same counterparty. This
16 scenario implies that default is assessed both at instrument and at counterparty
17 level. For instruments that are assessed at the instrument level, the default status of
18 the instrument is reported accordingly. However, for other instruments, for which the
19 reporting agent applies the definition of default at the counterparty level, the data
20 attribute “default status of the instrument” is reported as “non-applicable”. For an
21 extensive example regarding the interrelation of the data attributes “default status of
22 the instrument”, “default status of the counterparty” and “performing status of the
23 instrument” in this complex situation, please refer to Section 5.4.9.

24 The default status of the instrument/counterparty may change after the moment on
25 which a default actually started (e.g. from “unlikely to pay” to “90 days past due”, or
26 both). In this connection, note that the data attribute “cumulative recoveries since
27 default” is calculated taking into account the beginning of the default status – in other
28 words, all recoveries are accounted for over the actual duration of a default, which
29 spans the period between the moment the default actually started and the moment at
30 which it ended, as opposed to when it was updated for the last time.

31 Moreover, the number of days past due at a given reporting reference date for all
32 instruments (including instruments in default) is captured by the data attribute “date
33 of past due for the instrument” (or for other instruments of the same debtor).

4.4.5 Date of the default status of the instrument

Definition: The date on which the default status, as reported in the data attribute
“default status of the instrument”, is considered to have occurred

34 This data attribute identifies the date on which the default status of the instrument in
35 accordance with the CRR was changed/applied.

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Reporting qualification

1 This data attribute is fully synchronised with the data attribute “default status of the
2 instrument”. Accordingly, this data attribute is reported as “non-applicable” wherever
3 the corresponding data attribute “default status of the instrument” is reported “non-
4 applicable”.

5 In particular, “non-applicable” is reported if a reporting agent does not apply the

6 definition of default at the level of an individual instrument.

7 If the observed agent is not subject to capital requirements under the CRR, and the
8 reporting agent has been granted a derogation by the respective NCB, and the
9 “default status of the instrument” is hence “not required”, then the value reported for
10 the “date of the default status of the instrument” is consequently also “not required”.

11 For details regarding the reporting qualification of the default status of the
12 instrument, please refer to Section 4.4.4 above.

Values

13 Unless reported as “non-applicable” or “not required”, a date is reported indicating

14 the day on which the default status of the instrument as reported in the
15 corresponding data attribute has occurred. In particular, the reported date is not later
16 than the reporting reference date.

General reporting instructions, specific cases and examples

17 As regards instruments for which the value in the data attribute “default status of the
18 instrument” is “not in default”, the date on which the instrument is considered to have
19 gone out of default is reported, provided that the instrument has been in default
20 before.

21 Otherwise, if the instrument has never been in default in accordance with the CRR
22 since its origination, the value in the data attribute “date of the default status of the
23 instrument” is the inception date of the contract which gives rise to the instrument.

4.4.6 Arrears for the instrument

Definition: Aggregated amount of the principal, interest and any fee payment
outstanding at the reporting date, which is contractually due and has not been paid
(past due).
Revision mark: clarification is
24 added that only the part of the This data attribute captures only the amount that is actually past due at a reporting
outstanding nominal amount that is
25 past due is reported in this attribute, reference date rather than the total outstanding nominal amount of an instrument,
26 unless the total outstanding nominal even though an instrument is deemed past due if only a part of the outstanding
amount is past due
27 nominal amount is past due.

28 No materiality threshold has to be considered in order to report the amount in

29 arrears.

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Reporting qualification

1 This data attribute is always reported, i.e. there can be no derogations in respect of
2 this data attribute.

Values

3 Amounts of arrears for the instrument are reported in euro.

General reporting instructions, specific cases and examples

4 If at the reporting reference date any payable amount of the instrument is past due,
5 then a positive amount (i.e. larger than 0) is reported in this data attribute.

6 Revision mark: editorial changes An instrument is past due as of the reporting reference date if any amount arising
are applied
7 under the instrument has not been (fully) paid on the date it was due (i.e. the date on
8 which the amount should have been paid) and remains (fully or partially) unpaid at
9 the reporting reference date.

10 Otherwise, if an instrument is not past due at the reporting reference date (i.e. when
11 there is no single payment arising under the instrument that is past due at the
12 reporting reference date), the value 0 is reported.

13 The data attribute “arrears for the instrument” only takes into account the amounts in
14 arrears (i.e. those that are contractually due but have not been paid) at a reporting
15 reference date relating to the instrument.

16 The amount of arrears of the instrument is the part of the nominal outstanding
17 amount that is legally past due. It includes principal, interest, penalty fees and other
18 fees charged to the instrument and claimable expenses that are due under the terms
19 and conditions of the contract and are pending collection on the reporting reference
20 date.

21 The amount in arrears does not include any accrued interest because accrued
22 interest amounts are not past due.

23 Revision mark: further The amount in arrears for the instruments is reported regardless of whether the
clarifications are included in line
24 with Q&A 2017/0010 amount has been transferred or not. However, in the case of a partially transferred
25 instrument, where both the transferor and the transferee are observed agents, the
26 amount of arears which corresponds to the part being held by a specific observed
27 agent is reported by that observed agent.

28 Whether or not a (partial) transfer of an instrument includes the transfer of the

29 arrears (and to what extent) depends on provisions of the contract between the
30 parties involved in the transfer. This means in particular that if, for example, the
31 contract between two observed agents states that only one of them bears the full
32 amount of arrears, this has to be reflected in the reported data. In cases where the
33 arrears are shared between the observed agents (e.g. pro rata), the amount in
34 arrears corresponding to their share of the instrument is reported.

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1 Revision mark: the clarifications If a positive amount is reported in the data attribute “arrears for the instrument” (i.e.
are adjusted in line with
2 Q&A 2018/0038 concerning the arrears for the instrument are greater than zero), the data attribute “date of past
3 Case 13(2) due for the instrument” is reported as well (i.e. it cannot take on the value “non-
4 applicable”), indicating the earliest date since when an amount has remained unpaid
5 under the instrument for an uninterrupted period until at least the reporting reference
6 date.

7 Overdrafts with no credit limit are generally immediately payable and are therefore in
8 arrears as soon as debit balances arise, unless a different scheme agreed by the
9 counterparties involved applies.

4.4.7 Date of past due for the instrument

Definition: The date on which the instrument became past due in accordance with Part
2.96 of Annex V to the amended Implementing Regulation (EU) No 680/2014. This is
the latest such date prior to the reporting reference date and it is to be reported if the
instrument is past due on the reporting reference date.

10 According to the amended ITS (Part 2, paragraph 96, of Annex V), financial assets
11 qualify as past due when counterparties have failed to make a payment when
12 contractually due. Note that past due occurs as soon as the instrument is not paid at
13 the payment due date.

Reporting qualification

14 This data attribute is always reported, i.e. there can be no derogations in accordance
15 with Article 7 of the AnaCredit Regulation in respect of this data attribute.

16 Please note that a date is reported if at the reporting reference date the instrument is
17 past due. Otherwise, if an instrument is current and the amount in arrears is 0 (as
18 opposed to past due when the amount in arrears is larger than 0) at the reporting
19 reference date, the date of past due for the instrument is reported as “non-
20 applicable”.

Values
Revision mark: further
21 clarifications are included Unless “non-applicable” is reported, the date reported in this data attribute is the date
concerning the date of past due for
22 the instrument on which the instrument became past due and since which an amount has remained
23 unpaid under the instrument for an uninterrupted period of time until at least the
24 reporting reference date.

General reporting instructions, specific cases and examples

Revision mark: further
25 clarifications are included If a positive amount is reported in the data attribute “arrears for the instrument” (i.e.
concerning the date of past due for
26 the instrument arrears for the instrument are greater than zero), the data attribute “date of past due
27 for the instrument” is reported as well (i.e. it cannot hold the value “non-applicable”),

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1 indicating the date since when the instrument has been in arrears for an
2 uninterrupted period until at least the reporting reference date.

3 No materiality threshold is considered in establishing whether any amount arising

4 under the instrument is due at the reporting reference date.

5 Revision mark: clarification is Consequently, if the instrument is past due at the reporting reference date, a date on
added that past due may also arise
6 at the reporting reference date or prior to the reporting reference date is reported.

7 By contrast, if the instrument is not past due at the reporting reference date (i.e.
8 when the amount in the data attribute “arrears for the instrument” is reported as
9 zero), then the data attribute “date of past due for the instrument” is reported as
10 “non-applicable”.

11 If the amount of arrears for the instrument is reduced to zero, the date of past due for
12 the instrument is reset to “non-applicable”.

13 Revision mark: Example 23 is For an illustration of how the date of past due should be determined, consider the
expanded with further clarifications
14 concerning the date of past due following example.

Example 23: Past due instrument

An instrument is not past due on 2 September. However, a payment is contractually

required to be received on 3 September, and as no payment is received on that date, the
instrument becomes past due on 3 September. It remains so until 10 September, when
the pending payment is made and the instrument ceases to be past due. However, as a
payment which is contractually expected to be received by 21 September is not made by
then, the instrument again becomes past due on 21 September and remains so from that
date until at least 1 October.

As of 30 September, the amount remains unpaid, so the instrument is considered past

due, and the date of past due for the instrument at this reporting reference date is 21
September, which is in fact the date on which the instrument became past due.

In October, a payment which is contractually expected to be received by 10 October is

not made by then. Therefore, the amount past due increases, but the date of past due for
the instrument is still 21 September, because it is the earliest date since when, for an
uninterrupted period, there have been unpaid amounts.

Finally, if later on the creditor only receives the payment that was due by 21 September
(but receives no payment that was due by 10 October), the instrument is still considered
past due and the date of past due is still 21 September. However, the amount past due
decreases.

15 This data attribute is fully aligned with the data attribute “arrears for the instrument”,
16 which defines the amount irrespective of any materiality thresholds or alike and takes
17 into account any amount that is past due (such as aggregate amount of principal (if
18 past due), interest due and any fee payment outstanding at the reporting date, which
19 is contractually due and has not been paid).

20 In addition, please note the following clarifications:

21 • for deposit accounts and reciprocal accounts included in “deposits other than
22 reverse repurchase agreements”, unlimited overdrafts and other call loans, the

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1 date is either the date of the observed agent’s first demand for reimbursement
2 or the first whole or partial settlement of unpaid interest, whichever occurred
3 first;

4 • for loans arising from off-balance-sheet exposures (amounts recorded as

5 assets on the balance sheet as a result of default by counterparties in relation
6 to an off-balance-sheet exposure such as an unsettled transaction in
7 derivatives), the date is the date of the first default by the transaction
8 counterparty (for example, the date of the first non-payment of a guaranteed
9 loan or of the commissions payable by the guarantor) that resulted in amounts
10 pending resolution by the counterparty or its guarantors being recorded in
11 respect of the asset on the reporting reference date, irrespective of whether the
12 observed agent’s cash disbursement date is later;

13 • for trade receivables, the date is the maturity of the first unpaid document
14 pending collection;

15 • in the case of revolving instruments (such as a credit limit in a current account)

16 where the credit limit is exceeded by an amount and the contract stipulates that
17 in such cases the excess amount is immediately due, the date on which the
18 excess occurred is the date of past due;

19 • however, in the case of revolving instruments for which the agreed credit limit is
20 exceeded by an amount but the contract does not stipulate that in such cases it
21 is immediately past due (but rather requires that such an excess is paid off by a
22 specific future date), the instrument is not past due unless the excess is not
23 paid by the specific date.
Revision mark: the paragraph is
24 expanded with further clarifications
“Past due” for an instrument describes the status of any contractual payments
25 concerning the date of past due relating to the instrument. Specifically, according to the definition of past due, an
26 instrument is considered past due when the debtor (or debtors or guarantors if
27 relevant) has failed to make any payment in relation to the instrument (being the
28 principal, interest or a fee payment) when the payment is contractually due. This
29 means that past due occurs as soon as the instrument is unpaid on the date that it
30 was contractually due (as opposed to 30, 60 or 90 days past due – in which case the
31 instrument is typically considered in default). Whether an amount is past due is
32 assessed no later than on the next day after it was due. 19 For instance, if an amount
33 is due on 30 March (at the end of the day) but not paid, the date of past due is
34 reported as “31 March” as of the reporting reference date of 31 March.

35 In relation to the past due status of the instrument, the reporting agents report the
36 date on which the instrument became past due – this is the data attribute “date of
37 past due for the instrument”. The number of days past due can then be computed by
38 comparing this date (on which the past due occurred) with the reporting reference
39 date. For an illustration of how the amount in arrears is computed, please refer to the
40 following example.

19
Intraday assessment is also possible, for example, if an amount is contractually due at 12 noon and it is
not paid before or at 12 noon, it is past due immediately after 12 noon. In this is case, by convention,
the instrument is already one day past due at the end of the day.

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Example 24: Past due and amounts in arrears

On 31 December 2019, the total debt under an instrument amounts to €100. The debtor
was expected to pay the principal amount of €10 and the interest amount of €5 by 15
December 2019 but failed to do so (and still has not done so by 31 December 2019). The
instrument is therefore considered to be past due (as of 31 December 2019) with the
date of past due for the instrument being 15 December 2019.

Furthermore, as regards the past due status of the instrument, under the data attribute
“arrears for the instrument” the reporting agent reports only the amount that is past due
(as opposed to the total debt amount of the instrument).

Consequently, the arrears for the instrument to be reported as of 31 December 2019

amount to €15 = (the principal amount of €10 due and the interest amount of €5).

In addition, please note that if a loan of €250 principal with the maturity date of 30
November 2019 is not paid back by that date, and neither is the interest amount of €12,
then, the outstanding nominal amount and the amount in arrears of the loan as of 1
December 2019 is €250 + €12 = €262, as both the principal and the interest are
contractually due as of 30 November 2019.

1 The reason for reporting solely the amount that is past due and not the total debt of
2 an instrument in arrears is that the unpaid amount itself (i.e. the arrears for the
3 instrument) is a relevant piece of information and is worth specifying explicitly, while
4 the total amount due of an instrument is captured in the outstanding nominal amount.

5 Again, for the sake of completeness, please note that the amount of €0 for “arrears
6 for the instrument” is reported if the instrument is not past due at the reporting date.

4.4.8 Type of securitisation

Definition: Identification of the securitisation type, in accordance with Article 242(13)

and (14) of Regulation (EU) No 575/2013.

7 This data attribute captures the type of securitisation, if any, to which the instrument
8 has been subject.

9 Revision mark: further In AnaCredit, the data attribute “type of securitisation” is reported at the instrument
clarifications are added that
10 securitisation is defined in level, indicating whether the instrument is subject to a tranched securitisation in
11 accordance with the CRR accordance with the CRR.

12 Securitisations can be traditional or synthetic. In accordance with Article 242(13) of

13 the CRR, a traditional securitisation means a securitisation involving the economic
14 transfer of the exposures being securitised. This is accomplished by the transfer of
15 ownership of the securitised exposures from the originator institution to an FVC or
16 through sub-participation by an FVC. The securities issued by the FVC do not
17 represent payment obligations of the originator institution.

18 By contrast, in accordance with Article 242(14) of the CRR, a synthetic securitisation

19 means a securitisation where the transfer of risk is achieved by the use of credit

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1 derivatives or guarantees, and the exposures being securitised remain exposures of

2 the originator institution.

3 For more guidance regarding the reporting of instruments subject to securitisation,

4 please refer to Chapter 6 in Part III of the Manual, which deals specifically with this
5 subject.

Reporting qualification

6 This data attribute is always reported, i.e. there can be no derogations in accordance
7 with Article 7 of the AnaCredit Regulation in respect of this data attribute.

Values

8 1. Traditional securitisation: instrument which is securitised in a traditional

9 securitisation

10 2. Synthetic securitisation: instrument which is securitised in a synthetic

11 securitisation

12 3. Not securitised: instrument which is not securitised either in a traditional or

13 synthetic securitisation

General reporting instructions, specific cases and examples

14 Note that if the value “traditional securitisation” is reported in the data attribute “type
15 of securitisation”, a positive amount is reported in the data attribute “transferred
16 amount”.

17 Note also that if the value “synthetic securitisation” is reported in this data attribute:

18 a) the value in the data attribute “balance sheet recognition” is not reported
19 as “entirely derecognised”;

20 b) the fact that the instrument is subject to a synthetic securitisation does not
21 affect the amount reported under the data attribute “transferred amount
22 (i.e. if prior to the securitisation the transferred amount was zero, it is also
23 reported as zero upon securitisation);

24 c) the observed agent reports the instrument in the instrument-protection

25 received dataset and the protection received (i.e. the securitisation
26 transaction) in the protection received dataset.

27 If an instrument is sold to a third party in a manner other than by a securitisation

28 transaction, and the observed agent retains the servicing rights of the instrument, the
29 value in the data attribute “type of securitisation” is “not securitised”. However, a
30 positive value is reported in the data attribute “transferred amount”.

31 Please note that an instrument subject to securitisation is not marked as a fiduciary

32 instrument. However, in certain circumstances where fiduciary instruments may be
33 subject to securitisation, such fiduciary instruments are marked as securitised.

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1 For more information regarding instruments subject to securitisation, please refer to

2 Chapter 6 in Part III of the Manual which deals specifically with this subject.

4.4.9 Outstanding nominal amount

Definition: Principal amount outstanding at the end of the reporting reference date,
including unpaid past due interest but excluding accrued interest. The outstanding
nominal amount must be reported net of write-offs and write-downs as determined by
the relevant accounting practices.

3 Broadly speaking, the outstanding nominal amount of an instrument at a given

4 reporting reference date sums up the payments by or to the debtor which have been
5 made vis-à-vis the instrument in the period from the origination of the instrument until
6 the reporting reference date.

Reporting qualification

7 This data attribute is always reported, i.e. there can be no derogations in accordance
8 with Article 7 of the AnaCredit Regulation in respect of this data attribute.

Values

9 The outstanding nominal amount is reported in euro.

General reporting instructions, specific cases and examples

10 Please note that for all instruments subject to AnaCredit reporting, the outstanding
11 nominal amount is reported without netting of any collateral, even in the case of
12 100% cash-backed instruments.

13 Please note that any due interest, penalty fees or other fees charged to the
14 instrument and claimable expenses due are included in the outstanding nominal
15 amount, irrespective of whether or not they are past due.

16 In particular, the outstanding nominal amount of an instrument includes the following

17 items when the amounts are pending collection at the reporting reference date and
18 have not been written-off:

19 • principal not yet past due arising under the instrument;

20 • principal past due arising under the instrument;

21 • any unpaid interest past due relating to the instrument;

22 • any unpaid penalty fees or other fees charged to the instrument;

23 • claimable expenses past due and called in relation to the instrument that are
24 due under the terms and conditions of the contract.

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1 Please note that with the exception of any principal not yet due at the reporting
2 reference date, the remaining four types of amounts referred to above are amounts
3 due which account for the instrument being past due and are therefore added
4 together and reported in the data attribute “arrears for the instrument” at the
5 reporting reference date.

6 Claimable expenses that occur in relation to the instrument are included in the
7 outstanding nominal amount. In particular, if claimable costs are incurred in the
8 process of debt collection in relation to an instrument, these costs are reported as
9 part of the instrument in relation to which they have been incurred (i.e. they are
10 included in the outstanding amount if not paid off). In no case are such costs
11 reported as a separate, newly originated loan.

12 The outstanding nominal amount does not include:

13 • accrued interest, as this is not to be added to the outstanding amount;

14 • any amounts written off, as these are to be deducted from the outstanding
15 nominal amount;

16 • any amounts of protection, as these amounts do not reduce the outstanding

17 nominal amount (e.g. cash collateralised instruments).

18 With regard to the relationship between the outstanding nominal amount and the
19 accumulated impairments/accumulated changes in fair value due to credit risk, the
20 outstanding nominal amount is reported using the gross amount, i.e. the outstanding
21 nominal amount is not to be affected (reduced) by impairments or changes in fair
22 value.

23 In other words, under AnaCredit, reporting net of impairments is not allowed (even if
24 it is done so by all reporting monetary financial institutions in a given country for the
25 purposes of the balance sheet statistics under Regulation (EU) No 1071/2013
26 (ECB/2013/40). Please note, however, that at the present stage of AnaCredit the
27 outstanding nominal amount is to be net of any write-offs made in relation to the
28 instrument.

29 In the case of instruments acquired by an observed agent, it is the amount that the
30 debtor is contractually obliged to repay that is reported as the outstanding nominal
31 amount, as opposed to the amount actually paid by the observed agent (acquisition
32 price).

33 With regard to the relationship between the outstanding nominal amount and the
34 transferred amount, the outstanding nominal amount includes the transferred amount
35 as reported in the data attribute “transferred amount”. In particular, the data attribute
36 “outstanding nominal amount” also includes any amounts whose ownership has
37 been transferred to a third party and, consequently, the outstanding nominal amount
38 is not less than the amount reported in the data attribute “transferred amount”.

39 If an entire instrument, or a part of an instrument, were transferred to a credit

40 institution resident in a reporting Member State, the new creditor would have to
41 report the entire outstanding nominal amount or the part of the outstanding nominal

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1 amount that it had acquired. Therefore, the transferor would not report this amount in
2 accordance with Article 4 of the AnaCredit Regulation.

3 Accrued interest is not part of the As regards the separate reporting of any accrued interest in the data attribute
outstanding nominal amount
4 ”accrued interest”, please note that, for example, in the case of zero-coupon
Revision mark: a further
5 clarification is added concerning instruments, such as reverse repurchase agreements or trade receivables
6 accrued interest in the case of zero- purchased at a discount, the nominal outstanding amount is in principle not the
coupon instruments
7 amount actually disbursed to the debtor, as the outstanding nominal amount is
8 normally adjusted to exclude the accrued interest. In fact, accrued interest
9 represents the difference which is realised between the amount which was disbursed
10 to the debtor (the nominal value) and the face value of the zero coupon instrument is
11 interpreted as an interest payment (to be accrued over time at a constant interest
12 rate between the settlement date and the maturity date). At the moment of maturity,
13 the accrued interest is considered realised (i.e. it becomes interest due and, if not
14 paid off, is added to the outstanding nominal amount).

15 For an illustration of the relationship between the outstanding nominal amount and
16 the accrued interest, refer to Example 25 and Example 26 in Section 4.4.11, which
17 deals specifically with the data attribute “accrued interest”.

18 Concerning the reporting in the case of a change in contract which leads to an

19 increase in the outstanding nominal amount as a result of additional funds being
20 disbursed to the debtor (i.e. for increases other than unpaid interest or claimable
21 expenses), it is clarified that such a change qualifies as a renegotiation for
22 commercial reasons and is to be marked accordingly in the data attribute “status of
23 forbearance and renegotiation”.

24 As regards the relationship between the type of instrument and the outstanding
25 nominal amount, please note that:

26 • in the case of revolving instruments (such as a credit card debt), the

27 outstanding nominal amount of an instrument reported to AnaCredit may equal
28 zero if no amounts have been withdrawn at the reporting reference date;

29 • by contrast, the outstanding nominal amount of instruments reported to

30 AnaCredit which have no off-balance-sheet amount cannot be equal to zero at
31 any reporting reference date. However, this does not apply to instruments which
32 have been fully written off, as in such cases the outstanding nominal amount
33 reported to AnaCredit is zero.

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4.4.10 Off-balance-sheet amount

Definition: Total nominal amount of off-balance-sheet exposures. This includes any

commitment to lend before considering conversion factors and credit risk mitigation
techniques. It is the amount that best represents the institution’s maximum exposure to
credit risk without taking into account any protection held or other credit
enhancements.

1 The off-balance-sheet amount of an instrument is the undrawn amount available

2 under the instrument.

3 An amount larger than 0 is reported if the instrument’s outstanding nominal amount

4 may be increased by drawings by the debtor or disbursement to the debtor in
5 accordance with the provisions of the contract, without the need for changing the
6 contract or other credit enhancements. In such cases, the off-balance-sheet amount
7 is the total amount that can be still drawn under this instrument in addition to the
8 outstanding nominal amount so that the commitment amount (the credit limit, if
9 relevant) is not exceeded.

10 If the outstanding nominal amount exceeds the amount which was committed in
11 accordance with the contract under the instrument, the off-balance-sheet amount to
12 be reported is €0.

13 Otherwise, if no amount can be drawn by or disbursed to the debtor without

14 contractual changes, the off-balance-sheet amount of the instrument is reported as
15 “non-applicable”, i.e. there is no undrawn amount available under the instrument in
16 accordance with the contract.

Reporting qualification

17 This data attribute is always reported, i.e. there can be no derogations in accordance
18 with Article 7 of the AnaCredit Regulation in respect of this data attribute.

Values

19 Off-balance-sheet amounts are reported in euro.

General reporting instructions, specific cases and examples

20 The off-balance-sheet amount is the available undrawn amount of the instrument at

21 the reporting reference date.

22 The off-balance-sheet amount does not include any amount effectively withdrawn by
23 or disbursed to the debtor.

24 For the following types of instrument as defined in Article 1(23) of the AnaCredit
25 Regulation: credit card debt, revolving credits other than overdrafts and credit card
26 debt, credit lines other than revolving credit and overdrafts with a credit limit, and
27 trade receivables with recourse:

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1 a) a positive amount is reported if there is any available amount at the

2 reporting reference date that can be withdrawn vis-à-vis the instrument;

3 b) otherwise, zero is reported if there is no available amount, given that there

4 had been an off-balance-sheet amount that could have been withdrawn
5 vis-à-vis the instrument at the reporting reference date.

6 For example, for loans which have a fixed disbursement schedule (typically being
7 credit lines other than revolving credit) where the total amount is disbursed to the
8 debtor in a number of subsequent instalments (tranches) whose disbursement may
9 or may not depend on additional conditions (such as progress of the project for
10 which the financing is provided), the still-to-be disbursed amount is reported as the
11 off-balance-sheet amount. Please note that as subsequent instalments are
12 disbursed, the off-balance-sheet amount is adjusted (i.e. lowered) accordingly and is
13 reported as 0 as soon as the total amount has been disbursed. For an illustration of
14 the reporting in such cases, consider Example 6 in Section 3.4.1, which deals
15 specifically with credit lines other than revolving credit.

16 For any other types of instrument, “non-applicable” is in principle reported in the data
17 attribute “off-balance-sheet amount” as those instruments do not intrinsically link with
18 an off-balance-sheet amount. For example, in the case of reverse repurchase
19 agreements where funds are typically exchanged in a one-off transaction, the off-
20 balance-sheet amount is “non-applicable”.

21 Revision mark: further However, while for reverse repurchase agreements or financial leases (and some
clarifications regarding the reporting
22 of off-balance-sheet amounts for other types of instrument) “non-applicable” is in principle reported in the data
23 instruments such as financial attribute “off-balance-sheet amount”, exceptions are possible. Conversely, the
leases or reverse repurchase
24 agreements are included in line statement that “non-applicable” is typically reported should not be interpreted as
Q&A 2018/0050
25 meaning that the off-balance-sheet amount should not be reported for reverse
26 repurchase agreements or financial leases when there is one. For example, if
27 financial leases, which can also be of a revolving nature, are part of a credit cross-
28 limit, the data attribute “off-balance-sheet amount” for the financial leases should be
29 reported following the general guidance applicable to off-balance-sheet amounts for
30 cross-limits.

31 For guidance regarding the reporting of off-balance-sheet amount in the case of

32 instruments under a credit cross-limit (such as multi-product credit lines), please
33 refer to Chapter 3 in Part III of the Manual, which specifically deals with the subject.

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4.4.11 Accrued interest

Definition: The amount of accrued interest on loans at the reporting reference date as
defined in Regulation (EU) No 1071/2013 (ECB/2013/33). In accordance with the
general principle of accruals accounting, interest receivable on instruments should be
subject to on-balance sheet recording as it accrues (i.e. on an accruals basis) rather
than when it is actually received (i.e. on a cash basis).

1 AnaCredit requires that interest is recorded on an accruals basis for the instrument
2 to which it relates.

Reporting qualification

3 The accrued interest attribute is mandatory except if the observed agent is a foreign
4 branch that is not resident in a reporting Member State and has been granted a
5 derogation by the relevant NCB in accordance with Article 7 of the AnaCredit
6 Regulation.

Values

7 Amounts of accrued interest are reported in euro.

General reporting instructions, specific cases and examples

8 This data attribute is in principle reported in accordance with the applied accounting
9 standard when the instrument is recognised as an asset on the balance sheet. In this
10 case, the accrued interest is calculated according to the relevant accounting
11 standard.

12 Please note, however, that this data attribute is also reported in cases of no accrued
13 interest in accordance with the accounting standard.

14 In particular, when the instrument is not recognised in the balance sheet (e.g. in the
15 case of instruments in relation to which the observed agent is the servicer but not the
16 creditor), the accrued interest is calculated according to the contractual agreements.

17 The accrued interest is reported for all instruments irrespective of whether they are
18 measured at amortised cost or at fair value in the financial statements.

19 Revision mark: further As regards the reporting of accrued interest in the case of trade receivables, please
clarifications are included in line
20 with Q&A 2018/0040 note the following:

21 • the data attribute “accrued interest” is non-applicable in the case of non-

22 recourse trade receivables;

23 • in the case of trade receivables with recourse where the exposure is to the
24 factoring client, the accrued interest is reported in accordance with Annex IV to
25 the AnaCredit Regulation.

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1 For more information regarding trade receivables, refer to Section 5.4.12 in Part III of
2 the Manual.

3 For an illustration of how this data attribute is reported in the case of an interest-only
4 loan, please consider the following example.

Example 25: The relationship between accrued interest and outstanding nominal
amount in the case of an interest-only instrument

On 29 April 2016, observed agent OA#1 extends a loan (Loan#2) of €250,000 to debtor
Dbtr#2. In accordance with the contract (Cntrct#A), the debtor will repay only interest on a
monthly basis and will repay the principal on 30 April 2024.
The reporting of the outstanding nominal amount and the accrued interest in the period
between September and December 2018 is illustrated in Table 46. In this period, the
applied interest rate is 3% per annum. The interest accrues monthly and is payable on
the 10th day of each month. The debtor makes the interest payments on time.
Table 46 Outstanding nominal amount and accrued interest in the financial dataset
Outstanding
Reporting Observed agent Contract Instrument nominal Accrued
reference date identifier identifier identifier amount interest
30/09/2018 OA#1 CNTRCT#A LOAN#2 250,000.00 625.00

31/10/2018 OA#4 CNTRCT#A LOAN#2 250,000.00 625.00

30/11/2018 OA#4 CNTRCT#A LOAN#2 250,000.00 625.00

31/12/2018 OA#4 CNTRCT#A LOAN#2 250,000.00 625.00

Given the fact that Dbtr#2 pays in the year 3% interest rate on €250,000, the monthly
interest payments amount to €625. Since the interest is paid monthly, the outstanding
nominal amount remains unchanged over the entire period considered.

5 This data attribute is also reported in cases where there is no explicit interest rate.

6 For instruments with no explicit interest rate, accrued interest represents the
7 difference which is realised between the amount which was disbursed to the debtor
8 (nominal value) at a moment in time t and the value that was paid back by the debtor
9 at a moment t + x (i.e. at the maturity, the accrued interest is considered realised and
10 is added to the nominal value).

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Example 26: The relationship between accrued interest and outstanding nominal
amount in the case of a disagio

On 30 September 2018, observed agent OA#4 cashes €97,000 to Debtor#U. In

accordance with the contract (Cntrct#1), the debtor will repay €100,000 on 1 January
2019. The instrument is identified with disagio#1 subject to AnaCredit reporting. The
instrument is reported for four consecutive reporting reference dates.
The reporting of the outstanding nominal amount and the accrued interest is illustrated in
Table 47.
Table 47 Outstanding nominal amount and accrued interest in the financial dataset
Outstanding
Reporting Observed agent Contract Instrument nominal Accrued
reference date identifier identifier identifier amount interest
30/09/2018 OA#4 CNTRCT#1 DISAGIO#1 97,000.00 0.00

31/10/2018 OA#4 CNTRCT#1 DISAGIO#1 97,000.00 1,000.00

30/11/2018 OA#4 CNTRCT#1 DISAGIO#1 97,000.00 2,000.00

31/12/2018 OA#4 CNTRCT#1 DISAGIO#1 97,000.00 3,000.00

Given that over the entire tenor of the instrument the total interest charge amounts to
€3,000 and (in this example, for simplification) the interest is accrued proportionally to the
time elapsed (instead of financially), with the total interest becoming payable on 1
January 2019, the following holds:
• On 30 September (i.e. at time = 0), the outstanding nominal amount is exactly
€97,000, and no interest is accrued yet.
• On 31 October, (i.e. at time = 1/3), the outstanding nominal amount is still
€97,000, and 1/3 of the total interest is accrued; this amounts to €1,000.
• On 30 November, (i.e. at time = 2/3), the outstanding nominal amount is
€97,000, and another 1/3 of the total interest is accrued; this now amounts to
€2,000.
• On 31 December, (i.e. at time = 3/3), the outstanding nominal amount is
€97,000, and a further 1/3 of the total interest is accrued, resulting in €3,000 of
accrued interests.

• On 1 January 2019, the accrued interest becomes due and is capitalised (i.e. is
added to the outstanding nominal amount).

1 Revision mark: editorial changes In particular, for specific types of instrument, such as, but not limited to, zero coupon
are applied; a reference to Part III is
2 added concerning accrued interest instruments, the accrued interest amount at the date of maturity of the instrument
3 in the case of trade receivables represents the difference between the price which was paid in order to acquire the
4 debt instrument (which is then captured in the “outstanding nominal amount” and
5 “carrying amount” data attributes of AnaCredit) and the face value ultimately
6 capitalised at the date of maturity. Other examples include trade receivables where
7 the accrued interest on the maturity date is the difference between the face values of
8 the receivables and the payment amount (for an illustration of the reporting of
9 accrued interest in the case of trade receivables, please refer to Example 20 in
10 Section 5.4.12 in Part III of the Manual). Please note that the difference is reported in
11 the data attribute “accrued interest” as if it had been accrued at a constant rate over
12 the period of time between the acquisition date and the maturity date.

13 Revision mark: further Please note that accrued interest is not included in the outstanding nominal amount.
clarifications are added in line with
14 Q&A 2018/0004 However, accrued interest becomes payable at a certain point in time, and, if it is not
15 paid, it becomes interest due, which is included in the outstanding nominal amount.

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1 This in particular regards instruments originated at a discount or zero-coupon

2 instruments where the difference between the outstanding nominal amount of the
3 instrument and the amount received by the debtor is considered as an interest
4 payment.

5 Please note that AnaCredit and FINREP requirements are consistent as regards the
6 need to record interest on an accruals basis.

7 This amount is reported even if the instrument has been transferred or derecognised.

8 Interest is recorded on an accruals basis for the instrument to which it relates.

9 Consequently, the accrued interest relates to the outstanding nominal amount(s)
10 over a specific period of time, irrespective of whether or not any part of the
11 instruments has been transferred to another creditor (other than a resident credit
12 institution).

13 Please note that the difference between the nominal amount of the instrument and
14 the amount received by the customer (i.e. the “disagio”) is considered as an interest
15 payment at the start of the contract and is reported in this attribute as it is accrued.

16 In this respect, the following general rules need to be considered.

17 • In the case of instruments that have no interest payments and are issued at a
18 considerable discount to par value (for example, zero coupon instruments
19 issued at discount), most of the discount represents the equivalent of the
20 interest accrued during the life of the instrument.
21 Thus, for zero coupon instruments, the difference between the face value and
22 the purchase price is reported as the accrued interest, taking into account the
23 fact that at the moment of purchase the accrued interest amounts to 0 and
24 accrues over time to reach the difference between the face value and the
25 purchase price at the maturity date.

26 • Similarly, for purchased receivables the difference between the face values of
27 the receivables and the payment amount can be interpreted as the interest
28 payment (to be accrued over time between the settlement date and the maturity
29 date).
Revision mark: clarifications are
30 included concerning periodically
Unless capitalised earlier, the accrued interest is considered realised at the maturity
31 payable interest of the instrument and is added to the outstanding nominal value (if it is not paid).

32 If interest is payable periodically (e.g. monthly), the interest accrual starts anew in
33 the subsequent period. The interest is added to the outstanding nominal amount if it
34 is not paid when it is due.

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5 Accounting dataset

5.1 General aspects

1 The primary goal of the accounting dataset is to describe the development of the
2 instrument in accordance with the relevant accounting standard. In addition, the
3 dataset also includes data attributes that are at present required by other reporting
4 frameworks (i.e. FINREP) with the same timeliness and granularity (e.g. performing
5 status, sources of encumbrance, status of forbearance and renegotiation).

6 For certain data attributes of the accounting dataset, a value “non-applicable” is

7 reported if the instrument is not an asset of the observed agent, owing to the fact that
8 no actual assignment to any of the reporting values can be made. This includes, for
9 example, cases of fully derecognised loans being serviced according to Annex II to
10 the AnaCredit Regulation. For details on each data attribute and the reporting
11 specifics, please consider the dedicated sections of this chapter.

12 For intracompany loans, the same data attributes of the accounting dataset are
13 reported as for the “fully derecognised instruments being serviced” defined in Table I
14 in Annex II to the AnaCredit Regulation. For the non-relevant data attributes a value
15 of “non-applicable” is reported.

5.1.1 Accounting standard to be followed

16 The AnaCredit Regulation requires that the data be reported following the accounting
17 standard of the observed agent’s legal entity.

18 In particular, if the observed agent’s legal entity is subject to Regulation (EU)

19 2015/534 (ECB/2015/13), the data are reported in accordance with the accounting
20 standard – International Financial Reporting Standards (IFRS) or national generally
21 accepted accounting principles (GAAP) – applied to fulfil the requirements under
22 Regulation (EU) 2015/534 (ECB/2015/13) by the observed agent’s legal entity.

23 Revision mark: clarifications The accounting standard applied by foreign branches of credit institutions need not
regarding the accounting standard
24 to be followed are included in line be the same as the accounting standard of the legal entity to which the foreign
25 with Q&A 2018/0041 branch belongs. For example, banking laws in some reporting Member States
26 prescribe that, at an unconsolidated (solo) level, the national GAAP have to be
27 applied. This provision is also applicable to foreign branches resident in such
28 Member States of credit institutions resident in any other country (irrespective of
29 whether or not it is a reporting Member State), which means that the foreign
30 branches apply the national GAAP of the reporting Member State even if the legal
31 entity of which they form part and which is resident in another country applies IFRS
32 at an unconsolidated level.

33 Notably, the accounting standard not only determines which instruments are
34 assigned to which accounting portfolios, but also provides other relevant rules in

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1 accordance with which the instrument is recognised in the balance sheet, the
2 carrying amount is established, etc.

3 Consequently, in order to ensure that AnaCredit data of observed agents relating to

4 the same reporting agent are reported according to the same accounting standard,
5 the AnaCredit Regulation requires that the data be reported according to the
6 accounting standard of the observed agent’s legal entity.

7 However, when the observed agent is a foreign branch resident in a reporting

8 Member State of a credit institution not resident in a reporting Member State, the
9 applicable accounting standard is the accounting standard applied by the observed
10 agent in the country in which it is resident, rather than the accounting standard
11 applied by the legal entity to which the foreign branch belongs.

5.1.2 The reporting of accounting-related data in the case of partially

transferred instruments

12 Revision mark: this paragraph is The reporting of any accounting-related data (such as carrying amount, etc.) in the
aligned with the clarifications
13 provided in Section 4.4.11 case of (partially) transferred instrument is restricted only to the part of the
14 instrument (outstanding) which the observed agent recognises in its balance sheet.
15 Please refer to Section 4.4.3 for more information on transferred instruments.

5.2 Level of granularity

16 The level of granularity for data included in this dataset is the instrument, and
17 therefore each record is identified through the instrument identifier, the contract
18 identifier and the identifier of the reporting and observed agent.

5.3 Reporting frequency

19 The accounting dataset is reported on a quarterly basis. This means that at a

20 quarter-end reporting reference date the accounting dataset is reported for all
21 instruments that are subject to AnaCredit reporting.

5.4 The accounting dataset – data attributes

22 This dataset applies for instruments reported in the financial dataset. For each
23 instrument, the following data attributes are reported.

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Table 48 Overview of data attributes in the accounting dataset

Data attribute Internal identifier Data type Section in Part II

Reporting agent identifier √ String 2.1.2.1

Observed agent identifier √ String 2.1.2.2

Contract identifier √ String 2.1.2.4

Instrument identifier √ String 2.1.2.5

Accounting classification of instruments Code list 5.4.1

Balance sheet recognition Code list 5.4.2

Accumulated write-offs Amount in euro 5.4.4

Accumulated impairment amount Amount in euro 5.4.5

Type of impairment Code list 5.4.6

Impairment assessment method Code list 5.4.7

Sources of encumbrance Code list 5.4.3

Performing status of the instrument Code list 5.4.9

Date of the performing status of the

Date 5.4.10
instrument

Provisions associated with off-balance-sheet

Amount in euro 5.4.11
exposures

Status of forbearance and renegotiation Code list 5.4.12

Date of the forbearance and renegotiation

Date 5.4.13
status

Cumulative recoveries since default Amount in euro 5.4.14

Carrying amount Amount in euro 5.4.16

Prudential portfolio Code list 5.4.15

Accumulated changes in fair value due to

Amount in euro 5.4.8
credit risk

5.4.1 Accounting classification of instruments

Definition: Accounting portfolio where the instrument is recorded in accordance with the
accounting standard – IFRS or national GAAP – under Regulation (EU) 2015/534
(ECB/2015/13) applied by the observed agent’s legal entity.

1 The data attribute “accounting classification of the instruments” contains information

2 about the accounting portfolio in which the instrument is classified in accordance with
3 the accounting standard – IFRS or national GAAP – under Regulation (EU) 2015/534
4 (ECB/2015/13) applied by the observed agent’s legal entity.

Reporting qualification

5 This data attribute is reported for all instruments in the scope of AnaCredit. In
6 particular, if an instrument is an asset in accordance with the accounting standard,
7 then one of the values as listed below is reported. Note that the possible values of
8 the data attribute depend on whether the accounting standard applied is the
9 International Financial Reporting Standards or national Generally Accepted

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1 Accounting Principles. Depending on the accounting standard, the values of other

2 attributes, such as the carrying amount and accrued interest, may vary.

3 Otherwise, if an instrument is not an asset in accordance with the applied accounting

4 standard, then the value “non-applicable” is reported.

Revision mark: the following Values for IFRS accounting portfolios and accounting portfolios under national GAAPs
values have been aligned with the
amended ITS, taking into account consistent with IFRS
the changes regarding IFRS 9

5 1. Cash balances at central banks and other demand deposits (IFRS) – Cash
6 balances at central banks and other demand deposits in accordance with
7 IFRS-IAS 1.54 (i). This includes:

8 • cash balances at central banks – balances receivable on demand at

9 central banks (Part 2.2 of Annex V to the amended ITS);

10 • other demand deposits – balances receivable on demand with credit

11 institutions (Part 2.3 of Annex V to the amended ITS).

12 2. Financial assets held for trading (IFRS) – Financial assets held for trading in
13 accordance with IFRS 7.8(a)(ii), IFRS 9, Appendix A and Part 1.15(a) of Annex V
14 to the amended ITS.

15 3. Non-trading financial assets mandatorily at fair value through profit or loss

16 (IFRS) – Non-trading financial assets mandatorily at fair value through profit or
17 loss in accordance with IFRS 7.8(a)(ii), IFRS 9.4.1.4 and Part 1.15(b) of Annex V
18 to the amended ITS.

19 4. Financial assets designated at fair value through profit or loss (IFRS) – Financial
20 assets measured at fair value through profit and loss in accordance with IFRS
21 7.8(a)(i), IFRS 9.4.1.5 and Part 1.15(c) of Annex V to the amended ITS.

22 5. Financial assets at fair value through other comprehensive income (IFRS) –

23 Financial assets measured at fair value through other comprehensive income
24 due to business model and cash-flows characteristics in accordance with IFRS
25 7.8(d), IFRS 9.4.1.2A and Part 1.15(d) of Annex V to the amended ITS.

26 6. Financial assets at amortised cost (IFRS) – Financial assets measured at

27 amortised cost in accordance with IFRS 7.8(h), IFRS 9.4.1.2 and Part 1.15(e) of
28 Annex V to the amended ITS.

Note that IAS 39 portfolios are Values for accounting portfolios under national GAAPs not consistent with IFRS 9/IAS
included here – the reason being
that a country which had not 39
adopted IFRS 9 and had
implemented IAS 39 previously
29 could still use the IAS 39 portfolios
1. Cash balances at central banks and other demand deposits (GAAP) – Cash
30 as a part of the national GAAP balances at central banks and other demand deposits in accordance with IFRS
portfolios, and not within the IFRS
31 accounting portfolios – IAS 1.54(i). This includes:

32 a) cash balances at central banks – balances receivable on demand at

33 central banks (Part 2.2 of Annex V to the amended ITS);

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1 b) other demand deposits – balances receivable on demand with credit

2 institutions (Part 2.3 of Annex V to the amended ITS).

3 2. Trading Financial assets (GAAP) – Trading financial assets in accordance with

4 national GAAP based on Council Directive 86/635/EEC on the annual accounts
5 and consolidated accounts of banks and other financial institutions (Banks
6 Accounting Directive – BAD) (not consistent with IFRS 9/IAS 39), in accordance
7 with Parts 2.16(a) and 2.17 of Annex V of the amended ITS.

8 3. Non-trading non-derivative financial assets measured at fair value through profit

9 or loss (GAAP) – Non-trading non-derivative financial assets measured at fair
10 value through profit or loss in accordance with national GAAP (not consistent
11 with IFRS 9/IAS 39), in accordance with Part 2.16(b) of Annex V of the
12 amended ITS.

13 4. Non-trading non-derivative financial assets measured at fair value to equity

14 (GAAP) – Non-trading non-derivative financial assets measured at fair value to
15 equity in accordance with national GAAP (not consistent with IFRS 9/IAS 39), in
16 accordance with Part 2.16(c) of Annex V of the amended ITS.

17 5. Non-trading debt instruments measured at a cost-based method (GAAP) – Non-

18 trading non-derivative financial assets measured using a cost-based method in
19 accordance with national GAAP (not consistent with IFRS 9/IAS 39), in
20 accordance with Parts 2.16(d) and 2.19 of Annex V of the amended ITS.

21 6. Other non-trading non-derivative financial assets (GAAP) – Other non-trading

22 non-derivative financial assets in accordance with national GAAP (not
23 consistent with IFRS 9/IAS 39), in accordance with Parts 2.16(e) and 2.20 of
24 Annex V of the amended ITS.
Please note that the following
accounting portfolios are not
Values for accounting portfolios under national GAAPs consistent with IAS 39
included in FINREP since 2018.
However, they are kept in the
25 1. Cash balances at central banks and other demand deposits (GAAP) – Cash
Manual for information about how to
26 report them in the new accounting balances at central banks and other demand deposits in accordance with IFRS
portfolios of FINREP for entities
27 applying national GAAPs
– IAS 1.54(i). This includes:

28 a) cash balances at central banks – balances receivable on demand at

29 central banks (Part 2.2 of Annex V to the amended ITS);

30 b) other demand deposits – balances receivable on demand with credit

31 institutions (Part 2.3 of Annex V to the amended ITS).

32 2. Financial assets held for trading (GAAP) – Financial assets held for trading in
33 accordance with national GAAP (consistent with IAS 39).

34 3. Financial assets designated at fair value through profit or loss (GAAP) –

35 Financial assets designated at fair value through profit or loss in accordance
36 with national GAAP (consistent with IAS 39).

37 4. Available-for-sale financial assets (GAAP) – Available-for-sale financial assets

38 in accordance with national GAAP (consistent with IAS 39).

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1 5. Loans and receivables (GAAP) – Loans and receivables in accordance with

2 national GAAP (consistent with IAS 39).

3 6. Held-to-maturity investments (GAAP) – Held-to-maturity investments in

4 accordance with national GAAP (consistent with IAS 39).

General reporting instructions, specific cases and examples

5 The accounting classification is closely linked with the data attributes regarding
6 impairment and changes in fair value due to credit risk as well as the prudential
7 portfolio. The table below provides an overview of the possible combinations of
8 certain data attributes according to the accounting classification of instruments.

9 Please note that the table serves only as general guideline and exceptions may be
10 possible in practice.

Table 49 Indication of certain relevant reporting combinations according to

accounting classification

Accumulated
changes in fair
value due to Prudential
Accounting classification of instruments Impairment credit risk portfolio

Cash balances at central banks and other Possible Possible Non-trading book
demand deposits

Financial assets held for trading Possible Trading book

Non-trading financial assets mandatorily at fair Possible Non-trading book

value through profit or loss

Financial assets designated at fair value through Possible Non-trading book

profit or loss

Financial assets at fair value through other Possible Non-trading book

comprehensive income

Financial assets at amortised cost Possible Non-trading book

Cash balances at central banks and other Possible Possible Non-trading book
demand deposits

Trading financial assets Possible Trading book

Non-trading non-derivative financial assets Possible Non-trading book

measured at fair value through profit or loss

Non-trading non-derivative financial assets Possible Possible Non-trading book

measured at fair value to equity

Non-trading debt instruments measured using a Possible Non-trading book

cost-based method

Other non-trading non-derivative financial assets Possible Non-trading book

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5.4.2 Balance sheet recognition

Definition: Balance sheet recognition of the financial asset.

1 This data attribute classifies the reported instruments pursuant to their balance sheet
2 recognition in accordance with Annex III and Template 15 in Annex IV to the ITS.

Reporting qualification

3 This data attribute is always reported, i.e. there can be no derogations in respect of
4 this data attribute. More specifically, for any instrument reported in the financial
5 dataset, irrespective of the type of instrument, one of the following three values is
6 reported to AnaCredit.

Values

Entirely recognised

Definition: Instrument entirely recognised, in accordance with the amended

Implementing Regulation (EU) No 680/2014.

7 This value is reported for instruments which are recognised for its total amount in the
8 balance sheet.

Recognised to the extent of the institution’s continuing involvement

Definition: Instrument recognised to the extent of the institution’s continuing

involvement, in accordance with Annex III and IV Template 15 Cell M3 of the amended
Implementing Regulation (EU) No 680/2014.
Revision mark: a reference to
9 IFRS 9 is added This value is reported if (a part of) the instrument is recognised in the balance sheet
10 to the extent of the observed agent’s legal entity continuing involvement in
11 accordance with paragraphs 3.2.6(c)(ii) and 3.2.16 of IFRS 9.

12 Revision mark: further This value is reported when the instrument has been fully or partially transferred and
clarifications are included in line
13 with Q&A 2018/0042 the observed agent neither transfers nor retains substantially all the risks and
14 rewards of ownership of the transferred instrument, and it continues recognising the
15 instrument to the extent of its continuing involvement (i.e. to the extent to which it is
16 exposed to changes in the value of the transferred instrument).

Entirely derecognised

Definition: Instrument entirely derecognised, in accordance with the amended

Implementing Regulation (EU) No 680/2014.

17 This value is reported if the instrument is not recognised in the balance sheet.

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General reporting instructions, specific cases and examples

1 This data attribute classifies the reported instruments according to their balance
2 sheet recognition in accordance with the criteria of the ITS. The term “is recognised
3 under the relevant accounting standard” has the same meaning as “is an asset” in
4 the balance sheet. This means that assets are either entirely recognised or
5 recognised to the extent of the institution’s continuing involvement.

6 Revision mark: further As stated in the Manual, the value “entirely recognised” is reported for instruments
clarifications are included in line
7 with Q&A 2018/0042 which are recognised for their total amount in the balance sheet in accordance with
8 the applicable accounting standard (cf. Section 12.4.23).

9 As far as the value “recognised to the extent of the institution’s continuing

10 involvement” is concerned, this value is reported if (a part of) the instrument is
11 recognised in accordance with the applicable accounting standard to the extent of
12 the observed agent’s legal entity’s continuing involvement in accordance with
13 paragraphs 3.2.6(c)(ii) and 3.2.16 of IFRS 9. In particular, this value is only reported
14 when the instrument has been fully or partially transferred and the observed agent
15 neither transfers nor retains substantially all the risks and rewards of ownership of
16 the transferred instrument, and it continues recognising the instrument to the extent
17 of its continuing involvement (i.e. to the extent to which it is exposed to changes in
18 the value of the transferred instrument).

19 Please note that in FINREP, in accordance with paragraph 3.2.2 of IFRS 9, the
20 instrument is always split into the part that has not been transferred and the part that
21 has been transferred, and the institution’s continuing involvement refers exclusively
22 to the part of the financial asset that has been transferred. Nevertheless, in the
23 context of AnaCredit, where a partially transferred instrument may be reported as a
24 single instrument (i.e. the instrument is reported as a single instrument with two or
25 more creditors and no distinction is made between the transferred part of the
26 instrument and the retained part), the value “recognised to the extent of the
27 institution’s continuing involvement” is also used to identify such partially transferred
28 instruments.

29 Please also note that the value “entirely derecognised” is reported if the instrument is
30 not recognised in the balance sheet in accordance with the applicable accounting
31 standard. However, contrary to amended Implementing Regulation (EU) No
32 680/2014, under AnaCredit, the value “entirely derecognised” is also used for
33 instruments that are reported because they are serviced by the observed agent,
34 although the observed agent has never before recognised them (e.g. in the case of
35 fiduciary loans that are not recognised as assets).

36 An instrument may be classified as recognised by the observed agent, although it is

37 not its economic owner. For example, in the case of fiduciary loans, an instrument
38 may, in some national GAAPs, be recognised in the financial statement of the
39 observed agent which is the legal, but not economic, owner (i.e. the trustee), in
40 accordance with the national accounting standard.

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1 Revision mark: the clarifications Consequently, considering the above clarifications, the following principles are
are enhanced in line with
2 Q&A 2018/0042, also taking into provided as an indication of how the data attribute “balance sheet recognition” is
3 consideration whether or not the reported:
instrument is split

4 1. a fully written-off instrument: such an instrument is reported as “entirely

5 derecognised” after the write-off takes place as the instrument is no longer
6 recognised in the balance sheet;

7 2. a partially written-off instrument: this instrument is still reported as “entirely

8 recognised” until the moment it becomes fully written-off;

9 3. an instrument subject to a synthetic securitisation: the observed agent which is

10 the originator reports such an instrument as “entirely recognised”;

11 4. an instrument that is an intracompany loan: the observed agent which is the

12 institutional unit granting the loan reports the instrument as “entirely
13 derecognised”, as intracompany loans are not recognised in the balance sheet
14 of the observed agent’s legal entity;

15 5. an instrument subject to a full transfer (i.e. where the total outstanding nominal
16 amount of the instrument has been transferred) in a traditional securitisation or
17 a transfer other than a traditional securitisation: the observed agent which acts
18 as servicer of the instrument, independently if it was the originator, reports the
19 transferred instruments as:

20 a) “entirely derecognised” when the originator transfers substantially all the

21 risks and rewards of ownership of the instrument, or when it neither
22 transfers nor retains substantially all the risks and rewards of ownership of
23 the instrument and it has not retained control (cf. paragraphs 3.2.6(a) and
24 3.2.6(c)(i) of IFRS 9);

25 b) “entirely recognised” when the observed agent as originator retains

26 substantially all the risks and rewards of ownership of the instrument (cf.
27 paragraphs 3.2.6(b) of IFRS 9); or

28 c) “recognised to the extent of the institution’s continuing involvement” when

29 the observed agent neither transfers nor retains substantially all the risks
30 and rewards of ownership of the transferred instrument, and it continues
31 recognising the instrument to the extent of its continuing involvement; please
32 note that an observed agent is deemed to have “continuing involvement” not
33 because it continues to service the instrument but because it bears part of
34 the credit risk of the instrument; in particular, the reporting is as follows:

35 (i) when the observed agent does not split the instrument, it reports the
36 instrument with the value “recognised to the extent of the institution’s
37 continuing involvement”;

38 (ii) when the observed agent splits the instrument, it reports:

39 - the instrument that represents the part of credit risk that it retains as
40 creditor with the value “entirely recognised”, and

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1 - the instrument(s) that represent the part(s) derecognised for having

2 different creditor(s) with the value “entirely derecognised”;

3 6. an instrument subject to a partial transfer (i.e. where only part of the

4 outstanding nominal amount of the instrument has been transferred): depending
5 on whether or not the observed agent, which acts as servicer, splits the
6 instrument into the transferred part(s) and the non-transferred part, the
7 reporting of these instruments in both cases is as follows:

8 (a) when for the reporting purposes the observed agent splits the instrument
9 into different parts, it reports the value “entirely recognised”:

10 (i) for the transferred part of the instrument, in accordance with point 5
11 concerning instruments subject to a full transfer where the part is not
12 further split, and

13 (ii) for the retained part of the instrument;

14 (b) when the observed agent does not split the instrument into different parts,
15 it reports:

16 (i) the instrument as “recognised to the extent of the institution’s

17 continuing involvement”, provided that:

18 1. the observed agent neither transfers nor retains substantially all

19 the risks and rewards of ownership of the transferred instrument,
20 or

21 2. the observed agent transfers substantially all the risks and

22 rewards of ownership of the transferred part of the instrument, or

23 (ii) the instrument as “entirely recognised” when the observed agent

24 retains substantially all the risks and rewards of ownership of the
25 transferred part of the instrument;

26 7. an instrument that is a fiduciary transaction:

27 (a) the trustee reports the instrument as “entirely recognised” only when it is
28 recognised in accordance with the applicable accounting standard;

29 (b) if the instrument is not recognised in accordance with the applicable

30 accounting standard, the trustee reports the instrument as “entirely
31 derecognised” only where the trustor is not a credit institution or a part of a
32 credit institution resident in a reporting Member State; and

33 (c) where the trustor is another observed agent and the trustee does not
34 recognise the instrument in accordance with the applicable accounting
35 standard, the trustee does not report the instrument; instead, the trustor,
36 as the economic owner of the instrument, reports it as “entirely
37 recognised”.

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1 Entirely derecognised instruments which are serviced but not held by the observed
2 agent, and only such instruments, are “fully derecognised instruments being
3 serviced” in accordance with Annex II of the AnaCredit Regulation.

4 Revision mark: intracompany In particular, fiduciary loans which are not treated as assets by a trustee which is the
loans are not considered to be “fully
5 derecognised instruments being observed agent are always treated as “fully derecognised loans being serviced”
6 serviced” according to Annex II of the AnaCredit Regulation.

7 However, fully written-off loans which are held by the observed agent and are not
8 recognised in the balance sheet (i.e. the data attribute “balance sheet recognition” is
9 reported as “entirely derecognised”) do not meet the definition of “fully derecognised
10 instruments being serviced” in accordance with Annex II of the AnaCredit Regulation.
11 In other words, “fully derecognised instruments being serviced” and “entirely
12 derecognised instruments” are related but not fully overlapping terms. For more
13 clarification regarding the difference between these terms, please refer to
14 Section 7.4.3 in Part I of the Manual.

15 The reporting of the data attribute is illustrated using the following examples.

Example 27: Written-off loans

This example presents a month-by-month overview of the relevant data reported to

AnaCredit between 31 December 2018 and 31 March 2019 in relation to a written-off
loan.
Credit Institution C extends a bullet loan in the amount of €100,000 to debtor D on 10
December 2018. On 20 February 2019, C fully writes off the loan as D has filed for
bankruptcy. The balance sheet recognition is “entirely derecognised after the write-off”.
However, as the written-off loan is still held by C, the instrument does not qualify for the
specific reporting requirements of “fully derecognised instruments being serviced” as per
Annex II of the AnaCredit Regulation, even though it is classified as “entirely
derecognised”.
Table 50 Month-by-month overview of data reported for a written-off loan
Fully derecognised
instrument being Outstanding Balance sheet Accumulated Carrying
Reporting serviced according nominal amount recognition write-offs amount
reference to Annex II of the (financial (accounting (accounting (accounting
date AnaCredit Regulation dataset) dataset) dataset) dataset)
Entirely
31/12/2018 No 100,000.00 0.00 100,000.00
recognised
31/01/2019 No 100,000.00 - - -

28/02/2019 No 0.00 - - -
Entirely
31/03/2019 No 0.00 100,000.00 0.00
derecognised

Please note that the values of the accounting dataset are reported only as of quarter-end
dates (otherwise a dash “-” is shown).
Please note also that in the context of AnaCredit eligible instruments that are written-off
are reported to AnaCredit until the end of the quarter in which the debtor’s commitment
amount falls below the reporting threshold of €25,000. Therefore, depending on the
debtor’s commitment amount, the written-off instrument may or may not be reported to
AnaCredit after 31 March 2019 (e.g. if at 30 April the debtor’s commitment amount
exceeds €25,000 because of other instruments, the written-off instrument is still reported
at the reporting reference date).

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1 Example 28 below presents a month-by-month overview of the relevant data

2 reported to AnaCredit in relation to a loan subject to a traditional securitisation where
3 the originator acts as servicer.

Example 28: Traditional securitisation

Credit Institution C extends a bullet loan in the amount of €100,000 to debtor D on 10

December 2018. On 20 February 2019, C fully transfers the loan to FVC T (traditional
securitisation), which meets the criteria to be entirely derecognised in accordance with
the relevant accounting standard. C remains the servicer of the instrument.
Table 51 Month-by-month overview of data reported for a traditionally securitised loan
Fully derecognised
instrument being
serviced according Outstanding Balance sheet Type of Carrying
Reporting to Annex II of the nominal amount recognition securitisation amount
reference AnaCredit (financial (accounting (financial (accounting
date Regulation dataset) dataset) dataset) dataset)
Entirely
31/12/2018 No 100,000.00 Not securitised 100,000.00
recognised
31/01/2019 No 100,000.00 - Not securitised -
Traditional
28/02/2019 Yes 100,000.00 - -
securitisation
Entirely Traditional
31/03/2019 Yes 100,000.00 Not required
derecognised securitisation
Traditional
30/04/2019 Yes 100,000.00 - -
securitisation
Traditional
31/05/2019 Yes 100,000.00 - -
securitisation
Entirely Traditional
30/06/2019 Yes 100,000.00 Not required
derecognised securitisation

Please note that the values of the accounting dataset are reported only as of quarter-end
dates (otherwise a dash “-” is shown).
In addition, as per Table 1 in Annex II of the AnaCredit Regulation, the data attribute
“carrying amount” is not required for instruments which are fully derecognised
instruments being serviced, hence the value “not required” is reported to AnaCredit.
Please note that the reporting of the instrument continues beyond 20 February, as after
the transfer C acts as servicer of the instrument and the creditor, FVC T, is not a credit
institution.

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1 For an illustration of what the requirements are in cases where the originator in a
2 traditional securitisation does not act as servicer, please consider the following
3 example.

Example 29: Traditional securitisation – the observed agent does not act as servicer

1. Observed agent, Credit Institution C, extends a loan to Debtor D on 10 December

2018. Institution S (which is not a credit institution), a subsidiary of C, acts as
servicer of this loan. The loan is an asset on the balance sheet of C.
2. On 20 February 2019, C fully transfers the loan to FVC T (traditional securitisation),
which meets the criteria to be entirely derecognised in accordance with the relevant
accounting standard. From that moment on, the loan is no longer an asset on the
balance sheet of C, but is an asset on the balance sheet of the FVC T (which is not
a credit institution). S remains the servicer of the instrument.
In connection with the loan, C acts as creditor until 20 February and is therefore required
to report the loan to AnaCredit. However, after C fully transfers to FVC T it does not act
as creditor to the loan anymore.

By contrast, S, which acts as servicer to the loan, both up to and after the moment that C
transfer the loan to FVC T, is not a credit institution and is therefore not subject to
AnaCredit reporting.
Consequently, the loan is not subject to AnaCredit reporting after it is transferred to the
FVC T, as C acts neither as creditor nor as servicer, while neither S, which acts as
servicer, nor the FVC T, which acts as creditor, is subject to AnaCredit. In other words,
given the fact that the instrument has not been written off, the last reporting reference
date for the instrument is 31 January 2019 (when it is reported by Credit Institution C).
However, if the instrument were written off before being transferred, then Credit
Institution C would have to report the instrument (at least) until 31 March 2019.
Please note, however, that if C had any servicing activities in relation to the instrument,
then it would be considered to be acting as servicer, and the instrument would be subject
to AnaCredit reporting.

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1 Example 30 below presents a month-by-month overview of the relevant data

2 reported to AnaCredit in relation to a loan subject to a synthetic securitisation.

Example 30: Synthetic securitisation

Credit Institution C extends a bullet loan in the amount of €100,000 to debtor D on 10

December 2018. On 20 February 2019, C fully transfers the loan following a synthetic
securitisation.
Table 52 Month-by-month overview of selected data attributes reported for a loan subject
to synthetic securitisation
Fully derecognised
instrument being Outstanding
serviced according nominal Balance sheet Type of Carrying
to Annex II of the amount recognition securitisation amount
Reporting AnaCredit (financial (accounting (financial (accounting
reference date Regulation dataset) dataset) dataset) dataset)
Entirely
31/12/2018 No 100,000.00 Not securitised 100,000.00
recognised
31/01/2019 No 100,000.00 - Not securitised -
Synthetic
28/02/2019 No 100,000.00 - -
securitisation
Entirely Synthetic
31/03/2019 No 100,000.00 100,000.00
recognised securitisation
Synthetic
30/04/2019 No 100,000.00 - -
securitisation
Synthetic
31/05/2019 No 100,000.00 - -
securitisation
Entirely Synthetic
30/06/2019 No 100,000.00 100,000.00
recognised securitisation

Please note that the values of the accounting dataset are reported only as of quarter-end
dates (otherwise a dash “-” is shown).

Please note also that the specific reporting requirements for “fully derecognised
instruments being serviced” in Annex II of the AnaCredit Regulation are not applicable as
the instrument remains “entirely recognised”.

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1 Example 31 presents a month-by-month overview of the relevant data reported to

2 AnaCredit in relation to an intracompany loan.

Example 31: Intracompany loan

Credit Institution C extends a bullet loan in the amount of €100,000 to its foreign branch
D on 10 December 2018.
Table 53 Month-by-month overview of data reported for an intracompany loan

Fully derecognised
instrument being Balance sheet
serviced according to Outstanding recognition Carrying amount
Reporting Annex II of the AnaCredit nominal amount (accounting (accounting
reference date Regulation (financial dataset) dataset) dataset)
Entirely
31/12/2018 No 100,000.00 Non-applicable
derecognised
31/01/2019 No 100,000.00 - -

28/02/2019 No 100,000.00 - -
Entirely
31/03/2019 No 100,000.00 Non-applicable
derecognised

Please note that the values of the accounting dataset are reported only as of quarter-end
dates (otherwise a dash “-” is shown).
The data attribute “carrying amount” does not apply in the case of intracompany loans
which are not assets in the balance sheet; therefore the value “non-applicable” is
reported.

Please note also that the specific reporting requirements for “fully derecognised
instruments being serviced” in Annex II of the AnaCredit Regulation are not applicable as
the instrument is held by the credit institution, although it remains “entirely derecognised”.

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1 Example 32 presents a month-by-month overview of the relevant data reported to

2 AnaCredit in relation to a fiduciary instrument not being recognised in the balance
3 sheet.

Example 32: Fiduciary loan not recognised in the balance sheet

Credit Institution C extends a bullet loan amounting to €100,000 to debtor D on 10

December 2018 on behalf of a third party (which is not a credit institution). The loan is a
fiduciary loan which C does not recognise on its balance sheet.
Table 54 Month-by-month overview of data reported for a synthetically securitised loan
Fully derecognised
instrument being Outstanding
serviced according nominal Balance sheet Fiduciary Carrying
to Annex II of the amount recognition instrument amount
Reporting AnaCredit (financial (accounting (financial (accounting
reference date Regulation dataset) dataset) dataset) dataset)
Entirely Fiduciary
31/12/2018 Yes 100,000.00 Not required
derecognised instrument
Fiduciary
31/01/2019 Yes 100,000.00 - -
instrument
Fiduciary
28/02/2019 Yes 100,000.00 - -
instrument
Entirely Fiduciary
31/03/2019 Yes 100,000.00 Not required
derecognised instrument
Fiduciary
30/04/2019 Yes 100,000.00 - -
instrument
Fiduciary
31/05/2019 Yes 100,000.00 - -
instrument
Entirely Fiduciary
30/06/2019 Yes 100,000.00 Not required
derecognised instrument

Please note that the values of the accounting dataset are reported only as of quarter-end
dates (otherwise a dash “-” is shown).
Please note also that the specific reporting requirements for “fully derecognised
instruments being serviced” of Annex II of the AnaCredit Regulation applies as the
instrument is serviced by C and is not recognised in the balance sheet of C.

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1 Revision mark: the description of Example 33 presents a month-by-month overview of the relevant data reported to
Example 33 is updated to match
2 with its contents AnaCredit in relation to a fiduciary loan recognised in the balance sheet of the credit
3 institution acting as servicer.

Example 33: Fiduciary loan recognised in the balance sheet

Credit Institution C extends a bullet loan in the amount of €100,000 to debtor D on 10

December 2018 on behalf of a third party. The loan is a fiduciary loan and C recognises
the loan on its balance sheet.

Table 55 Month-by-month overview of data reported for a fiduciary loan

Fully derecognised
instrument being Outstanding
serviced according nominal Balance sheet Fiduciary Carrying
to Annex II of the amount recognition instrument amount
Reporting AnaCredit (financial (accounting (financial (accounting
reference date Regulation dataset) dataset) dataset) dataset)
Entirely Fiduciary
31/12/2018 No 100,000.00 100,000.00
recognised instrument
Fiduciary
31/01/2019 No 100,000.00 - -
instrument
Fiduciary
28/02/2019 No 100,000.00 - -
instrument
Entirely Fiduciary
31/03/2019 No 100,000.00 100,000.00
recognised instrument
Fiduciary
30/04/2019 No 100,000.00 - -
instrument
Fiduciary
31/05/2019 No 100,000.00 - -
instrument
Entirely Fiduciary
30/06/2019 No 100,000.00 100,000.00
recognised instrument

Please note that the values of the accounting dataset are reported only as of quarter-end
dates (otherwise a dash “-” is shown).
Please also note that the specific reporting requirements for “fully derecognised
instruments being serviced” of Annex II of the AnaCredit Regulation do not apply as,
although the instrument is a fiduciary loan, it is recognised in the balance sheet of C.
Therefore, the data attribute “carrying amount” is reported.

5.4.3 Sources of encumbrance

Definition: Type of transaction in which the exposure is encumbered in accordance with

Implementing Regulation (EU) No 680/2014. An asset will be treated as encumbered if
it has been pledged or if it is subject to any form of arrangement to secure, collateralise
or credit enhance any instrument from which it cannot be freely withdrawn

4 This data attribute identifies the type of transaction in which the exposure is
5 encumbered in accordance with Annexes XVI and XVII (on reporting on asset
6 encumbrance) to the amended ITS. An asset will be treated as encumbered if it has
7 been pledged or if it is subject to any form of arrangement to secure, collateralise or
8 credit enhance any instrument from which it cannot be freely withdrawn.

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Reporting qualification

1 This data attribute is not reported for “fully derecognised instruments being serviced”
2 as defined in Annex II to the AnaCredit Regulation, so in such cases the value “not
3 required” is reported. Otherwise, one of the following values is reported.

Values

Central bank funding

Definition: Central bank funding (of all types), in accordance with the EBA’s
implementing technical standards on asset encumbrance reporting as referred to in
Article 99(5) and Article 100 of Regulation (EU) No 575/2013.

4 This value is reported for instruments used as collateral for all types of liabilities of
5 the reporting institution in which the counterparty of the transaction is a central bank.
6 Assets that have been pre-positioned with central banks are not to be treated as
7 encumbered assets unless the central bank does not allow withdrawal of any asset
8 placed without prior approval.

Exchange traded derivatives

Definition: Exchange traded derivatives in accordance with the EBA’s implementing

technical standards on asset encumbrance reporting as referred to in Article 99(5) and
Article 100 of Regulation (EU) No 575/2013.

9 This value is reported for instruments used as collateral for derivatives of the
10 reporting institution that are financial liabilities, insofar as these derivatives are listed
11 or traded on a recognised or designated investment exchange and they entail asset
12 encumbrance for that institution.

Over-the-counter derivatives

Definition: Over-the-counter derivatives in accordance with the EBA’s implementing

technical standards on asset encumbrance reporting as referred to in Article 99(5) and
Article 100 of Regulation (EU) No 575/2013.

13 This value is reported for instruments used as collateral for derivatives of the
14 reporting institution that are financial liabilities, insofar as these derivatives are
15 traded over-the-counter and they entail asset encumbrance for that institution.

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Deposits – repurchase agreements other than to central banks

Definition: Repurchase agreements other than to central banks in accordance with the
EBA’s implementing technical standards on asset encumbrance reporting as referred
to in Article 99(5) and Article 100 of Regulation (EU) No 575/2013.

1 This value is reported for instruments sold under a repurchase agreement of the
2 reporting institution in which the counterparty of the transaction is not a central bank.
3 For tri-party repurchase agreements, the same treatment is followed as for the
4 repurchase agreements insofar as these transactions entail asset encumbrance for
5 the reporting institution.

Deposits other than repurchase agreements

Definition: Deposits other than repurchase agreements in accordance with the EBA’s
implementing technical standards on asset encumbrance reporting as referred to in
Article 99(5) and Article 100 of Regulation (EU) No 575/2013.

6 This value is reported for instruments used as collateral for deposits other than
7 repurchase agreements of the reporting institution in which the counterparty of the
8 transaction is not a central bank.

Debt securities issued – covered bonds securities

Definition: Covered bonds securities issued in accordance with the EBA’s

implementing technical standards on asset encumbrance reporting as referred to in
Article 99(5) and Article 100 of Regulation (EU) No 575/2013.

9 This value is reported for instruments which are used as collateral for covered
10 bonds. In cases where the observed agent has retained some of the debt securities
11 issued, either from the issuance date or thereafter as a result of a repurchase,
12 instruments used as collateral for these retained securities are not included under
13 this item.

Debt securities issued – asset-backed securities

Definition: Asset-backed securities (ABSs) issued in accordance with the EBA’s

implementing technical standards on asset encumbrance reporting as referred to in
Article 99(5) and Article 100 of Regulation (EU) No 575/2013.

14 This value is reported for instruments which are used as collateral for asset-backed
15 securities issued by the reporting institution. In cases where the observed agent has
16 retained some of the debt securities issued, either from the issuance date or
17 thereafter as a result of a repurchase, instruments used as collateral for these
18 retained securities are not included under this item.

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Debt securities issued – other than covered bonds and ABSs

Definition: Debt securities issued other than covered bonds and ABSs in accordance
with the EBA’s implementing technical standards on asset encumbrance reporting as
referred to in Article 99(5) and Article 100 of Regulation (EU) No 575/2013.

1 This value is reported for instruments which are used as collateral for debt securities
2 issued by the reporting institution other than covered bonds and ABSs. In cases
3 where the observed agent has retained some of the debt securities issued, either
4 from the issuance date or thereafter as a result of a repurchase, instruments used as
5 collateral for these retained securities are not included under this item.

Other sources of encumbrance

Definition: Other sources of encumbrance in accordance with the EBA’s implementing

technical standards on asset encumbrance reporting as referred to in Article 99(5) and
Article 100 of Regulation (EU) No 575/2013.

6 This value is reported for instruments which are subject to encumbrance and where
7 the source of encumbrance is other than the ones listed above.

No encumbrance

Definition: Instrument which has not been pledged or it is not subject to any form of
arrangement to secure, collateralise or credit enhance any instrument from which it
cannot be freely withdrawn.

8 This value is reported for instruments that are not subject to encumbrance at all.

General reporting instructions, specific cases and examples

9 For instruments which are not subject to encumbrance at all, the value “no
10 encumbrance” is reported.

11 Otherwise, encumbered instruments, irrespective of whether they are fully or only

12 partially encumbered, are reported to AnaCredit as encumbered by proving the
13 respective source of encumbrance.

14 As a general principle, instruments which are being placed at facilities that are not
15 used and can be freely withdrawn are not considered encumbered.

16 If an instrument is subject to multiple sources of encumbrance at the same time, the

17 source of encumbrance associated with the largest part of the instrument is reported.
18 If this information cannot be determined, any one of the sources is reported.

19 Instruments pledged that are subject to any restrictions in withdrawal, for instance
20 assets that require prior approval before withdrawal or replacement by other assets,
21 are considered encumbered. The definition is not based on an explicit legal
22 definition, such as title transfer, but rather on economic principles, as the legal

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1 frameworks may differ across countries in this respect. The definition is, however,
2 closely linked to contractual conditions.

3 Instruments pledged in the following transactions are reported as encumbered

4 (please also refer to Part 1.7 of Annex XVII to the ITS).

5 • Instruments used as collateral subject to various collateral agreements, for

6 instance collateral placed for the market value of derivatives transactions.

7 • Instruments used as collateral for financial guarantees. It should be noted that if

8 there is no impediment to withdrawal of collateral, such as prior approval, for
9 the unused part of guarantee, then only the used amount should be allocated
10 (on a pro-rata allocation).

11 • Instruments placed as collateral with clearing systems, central counterparty

12 clearing houses and other infrastructure institutions as a condition for access to
13 service. This includes default funds and initial margins.

14 • Instruments used as collateral for central bank facilities. Pre-positioned assets

15 should not be considered encumbered, unless the central bank does not allow
16 withdrawal of any assets placed without prior approval.

17 • Underlying instruments from securitisation structures where the financial

18 instruments have not been derecognised from the institution’s financial assets
19 (synthetically securitised instruments).

20 • Instruments in cover pools used for covered bond issuance. The instruments
21 that are underlying covered bonds count as encumbered, except in certain
22 situations where the institution holds the corresponding covered bonds (“own-
23 issued bonds”).

24 In the case of pledged portfolios of instruments where only a part of the amount of
25 the portfolio is actually encumbered (in the case of central bank funding, by the
26 withdrawal of funds accordingly), if the asset encumbrance can be established at a
27 single instrument level, then the reporting agents report this information on the
28 granularity of a single instrument. In other cases, it is the entire portfolio that is
29 considered as encumbered, implying that all instruments in the portfolio are flagged
30 as encumbered in the context of AnaCredit. In general, it is acknowledged that an
31 instrument flagged as encumbered in the accounting dataset may be only partially
32 encumbered and therefore the information will be read as “instrument subject to
33 (partial) encumbrance”.

Example 34: Instruments subject to encumbrance

Credit institution C extends a loan of €100,000 to debtor D. Later, C pledges the loan as
collateral in order to receive funds from its central bank. The agreement with the central
bank states that the loan cannot be transferred to another party as long as the loan
extended to C by the central bank has not been repaid. Therefore, when reporting the
loan held by C, the data attribute “sources of encumbrance” is reported with the value
“central bank funding”.

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5.4.4 Accumulated write-offs

Definition: Cumulative amount of principal and past due interest of any debt instrument
that the institution is no longer recognising because they are considered uncollectible,
independently of the portfolio in which they were included. Write-offs could be caused
both by reductions in the carrying amount of financial assets recognised directly in
profit or loss and by reductions in the amounts of the allowance accounts for credit
losses set off against the carrying amount of financial assets.

1 Please note that in the context of AnaCredit, write-off and write-down have the same
2 meaning. Moreover, please note that an asset may also be partly written off.

Reporting qualification

3 This data attribute is not reported for “fully derecognised instruments being serviced”
4 as defined in Annex II of the AnaCredit Regulation, so in such cases the value “not
5 required” is reported. Examples of such instances would include but not be limited to
6 written-off loans and loans derecognised due to being subject to securitisations.

7 Otherwise, an amount in euro as specified in Annex IV of the AnaCredit Regulation is

8 reported.

Values

9 The amounts of accumulated write-offs are reported in euro.

General reporting instructions, specific cases and examples

10 In cases where the instrument has not been subject to a write-off in the period
11 between the inception date of the instrument and the reporting reference date, the
12 value zero is reported.

13 Where there are recoveries in the period between the write-off and the reporting
14 reference date, the accumulated write-offs amount is updated (decreased) to take
15 account of the recovery, provided that the instrument is subject to reporting to
16 AnaCredit at the respective reporting reference dates after the recovery. For an
17 illustration of how this is reported to AnaCredit, please refer to Example 45 in
18 Section 5.4.14.

19 Fully written-off instruments need not be reported to AnaCredit after the end of the
20 quarter in which the debtor’s commitment amount (for all eligible instruments of the
21 debtor) falls below the threshold of €25,000 (including as a result of a write-off which
22 affects the debtor’s commitment amount), even if the instrument continues to exist
23 after the write-off. For an illustration, please refer to Example 27 above and to
24 Section 5.2.2 in Part I of the Manual and in Section 3.1.6.1 above which deal
25 specifically with extended quarter-end reporting.

26 A written-off instrument which ceases to exist after being written off (e.g. as a result
27 of debt forgiveness or the sale of the instrument at a loss to a third party) is reported

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1 only until the end of the quarter in which the instrument is written-off and need not be
2 reported thereafter.

3 Revision mark: further The “accumulated write-offs” increase whenever an additional amount is written-off,
clarifications are included
4 concerning the reporting of accrued also including the writing-off of interest that is due. Notably, if the instrument is not
5 interest which keeps on accruing put on interest non-accrual, interest keeps accruing also after a write-off. If the thus
after a write-off
6 accrued interest becomes due and is not paid, it is included in the outstanding
7 nominal amount (and also in the amount in arrears). Consequently, any subsequent
8 write-offs of the unpaid interest due result in an increase in the “accumulated write-
9 offs”.

10 In the case of write-offs assessed at the level of the debtor, the write-off amount is
11 redistributed as appropriate to all individual instruments which were considered when
12 establishing the debtor’s write-off amount, including instruments which are not within
13 the scope of AnaCredit.

5.4.5 Accumulated impairment amount

Definition: The amount of loss allowances that are held against or are allocated to the
instrument on the reporting reference date. This data attribute applies to instruments
subject to impairment under the applied accounting standard.
Under IFRS, the accumulated impairment relates to the following amounts:
(i) loss allowance at an amount equal to 12-month expected credit losses;
(ii) loss allowance at an amount equal to lifetime expected credit losses.
Under GAAP, the accumulated impairment relates to the following amounts:
(i) loss allowance at an amount equal to general allowances;
(ii) loss allowance at an amount equal to specific allowances.

14 In the case of instruments subject to impairment, a positive amount of accumulated

15 impairment amount is reported if credit losses are expected for the instrument or if
16 general or specific allowances are associated with the instrument (or a portfolio to
17 which the instrument belongs) in accordance with the respective accounting
18 standard.

Reporting qualification

19 This data attribute is not reported for fully derecognised instruments being serviced
20 as defined in Annex II of the AnaCredit Regulation, so in such cases the value “not
21 required” is reported.

22 Additionally, if for the data attribute “type of impairment” the value reported is “non-
23 applicable” (which covers cases where the instrument is “not subject to impairment”;
24 please refer to Section 5.4.6 for details), the accumulated impairment amount is
25 reported as “non-applicable”.

26 In all other cases, an amount of loss allowances that is held against or is allocated to
27 the instrument is reported. This includes cases where the amount of loss allowances
28 is 0 (zero).

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1 Revision mark: further In particular, the accumulated impairment amount is always reported with an amount
clarifications are included
2 concerning the reporting of the for:
accumulated impairment amount in
3 the case of national GAAPs
• financial assets at amortised cost or at fair value through other comprehensive
4 income (according to IFRS 9 classification);

5 • for financial assets classified as available-for-sale, loans and receivables and

6 held to maturity (in accordance with national GAAPs consistent with IAS 39);
7 and

8 • for financial assets classified at a cost-based method or other non-trading non-

9 derivative financial assets (in accordance with national GAAPs not consistent
10 with IFRS 9/IAS 39).
Revision mark: further
11 clarifications are added in line with In addition, in accordance with Table 49 in Section 5.4.1, which serves as an
12 Table 49 in Section 5.4.1 indication of relevant reporting combinations according to the accounting
13 classification, the accumulated impairment amount (other than “non-applicable”) may
14 also be reported for instruments classified as cash balances at central banks and
15 other demand deposits or at fair value to equity.

Values

16 Amounts of accumulated impairment are reported in euro.

General reporting instructions, specific cases and examples

Revision mark: the clarifications
17 are aligned with the accounting The data attribute “accumulated impairment amount” is not applicable to instruments
classification, distinguishing
18 between IFRS 9 (and national classified, in accordance with IFRS 9 or IFRS 9-consistent national GAAP, as:
GAAPs consistent with IFRS) and
19 national GAAPs not consistent with
IFRS
• “financial assets held for trading”,

20 • “non-trading financial assets mandatorily at fair value through profit or loss” or

21 • “financial assets designated at fair value through profit or loss”.

22 Similarly, this data attribute is not applicable to instruments classified, in accordance

23 with national GAAPs not consistent with IFRS 9/IAS 39, as:

24 • “trading financial assets”; or

25 • “non-trading non-derivative financial assets measured at fair value through

26 profit or loss”.

27 Finally, this data attribute is not applicable to instruments classified, in accordance

28 with national GAAPs consistent with IAS 39, as:

29 • “financial assets held for trading”; or

30 • “financial assets designated at fair value through profit or loss”.

31 If the data attribute “accumulated impairment amount” is reported, the data attributes
32 “type of impairment” and “impairment assessment method” further specify which type
33 and method (IFRS stages 1, 2 or 3, or, in the case of GAAP, specific or general

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1 allowances; individually or collectively assessed) were used in order to calculate the

2 accumulated impairment amount.

3 Please note that the definition of loss allowance under IFRS describes three stages
4 as referred to in the data attribute “type of impairment”, with the value “loss
5 allowance at an amount equal to lifetime expected credit losses” corresponding to
6 both Stage 2 and Stage 3, as it is a lifetime expected loss that is estimated under
7 IFRS for these two stages.

8 In the case of instruments for which the impairment is collectively assessed (where
9 the data attribute “impairment assessment method” is reported as “collectively
10 assessed”), the accumulated impairment amount that is determined for the total pool
11 of instruments (to which the instrument is assigned for the purpose of the collective
12 assessment) is allocated as appropriate to the individual instrument on the basis that
13 only collectively assessed impairment amounts that are relevant for AnaCredit
14 eligible instruments within the pool assessed are included in the re-distribution (in
15 order to avoid excessive impairments).

16 Revision mark: the accumulated For an illustration of how the data attribute “accumulated impairment amount” is
impairment amount is adjusted in
17 the example reported, including with regard to its relationship with other accounting dataset data
18 attributes, please consider the following example.

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Example 35: Accumulated impairment amount

Credit Institution C acquires a balloon loan (Inst#1) originated under contract Con#1 with a
nominal value of €100,000 and with a fair value adjustment due to credit risk at the
acquisition date of €10,000. On 30 September 2018 the gross and net carrying amount are
equal to the acquisition price, i.e. €90,000.
By 31 December 2018, the loan’s nominal amount is €100,000, but an impairment
allowance of €20,000 has been booked by C. The net carrying amount is consequently
€70,000 (€90,000 - €20,000).

Credit institution C applies IFRS and the loan is subject to impairment (it is an asset of C
accounted for at amortised cost).
The instrument is reported to AnaCredit and the reporting is presented in the tables
below. The outstanding nominal amount remains unchanged over the entire period
considered.
The initial fair value adjustment of €10,000 is reported in the data attribute “fair value
changes due to changes in credit risk before purchase” in the instrument dataset as of 30
September.
Table 56 Selected data attributes of the instrument and financial datasets
Reporting Contract Instrument Outstanding Fair value changes due to changes
reference date identifier identifier nominal amount in credit risk before purchase
30/09/2018 CON#1 INST#1 100,000.00 10,000.00

The respective data attributes in the accounting dataset are presented in Table 57.

Table 57 Accounting dataset as of 30 September (selected data attributes only)

Accumulated Accumulated
Reporting Contract Instrument Carrying
impairment changes in fair value
reference date identifier identifier amount
amount due to credit risk
30/09/2018 CON#1 INST#1 0.00 “Non-applicable” 90,000.00

The reporting as of 31 December of the accounting dataset is shown in Table 58.

Because no changes occur to any data attribute in the instrument dataset, the dataset is
not reported at this reporting reference date.
Table 58 Accounting dataset as of 31 December (selected data attributes only)
Accumulated Accumulated
Reporting Contract Instrument Carrying
impairment changes in fair value
reference date identifier identifier amount
amount due to credit risk
31/12/2018 CON#1 INST#1 20,000.00 “Non-applicable” 70,000.00

Because Inst#1 is subject to impairment, the data attribute “accumulated changes in fair
value due to credit risk” is reported as “non-applicable”.

Please also note that it is the net carrying amount that is reported in the data attribute
“carrying amount”.

5.4.6 Type of impairment

Definition: Type of impairment.

1 This data attribute indicates the type of impairment to which the instrument is
2 subject.

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Reporting qualification

1 In the case of “fully derecognised instruments being serviced” as defined in Annex II

2 of the AnaCredit Regulation, the value “not required” is reported.

3 In addition, if in accordance with the accounting standard, the instrument is not

4 subject to impairment, the value “non-applicable” is reported.

5 Similarly, the value “non-applicable” is also reported in the case of instruments that
6 are not recognised in the balance sheet.

7 In all other cases, one of the values as specified below is reported.

Values

Stage 1 (IFRS)
Revision mark: the description of
8 the stages is enhanced in line with This value is reported if the instrument is not impaired and its credit risk has not
9 IFRS 9; respective references are increased significantly since initial recognition and a loss allowance at an amount
added
10 equal to 12-month expected credit losses is raised against the instrument under
11 IFRS. Only for instruments subject to impairment under IFRS 9 or IFRS 9-consistent
12 national GAAPs (cf. paragraph 5.5.5 and Appendix 9 of IFRS 9).

Stage 2 (IFRS)

13 This value is reported if the instrument is not impaired, but it has had a significant
14 increase in credit risk since initial recognition and a loss allowance at an amount
15 equal to lifetime expected credit losses is raised against the instrument under IFRS.
16 Only for instruments subject to impairment under IFRS 9 or IFRS 9-consistent
17 national GAAPs (cf. paragraph 5.5.3 and Appendix 9 of IFRS 9).

Stage 3 (IFRS)

18 This value is reported if the instrument is credit impaired (including purchased or

19 credit-impaired instruments) in accordance with IFRS 9 or IFRS 9-consistent national
20 GAAPs (cf. paragraph 5.5.3 and Appendix 9 of IFRS 9).

General allowances (GAAP)

Revision mark: clarification is
21 added that these values are
This value is reported if the instrument is subject to impairment in accordance with
22 relevant for accounting standards an applied accounting standard not consistent with IFRS 9 and no specific loss
not consistent with IFRS 9
23 allowances are raised against the instrument (unimpaired).

Specific allowances (GAAP)

24 This value is reported if the instrument is subject to impairment in accordance with

25 an applied accounting standard not consistent with IFRS 9 and specific loss
26 allowances are raised, irrespective of whether these allowances are individually or
27 collectively assessed (impaired).

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General reporting instructions, specific cases and examples

1 The value “non-applicable” is reported both for instruments that are not subject to
2 impairment in accordance with the accounting standard (e.g. for instruments
3 measured or designated at fair value through profit or loss under IFRS) and for
4 instruments that are not recognised in the balance sheet.

5 Otherwise, if an instrument is subject to impairment on either a collective or individual

6 basis, one of the values listed above, depending on the accounting standard applied, is
7 reported. This also includes cases when the accumulated impairment amount is
8 determined to be zero for a given instrument (or a portfolio of instruments).

5.4.7 Impairment assessment method

Definition: The method by which the impairment is assessed, if the instrument is

subject to impairment in accordance with applied accounting standards. Collective and
individual methods are distinguished.

9 This data attribute identifies the impairment assessment method in accordance with
10 which the accumulated impairment amount is established for an instrument, if the
11 instrument is subject to impairment in accordance with the accounting standard.

Reporting qualification

12 This data attribute is reported as either “individually assessed” or “collectively

13 assessed” unless the value reported in the data attribute “accumulated impairment
14 amount” is “non-applicable”, i.e. where the instrument is not subject to impairment in
15 accordance with an applied accounting standard and the impairment assessment
16 method is reported as “non-applicable”.

17 Please note that this data attribute is also applicable in the case of general
18 allowances, in which case the value “collectively assessed” is reported.

19 Revision mark: further Please also note that the data attributes “accumulated impairment amount” and the
clarifications are added concerning
20 the value “not required” impairment assessment method are reported as “not required” in the case of “fully
21 derecognised instruments being serviced” as defined in Annex II of the AnaCredit
22 Regulation.

23 In all other cases, one of the following values is reported.

Values

24 1. Individually assessed – To be used if the instrument is subject to impairment in

25 accordance with an applied accounting standard and is individually assessed for
26 impairment.

27 2. Collectively assessed – To be used if the instrument is subject to impairment in

28 accordance with an applied accounting standard and is collectively assessed for

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1 impairment by being grouped together with instruments with similar credit risk
2 characteristics.

General reporting instructions, specific cases and examples

3 An instrument can be impaired on the basis of either an individually made

4 assessment or a collectively made assessment. An instrument cannot be subject at
5 the same time to an individual and a collective assessment of impairment.

6 For instruments subject to impairment in accordance with the applicable accounting

7 standard, the “accumulated impairment amount” may be either 0 (zero) or a positive
8 value.

9 Similarly to the data attributes “accumulated impairment amount” and “type of

10 impairment”, the data attribute “impairment assessment method” is reported as “non-
11 applicable” for instruments that are “not subject to impairment” in accordance with
12 the applied accounting standard (e.g. instruments that are measured at fair value
13 though profit or loss).

5.4.8 Accumulated changes in fair value due to credit risk

Definition: Accumulated changes in fair value due to credit risk in accordance with Part
2.46 of Annex V to Implementing Regulation (EU) No 680/2014.
Revision mark: a reference to the
14 amended ITS is added This data attribute is in accordance with Part 2.69 of Annex V to the amended ITS.
15 The accumulated changes in fair value due to credit risk are calculated by adding all
16 negative and positive changes in fair value due to credit risk that have occurred
17 since recognition of the debt instrument.

Reporting qualification
Revision mark: further
18 clarifications are added concerning This data attribute is not reported for “fully derecognised instruments being serviced”
the value “not required”
19 as defined in Annex II of the AnaCredit Regulation. For such instruments, including
20 those that are not recognised in the balance sheet or which are not measured at fair
21 value through profit or loss in accordance with the accounting standard, the value
22 “not required” is reported.

23 In all other cases, an amount of accumulated changes in fair value due to credit risk
24 is reported.

Values

25 Amounts of accumulated changes in fair value due to credit risk are reported in euro.

26 A positive amount reported under this data attribute means that the fair value of the
27 instrument has decreased since the recognition of the instrument.

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General reporting instructions, specific cases and examples

Revision mark: the instructions are
1 streamlined According to the AnaCredit Regulation, the data attribute “accumulated changes in
2 fair value due to credit risk” is reported for exposures measured at fair value through
3 profit or loss in accordance with the accounting standard.

4 If the fair value of the instrument has deteriorated due to changes in creditworthiness
5 (a negative change) since the recognition of the instrument, a positive amount is
6 reported for the data attribute.

7 For an instrument whose creditworthiness (or whose debtor’s creditworthiness) has

8 not changed (i.e. it has neither deteriorated nor improved) compared with the initial
9 recognition, 0 (zero) is reported in this data attribute.

10 This data attribute is intended to reflect changes in fair value solely due to changes in
11 credit risk. However, changes in fair value may be also caused by other factors, whose
12 effects may not be readily (if at all) isolated from the effects of changes in credit risk.

13 In this respect, if the reporting agent considers a particular factor to have an effect on
14 the creditworthiness, then a change in fair value as a result of this particular factor
15 may be considered when determining this data attribute, assuming that a change in
16 the fair value has indeed taken place due to credit risk (e.g. credit rating from an
17 External Credit Assessment Institution).

18 To this extent, if the reporting agent is able to measure the change in fair value due
19 to this particular credit risk event, then that amount is delivered.

20 This data attribute captures By contrast, if changes in credit risk take place in parallel to changes in factors other
changes in fair value due to credit
21 risk, provided that the effects of than credit risk that also affect the fair value but the reporting agent is not able to
22 credit risk on the fair value can be (readily) isolate the effects of such factors from the effects of credit risk on the fair
isolated from other factors
23 value, the total change in fair value can be considered as a proxy measure of
24 accumulated changes in fair value due to credit risk.

25 For an illustration of how the data attribute “accumulated changes in fair value due to
26 credit risk” is reported, please consider the following example.

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Example 36: Accumulated changes in fair value due to credit risk

Inst#1, granted by an observed agent to a counterparty X, is recognised at fair value

through profit and loss (Inst#1). At inception, the fair value amount was €1,000,000.

Six months later, in September 2019, there has been a deterioration in the credit rating of
the counterparty (S&P downgrade from AA+ to BBB+), which has been recognised by the
observed agent as deterioration in the creditworthiness of the counterparty (and
consequently of Inst#1).
On 30 September the fair value of Inst#1 is determined to be €950,000. The drop in fair
value, however, was caused not only by the credit risk worsening but also by changes in
the interest rate. However, the observed agent is unable to separate out the exact effect
of the credit risk worsening from the effect of the interest rate change.
Table 59: Overview of the relevant data attributes relating to the change in fair value of
the instruments
Performing Accumulated changes in
Reporting Instrument Balance sheet status of the fair value due to credit
reference date identifier recognition instrument risk

31/03/2019 INST#1 Entirely recognised Performing 0.00

30/09/2019 INST#1 Entirely recognised Performing 50,000.00

5.4.9 Performing status of the instrument

Definition: 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.

1 This data attribute identifies the performing status of instruments.

Reporting qualification
Revision mark: the paragraph is
2 corrected, taking into account that, This data attribute is reported for all instruments subject to AnaCredit reporting.
at national discretion, NCBs may
3 grant a derogation in respect of this However, in accordance with Article 7 of the AnaCredit Regulation, NCBs may grant
data attribute to observed agents
4 a derogation in respect of this data attribute to observed agents not subject to capital
not subject to capital requirements
5 requirements. If a derogation in respect of this data attribute is granted at national
6 level, the value “not required” is reported.

Values

7 1. Non-performing – Instruments classified as non-performing in accordance with

8 the definition of the amended ITS.

9 2. Performing – Instruments which are not classified as non-performing in

10 accordance with the definition of the amended ITS.

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General reporting instructions, specific cases and examples

1 This data attribute serves to identify the performing status of an instrument even if
2 the instrument is not recognised in the balance sheet, applying in all cases the
3 criteria of the amended ITS for its classification as performing or non-performing.

4 Revision mark: further Please note that under AnaCredit, the data attribute “performing status of the
clarifications are included
5 concerning the reporting of this data instrument” is also reported for instruments classified in the accounting portfolios
6 attribute “financial assets held for trading” and “trading financial assets”, applying the criteria
7 specified in the amended ITS. In a similar vein, this data attribute is also reported for
8 instruments that are not recognised in the balance sheet.

9 Instruments recognised in the balance sheet in accordance with the accounting

10 standard are reported with the value used for their classification in FINREP Template
11 18. For further details regarding the classification as non-performing, refer to Part 2,
12 paragraphs 213 to 239, of Annex V to the amended ITS.

13 Revision mark: further For written-off instruments subject to reporting to AnaCredit that are not recognised
clarifications are included
14 concerning the reporting of this data in the balance sheet, the value “non-performing” is reported, including in extended
15 attribute in relation to written-off quarter-end reporting (cf. Section 5.2.2 in Part I of the Manual).
instruments

16 For written-off instruments that remain recognised in the balance sheet (e.g. in the
17 case of partial write-offs), the attribute is reported regarding the recognised part
18 (which is generally “non-performing”).

19 The reporting of this data attribute is further illustrated using the following examples
20 of the performing status of the instrument in connection with the default status on a
21 counterparty level and/or an instrument level.

22 In particular, Example 37 illustrates the reporting in the case of a “transaction-based”

23 assessment in line with paragraph 226 of Annex V to the amended ITS applying the
24 definition of default at the level of an individual instrument in line with Article 178(1)
25 of the CRR.

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Example 37: 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 under the CRR, and uses the option provided in Article
178(1) of the CRR for calculating the own funds requirement. The assessment of the
performing status is therefore “transaction-based” in line with paragraph 226 of Part 2 of
Annex V to the ITS.
Both instruments were originated on 31 December 2017 and the reporting agent
determines that:

a) INS#1 is not and has not been in default at any moment, but has been
classified as non-performing since 12 September 2019;
b) INS#2 is considered to be in default on 20 September 2019 because it is more
than 90 days past due and is hence non-performing.
Table 60 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 60 Overview of the relevant data attributes relating to the performing and default
status of the instruments
Date of the Date of the
Reporting default Performing performing
reference Instrument Default status of the status of the status of the status of the
date identifier instrument instrument instrument instrument
30/09/2019 INS#1 Not in default 31/12/2017 Non-performing 12/09/2019
Default because more than
30/09/2019 INS#2 20/09/2019 Non-performing 20/09/2019
90/180 days past due

Please note that because Inst#1 has not been in default since it was originated, the date
of the default status is 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.

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1 Example 38 illustrates the reporting in the case of “a debtor-based” assessment in

2 line with paragraph 226 of Part 2 of Annex V to the amended ITS applying the
3 definition of default at the level of a debtor.

Example 38: 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 under the CRR and both originated on 31 December
2017. The reporting agent does not use the option provided by Article 178(1) of the CRR
for calculating the own funds requirement. The assessment of the performing status is
therefore “debtor based” in line with paragraph 226 of Annex V to the amended ITS.

The reporting agent determines:

a) 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;
b) INS#2 is more than 90 days past due on 20 September 2019 and is therefore
considered 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 as of 30
September 2019 in the financial and accounting datasets, respectively. 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 61 Overview of the relevant data attributes relating to the performing status of the
instruments
Date of the
Date of the Performing performing
Reporting Instrument Default status of default status of status of the status of the
reference date identifier the instrument the instrument instrument 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 62 provides an overview of the data in the counterparty default dataset.

Table 62 Overview of the data attributes relating to the default status of the debtor

Reporting Counterparty Date of the default status of the

reference date identifier Default status of the counterparty counterparty
Default because more than 90/180
30/09/2019 DEBT#1 20/09/2019
days past due

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1 Example 39 illustrates the reporting in the case of non-retail exposures under the
2 CRR, applying the definition of default at the level of a debtor.

Example 39: 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 on 11 May 2018, while Ins#3 was originated
on 21 January 2019.
Table 63 provides an overview of the data attributes “default status of the instrument” and
“performing status of the instrument” as well as the respective dates as of 30 September
2019 in the financial and accounting datasets, respectively. 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 63 Overview of the relevant data attributes relating to the performing status of the
instruments

Date of the
Reporting Date of the Performing performing
reference Instrument Default status of default status of status of the status of the
date identifier the instrument the instrument instrument 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 64 provides an overview of the data in the counterparty default dataset.

Table 64 Overview of the relevant data attributes relating to the default status of the
debtors

Reporting
reference Counterparty Date of the default status of the
date identifier Default status of the counterparty 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”

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.

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1 Example 40 illustrates the reporting in the case of a “transaction-based” assessment

2 in line with paragraph 226 of Annex V to the amended ITS applying the definition of
3 default at the level of a debtor.

Example 40: Performing status of the instrument – the definition of default at the
level of a debtor

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 Article 178(1)
of the CRR for calculating the default status at the level of the instrument. However, the
assessment of the performing status is “transaction-based” in line with paragraph 226 of
Annex V to the amended 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, paragraph 227 of Part 2 of Annex V to
the amended 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 65 provides an overview of the data attributes “default status of the instrument” and
“performing status of the instrument” as well as the respective dates as of 30 September
2019 in the financial and accounting datasets respectively. 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 65 Overview of the relevant data attributes relating to the performing status of the
instruments
Reporting Date of the Performing Date of the
reference Instrument Default status of default status of status of the performing status
date identifier the instrument the instrument instrument 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 66 provides an overview of the data in the counterparty default dataset.

Table 66 Overview of the relevant data attributes relating to the default status of the
debtors
Reporting
reference Counterparty Date of the default status of the
date identifier Default status of the counterparty counterparty
Default because more than 90/180
30/09/2019 DEBT#1 15/09/2019
days past due

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”.

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1 Example 41 illustrates the reporting in the case of a “transaction-based” assessment

2 in line with paragraph 226 of Annex V to the amended ITS applying the definition of
3 default at the level of an individual credit facility in line with Article 178(1) of the CRR.

Example 41: Performing status of the instrument – the definition of default at the
level of an individual credit facility

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 Article 178(1) of the
CRR for calculating the default status at the level of the individual instrument. The
assessment of the performing status is also “transaction-based” in line with paragraph
226 of Annex V to the amended 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, paragraph 227 of Part 2 of Annex V to
the amended 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
paragraph 227 of Part 2 of Annex V to the amended ITS applies regardless 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 67 provides an overview of the data attributes “default status of the instrument” and
“performing status of the instrument” as well as the corresponding dates as of 30
September 2019 in the financial and accounting datasets respectively.
Table 67 Overview of the relevant data attributes relating to the performing and default
status of the instruments
Date of the
Reporting Date of the Performing performing
reference Instrument Default status of the default status of status of the status of the
date identifier instrument the instrument instrument instrument

30/09/2019 INS#1 Not in default 29/03/2018 Non-performing 20/09/2019

Default because more than
30/09/2019 INS#2 20/09/2019 Non-performing 20/09/2019
90/180 days past due

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”.

4 Revision mark: Example 42 Example 42 deals with the complex situation of default and performance status in the
(former Example 34) is revised in
5 line with Q&A 2018/0055 case of counterparties that have both instruments whose default status is assessed
6 at the counterparty level and (retail) instruments that are assessed at the instrument
7 level. In particular, it illustrates the reporting in the case of a “transaction-based”
8 assessment in line with paragraph 226 of Annex V to the amended ITS when the

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1 definition of default applies at the level of the individual credit facility in line with
2 Article 178(1) of the CRR only for a subset of instruments.

Example 42: Performing status of the instrument – mixed 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 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 226 of Annex V to the amended ITS. As of 30 September 2019, the reporting
agent determines:

• INS#1 is a retail exposure, originated on 15 April 2017, which is not more than
90 days due;

• INS#2 is a retail exposure, originated on 6 October 2018, which is not more

than 90 days past due, but has been non-performing since 10 July 2019;

• INS#3 is a non-retail exposure which is more than 90 days past due as of 20

August 2019;

• INS#4 is a non-retail exposure, originated on 29 January 2019, which is not

more than 90 days past due.

In the retail portfolio, the default status is assessed at the level of the individual
instrument. However, in this example, all instruments whose default status is assessed at
the level of the instrument are set to “default because unlikely to pay” (see paragraph 90
of the EBA Guidelines on the application of the definition of default under Article 178 of
Regulation (EU) No 575/2013 (EBA/GL/2016/07)). In the non-retail portfolio, where the
default status is assessed at the level of the whole counterparty, the default status of
DEBT#1 is “default because more than 90/180 days past due”. As regards the performing
status, all the instruments of DEBT#1, including the retail instruments INS#1 and INS#2,
are classified as “non-performing”.

The values are reflected in the financial dataset as shown in Table 68.
Table 68 The performing and default status of the instruments of DEBT#1
Date of the
Date of the default Performing performing
Reporting Instrument Default status of status of the status of the status of the
reference date identifier the instrument instrument instrument instrument
Default because
30/09/2019 INS#1 20/08/2019 Non-performing 20/08/2019
unlikely to pay
Default because
30/09/2019 INS#2 20/08/2019 Non-performing 10/07/2019
unlikely to pay
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. This is shown in Table 69 (the counterparty default dataset).

Table 69 The default status of the counterparty of DEBT#1

Default status of the Date of the default
Reporting reference date Counterparty identifier counterparty status of the instrument
Default because more
30/09/2019 DEBT#1 20/08/2019
than 90/180 days past due

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5.4.10 Date of the performing status of the instrument

Definition: The date on which the performing status as reported in “performing status of
the instrument” is considered to have been established or changed.

1 This data attribute indicates when the performing status as reported in the
2 performing status of the instrument has started.

Reporting qualification
Revision mark: the paragraph is
3 corrected taking into account that, This data attribute is reported for all instruments subject to AnaCredit reporting.
at national discretion, NCBs may
4 grant a derogation in respect of this However, in accordance with Article 7 of the AnaCredit Regulation, NCBs may grant
5 data attribute to observed agents a derogation in respect of this data attribute to observed agents not subject to capital
not subject to capital requirements
6 requirements. If a derogation in respect of this data attribute is granted at national
7 level, the value “not required” is reported.

Values

8 This data attribute is reported as a date indicating the day on which the status as
9 reported in the data attribute “performing status of the instrument” is considered to
10 have arisen.

General reporting instructions, specific cases and examples

11 The reporting of the date of the performing status of the instrument is in accordance
12 with the following principles:

13 • The date of the performing status of the instrument at a given reporting

14 reference date is no later than the reporting reference date.

15 • For instruments that have always been performing since the inception date, it is
16 the inception date of the contract which gives rise to the instrument that is
17 reported as the date of the performing status (meaning that the instrument has
18 been performing since the inception).

19 • For an instrument that was non-performing up to day t and then became

20 performing as of t + 1 day and is still so at a reporting reference date, t + 1 day
21 is reported.

5.4.11 Provisions associated to off-balance-sheet exposures

Definition: The amount of provisions for off-balance-sheet amounts.

22 This data attribute provides information on the amount of provisions (if any)
23 associated with off-balance-sheet amounts (of instruments for which there is an off-
24 balance-sheet amount) that can be converted to assets in the balance sheet.

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Reporting qualification

1 This data attribute is not required for “fully derecognised instruments being serviced”
2 as defined in Annex II of the AnaCredit Regulation, so in such cases the value “not
3 required” is reported.

Values

4 Amounts of provisions associated to off-balance-sheet exposures are reported in

5 euro.

General reporting instructions, specific cases and examples

6 Provisions can only arise if an off-balance-sheet amount has been recorded for the
7 reported instrument.

8 “Provisions associated to off-balance-sheet exposures” may be reported if the credit

9 institution has granted a credit limit to a debtor which cannot be cancelled
10 unconditionally at any time without notice or that does not effectively provide for
11 automatic cancellation due to deterioration in a debtor’s creditworthiness.

12 Revision mark: the paragraph is If the off-balance-sheet amount for an instrument is reported as “non-applicable”, the
streamlined, taking into
13 consideration the clarifications data attribute “provisions associated to off-balance-sheet exposures” for the
14 provided in Section 4.4.10 dealing instrument is also reported as “non-applicable”. Please refer to Section 4.4.10 for
specifically with the off-balance-
15 sheet amount information about when the off-balance-sheet amount is reported as “non-
16 applicable”.

5.4.12 Status of forbearance and renegotiation

Definition: Identification of forborne and renegotiated instruments.

17 This data attribute is intended to capture all modifications of the instrument’s terms
18 and conditions, irrespective of whether or not the modifications meet the forbearance
19 criteria as laid down in the amended ITS.

20 Specifically, this data attribute identifies: (i) instruments forborne in accordance with
21 the amended ITS and (ii) instruments which are not forborne in accordance with the
22 amended ITS but are otherwise renegotiated according to Regulation (EC) No
23 290/2009.

24 The value reported represents the latest status of the instrument since an instrument
25 may pass through multiple statuses over its life.

Reporting qualification

26 This data attribute is reported for all instruments subject to AnaCredit reporting, and
27 there can be no derogations in accordance with Article 7 of the AnaCredit Regulation

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1 in respect of this data attribute. In particular, for an instrument reported in the

2 financial dataset, one of the following values is reported.

Values

Forborne: instruments with modified interest rate below market conditions

3 This value is reported if forbearance measures apply to instruments with modified

4 terms and conditions in accordance with Part 2, paragraph 240 et seq. of the
5 amended ITS, including at least a modification of the interest rate below market
6 conditions.

7 Revision mark: further This category is defined in accordance with the treatment of rates below market
clarifications are added, also taking
8 into consideration that the ITS have conditions specified in Part 2.VII.28 of Annex I to Regulation (EU) No 1072/2013
9 been amended (ECB/2013/34).

10 This value is not reported when the forborne instrument meets the conditions for
11 discontinuing its identification as forborne in accordance with Part 2, paragraphs 256
12 and 257, of Annex V of the amended ITS.

Forborne: instruments with other modified terms and conditions

Revision mark: further
13 clarifications are added, also taking This value is reported if forbearance measures apply to instruments with modified
14 into consideration that the ITS have terms and conditions in accordance with Part 2, paragraph 240 et seq., of Annex V to
been amended
15 the amended ITS, excluding the modification of the interest rate below market
16 conditions.

17 This value is not reported when the forborne instrument meets the conditions for
18 discontinuing its identification as forborne in accordance with Part 2, paragraphs 256
19 and 257, of Annex V of the amended ITS.

Forborne: totally or partially refinanced debt

20 This value is reported for refinanced debt in accordance with Annex V to the
21 amended ITS.

22 Revision mark: further Part 2, paragraph 244 of Annex V to the amended ITS, defines refinancing as the
clarifications are added, also taking
23 into consideration that the ITS have use of debt contracts to ensure the total or partial payment of other debt contracts
24 been amended the current terms of which the debtor is unable to comply with.

25 The value “forborne: totally or partially refinanced debt” is used to identify the new
26 contract (“refinancing debt”) granted as part of a refinancing transaction which
27 qualifies as a forbearance measure, as well as the old re-paid contract that is still
28 outstanding (cf. Part 2, paragraph 265, of Annex V to the amended ITS).

29 This value is not reported when the forborne instrument meets the conditions for
30 discontinuing its identification as forborne in accordance with Part 2, paragraphs 256
31 and 257, of Annex V of the amended ITS.

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Renegotiated instrument without forbearance measures

1 This value is reported for instruments whose financial conditions have been
2 modified, but without applying forbearance measures in accordance with Annex V to
3 the ITS.

Not forborne or renegotiated

4 This value is reported if it is considered that, in accordance with the amended ITS,
5 forbearance measures do not apply to the instrument (because it has not been
6 forborne at any moment, or the instrument meets the conditions for discontinuing its
7 identification as forborne), and nor has the instrument been otherwise renegotiated.

General reporting instructions, specific cases and examples

Revision mark: the clarifications
8 are enhanced in line with This data attribute serves to identify whether the instrument is classified as forborne
Q&A 2018/0043, also taking into
9 consideration that the ITS have or has been renegotiated, even when it is not recognised in the balance sheet. The
been amended
10 criteria for classifying the instruments as forborne are the same as in the amended
11 ITS. The five values mentioned above describe the applicable statuses in which an
12 instrument can be classified concerning its status of forbearance and renegotiation.

13 Notably, the ITS does not regulate renegotiated instruments that are not forborne.
14 Nonetheless, all admissible statuses of forbearance and renegotiation under which
15 an instrument can be classified are clarified in this Section.

16 Specifically, please note that under AnaCredit, instruments classified in the

17 accounting portfolios “financial assets held for trading” and “trading financial assets”
18 are also reported as forborne or not forborne, applying the criteria set out in the
19 amended ITS for the instruments classified in other accounting portfolios. Along the
20 same lines, this data attribute is also reported, applying the same criteria, for
21 instruments not derecognised.

22 According to Annex V to the amended ITS, for the purposes of Annex III and IV,
23 Template 19 (“Forborne exposures”), forborne exposures are debt contracts in
24 respect of which forbearance measures have been extended. Forbearance
25 measures according to Part 2, paragraph 240 of Annex V to the amended ITS
26 consist of concessions to a debtor facing or about to face difficulties in meeting its
27 financial commitments (“financial difficulties”). For details concerning concessions,
28 see Part 2, paragraphs 241 to 243 of Annex V to the amended ITS.

29 For details of when an exposure is treated as forborne, see Part 2, paragraphs 240
30 to 268 of the Annex V to the amended ITS. Moreover, Annex V therein says that a
31 modification involving repayments made by taking possession of collateral is to be
32 treated as a forbearance measure when the modification constitutes a concession.

33 • As regards the category “forborne: instruments with modified interest rate below
34 market conditions”, this value is reported if forbearance measures apply to
35 instruments with modified terms and conditions in accordance with Part 2,
36 paragraph 240 et seq., of the amended ITS, including at least a modification of
37 the interest rate below market conditions, where the latter is defined in

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1 accordance with the treatment of rates below market conditions set out in Part
2 2.VII.28 of Annex I to Regulation (EU) No 1072/2013 (ECB/2013/34). Notably,
3 this value is not reported when the forborne instrument meets the conditions for
4 discontinuing its identification as forborne in accordance with Part 2,
5 paragraphs 256 and 257, of Annex V of the amended ITS.

6 • As regards the category “forborne: instruments with other modified terms and
7 conditions”, this value is reported if forbearance measures apply to instruments
8 with modified terms and conditions in accordance with Part 2, paragraph 240 et
9 seq., of Annex V to the amended ITS, excluding a modification of the interest
10 rate below market conditions (as referred to in the point above). However, this
11 value is not reported when the forborne instrument meets the conditions for
12 discontinuing its identification as forborne in accordance with Part 2,
13 paragraphs 256 and 257, of Annex V of the amended ITS.

14 • Regarding “forborne: totally or partially refinanced debt”, this value is reported

15 for refinanced debt in accordance with Annex V to the amended ITS. Part 2,
16 paragraph 244, of Annex V to the amended ITS defines refinancing as the use
17 of debt contracts to ensure the total or partial payment of other debt contracts,
18 the current terms of which the debtor is unable to comply with. Please note that
19 the value “forborne: totally or partially refinanced debt” is used to identify the
20 new contract (“refinancing debt”) granted as part of a refinancing transaction
21 which qualifies as a forbearance measure, as well as the old repaid contract
22 that is still outstanding (see Part 2, paragraph 265, of Annex V to the amended
23 ITS). Again, this value is not reported when the forborne instrument meets the
24 conditions for discontinuing its identification as forborne in accordance with Part
25 2, paragraphs 256 and 257, of Annex V of the amended ITS.

26 • Regarding “renegotiated instrument without forbearance measures”, this value

27 is reported for instruments whose financial conditions have been modified, but
28 without applying forbearance measures in accordance with Annex V to the
29 amended ITS.

30 • “Not forborne or renegotiated” is reported if it is considered that, in accordance

31 with the amended ITS, forbearance measures do not apply to the instrument
32 (because it has not been the subject of forbearance measures at any moment,
33 or the reporting of its forborne status has been discontinued), and if the
34 instrument has not been otherwise renegotiated.

35 Please note that an instrument may, over its lifetime, go through different statuses
36 (e.g. from “not forborne or renegotiated” starting at moment t through “renegotiated
37 without forbearance measures” starting at moment t + x to “forborne: totally or
38 partially refinanced debt” starting at moment t + x + y). However, this data attribute
39 captures the latest status of the instrument, i.e. the status that still applies at the
40 reporting reference date.

41 Revision mark: further This being said, the identification of an instrument as forborne is discontinued when
clarifications are included as to
42 when an instrument ceases to be it meets the conditions specified in Part 2, paragraphs 256 and 257 of the amended
43 recognised as forborne ITS. When this happens, the instrument is reported as “not forborne or renegotiated”
44 because it does not meet the definition of “renegotiated instrument without

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1 forbearance measures” (i.e. the instrument has been renegotiated, but with
2 forbearance measures). In this case, the date on which the forborne status is
3 discontinued is reported as “date of the forbearance and renegotiation status”. When
4 this date is different from the inception date of the instrument, it means that the
5 instrument was previously classified as forborne, but it has now met the conditions
6 for the forborne status to be discontinued. Please refer to Example 43 in Section
7 5.4.13 for an illustration of the reporting in such cases.

8 Please note that, while the amended ITS provide specific requirements regarding
9 when a forborne instrument can cease to be reported as forborne, the AnaCredit
10 Regulation does not impose any conditions as to when a renegotiated instrument
11 without forbearance measures may be considered as “not forborne or renegotiated”.
12 In this connection, it is clarified that, unless any forbearance measures apply in
13 accordance with the amended ITS, once considered renegotiated without
14 forbearance measures an instrument should remain so until its maturity.

15 Instruments which are not subject to forbearance but whose financial conditions
16 have been otherwise modified, excluding automatic prolongations (i.e. without any
17 active involvement of the debtor), are reported as “renegotiated instrument without
18 forbearance measures”.

19 In particular, existing contracts that are renegotiated solely for commercial reasons
20 and where no forbearance measures apply in accordance with the amended ITS are
21 considered as renegotiated without forbearance measures.

22 Prolongations of existing contracts that are carried out automatically without any
23 active involvement of the debtor and do not involve any renegotiation of the terms
24 and conditions of the contract, including but not limited to the interest rate, are not
25 considered as renegotiated. Such a prolongation might have an impact on specific
26 attributes of AnaCredit such as the legal final maturity date. However, it is not
27 generally expected that a renegotiation without a substantial change of the nature of
28 instrument (e.g. simple prolongation of the repayment period) will result in a new
29 assignment of unique identification attributes.

30 Given the general guidance on renegotiation based on the explanation of the

31 definition, if any material element of a revolving instrument is changed for reasons
32 other than forbearance, then the revolving instrument is reported as “renegotiated
33 instrument without forbearance measures”. For instance, renegotiation of the interest
34 rate (or spread) in response to a lower rate offered by other banks is considered as a
35 sufficient reason to report the instrument as “renegotiated instrument without
36 forbearance measures” for such a qualification, since such a change is considered
37 material.

38 In the case of instruments refinanced in full where forbearance measures in

39 accordance with the amended ITS apply (e.g. when a debt restructuring takes place)
40 and the original instrument (or instruments) is effectively redeemed and replaced
41 with one or more new instruments (identified by new contract and instrument
42 identifiers), it is clarified that only the new instrument (or instruments) is reported
43 (while the original instrument (or instruments) in fact no longer exists and cannot

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1 therefore be subject to AnaCredit reporting). However, it is necessary to flag the new

2 instrument(s) as forborne (by reporting the appropriate forborne value) directly from
3 the inception date.

4 Similarly, as regards renegotiation without forbearance measures (e.g. an increase in

5 the commitment amount or a lower interest rate purely for commercial reasons), it is
6 clarified that these may be carried out in one of the two following broadly defined
7 approaches.

8 • The original instrument continues to exist but certain conditions of the

9 instrument have been changed (e.g. an increase in the commitment amount or
10 a lower interest rate).

11 • The original instrument ceases to exist, and a new instrument (with a new
12 instrument identifier) is created instead for the purposes of redemption of the
13 previous instrument. The conditions of the new instrument are different from
14 those of the original one (e.g. the new instrument is associated with a lower
15 interest rate).

16 Please note that in the context of AnaCredit it is necessary for both the modified
17 instrument in the former case and the newly created instrument in the latter case that
18 the value “renegotiated instrument without forbearance measures” is reported in the
19 data attribute “status of forbearance and renegotiation”; in the latter case, the second
20 loan clearly results from the overall debt being renegotiated.

21 Revision mark: further It is clarified that when an instrument reported as an unauthorised overdraft changes
clarifications are included in line
22 with Q&A 2018/0002 relating to to an agreed overdraft, maintaining the same contract and instrument identifiers, the
23 renegotiation of existing current instrument is reported using the same methodological approach as for any other
accounts
24 renegotiated instrument – i.e. the date and status of the renegotiation should be
25 reported, attributes which are renegotiated should be adjusted accordingly, and the
26 inception date and settlement date should remain unchanged. However, if the
27 change implies the creation of a new instrument with a new contract, the new
28 instrument is reported, with new contract and instrument identifiers, and the inception
29 date and other data attributes are reported in accordance with the conditions in the
30 new contract.

31 Revision mark: further Consider, for example, a case in which, at a moment during the life of an instrument,
clarifications are added in line with
32 Q&A 2018/0004 concerning a creditor and a debtor bilaterally agree that payments of both the principal and the
33 deferrals of payment on the basis of interest are deferred until the next month (or later) and the debtor only pays a fee
a bilateral agreement
34 instead. In such cases, the deferral of payment as a result of a bilateral agreement
35 between the creditor and the debtor constitutes a renegotiation (i.e. a change in
36 financial conditions). Please note that a renegotiation entails a contractual change in
37 which the debtor is actively involved. This has several implications for AnaCredit
38 reporting, including the following:

39 • First, since the bilateral agreement between the debtor and the creditor
40 changes the financial conditions of the initial contract, and thus changes the
41 instrument, this modification has to be reflected in the data attribute “status of
42 forbearance and renegotiation”.

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1 • In the same vein, the data attribute “date of the forbearance and renegotiation
2 status” captures the date on which the bilateral agreement becomes effective.
3 If, in the following month, the parties agree to defer the payment obligation for a
4 second time (again, in return for a fee), the attribute “date of the forbearance
5 and renegotiation status” is updated to reflect the new agreement.

6 • Second, the change to the interest payment date means that the accrued
7 interest will not become due until a later date. Subsequently, an amount is likely
8 to be reported as “accrued interest” for the reference reporting date for which
9 the interest payment has been deferred in line with the bilateral agreement. It
10 should be noted that interest will, in this case, be accrued over a longer period
11 of time as a result of the deferral of payment (cf. Section 4.4.11 dealing
12 specifically with accrued interest).

13 • Third, if the agreed fee is not paid by the reference date, it is added to the
14 outstanding nominal amount (as well as to the arrears for the instrument if it has
15 also become due).

16 • Furthermore, all other aspects of the bilateral agreement that affect the
17 instrument have to be reported accordingly. For example, if, in the period
18 concerned, the instrument is interest-only (in which case, the end date of that
19 period has to be reported) and if the end date coincides with the payment date
20 prior to deferral, the end date of the interest-only period has to be adjusted if the
21 bilateral agreement also affects the end date.

22 • However, where an instrument is not interest-only, simply deferring payment of

23 the principal and the interest to a future period (e.g. the following month) does
24 not affect per se the data attribute “end date of interest-only period”.

25 • Similarly, deferring payment of both the principal and the interest to a future
26 period does not mean that the instrument becomes past due and a positive
27 amount is reported for “arrears”.

5.4.13 Date of the forbearance and renegotiation status

Definition: The date on which a forbearance or renegotiation status as reported under

“status of forbearance and renegotiation” is considered to have occurred.

28 The data attribute “date of forbearance and renegotiation status” is reported as the
29 date on which the respective status as reported in the data attribute “status of
30 forbearance and renegotiation” at the reporting reference date is considered to have
31 occurred.

32 In the case of instruments which have not had a change of status since the moment
33 of inception, the date of the status of forbearance and renegotiation equals the date
34 of inception of the instrument.

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Reporting qualification

1 This data attribute is reported for each instrument included in the financial dataset.
2 There can be no derogations in accordance with Article 7 of the AnaCredit
3 Regulation in respect of this data attribute.

Values

4 This data attribute is reported as a date indicating the day on which the status as
5 reported in the data attribute “status of forbearance and renegotiation” at the
6 reporting reference date is considered to have occurred.

General reporting instructions, specific cases and examples

7 For each of the values of the data attribute “status of forbearance and renegotiation”,
8 the date of forbearance and renegotiation status is filled in with the date on which the
9 respective status is considered to have occurred.

10 For example, if an instrument is considered to be “forborne: instruments with other

11 modified terms and conditions”, then the date is reported on which the terms and
12 conditions of the instrument were thus modified.

13 By contrast, if an instrument is no longer considered “forborne: instruments with

14 other modified terms and conditions”, then the date on which the forbearance ceased
15 and the instrument was considered to be “not forborne or renegotiated” is reported.

16 Moreover, instruments which have not been considered to have been forborne or
17 otherwise renegotiated at any moment in time since they have been originated until
18 the reporting reference date are reported as “not forborne or renegotiated”, and the
19 inception date of the instrument is reported as the date of forbearance and
20 renegotiation status as of the reporting reference date.

21 Revision mark: further Consequently, when an instrument is classified as “not forborne or renegotiated” and
clarifications are included
22 concerning the status “not forborne the date reported as “date of the forbearance and renegotiation status” is different
23 or renegotiated” from the inception date of the instrument, it means that the instrument has been
24 previously classified as forborne, but it has met the conditions for the classification
25 as forborne to be discontinued.

26 If an instrument is renegotiated without forbearance measures (e.g. the interest rate

27 is lowered purely for commercial reasons) on date t prior to the reporting reference
28 date, t is reported as the date of the status of forbearance and renegotiation.
29 However, if at a later moment t + x, the instrument is once again renegotiated without
30 forbearance measures (e.g. the credit line is increased purely for commercial
31 reasons), t + x is reported as the date of the status of forbearance and renegotiation
32 at the first reporting reference date after the second renegotiation.

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1 The reporting of the data attributes “status of forbearance and renegotiation” and
2 “date of the forbearance and renegotiation status” is illustrated using the following
3 example.

Example 43: Status of forbearance or renegotiation and the corresponding date

Instrument Ins#1 has the inception date 4 February 2017. The instrument is renegotiated
without forbearance measures on 15 March 2018 (for the first time since its origination).
Thereafter, the instrument is forborne with a modified interest rate below market
conditions on 10 August 2018. It also becomes non-performing on 10 August 2018, and
its status changes to performing on 30 September 2020. The criteria for discontinuing the
forbearance classification in accordance with Annex V to the amended ITS are fulfilled on
1 October 2020. Ultimately, the instrument is not considered to be forborne any longer.
The instrument is subject to reporting to AnaCredit over the entire time span considered.
The table below presents a quarter-by-quarter overview of the relevant data reported to
AnaCredit between 31 March 2018 and 31 December 2020.
Table 70 Overview of data relating to the status of forbearance and renegotiation and to
the performing status of an instrument
Date of the
status of Date of the
Reporting forbearance Performing performing
reference Instrument Status of forbearance and and status of the status of the
date identifier renegotiation renegotiation instrument instrument
Renegotiated instrument
31/03/2018 INS#1 15/03/2018 Performing 04/02/2017
without forbearance measures
Renegotiated instrument
30/06/2018 INS#1 15/03/2018 Performing 04/02/2017
without forbearance measures
Forborne: instruments with
Non-
30/09/2018 INS#1 modified interest rate below 10/08/2018 10/08/2018
performing
market conditions
Forborne: instruments with
Non-
31/12/2018 INS#1 modified interest rate below 10/08/2018 10/08/2018
performing
market conditions
… … … … … …
Forborne: instruments with
30/09/2020 INS#1 modified interest rate below 10/08/2018 Performing 30/09/2020
market conditions
31/12/2020 INS#1 Not forborne or renegotiated 01/10/2020 Performing 30/09/2020

As a result, each of the statuses of the data attribute “status of forbearance and
renegotiation categories”, including the category “renegotiated instrument without
forbearance measures”, along with the respective date of forbearance and renegotiation
status, is carried over from one reporting reference date to another until a new status,
such as the status “not forborne or renegotiated”, is considered to occur.
Please note that in the period between 31 December 2018 and 30 September 2020 no
changes take place.

5.4.14 Cumulative recoveries since default

Definition: The total amount recovered since the date of default.

4 This data attribute indicates the amount of recoveries received in relation to a

5 defaulted instrument during the latest default period (i.e. from the start of the latest

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1 default of the instrument until the reporting reference date) and only during that
2 period (i.e. the accumulation period).

3 It is clarified that the term “default” in the definition of the data attribute refers to
4 default in accordance with Article 178 of the CRR.

Reporting qualification
Revision mark: the repeated
5 clarifications are streamlined There can be no derogations in accordance with Article 7 of the AnaCredit
6 Regulation in respect of this data attribute.

7 Consequently, an amount is reported if the instrument has been in default prior to or

8 on the reporting reference date. Otherwise, “non-applicable” is to be reported.

Values

9 Unless “non-applicable” is reported, amounts of cumulative recoveries since default

10 are reported in euro. Foreign currency amounts are converted into euro at the
11 respective ECB euro foreign exchange rates (i.e. the mid-rate) on the reporting
12 reference date.

13 The amounts are reported in euro.

General reporting instructions, specific cases and examples

Revision mark: further
14 clarifications regarding recoveries The following specific rules apply in relation to this data attribute.
to be considered are included

15 • If an instrument is in default in accordance with Article 178 of the CRR at a

16 reporting reference date, then all recoveries (i.e. all inflows) of the outstanding
17 nominal amount of the instrument, which includes, in addition to the principal,
18 interest and other claimable expenses capitalised (cf. Section 4.4.9), since the
19 start of the default until the reporting reference date are added up and reported
20 as of the reporting reference date.

21 • Otherwise, if an instrument is no longer in default at a reporting reference date,

22 then all recoveries (i.e. all inflows irrespective of the source of recoveries) since
23 the start of the default until the end of the default (i.e. the accumulation period)
24 are added up and reported as of the reporting reference date.

25 • If, in accordance with Article 178 of the CRR, the definition of default is only
26 applied at the level of a counterparty rather than at the level of an individual
27 instrument, the accumulation period for the instrument starts when the
28 counterparty default is considered to have occurred.

29 • In the case of a mixed counterparty/instrument level of the assessment of the

30 default status, the date of the default status of the counterparty is only relevant
31 for those instruments whose default status is assessed at the level of the
32 counterparty and not for those (retail) instruments to which the last sentence of
33 Article 178(1) of the CRR applies.

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1 • For the purposes of calculating the cumulative recoveries after default, all
2 recoveries are taken into account irrespective of their source; for example, the
3 data attribute takes into account any voluntary cash repayments, any proceeds
4 from liquidation of collateral, amounts received as a result of calling guarantees,
5 etc. Moreover, recoveries from any protection securing the instrument are
6 included in this data attribute.

7 • However, the cumulative recoveries after default should be reported net of any
8 recovery costs – for example, if a cost is incurred when realising proceeds from
9 collateral (e.g. liquidating a real estate property which serves as protection),
10 only the proceeds as reduced by the costs of the liquidation process are
11 reported in this data attribute.

12 • Any carrying-over of recoveries from the end of one default to the start of the
13 next default is not reported as “cumulative recoveries since default”; more
14 specifically, the cumulative recoveries since default is set to zero and the
15 accumulation starts anew whenever a new default starts.

16 Conversely, “non-applicable” is reported in relation to an instrument if:

17 • the instrument has never been in default since the inception, on condition that
18 the definition of default is applied in accordance with the CRR at the level of an
19 instrument;

20 • any debtor to the instrument has never been in default for the entirety of the
21 business relationship with the observed agent, on condition that the definition of
22 default is applied at the level of a counterparty.
Revision mark: this paragraph is
23 expanded with clarifications on
Please note that the start of a default to be considered in the calculation of this data
24 when the accumulation period attribute is the first date on which the instrument was classified as in default in the
starts
25 current accumulation period (see above). The date of the default status of the
26 instrument/counterparty may change after the default actually started (e.g. when the
27 default status changes from “default because unlikely to pay” to “default because
28 more than 90 days past due”) (cf. Section 4.4.5). However, even in such cases, the
29 data attribute “cumulative recoveries since default” always refers to the initial date of
30 default as the starting point, i.e. this attribute always refers to cumulative recoveries
31 over the entire period during which the instrument/counterparty has been in default
32 and not simply to the period since the latest change in the default status. This is
33 especially relevant in cases where observed agents update the default status over
34 the duration of the same default.

35 The cumulative recoveries since default are also reported in the period when there is
36 no longer default. The aim of this reporting is in particular to capture recoveries that
37 were received just before the moment at which the instrument was considered not in
38 default, which otherwise would not be captured if the amount recovered was required
39 to be set to 0 during periods of non-default.

40 The costs incurred in obtaining the recovery are considered when determining the
41 amount of recoveries. Additionally, the recoveries which have been collected are
42 then considered in the outstanding nominal amount once the client has recovered.

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1 For the purposes of calculating cumulative recoveries, the following applies:

2 • All recoveries since the date of default are taken into account, irrespective of
3 their source; for example, this data attribute takes into account any voluntary
4 cash repayments, any proceeds from liquidating collateral, amounts received as
5 a result of calling guarantees, proceeds from selling the instrument (please refer
6 to Section 4.4.3 for more details), etc., provided that they were received during
7 the period of default.

8 • If an instrument (or, where applicable, the debtor of an instrument) is in default

9 at the reporting reference date, then the amount of recoveries received in the
10 period since the start of the default is reported. If no recoveries have been
11 received since the start of the default, the amount reported is zero.

12 • Any amounts received after the default period ends are considered regular
13 repayments and are thus not be accounted for in cumulative recoveries since
14 default.

15 • Amounts of recoveries since default are not accumulated over multiple defaults
16 of one and the same instrument (i.e. in cases where an instrument defaults,
17 recovers and then defaults again). Accordingly, no carrying-over of recoveries
18 from one default to another takes place under AnaCredit. Instead, every time a
19 new default starts, the cumulative recoveries since default are set to zero and
20 the accumulation starts anew.
Revision mark: further
21 clarifications are added in the For an illustration of how the recoveries are accumulated across multiple defaults of
22 description of the example the same instrument, please consider the following example.

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Example 44: Cumulative recoveries since default through multiple defaults

A loan (Inst#1) with an inception date 4 February 2017 is considered to be in default as of

10 August 2018 because the debtor is deemed unlikely to pay and the instrument is non-
performing.
By 31 December 2018, of the total outstanding nominal amount of €100,000 since
inception, an amount of €20,000 has been recovered at a recovery cost of €5,000
(€2,000 for legal costs and €3,000 for all other expenses incurred due to the recovery
process); the outstanding nominal amount of the instrument is reduced by the amount of
the net cumulative recovery, i.e. €15,000.
On 10 July 2019, the debtor recovers and the instrument is considered not in default
according to the debtor-level definition of default and performing as of 15 July 2019.
However, as of 30 September 2020 the debtor is deemed unlikely to pay again and is
consequently considered to be in default according to the definition of default at debtor
level and the instrument is considered to be non-performing.

Table 71 provides an illustration of how the relevant attributes are reported at selected
reporting reference dates after March 2018.
Table 71 Overview of data relating to the cumulative recoveries since default
Date of the
Reporting Cumulative Outstanding Performing default
reference Instrument recoveries nominal status of the Default status of status of the
date identifier since default amount instrument the counterparty counterparty
“Non- “Non-
31/03/2018 INST#1 100,000.00 Performing Not in default
applicable” applicable”
… … … … … … …
Non- Default because
30/09/2018 INST#1 0.00 100,000.00 10/08/2018
performing unlikely to pay
Non- Default because
31/12/2018 INST#1 15,000.00 85,000.00 10/08/2018
performing unlikely to pay
30/09/2019 INST#1 15,000.00 85,000.00 Performing Not in default 15/07/2019

31/12/2019 INST#1 15,000.00 85,000.00 Performing Not in default 15/07/2019

31/03/2020 INST#1 15,000.00 85,000.00 Performing Not in default 15/07/2019

30/06/2020 INST#1 15,000.00 85,000.00 Performing Not in default 15/07/2019

Non- Default because
30/09/2020 INST#1 0.00 85,000.00 30/09/2020
performing unlikely to pay

Note that no changes occur in the period from September 2019 to September 2020.
Please also note that with the start of the second default, the cumulative recoveries are
reset to 0 and the accumulation starts anew. In other words, the amount which was
already collected during the first default period is excluded in the second default.
Please note that the amount recovered during the first default period is also reported
when the debtor no longer in default (as of 30 September 2019).

1 The data attribute “cumulative recoveries since default” is always recorded at

2 instrument level and refers either to the default of the instrument (if applied at this
3 level) or the default of the counterparty (if default is not applied at the level of
4 instrument).

5 In accordance with Section 3.1.6, an instrument is reported at least until the end of
6 the quarter in which the debtor’s commitment amount falls below the reporting
7 threshold of €25,000 as a result of a write-off.

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1 “Cumulative recoveries since In particular, defaulted instruments that cease to exist because of a write-off (for
default” are reported also for
2 written-off instruments example, after a recovery process with partial repayment) are reported until the end
3 of the quarter in which the instrument ceases to exist. Consequently, the amount of
4 recoveries since default is reported as of the quarter-end reporting reference date
5 (even if the instrument is not in default at the last calendar day of the quarter during
6 which the repayment has taken place).

7 Please note that recoveries may be received both before and after a (partial or full)
8 write-off. Both are taken into account when calculating the cumulative recoveries.

9 For an illustration of how this data attribute is reported when there are partial write-
10 offs, please consider the following example.

Example 45: Cumulative recoveries in the case of partial write-offs

An instrument (Inst#1) with an outstanding nominal amount of €100,000 has been in

default since 1 June 2017. No recoveries have been received since then, although the
observed agent holding the instrument expects to recover only €30,000. In this
connection, on 15 September 2018 a decision is taken to partially write off the instrument
(no write-offs made beforehand), with an amount of €70,000 being written off. Thereafter,
in the course of December 2018 an amount of €50,000 is recovered.

Table 72 presents the reporting as of 30 September and 31 December 2018, taking into
account the proceeds received after the write-off.
Table 72 Cumulative recoveries since default and accumulated write-offs
Cumulative
Reporting Instrument recoveries since Outstanding Accumulated write-
reference date identifier default nominal amount offs
30/09/2018 INST#1 0.00 30,000.00 70,000.00

31/12/2018 INST#1 50,000.00 0.00 50,000.00

Please note that at 30 September the cumulative recoveries are 0, as no amount has
been recovered yet. The outstanding nominal amount is €30,000 as a write-off was made
in the amount of €70,000 as reflected in the data attribute “accumulated write-offs”.

However, by 31 December an amount of €50,000 has been recovered (as reflected in the
cumulative recoveries since default). The amount recovered has led to a full repayment
of the outstanding nominal amount of €30,000 and a partial reversal of the write-off made
in September. Accordingly, the accumulated write-offs are lowered to €50,000 and the
outstanding nominal amount set to €0.

11 Note that the nominal outstanding amount decreases by the recovered amounts.

12 The cumulative recoveries are reported taking into consideration any costs incurred
13 in the recovery process (legal, etc.). If the institution has multiple instruments with
14 the counterparty and takes into account the amounts collected at the debtor level,
15 then it is expected that the total amount collected is allocated in a suitable way
16 among different instruments of the debtor, thereby excluding those which are not
17 considered as defaulted (and/or out of the scope of AnaCredit).

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5.4.15 Prudential portfolio

Definition: Classification of exposures in the trading book as defined in Article 4(1)(86)

of Regulation (EU) No 575/2013.

1 This data attribute identifies whether the instruments are included in the trading book
2 for prudential purposes.

3 Therefore, the value of this attribute depends on the actual classification of the
4 instrument in the trading or in the non-trading book for capital ratio purposes and not
5 on the type of instrument or the accounting classification of the instrument.

Reporting qualification

6 This data attribute is not reported for “fully derecognised instruments being serviced”
7 as defined in Annex II of the AnaCredit Regulation, so in such cases the value “non-
8 applicable” is reported.

9 In addition, for instruments which are not recognised in the balance sheet of the
10 observed agent’s legal entity in accordance with the accounting standard, the value
11 “non-applicable” is reported.

12 In all other cases, one of the two values as specified below is reported.

Values

13 1. Trading book – Instruments in the trading book

14 2. Non-trading book – Instruments not in the trading book

General reporting instructions, specific cases and examples

15 In accordance with Article 4(1)(86) of the CRR, instruments in the trading book are
16 all financial instruments held by the observed agent either with trading intent or in
17 order to hedge positions held with trading intent.

18 Generally, instruments classified as “financial assets held for trading” or “trading

19 financial assets” in according with the accounting standard are held in the trading
20 book. However, please note that there may be exceptions, particularly with regard to
21 national GAAP (see, for example, Part 2.128 of Annex V to the amended ITS in the
22 case of financial derivatives).

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5.4.16 Carrying amount

Definition: The carrying amount in accordance with Annex V to Implementing

Regulation (EU) No 680/2014.

The carrying amount means the amount to be reported on the asset side of the
balance sheet. The carrying amount of financial assets includes accrued interest.

1 This data attribute captures the net carrying amount of assets as reported in
2 accordance with the applied accounting standard.

Reporting qualification

3 This data attribute is not reported for “fully derecognised instruments being serviced”
4 as defined in Annex II of the AnaCredit Regulation. Hence, in such cases, the value
5 “not required” is reported.

6 Otherwise, if an instrument is not recognised in the balance sheet of the observed

7 agent’s legal entity in accordance with the accounting standard, the value “non-
8 applicable” is reported.

9 In all other case, the net carrying amount of the instrument is reported.

Values

10 The carrying amount is reported in euro.

General reporting instructions, specific cases and examples

11 If the reporting agent is subject to Regulation (EU) 2015/534 (ECB/2015/13), it is

12 expected that the carrying amount is reported as the amount used to fulfil the
13 requirements of this Regulation.

14 Revision mark: an explanation is The “carrying amount” is the amount of the instrument recognised as an asset in the
added concerning the carrying
15 amount balance sheet, i.e. after deducting any accumulated impairment (referred to as the
16 “net carrying amount”) for instruments measured at amortised cost and the fair value
17 for instruments measured at fair value through profit and loss or other
18 comprehensive income.

19 The amount of accrued interest as included in carrying amount is defined in

20 accordance with the data attribute “accrued interest” in the financial dataset.

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6 Counterparty-instrument data

6.1 General aspects

1 Pursuant to the AnaCredit Regulation, reporting agents report relevant data for all
2 instruments satisfying the conditions defined in Articles 1(23), 4 and 5.

3 The counterparty-instrument dataset identifies counterparties that take on certain

4 roles vis-à-vis an instrument reported in the instrument dataset.

5 Specifically, for every instrument reported to AnaCredit in the instrument dataset, all
6 counterparties that, from the perspective of the observed agent, take any of the
7 following roles in relation to the instrument are reported in the
8 counterparty-instrument dataset:

9 • the creditor to the instrument;

10 • the servicer to the instrument;

11 • the debtor to the instrument.

12 In addition, if the instrument reported to AnaCredit is subject to a traditional

13 securitisation transaction within the meaning of Regulation (EU) No 1071/2013
14 (ECB/2013/33), the transferor of the instrument to the securitisation structure is also
15 be reported in the counterparty-instrument dataset:

16 • the originator (the transferor) of the instrument.

In AnaCredit, the existence of one
17 or more creditors and debtors to an AnaCredit captures instruments that give rise to credit risk. Taking the perspective of
18 instrument implies that the an observed agent, an instrument recorded in the instrument dataset either gives
instrument bears credit risk
19 rise to credit risk to the observed agent or (does not give rise to credit risk to the
20 observed agent but it) is serviced by the observed agent.

21 In either case, the counterparties that are creditors, debtors or servicers to such
22 instruments are all recorded in the counterparty-instrument dataset.

23 Only the roles of creditors, debtors, In accordance with the AnaCredit data model, each counterparty identifier reported in
servicers and, if relevant,
24 originators are subject to reporting the counterparty-instrument dataset is recorded in the counterparty reference
25 in the counterparty-instrument dataset so that it is possible to retrieve up-to-date counterparty related data for
dataset
26 creditors, debtors, servicers and, if relevant, originators to the instrument concerned.

27 The roles of protection providers, Conversely, counterparties that do not take on any of the three (or four, if relevant)
head office undertakings, and
28 immediate and ultimate parent roles referred to above are not reported in the counterparty-instrument dataset. This
29 undertakings are not subject to means that counterparties whose activity as (i) protection providers, (ii) head office
reporting in the
30 counterparty-instrument dataset undertakings (of a foreign branch acting as a debtor or protection provider),
31 (iii) immediate parent undertakings (of a debtor or protection provider) and
32 (iv) ultimate parent undertakings (of a debtor or protection provider) that are
33 recorded in the protection received dataset and/or the counterparty reference
34 dataset are not recorded in the counterparty-instrument dataset.

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1 Consequently, for each instrument recorded in the instrument dataset, the

2 counterparty-instrument dataset contains information about which counterparties
3 constitute the creditor, the servicer, the debtor and, if relevant, the originator vis-à-vis
4 the instrument, by recording the counterparty identifier of the respective
5 counterparty.

6 At least one debtor, at least one In other words, in line with the AnaCredit data model, for each instrument recorded in
creditor and at least one servicer
7 are always identified and reported the instrument dataset there are in principle at least three records reported in the
8 to AnaCredit whenever the counterparty-instrument dataset. This applies for any instrument reported to
instrument is reported to AnaCredit
9 AnaCredit, including intracompany loans, written-off loans, or fiduciary instruments.

6.1.1 All counterparties are reported

Any counterparty acting as creditor, servicer, debtor or originator vis-à-vis an

instrument is subject to reporting
If an instrument is reported, then all
10 counterparties (and in particular all
In accordance with point 4.2 of Template 1 in Annex I to the AnaCredit Regulation,
11 debtors) to the instrument are the counterparty-instrument data describe the role of all counterparties to each
12 subject to AnaCredit reporting instrument (though the reporting of natural persons is waived). Consequently, any
13 counterparty, other than a natural person, taking on any of the four roles is subject to
14 reporting in this dataset.
15 In particular, any debtor (other than a natural person) which is jointly liable for an
16 instrument that is reported to AnaCredit is recorded in the counterparty-instrument
17 dataset, even though the debtor’s commitment amount is below the reporting
18 threshold of €25,000.

19 For an illustration of the obligation, please consider the following example.

Example 46: Reporting of debtors vis-à-vis an instrument reportable to AnaCredit

As of 30 September 2018, observed agent OA#1 extends:

• loan INST#1 (contract CNT#1) with the outstanding nominal amount of €40,000 to
debtor DBTR#B;

• loan INST#04 (contract CTRT#2) with the outstanding nominal amount of €15,000,
where DBTR#B and OBLGR#A share liability, with DBTR#B liable for €10,000 and
OBLGR#A liable for €5,000; and

• loan INST#9 (contract CNT#3) with the outstanding nominal amount of €7,000 to
debtor OBLGR#A.

Both OBLGR#A and DBTR#B are legal entities and neither has other instruments vis-à-
vis OA#1. All the loans have one of the types of instrument referred to in Article 1(23) of
the AnaCredit Regulation and by definition do not have the off-balance-sheet amount
(reported as “non-applicable”).

The observed agent determines, in accordance with Article 5 of the AnaCredit

Regulation, that:

• the commitment amount of debtor OBLGR#A is €22,000, which is the sum of the
outstanding nominal amounts of INST#4 (€15,000) and INST#9 (€7,000);

• the commitment amount of debtor DBTR#B is €55,000, which is the sum of the

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outstanding nominal amounts of the instrument in which DBTR#B acts as debtor,

i.e. INST#1 and INST#4.

Consequently, the observed agent establishes that both INST#1 and INST#04 are
subject to AnaCredit reporting because the debtor’s commitment amount exceeds the
reporting threshold of €25,000, whereas INST#9 is not subject to reporting as the
debtor’s commitment amount does not reach the reporting threshold. This is reflected
accordingly in the financial dataset as of the reporting reference date (Table 73).

Table 73 Indication of the financial dataset

Reporting Observed agent Contract Instrument Outstanding Off-balance-sheet

reference date identifier identifier identifier nominal amount amount
30/09/2018 OA#1 CNT#1 INST#1 40,000.00 “Non-applicable”

30/09/2018 OA#1 CTRT#2 INST#04 15,000.00 “Non-applicable”

For the instruments subject to reporting, the observed agent reports all the
counterparties involved in the instruments in the counterparty-instrument dataset, and in
particular all the debtors, irrespective of whether or not the commitment amount of all
the debtors reaches the reporting threshold. This is presented in Table 74.

Table 74 Indication of the counterparty-instrument dataset

Reporting Observed agent Contract Instrument Counterparty Counterparty

reference date identifier identifier identifier identifier role
30/09/2018 OA#1 CNT#1 INST#1 OA#1 Creditor

30/09/2018 OA#1 CNT#1 INST#1 OA#1 Servicer

30/09/2018 OA#1 CNT#1 INST#1 DBTR#B Debtor

30/09/2018 OA#1 CTRT#2 INST#4 OA#1 Creditor

30/09/2018 OA#1 CTRT#2 INST#4 OA#1 Servicer

30/09/2018 OA#1 CTRT#2 INST#4 DBTR#B Debtor

30/09/2018 OA#1 CTRT#2 INST#4 OBLGR#A Debtor

The reason for reporting INST#04 is that all instruments vis-à-vis OA#1 in which debtor
DBTR#B is involved have to be reported, i.e. both INST#1 and INST#4. If this is the
case, DBTR#B is reported twice, once in relation to INST#1 and once in relation to
INST#04. Furthermore, since INST#4 is reported, OBLGR#A also has to be reported in
relation to the instrument, even though the commitment amount of this debtor does not
reach the reporting threshold. However, since the commitment amount of debtor
OBLGR#A is less than €25,000, INST#9 is not subject to reporting.

1 Revision mark: an explanation is As clarified in Section 5.2.1.2 in Part I of the Manual, the actual amount up to which
included in line with Section 5.2.1.2
2 in Part I of the Manual an individual debtor is liable in respect of a given instrument is irrelevant in
3 consideration of the definition of the debtor’s commitment amount in Article 5(2) of
4 the AnaCredit Regulation, which refers to the sum of the commitment amounts (i.e.
5 outstanding nominal amount plus off-balance-sheet amount) for all eligible
6 instruments of a debtor, instead of the sum of the parts of the commitment amounts
7 of the instruments for which the debtor is liable (cf. Section 5.2.1.2 in Part I of the
8 Manual).

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6.1.2 Multiple creditors

Plurality of creditors and transferred instruments

As in any other dataset, all
1 counterparties identified in the All creditors are identified in the counterparty-instrument dataset, irrespective of
counterparty-instrument dataset are
2 recorded in the counterparty whether the reporting agent reports the instrument to AnaCredit because it relates to
reference dataset, in accordance
3 the observed agent’s activity as a creditor (under Article 4(1)(a)(i) of the AnaCredit
with the general reporting principles
4 Regulation) or its activity as a servicer (under Article 4(1)(a)(ii) to (iv) of the
Revision mark: editorial changes
5 are applied AnaCredit Regulation). This means that the observed agent may not be the only
6 creditor identified in relation to an instrument reported to AnaCredit.

7 Revision mark: further In particular, the case of multiple creditors holding parts of one and the same
clarifications are included
8 concerning instruments with instrument exists in relation to transferred loans, where, after the economic
9 multiple creditors ownership of an instrument has been partially transferred to a third party, the
10 observed agent chooses to continue reporting to AnaCredit the instrument as a
11 single instrument (i.e. it does not split the instrument into its parts). In this case, all
12 the counterparties holding parts of the instrument are reported as creditors.

13 The definition of transferred instruments goes beyond instruments subject to a

14 securitisation and also includes instruments that have otherwise been transferred in
15 terms of the collection of principal and interest from the debtor (cf. Section 4.4.3).

16 The general principle is that a counterparty acquiring the economic ownership of

17 transferred instruments originally held by the observed agents becomes a creditor
18 and is recorded as such in the counterparty-instrument dataset.

19 Revision mark: further Accordingly, an observed agent which holds an instrument is a creditor; if later on the
clarifications are added concerning
20 the role of creditor observed agent transfers the instrument to a third party and the observed agent does
21 not hold the instrument any more, the observed agent ceases to be the creditor of
22 the instrument (cf. Section 3.2.2.1 in Part I of the Manual) and the third party
23 becomes a creditor from the moment of transfer onwards. However, if the transfer is
24 such that the observed agent continues to hold a part of the instrument, the
25 observed agent and the third party are both creditors of the instrument.

26 Revision mark: the clarifications on In the special case of an instrument transferred to more than one creditor, the
the reporting of transferred
27 instruments are streamlined; a creditors are captured via the counterparty-instrument dataset. Moreover, in cases
28 reference is provided to Section where the reporting agent splits such an instrument into separate parts, only one
4.4.3 which deals specifically with
29 the matter creditor is reported for each part of the instrument via the counterparty-instrument
30 dataset insofar as the parts are subject to AnaCredit reporting. Please refer to
31 Section 4.4.3 for more information on the reporting of transferred instruments.

32 Revision mark: an explanation In a similar vein, syndicated loans are also loans with multiple creditors. However,
concerning syndicated loans is
33 added in line with Chapter 7 in Part under AnaCredit requirements, loan shares of syndicate loan creditors are reported
34 III of the Manual separately, each with only one creditor. Please also refer to Chapter 7 in Part III of
35 the Manual which deals specifically with syndicated loans.

36 Conversely, an observed agent which purchases an instrument giving rise to credit

37 risk becomes a creditor to the instrument.

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1 A counterparty assuming the credit Any counterparty that assumes the credit risk of an instrument through the use of
risk of an instrument by providing
2 protection (e.g. a guarantee) is a credit derivatives, guarantees or any similar mechanism, but is not the economic
3 protection provider, not a creditor. owner of the instrument, is not a creditor and is not recorded in the
Protection providers are not
4 identified in the counterparty- counterparty-instrument dataset as such. Consequently, if an observed agent holding
instrument dataset but instead in
5 an instrument transfers the risk associated with an instrument to a third party through
the protection received dataset
6 the use of a guarantee, the observed agent nonetheless continues to be the creditor
7 to the instrument while the third party becomes a protection provider to the
8 instrument.

6.1.3 Plurality of debtors

9 In the context of AnaCredit, debtors are fully or partially jointly liable debtors when
10 they are united in making repayments arising under one and the same instrument
11 under the same contract. 20

12 (a) Relating to instruments with fully jointly liable debtors

13 (i) The creditor may claim repayments from any one of the fully liable
14 debtors until the full amount has been repaid.

15 (ii) If one fully liable debtor has repaid the amount in full or in part, the
16 liability of the other fully liable debtor(s) to the creditor is discharged
17 to the extent of such repayment.

18 (b) Concerning instruments with partially jointly liable debtors

19 (i) The creditor may claim from any partially liable debtor only that part
20 of the repayment for which the debtor is liable and the partially liable
21 debtor is bound to repay only to that extent.

22 (ii) Partially liable debtors carry separate liabilities vis-à-vis the creditor
23 for their own shares. They may also be liable in equal shares if the
24 contract or the law provides so.

25 In the case of a plurality of debtors (joint debtors), the instrument is reported as one
26 instrument in the instrument dataset and multiple records are entered in the
27 counterparty-instrument dataset, one for each existing debtor.

28 Note that in the case of fully liable debtors, which are frequently encountered in
29 practice, the creditor may claim the whole amount from any of the debtors without
30 having to involve all the debtors. In contrast, there can also be cases of partial but
31 not fully liable debtors. In terms of AnaCredit, the treatment of such cases does not
32 significantly differ from the general principle already presented, where for each joint
33 debtor, the joint liability amount is determined on the basis of the actual amount the
34 debtors are liable for.

20
Please refer to Part I of the Manual for a general description of a plurality of debtors.

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1 By contrast, in the case of partially liable debtors, the creditor may claim from each
2 partially liable debtor only that part of the repayment for which the debtor is liable.
3 This means that the partially liable debtors carry separate liabilities vis-à-vis the
4 creditor for their own shares. A lack of payment by one debtor does not affect the
5 obligations of the other partially liable debtors.

Instruments with a plurality of debtors versus instruments with debtors and guarantors

6 A question arises as to the difference between (i) a multi-debtor instrument where

7 debtors are fully (or partially) liable and (ii) a single debtor instrument with a
8 guarantor that is also liable for the full (or part of the) amount if the debtor does not
9 pay.

10 Although the answer depends on how the obligations of the parties are defined
11 exactly vis-à-vis the creditor (as a guarantor does not mean the same as a debtor),
12 in certain situations there appears to be no clear boundary because the two types of
13 instrument are identical from an economic perspective.

14 Generally, in case (ii) above, the fact that a guarantee is provided by the one
15 counterparty to the other suggests that there is a certain relationship between these
16 counterparties (e.g. economic interconnectedness). Although the counterparties may
17 be slightly different from the creditor’s point of view, both have to have sufficient
18 creditworthiness.

19 Briefly, in AnaCredit both types of instrument are collected, i.e.:

20 (a) instruments where there are debtors fully liable vis-à-vis the creditor, and
21 where both debtors have the unconditional obligation to make repayments
22 arising under the instrument;

23 (b) instruments where there is a debtor and a guarantor, and where the debtor
24 has the obligation to make payments arising under the instrument in the
25 first place, whereas the protection provider grants protection against the
26 event of the debtor’s failure to meet its obligation.

27 In any case, the information in AnaCredit makes it possible to identify what kind of
28 instruments they are and to analyse them jointly or separately, depending on the
29 purpose.

Instruments granted to civil-law partnerships

30 Depending on the national law, civil-law partnerships which are a party to an

31 instrument may or may not meet the definition of legal entity as defined in Article 1(5)
32 of the AnaCredit Regulation.

33 In this context, it is clarified that a civil-law partnership which, according to the

34 national law, is considered to be a legal entity in the sense of Article 1(5) referred to
35 above is reported to AnaCredit as one counterparty.

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1 On the other hand, instruments granted to civil-law partnerships which do not qualify
2 as legal entities according to the national law are considered a group of joint debtors,
3 with only those members which are legal entities in accordance with Article 1(5)
4 being subject to AnaCredit reporting. Furthermore, such an instrument is subject to
5 AnaCredit reporting only if at least one of the members is a legal entity.

6 Please refer to Section 12.4.13 dealing specifically with legal forms which qualify as
7 a legal entity in the context of AnaCredit.

8 For an illustration of how civil-law partnerships are considered in the context of

9 AnaCredit, please consider the following examples.

Example 47: Civil-law partnership meets the definition of a legal entity

A loan is extended to a partnership under civil law. In the country where the partnership
is registered, the partnership is a legal entity in accordance with Article 1(5) of the
AnaCredit Regulation.
In this case, the loan is considered an instrument where the partnership as a whole is the
debtor. In this connection, the counterparty reference data relating to the partnership is
reported.

The individual members of the partnership are not recognised at all as counterparties,
and are not reported to AnaCredit, regardless of whether or not they are legal entities. In
particular, only one debtor is reported in the joint liabilities dataset, namely the
partnership itself. As none of the partners is considered to be a counterparty to the
instrument, no counterparty reference data are therefore required for any of them.

10 In the following case, a partnership under civil law between a legal entity and a
11 natural person is considered.

Example 48: Civil-law partnership does not meet the definition of a legal entity

A loan is extended to a partnership under civil law. The partnership is made between a
natural person (NP#1) and a legal entity (LgEty#A). In the country where the partnership
is registered, the partnership is not a legal entity in accordance with Article 1(5) of the
AnaCredit Regulation.

In this case, the loan is considered an instrument where the partners, rather than the
partnership, are joint debtors.

Since one of the partners is a legal entity, the instrument is subject to AnaCredit reporting
in accordance with Article 4(1)(b). Consequently, the individual joint debtors are reported
in the counterparty-instrument dataset. However, owing to the fact that no natural
persons are reported to AnaCredit, there is no data record for partner NP#1 (and hence
no counterparty reference data for this partner).

By contrast, a data record is reported for the legal entity (partner LgEty#A) in the
counterparty-instrument dataset (and hence the counterparty reference data for this
partner is reported).

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6.1.4 No natural persons

1 In accordance with Article 4.1(b) of the AnaCredit Regulation, reporting agents report
2 only instruments “where at least one debtor is a legal entity or is part of a legal entity
3 as defined in Article 1(5)”. This article establishes that “‘legal entity’ means any entity
4 which, under the national law to which it is subject, can acquire legal rights and
5 obligations”. Additionally, points 1.6 and 4.3 of Annex I indicate that “in the case of
6 natural persons being affiliated with instruments reported to AnaCredit, no record for
7 the natural persons is reported.”

8 Consequently, in the case of natural persons being affiliated with instruments

9 reported to AnaCredit, no record for the natural persons is recorded in the
10 counterparty-instrument dataset.

11 For example, if a natural person is a joint debtor to an instrument reported to AnaCredit

12 (and the other joint debtor is a legal entity), the counterparty-instrument dataset does
13 not include the record in which the natural person would be identified as debtor.
14 However, all other counterparties that are legal entities, and their respective roles to
15 the instrument, are recorded in the counterparty-instrument dataset.

16 As regards civil-law partnerships in particular, these may be reported to AnaCredit as

17 a counterparty (as opposed to the member of the association being counterparties
18 reportable to AnaCredit), depending on whether the national law considers such
19 associations as legal entities.

Data reported in the counterparty-instrument dataset in cases where a natural person

is acting as a counterparty to the instrument

20 In accordance with the general rule that no data relating to natural persons are
21 reported to AnaCredit, no records are entered in the counterparty-instrument dataset
22 for counterparties that are natural persons. This in particular concerns natural
23 persons who are debtors to instruments reported in the instrument dataset, which is
24 the most likely situation to be actually encountered when reporting to AnaCredit.

25 In principle, an instrument in which a natural person is a debtor can be reported to

26 AnaCredit only under a specific situation, i.e. when a plurality of debtors exists and a
27 natural person is one of the (partial or joint) debtors where at least one other debtor
28 is not a natural person.

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1 For an illustration of how the reporting of the counterparty-instrument dataset is done

2 in relation to an instrument reported in the instrument dataset where one of the
3 debtors is a natural person, please consider the following example.

Example 49: Reporting the counterparty-instrument dataset in the case of natural

persons as co-borrowers

In this example, a joint liability exists, and one of the debtors is a natural person. An
instrument with instrument identifier “MixLbltyIns” arises under a contract with contract
identifier “C#MixLblty”. The nominal outstanding amount of €100,000 is reported in the
financial dataset for the instrument as of 31 March 2019. The instrument is held and
serviced solely by Counterparty Bank#1 with counterparty identifier “Cpty#A”.

Counterparty A with counterparty identifier “LegalEntity#1” and counterparty B with

counterparty identifier “Person#B” are the only debtors to the instrument and, as
stipulated by the contract, both counterparties are jointly liable for the total outstanding
amount. Counterparty A is a legal entity while Counterparty B is a natural person.

In this situation, the actual number of debtors is two. However, the debtor who is a
natural person is not recorded in the counterparty-instrument dataset. Thus, only the
debtor that is not a natural person is recorded in the dataset. The other counterparties
which as creditor and servicer roles are also recorded in the dataset accordingly.

Note that it is not possible to read from the information reported solely in the
counterparty-instrument dataset that the actual number of debtors in this instrument is
(at least) two. However, this can be concluded from the fact that in such a situation a
record is reported in the (joint) liability dataset.

Table 75 Overview of counterparties registered in the counterparty-instrument dataset

Reporting Counterparty Contract Instrument Counterparty Subject to
reference date identifier identifier identifier role reporting
31/03/2019 CPTY#A C#MIXLBLTY MIXLBLTYINS Creditor Yes

31/03/2019 CPTY#A C#MIXLBLTY MIXLBLTYINS Servicer Yes

31/03/2019 LEGALENTITY#1 C#MIXLBLTY MIXLBLTYINS Debtor Yes

31/03/2019 PERSON#B C#MIXLBLTY MIXLBLTYINS Debtor No

Note also that the last record in Table 75 which relates to the instrument concerned is
not reported to AnaCredit. In fact, natural persons would not even be assigned a
counterparty identifier for reporting to AnaCredit. For illustration purposes, the record is
shown in the dataset, but it should be expressly noted that this record is not subject to
reporting under AnaCredit.

6.2 Level of granularity

4 The level of granularity for the counterparty-instrument data is the “counterparty-

5 instrument” combination and each record is uniquely identified by the combination of
6 the following data attributes:

7 (i) reporting agent identifier;

8 (ii) observed agent identifier;

9 (iii) counterparty identifier;

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1 (iv) contract identifier;

2 (v) instrument identifier;

3 (vi) counterparty role.

4 The counterparty-instrument dataset is compiled at the level of an observed agent,

5 i.e. it takes the perspective of an observed agent whose data are reported by the
6 reporting agent.

7 The counterparty identifier refers to a counterparty that takes on any of the roles
8 mentioned in Section 6.1 in relation to an instrument.

9 The contract identifier and the instrument identifier both uniquely identify the
10 instrument subject to reporting at the level of the observed agent.

11 The counterparty role is the role a counterparty takes on in relation to the instrument.

6.3 Reporting frequency

12 In accordance with the general reporting principle regarding datasets reported on-change
13 (cf. Section 6.3.2 in Part I of the Manual which deals specifically with reporting methods,
14 frequencies and timeliness), the information contained in the counterparty-instrument
15 dataset is considered valid as of the reporting reference date to which it refers.

16 This means that the data accurately describes a relevant situation at a given
17 reporting reference date.

18 Revision mark: the examples are For an illustration of how the counterparty-instrument dataset is reported to
re-formatted
19 AnaCredit over time, please consider the following example.

Example 50: Reporting the counterparty-instrument dataset over time

If, on 31 March 2019, Bank A, with counterparty identifier “Cpty#A”, is the creditor and
the servicer to an instrument with instrument identifier “Inst#123”, arising under contract
with a contract identifier “Cntrct#A#2016”, to which the borrower, with counterparty
identifier “OBLGR#B1”, is the debtor, then the counterparty-instrument dataset contains
the following information as of the applicable reporting reference date.

Table 76 The counterparty-instrument dataset as of March

Reporting Counterparty Instrument
reference date identifier Contract identifier identifier Counterparty role

31/03/2019 CPTY#A CNTRCT#A#2016 INST#123 Creditor

31/03/2019 CPTY#A CNTRCT#A#2016 INST#123 Servicer

31/03/2019 OBLGR#B1 CNTRCT#A#2016 INST#123 Debtor

In the course of April 2019 the same instrument becomes subject to a traditional
securitisation within the meaning of Regulation (EU) No 1075/2013 (ECB/2013/40),
where the instrument is transferred to counterparty FVC S, with counterparty identifier
“FVC#S”, and to which counterparty “Cpty#A” retains servicing rights. The up-to-date
data describing the situation as of 30 April 2019 is presented in Table 77.

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Table 77 The counterparty-instrument dataset as of April

Reporting Counterparty Instrument
reference date identifier Contract identifier identifier Counterparty role

30/04/2019 CPTY#A CNTRCT#A2016 INST#123 Servicer

30/04/2019 OBLGR#B1 CNTRCT#A2016 INST#123 Debtor

30/04/2019 FVC#S CNTRCT#A2016 INST#123 Creditor

30/04/2019 CPTY#A CNTRCT#A2016 INST#123 Originator

This in particular means that, following the reporting method relevant for the
counterparty instrument dataset, only the changed records need to be transmitted with
reference to 30 April 2019, whereas any unchanged records do not need to be
transmitted. This is illustrated in Table 78.

Table 78 Overview of the reporting obligation as of April

Reporting
reference Counterparty Contract Instrument Counterparty
date identifier identifier identifier role What to report?

30/04/2019 CPTY#A CON#A2016 INST#123 Servicer Record not changed compared

with 31/03, no need to report
(update) this record

30/04/2019 OBLGR#B1 CON#A2016 INST#123 Debtor Record not changed compared

with 31/03, no need to report
(update) this record

30/04/2019 FVC#S CON#A2016 INST#123 Creditor Record changed compared with

31/03; an update is submitted as of
30/04

30/04/2019 CPTY#A CON#A2016 INST#123 Originator Record changed compared with

31/03; an update is submitted as of
30/04

The counterparty-instrument
1 dataset is up to date as of each Obviously, from the above illustration, the information in the counterparty-instrument
reporting reference date
2 dataset is updated in a timely manner in order to keep the information up to date at
3 each reporting reference date. Consequently, it is necessary to update the dataset
4 with a monthly frequency, meaning that records which are not valid any more, or new
5 records, which describe the situation at a given reporting reference date, are
6 submitted to AnaCredit no later than 30 (or 35) working days after the reporting
7 reference date to which they refer.

8 Generally, any change in the actual situation that takes place between two
9 consecutive reporting reference dates (i.e. between moments T and T+1) and is still
10 valid at T+1 is thus accurately reflected in the counterparty-instrument dataset that
11 refers to the moment T+1.

6.4 The counterparty-instrument dataset – data attributes

12 This dataset is required for instruments reported in the financial dataset. For each
13 pair of counterparty and instrument, the following data attributes are reported.

14

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Table 79 Overview of data attributes in the counterparty-instrument dataset

Data attribute Internal identifier Data type Section in Part II

Reporting agent identifier √ String 2.1.2.1

Observed agent identifier √ String 2.1.2.2

Counterparty identifier √ String 2.1.2.3

Contract identifier √ String 2.1.2.4

Instrument identifier √ String 2.1.2.5

Counterparty role Code list 6.4.1

6.4.1 Counterparty role

Definition: Role of the counterparties in an instrument.

1 The roles that counterparties assume in relation to an instrument recorded in the

2 instrument dataset are recorded in the counterparty-instrument dataset.

Values

3 For each combination of a counterparty and an instrument, one of the following

4 values is reported in this data attribute to provide a qualification of the role that the
5 counterparty takes in relation to the instrument.

Creditor

Pursuant to Article 1(11), “creditor” means the counterparty bearing the credit risk of an
instrument, other than a protection provider.
There is always a creditor in any
6 instrument in AnaCredit In particular, counterparties that lend funds to debtors and thus give rise to the
7 creation of one or more of the instruments referred to in Article 1(23) of the AnaCredit
8 Regulation are creditors. Consequently, the creditor is the counterparty that has the
9 right to receive payments from the debtor. Additionally, counterparties that acquire
10 ownership of credit obligations (transferees) from a creditor (a transferor) become
11 creditors themselves, although they have not directly lent funds to the debtors,
12 irrespective of the economic function they perform according to the contract, e.g.
13 securitisations with an FVC or other loan transfers in which the transferee acquires
14 the legal ownership of the loan, where the FVC and the buyer are the creditors (cf.
15 Chapter 6 in Part III of the Manual).

16 For each instrument reported to AnaCredit the creditor is explicitly identified and
17 reported.

18 All creditors to an instrument in In the case of instruments where there is more than one creditor, all the creditors
AnaCredit are reported, not only the
19 main creditor have to be recorded in the counterparty-instrument dataset (e.g. partially securitised
20 assets). Please refer to Section 6.1.2 for more information on instruments with
21 multiple creditors.

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1 The distinction between a creditor The distinction between a creditor and a protection provider is that, under a credit
and a protection provider
2 contract, a creditor has the right to receive a payment or a series of payments from a
3 debtor, while a protection provider either provides funded protection under Article
4 4(1)(58) of the CRR or promises to assume the obligations of the debtor if the debtor
5 fails to do so, i.e. provides unfunded protection under Article 4(1)(59) of the CRR.
6 After a contractually agreed negative credit event takes place and the protection
7 provider cedes ownership of the funded protection to the creditor or pays the creditor
8 directly, the protection provider often has the right to recover that money from the
9 debtor and is entitled to take an assignment of the creditor’s right against the debtor.
10 Please refer to Section 3.3.1 in Part I of the Manual for more details on the
11 distinction between creditor and protection provider.

Debtor

Pursuant to Article 1(12), “debtor” means “the counterparty which has the unconditional
obligation to make repayments arising under the instrument”. Additionally, Annex IV
specifies that the “debtor” is “the counterparty generating the credit risk of an
instrument, other than the protection provider”.
There is always a debtor in any
12 instrument in AnaCredit In general, the creditor provides funds to the debtor or has confirmed to the debtor in
13 legally binding terms that it will make available funds to the debtor under the
14 assumption (enforced by contract) that the debtor will return equivalent funds.

15 Revision mark: further However, in some cases, the (original) creditor does not provide funds directly to the
clarifications are included
16 concerning the relationship debtor but it has a right to receive payments from the debtor. For example, if a
17 between the creditor and the debtor guarantor pays amounts to a third party in the event of default of the debtor, the
18 guarantor subsequently becomes the creditor to the debtor. This also happens with
19 trade receivables when the creditor purchases receivables without recourse to the
20 factoring client, because, in this case, the debtor is the customer that has bought the
21 goods (or has received the services) and pays the receivables, while the observed
22 agent has provided the funds to the factoring client of the receivables.

23 An instrument giving rise to credit risk may have one or more debtors from which the
24 creditor has the right to receive a payment or a series of payments. If there are
25 several debtors, a plurality of debtors occurs. Please refer to Section 6.1.3 for more
26 details on plurality of debtors.

27 The counterparty-instrument dataset encompasses all debtors, fully or partially liable.

28 However, no record is reported in the counterparty-instrument dataset for debtors
29 who are natural persons.

All non-natural person debtors have

to be recorded in the
Servicer
counterparty-instrument dataset
Pursuant to Article 1(14), the term “servicer” is the counterparty that is responsible for
the administrative and financial management of the instrument.

30 Beside the debtor(s) and the creditor(s), the servicer of an instrument is also
31 recorded in the counterparty-instrument dataset.

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1 Revision mark: further Under AnaCredit, the servicer is the counterparty which is responsible for the active
clarifications and Example 51 are
2 added in line with Q&A 2018/0007 management of the instrument on a day-to-day basis (e.g. collecting principal and
3 interest payments from debtors), even if it does not have the decision-making power
4 in respect of that instrument. Please consider the following example for an
5 illustration.

Example 51: “Servicer” responsible for the administrative and financial

management of an instrument

An instrument is originated by a credit institution and then transferred to another

institution. Under the contract between the originating credit institution (the transferor)
and the institution which acquires the instrument (the transferee), the transferee has all
of the decision-making power in respect of the instrument. However, the administrative
processing continues to be performed by the transferor.

Let’s assume that the transferee is a “bad bank” and, being a public entity, is not
required to report to AnaCredit. The instrument’s former creditor (i.e. the transferor),
which acts as the servicer of the instrument, is required to report to AnaCredit on the
serviced instrument. That credit institution carries out all day-to-day business in respect
of the instrument on behalf of the “bad bank”.

Even though that credit institution does not have any decision-making power in respect
of the instrument being serviced, the work that it carries out is included in the definition
of servicing. Consequently, it is that credit institution (rather than the new creditor, which
is not a reporting agent in the AnaCredit framework) which is required to report to
AnaCredit on the instrument in question.

6 The role of “servicer” is defined more broadly than in Regulation (EU) No 1071/2013
7 (ECB/2013/33), where it is restricted to managing instruments underlying a
8 securitisation or instruments that have otherwise been transferred in terms of the
9 collection of principal and interest from the debtor. In other words, the term “servicer”
10 in the sense of Regulation (EU) 1071/2013 (2013/33) is subsumed in the AnaCredit
11 definition.

12 The servicer is identified for each The AnaCredit requirements stipulate that for each instrument recorded in the
instrument, not only for securitised
13 or otherwise transferred instrument dataset it is necessary to identify and record the servicer to the
14 instruments or fiduciary instruments instrument as well as the counterparty-instrument dataset.

15 Usually, the roles of creditor and servicer are held by one and the same counterparty,
16 i.e. the creditor, which holds an instrument, is also responsible for the administrative
17 and financial management of the instrument. However, the counterparties taking on
18 these two roles need not coincide.

19 Revision mark: further For instance, by selling or otherwise transferring rather than holding the instruments,
clarifications are added concerning
20 held-but-not-serviced instruments the previous owner of the instrument in general ceases to be the creditor to the
21 instruments, but it normally (although not necessarily) retains servicing rights. In this
22 case, the servicer and the creditor are different counterparties, and both are
23 recorded in the counterparty-instrument dataset from the moment of transfer
24 onwards (provided that the new economic owner is not an observed agent – cf.
25 Section 4.4 in Part I of the Manual).

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1 From the perspective of an observed agent, considering the fact that every
2 instrument in AnaCredit either gives rise to credit risk to the observed agent or is
3 serviced by the observed agent, the observed agent always assumes at least one of
4 the two roles; often the observed agent acts as both the creditor and the servicer of
5 the instrument.

6 Note that in some cases credit institutions may have their whole administration
7 organised by third parties (e.g. commercial corporations). Consequently, if an
8 instrument held by a credit institution is actually administered by a third party, the
9 third party is identified as the servicer to such instruments and reported in the
10 counterparty-instrument dataset, as well as in the counterparty reference data.

Originator

Definition: Counterparty in a securitisation transaction as defined in Article 1(3) of

Regulation (EU) No 1075/2013 (ECB/2013/40).

11 In the case of instruments recorded in the instrument dataset that are subject to a
12 (traditional or synthetic) securitisation transaction within the meaning of Regulation
13 (EU) No 1071/2013 (ECB/2013/33), it is required that the counterparty-instrument
14 dataset also identifies the counterparty acting as the originator to such a
15 securitisation transaction.

16 Such an entity is the transferor of ownership over an instrument or a pool of

17 instruments and the credit risk of the instrument or pool of instrument to the FVC.

18 Whether or not an instrument is subject to a securitisation is indicated accordingly in

19 the data attribute “type of securitisation” in the financial dataset.

20 For instruments subject to a Consequently, for such instruments, where the data attribute “type of securitisation”
securitisation, the identification of
21 the originator in the assumes either of the two values “traditional securitisation” or “synthetic
22 counterparty-instrument dataset is securitisation”, the counterparty that is the originator in the securitisation transaction
mandatory
23 is recorded in the counterparty-instrument dataset.

24 Conversely, if an instrument is not subject to a securitisation transaction, the

25 counterparty-instrument dataset does not contain the role of the originator.

26 Note that, as regards securitised instruments, the originator typically continues to

27 service the securitised instruments.

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7 Joint liabilities dataset

7.1 General aspects

1 The joint liabilities dataset is not to In the context of AnaCredit, the joint liabilities dataset is required for instruments with
be reported if there is actually only
2 one debtor to the instrument a plurality of debtors, i.e. instruments where there are multiple debtors.

3 The joint liabilities dataset is reported only for instruments which have a plurality of
4 debtors (including natural persons acting as debtors, though no records of natural
5 persons are actually reported).

6 No records are reported in the joint In the case of instruments where there is only one debtor, no data record at all is
liabilities dataset if there is only one
7 actual debtor to the instrument reported in the joint liabilities dataset. In other words, the joint liabilities dataset is not
8 reported where there is only one debtor of an instrument (i.e. only one counterparty
9 is liable for the instrument, disregarding protection providers).

7.1.1 Reporting instructions, examples and specific cases

10 Debtors are fully or partially jointly liable debtors when they are united in making
11 repayments arising under one and the same instrument under the same contract.

12 The joint liabilities dataset is closely linked to the counterparty-instrument dataset

13 and records the amount for which each debtor is liable in relation to the outstanding
14 nominal amount as reported in the financial dataset as at the reporting reference
15 date.

16 A plurality of debtors arises where the multiple joint debtors are either fully or partially
17 liable (cf. Section 7.4 below) in relation to a single instrument.

18 The joint liabilities data have to be In line with the AnaCredit data model, for each instrument recorded in the instrument
provided only in relation to
19 instruments where there are dataset where the actual number of debtors is at least two, there is at least one
20 actually two or more debtors record entered in the joint liabilities dataset. In other words, the liability amount is
21 reported only in relation to instruments where there are actually multiple debtors
22 (although only one may be effectively reported to AnaCredit owing to the general
23 principle that no data relating to natural persons are reported).

24 The information contained in the joint liabilities dataset enables the indebtedness of
25 each single debtor to be accurately calculated. This information is often needed for
26 the calculation of statistics by the type of debtor.

27 The data are reported for both fully The joint liabilities data have to be reported irrespective of whether the debtors to the
and partially liable debtors
28 instrument are fully or partially jointly liable.

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7.1.1.1 The reporting obligation of guarantors acting as protection

providers

1 In AnaCredit a clear distinction is made between a debtor and a guarantor (i.e. a

2 protection provider). Guarantees received (by the observed agent) are subject to
3 reporting if they serve as protection securing one or more instruments reported to
4 AnaCredit. As opposed to counterparties directly involved in the instrument (e.g. the
5 creditor or debtor), the protection provider is not reported in the counterparty-
6 instrument dataset.

7 This means that until such a guarantee is called, it is reported in the instrument-
8 protection received dataset. However, as soon as a received guarantee is called and
9 the amount arising under the guarantee is not (yet) paid by the guarantor, the
10 observed agent recognises a debt of the guarantor, and the debt as an instrument
11 (not protection) is subject to the general reporting requirements for instruments.
12 Please note that until the guaranteed amount is paid, depending on the contractual
13 agreement between the parties involved, the guarantor may substitute the original
14 debtor, 21 or the guarantor may be considered jointly liable along with the original
15 debtor vis-à-vis the instrument.

16 Revision mark: the header in Table As a broadly illustration of the reporting obligation that exists before and after a
82 is corrected
17 received guarantee is called, please consider the following example.

21
The substitution may materialise in several ways, for example, the guarantor may act as debtor of the
original instrument, or vis-à-vis a new instrument that substitutes the original one.

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Example 52: Reporting called guarantees (received by the observed agent)

A contract (Con#1) is concluded between an observed agent (Bank#1), a debtor

(DBTR#A) and a guarantor (GUA#B), where Bank#1 grants a fixed-term loan (Loan#1) to
DBTR#A secured by a financial guarantee (GUA#1) provided by a guarantor (CPTY#B).
Loan#1 is subject to AnaCredit reporting. The reporting of the loan as of 31 May 2019 is
illustrated in Table 80, while the fact that DBTR#A is liable for Loan#1 is reflected in the
counterparty-instrument dataset (Table 81).
Table 80 Indication of the financial dataset reported as of 31 May
Reporting Observed agent Contract Instrument Outstanding nominal
reference date identifier identifier identifier amount
31/05/2019 BANK#1 CON#1 LOAN#1 275,000.00

Table 81 Indication of the counterparty-instrument dataset reported as of 31 May

Reporting Observed agent Contract Instrument Counterparty Counterparty
reference date identifier identifier identifier identifier role

31/05/2019 BANK#1 CON#1 LOAN#1 BANK#1 Creditor

31/05/2019 BANK#1 CON#1 LOAN#1 BANK#1 Servicer

31/05/2019 BANK#1 CON#1 LOAN#1 DBTR#A Debtor

Furthermore, the fact that Loan#1 is secured by the financial guarantee provided by
guarantor CPTY#B is reflected in the instrument-protection received (Table 82) and the
protection received (Table 83) datasets.
Table 82 Indication of the instrument-protection received dataset as of 31 May
Reporting Observed agent Contract
Instrument identifier Protection identifier
reference date identifier identifier
31/05/2019 BANK#1 CON#1 LOAN#01 GUA#1

Table 83 Indication of the protection received dataset as of 31 May

Reporting Observed agent Protection Protection provider
Protection type
reference date identifier identifier identifier
Financial guarantee other
31/05/2019 BANK#1 GUA#1 CPTY#B
than credit derivatives

The reporting changes after the guarantee is called.

In June Loan#1 goes into default owing to financial difficulties of DBTR#A, and by the end
of the month creditor Bank#1 calls the guarantee. The guarantee is not immediately paid
and therefore Bank#1 recognises a (no longer conditional) payment obligation on the part
of guarantor CPTY#B in relation to instrument Loan#1. Since the guarantee is not yet
paid, and under the assumption that the guarantor is considered jointly liable vis-à-vis the
instrument, the obligation of debtor DBTR#A in relation to Loan#1 still exists (i.e. the
original debtor remains). Hence, both DBTR#A and CPTY#B act as joint debtors vis-à-vis
Loan#1 as of 30 June. This is illustrated in Table 84.

In addition, because DBTR#A and CPTY#B act as joint debtors, the joint liabilities dataset
(not shown) shows the amounts for which both debtors are liable (after the guarantee is
called the guarantor is added as a debtor of the loan where it is liable up to the
guaranteed amount).

Please note that after the guarantee is called in June, the protection item is liquidated and
therefore no longer reported in the instrument-protection received dataset (as this
protection item no longer secures the instrument).

Thereafter, in the course of July CPTY#B pays its obligation towards Bank#1 in relation to
Loan#1 and from the perspective of Bank#1, Loan#1 is fully paid and closed (it is no
longer subject to reporting).

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Please note that this example focuses solely on the recognition/derecognition of certain
reporting obligations, and leaves other more detailed aspects aside.
Table 84 Indication of the counterparty-instrument dataset reported after the guarantee is
called
Reporting Observed agent Contract Instrument Counterparty Counterparty
reference date identifier identifier identifier identifier role
30/06/2019 BANK#1 CON#1 LOAN#1 BANK#1 Creditor

30/06/2019 BANK#1 CON#1 LOAN#1 BANK#1 Servicer

30/06/2019 BANK#1 CON#1 LOAN#1 DBTR#A Debtor

30/06/2019 BANK#1 CON#1 LOAN#1 CPTY#B Debtor

If CPTY#B (the guarantor) is also an observed agent, the observed agent may also
record a claim on the debtor on its balance sheet. The claim needs to be reported to
AnaCredit, where relevant. The reporting is illustrated in Example 7 in Section 3.4.1,
where a guarantee given by an observed agent is called.

7.1.1.2 Data reported in the joint liabilities dataset with natural persons
involved

1 No record at all is entered in the As with the counterparty-instrument dataset, no entries are made in the joint
joint liabilities dataset for debtors
2 who are natural persons liabilities dataset for debtors (counterparties) that are natural persons. In other
3 words, in the case of natural persons who are debtors to an instrument reported in
4 the instrument dataset, no record at all is entered in the joint liabilities dataset.

5 Furthermore, in accordance with the general rule that no data relating to natural
6 persons are reported to AnaCredit, no records are entered in the
7 counterparty-instrument dataset for counterparties that are natural persons (which
8 act as joint debtor of the instrument besides a legal entity). This in particular
9 concerns natural persons who are debtors to instruments reported in the instrument
10 dataset.

11 Note that an instrument to which a natural person is a debtor can be reported to

12 AnaCredit only if a plurality of debtors exists where at least one other debtor is not a
13 natural person.

14 Whether or not the joint liabilities data are reported to AnaCredit (if the concerned
15 instrument is reported) depends on the actual number of debtors (as of the reporting
16 reference date to which the data refers), and not only on the number of non-natural
17 person debtors.

18 For an illustration of how to report the joint liabilities dataset in relation to an

19 instrument where one of the debtors is a natural person, please consider the
20 following example.

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Example 53: Reporting the joint liabilities in the case of natural persons as co-
borrowers

This example strictly corresponds to Example 49 above, which focuses on the

counterparty-instrument dataset in the case of a natural person being involved as a
debtor, whereas this example illustrates the reporting of the joint liabilities dataset.

A legal entity with counterparty identifier “LegalEntity#1” and a natural person with
counterparty identifier “Person#B” are the only debtors to the instrument and, as
stipulated by the contract, both counterparties are jointly liable for the total outstanding
amount.

Again, in the situation concerned, the actual number of debtors is two. Therefore, the
(joint) liabilities dataset is reported. However, the debtor who is a natural person is not to
be reported in the (joint) liabilities dataset, as no data relating to natural persons is
reported to AnaCredit. Consequently, only the debtor that is not a natural person is
recorded in this dataset.

As regards the amount to be reported, this information is derived from the fact that this
is a full joint liability, meaning that each joint debtor is fully liable for the outstanding
nominal amount. The outstanding nominal amount is reported in the financial dataset
and amounts to €100,000 as of the reporting reference date.

Please note that although the natural-person debtor is not recorded in the dataset, it can
in general be concluded from the (single) record reported in the joint liabilities dataset
that there is at least one more debtor (presumably a natural person) liable for (a part of)
the outstanding nominal amount in addition to the debtor reported in this dataset. Owing
to the fact that this record is reported, a conclusion can be drawn that there are actually
at least two debtors liable for the instrument.

Table 85 Determining data reportable in the joint liabilities dataset

Reporting
reference Counterparty Contract Instrument Joint liability Subject to
date identifier identifier identifier amount reporting
31/03/2019 LEGALENTITY#1 C#MIXLBLTY MIXLBLTYINS 100,000.00 Yes

31/03/2019 PERSON#B C#MIXLBLTY MIXLBLTYINS 100,000.00 No

Please note that the last record in the dataset which relates to the instrument concerned
is not to be reported to AnaCredit. For illustration purposes, however, the record is
shown in the dataset.

7.2 Level of granularity

1 The relevant information is The level of granularity for the joint liabilities dataset is the “counterparty-instrument”
compiled for the combination of the
2 counterparty (debtor) and the combination, which exactly matches the level of granularity of the
3 instrument counterparty-instrument dataset. Specifically, the information in this dataset is
4 recorded at the level of (a) the reporting agent identifier, (b) the observed agent
5 identifier, (c) the counterparty identifier, (d) the contract identifier, and (e) the
6 instrument identifier. The joint liabilities dataset and the counterparty-instrument
7 dataset stem from one and the same entity table, i.e. the counterparty-instrument
8 entity table as referred to in Part I, Chapter 6, of the Manual on the data model and
9 reportable datasets. However, the entity table is ultimately split up into two reportable
10 datasets owing to the different reporting methods and timeliness that have been
11 adopted for the different pieces of information contained therein.

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1 Effectively, a record is reported in the counterparty-instrument dataset for every

2 combination of an instrument and a counterparty, other than a natural person, which
3 takes the role of debtor in the multi-debtor instrument.

4 A record is reported only if there are In the case of multi-debtor instruments (i.e. instruments to which there is more than
actually two or more debtors to an
5 instrument one debtor), as a general rule, for all counterparties for which the counterparty role is
6 “debtor” in the counterparty-instrument dataset, the same number of debtors is
7 recorded in the joint liabilities dataset as of the same reporting reference date, with
8 the respective liability amount reported for each debtor. This in particular includes a
9 situation where there is just one debtor recorded in the counterparty-instrument
10 dataset owing to the fact that any debtors who are natural persons are not subject to
11 reporting.

7.3 Reporting frequency

12 The joint liabilities dataset is reported on a monthly basis.

13 Revision mark: the reference to All records in the joint liabilities dataset are reported on a monthly basis, including
possible quarterly reporting for
14 small reporting agents is deleted as records in which any piece of information does not change from one month to the
15 it is not specific to this data attribute other.

16 In this way, the information in the dataset remains accurate and up to date for each
17 reporting reference date and keeps up with the changes in the nominal outstanding
18 amount of the instrument concerned.

7.4 The joint liabilities dataset – data attributes

19 This dataset is applicable for instruments reported in the financial dataset. For each
20 pair of counterparty and instrument, the following data attributes are reported.

Table 86 Overview of data attributes in the joint liabilities dataset

Data attribute Internal identifier Data type Section in Part II

Reporting agent identifier √ String 2.1.2.1

Observed agent identifier √ String 2.1.2.2

Counterparty identifier √ String 2.1.2.3

Contract identifier √ String 2.1.2.4

Instrument identifier √ String 2.1.2.5

Joint liability amount Amount in euro 7.4.1

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7.4.1 Joint liability amount

Definition: Outstanding nominal amount for which each debtor is liable in relation to a
single instrument where there are two or more debtors.

1 The joint liability amount is defined as the part of the amount as reported in the data
2 attribute “outstanding nominal amount” for which each debtor is liable in relation to a
3 single instrument where there are two or more debtors.

4 More specifically, the joint liability amount is the part of the (or the total) outstanding
5 nominal amount reported in the financial dataset in relation to an instrument (with
6 multiple actual debtors) for which each debtor is liable vis-à-vis this instrument. In
7 other words, the joint liability amount for a debtor vis-à-vis an instrument is the total
8 or a fraction of the outstanding nominal amount reported for the instrument.

Reporting qualification

9 The joint liability amount is reported only for instruments which have a plurality of
10 debtors (including natural persons acting as debtors, though no record is reported for
11 natural persons). In such cases, a record is reported in the counterparty-instrument
12 dataset for every combination of an instrument and a counterparty which is a legal
13 entity taking the role of debtor in the instrument.

14 In the case of instruments where there is only one debtor, no data record at all in the
15 joint liabilities dataset is reported.

Values

16 The joint liability amount is a monetary amount in euro. The reported value is a non-
17 negative real number.

General reporting instructions, specific cases and examples

The joint liability amount captures
18 the amount that a debtor is liable for The joint liability amount for each debtor corresponds to the amount that each debtor
in relation to an instrument’s
19 outstanding nominal amount is liable for in relation to the instrument, as specified in the contract giving rise to the
20 reported in the financial dataset in instrument, taking into account that no debtor alone is liable for more than the
which there are actually two or
21 more debtors involved, irrespective outstanding debt at a given reporting reference date. Consequently, for a given
of the fact that natural persons are
22 not subject to reporting
reporting reference date, the joint liability amount recorded for each debtor in an
23 instrument in the joint liabilities dataset does not exceed the nominal outstanding
24 amount reported in relation to the instrument in the financial dataset that date. This
25 means that the joint liability amount reported for each debtor cannot exceed the
26 outstanding nominal amount.

27 In particular, if the outstanding nominal amount reported in the financial dataset is €0

28 (zero), e.g. for an overdraft, the joint liability amount to be reported for each
29 (multiple) debtor is also €0.

30 Please note that in the case of a plurality of debtors in relation to one and the same
31 instrument, the actual sum of the joint liability amounts in relation to the total

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1 outstanding amount is always ≥ 100%. However, as regards data reported to

2 AnaCredit, the sum of the joint liability amounts as reported to AnaCredit may be less
3 than 100% due to the fact that no data are reported for a debtor which is a natural
4 person.

5 For an illustration of how the joint liability amount is reported vis-à-vis the
6 instrument’s outstanding nominal amount, please refer to the following example:

Example 54: Joint liability amount compared to the outstanding nominal amount

On 1 March 2018, observed agent (OA#1) originates a contract (Con#1) for a credit line
other than revolving credit (Ins#9) of €1 million which can be used by two debtors
Deb#A and Deb#B, both jointly and severally liable for the total amount. The debtors are
first enabled to draw the funds from 20 March 2018 and the first disbursement takes
place on 14 April 2018, when €475,000 is drawn. Deb#A and Deb#B have no other
loans vis-à-vis OA#1.

The instrument is first subject to AnaCredit reporting as of 31 March 2018, with the
counterparty-instrument and joint liabilities datasets also being submitted alongside the
instrument dataset. The reporting is illustrated in Table 87 and Table 88.

Table 87 Indication of the financial dataset of 31 March

Reporting Instrument Outstanding Off-balance-sheet
reference date Contract identifier identifier nominal amount amount
31/03/2018 CON#1 INS#9 0.00 1,000,000.00

Table 88 Indication of the joint liabilities dataset of 31 March

Reporting Instrument Counterparty Joint liability
reference date Contract identifier identifier identifier amount
31/03/2018 CON#1 INS#9 DEB#A 0.00

31/03/2018 CON#1 INS#9 DEB#B 0.00

Following the drawing under the instrument in April, the information is updated as
illustrated in Table 89 and Table 90.

Table 89 Indication of the financial dataset of 30 April

Reporting Instrument Outstanding Off-balance-sheet
reference date Contract identifier identifier nominal amount amount
30/04/2018 CON#1 INS#9 475,000.00 525,000.00

Table 90 Indication of the joint liabilities dataset of 30 April

Reporting Instrument Counterparty Joint liability
reference date Contract identifier identifier identifier amount
30/04/2018 CON#1 INS#9 DEB#A 475,000.00

30/04/2018 CON#1 INS#9 DEB#B 475,000.00

7 Please note that in the case of multi-debtor instruments, it is the instrument’s

8 commitment amount – defined as the sum of the outstanding nominal amount and
9 the off-balance-sheet amount of an instrument – and not the maximum amount for
10 which a given debtor is actually liable, that is considered when determining whether
11 or not the reporting threshold of €25,000 has been reached (or exceeded) vis-à-vis a
12 given debtor (cf. Chapter 5 in Part I of the Manual on the criteria triggering the
13 reporting).

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7.4.1.1 The case of fully liable joint debtors

1 In the case of fully liable joint debtors, the creditor may claim repayments from any
2 one of the fully liable debtors until the full repayment has been reached. If one joint
3 debtor has repaid the debt in full or in part, which leads to a change in the nominal
4 outstanding amount reported in the financial dataset, the liability to the creditor of the
5 other fully liable debtor(s) is logically discharged to the extent of such repayment.
6 Note that in many cases of fully liable joint debtors frequently encountered in
7 practice, the creditor may claim the whole payment from any of the debtors without
8 having to involve all the debtors.

9 Example 55 illustrates the reporting of the joint liability amount in the case of two
10 debtors fully liable for one and the same instrument.

Example 55: Reporting of fully liable debtors in the counterparty-instrument and the
joint liabilities datasets

This example involves an instrument with instrument identifier “Jnlblty#Ins#1”, arising

under a contract with contract identifier “Cntrct#A16”. The nominal outstanding amount
of €50,000 is reported in the financial dataset for the instrument as of 31 March 2019.
The instrument is held and serviced solely by counterparty “Cpty#A”.

Counterparty “Borrower-A” and counterparty “Obligor#B” are the only debtors to the
instrument and, as stipulated by the contract, are each fully liable for the total
outstanding debt arising under the instrument. Both “Dbtr#A” and “Obligor#B” are legal
entities.

Given that the debtors are fully liable for the total outstanding amount, the liability of
each of the two debtors is established to be 100%. Consequently, the joint liability
amount is determined to be €50,000 for each debtor.

The following tables illustrate the reporting of the counterparty-instrument dataset (Table
91) and the (joint) liabilities dataset (Table 92):

Table 91 Counterparty-instrument dataset

Reporting Counterparty
reference date identifier Contract identifier Instrument identifier Counterparty role
31/03/2019 CPTY#A CNTRCT#A16 JNLBLTY#INS#1 Creditor

31/03/2019 CPTY#A CNTRCT#A16 JNLBLTY#INS#1 Servicer

31/03/2019 DBTR#A CNTRCT#A16 JNLBLTY#INS#1 Debtor

31/03/2019 OBLIGOR#B CNTRCT#A16 JNLBLTY#INS#1 Debtor

Table 92 Joint liabilities dataset

Reporting Counterparty Joint Liability
reference date identifier Contract identifier Instrument identifier amount
31/03/2019 DBTR#A CNTRCT#A16 JNLBLTY#INS#1 50,000.00

31/03/2019 OBLIGOR#B CNTRCT#A16 JNLBLTY#INS#1 50,000.00

In the instrument/financial datasets, the instrument is reported as a single instrument.

However, the instrument is broken down into two records in the joint liabilities dataset,
where each debtor is recorded with a 100% liability amount for the instrument.

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7.4.1.2 The case of partially liable joint debtors

1 In the case of partially liable joint debtors, the creditor may claim from any partially
2 liable debtor only that part of the repayment for which the debtor is liable. It is
3 possible that partially liable debtors are liable for equal shares. The actual sum of the
4 individual shares can be either equal to the full outstanding nominal amount or
5 exceed the outstanding nominal amount (although because of the fact that no shares
6 are reported for debtors being natural persons, the sum of the joint liability amounts
7 reported in the joint liabilities dataset may be less than 100% of the outstanding
8 nominal amount). In any case, a failure to pay of one debtor does not affect the
9 obligations of the other partial debtors beyond the amount they are liable for. This
10 means that the partially liable debtors carry separate liabilities vis-à-vis the creditor
11 for their own shares.

12 The joint liability amounts for partially jointly liable debtors are reported in the joint
13 liabilities dataset similarly to the case of fully jointly liable debtors, i.e. the liability
14 amounts for which the partially jointly liable debtors are individually liable are
15 reported in separate records. For an illustration of the reporting of partial liabilities
16 (i.e. partially jointly liable debtors), please consider the following example.

Example 56: Reporting of partial debtors in the joint liabilities datasets

In this example, a partial liability of two debtors is considered. An instrument with

instrument identifier “PRTLBLTY#INS2” arises under a contract with contract identifier
“CNTLBLTY#1”. The nominal outstanding amount of €100,000 is reported in the
financial dataset for the instrument as of 31 March 2019. The instrument is held and
serviced solely by Counterparty Bank A with counterparty identifier “Cpty#A”.

Counterparty “DBTR#1A” and counterparty “DBTR#2B” are the only debtors to the
instrument and, as stipulated by the contract, both counterparties are only partially liable
for the total outstanding amount: DBTR#1A is liable for €70,000 and DBTR#2B is liable
for €40,000. Both debtors are legal entities.

Both debtors are reported in both the counterparty-instrument (not shown below) and
the joint liabilities datasets.

In this situation, the liability of the debtors is initially limited by the following amounts:

1. €70,000 for DBTR#1A (which accounts for 70% of the instrument’s debt
outstanding at the reporting reference date);

2. €40,000 for DBTR#2B (which accounts for 40% of the instrument’s debt
outstanding at the reporting reference date).

Table 93 illustrates the reporting of the joint liabilities dataset in this situation:

Table 93 Joint liabilities dataset

Reporting Counterparty Instrument Joint liability
reference date identifier Contract identifier identifier amount
31/03/2019 DBTR#1A CNTLBTY#1 PRTLBLTY#INS2 70,000.00

31/03/2019 DBTR#2B CNTLBTY#1 PRTLBLTY#INS2 40,000.00

Clearly, if debtors are partial debtors in a partial liability contract, then each of them is
liable only up to a contractually specified extent.

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1 Continuing with Example 56 above, if in the course of April 2019, Counterparty B

2 repays the total amount that it is liable for (i.e. €40,000), and there are no
3 repayments by Counterparty A, then the situation as of 30 April 2019 is reflected as
4 follows in the joint liabilities datasets (Example 57):

Example 57: Reporting of partial debtors in the joint liabilities datasets, continued

In this example, the situation presented in Example 56 above changes as follows:

In the course of April 2019, DBTR#2B, which is a partially liable debtor to the instrument
concerned, repays €40,000, i.e. the total amount the counterparty is liable for vis-à-vis
the instrument. There are no other changes to the situation, and DBTR#1A has not
made any payments. The situation as of 30 April 2019 has therefore evolved to the
following effect.

• Having repaid €40,000, which is the maximum amount for which DBTR#2B was
liable, this counterparty is no longer liable vis-à-vis the instrument concerned, i.e.
DBTR#2B is not the debtor to the instrument as of 30 April 2019. Consequently,
DBTR#2B is not reported either in the counterparty-instrument dataset or in the
(joint) liabilities dataset.

• After €40,000 has been repaid, the (remaining) outstanding nominal amount of
€60,000 is reported in the financial dataset as of 30 April 2019.

• DBTR#1A, who is liable up to €70,000 vis-à-vis the instrument as of 30 April 2019,

is liable for the total remaining outstanding nominal amount, which is €60,000,
meaning that the counterparty is liable for 100% of the outstanding nominal
amount.

• DBTR#1A is reported in the counterparty-instrument dataset.

• Given the fact that the plurality of debtors ceases to exist, the joint liabilities
dataset is not to be reported as of 30 April 2019; the absence of the specific debtor
from the joint liabilities dataset (which is reported on a monthly basis) implies that,
as of 30 April 2019, the previously reported debtor is no longer a debtor to the
instrument as of this date.

Table 94 Indication of the reporting requirements for the joint liabilities dataset
Reporting Counterparty Contract Instrument Joint liability Subject to
reference date identifier identifier identifier amount reporting
30/04/2019 DBTR#1A CNTLBTY#1 PRTLBLTY#INS2 60,000.00 No

30/04/2019 DBTR#2B CNTLBTY#1 PRTLBLTY#INS2 0.00 No

Please note that the table above represents only a logical illustration of the situation, as
the records are not subject to reporting.

In the instrument/financial datasets, the instrument is reported as a single instrument.

The outstanding nominal amount reported in the financial dataset as of 30 April 2019 is
€60,000. Since there is only one debtor to the instrument, the (joint) liabilities dataset is
not to be reported as of 30 April 2019. The liability amount of the single debtor, which
accounts for 100% of the remaining debt is equal to the outstanding nominal amount
reported in the financial dataset.

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8 Instrument-protection received dataset

8.1 General aspects

1 The instrument-protection received dataset describes the relationship between an

2 instrument and a protection item that is used to secure this instrument.

3 While the protection received dataset captures the protection item as a whole,
4 irrespective of how a protection item is linked to an instrument (or many
5 instruments), the instrument-protection received dataset specifies how a given
6 protection item relates to a given instrument and to what extent, based on the
7 reporting agent’s consideration, the protection value can be used to offset the debt
8 that has arisen or may arise under the instrument if the debtor fails to satisfactorily
9 pay any amount that it is obliged to pay under the terms of the contract that created
10 the instrument.

11 Specifically, besides the protection value itself as reported in the protection received
12 dataset, the reporting agent is expected to consider any existing own or third-party
13 claims relating to the protection item that affect or may affect the value that can be
14 effectively allocated to a given instrument.

15 Please also note that AnaCredit stipulates that whenever (proceeds from) a given
16 protection may be used to offset an instrument (i.e. the use of a protection item in
17 relation to an instrument is not prohibited by the contract or by law), the link between
18 the instrument and the protection is always reported in the instrument-protection
19 received dataset. This also includes cases where no protection value of a given
20 protection item can be effectively allocated to an instrument (e.g. because of a third-
21 party priority claim exceeding the protection value).

22 On the other hand, if a given protection item cannot be used to offset an instrument
23 reported to AnaCredit, the protection item is not reported in the instrument-protection
24 received dataset vis-à-vis the instrument. In particular, if an instrument reported to
25 AnaCredit is unsecured (i.e. there is no protection that can be used in relation to an
26 instrument), then no protection is reported in the instrument-protection received
27 dataset vis-à-vis the instrument at all (i.e. no record in the dataset that would relate
28 to the instrument is reported at all).

29 Protection items which are not linked to any reported instrument via the instrument-
30 protection received dataset are not reported in AnaCredit at all.

31 For an indication of how protection items may be connected with individual

32 instruments, consider the following example.

Example 58: Multiple protection items securing multiple instruments

1. Observed agent (OA#1) has extended under a contract (Con#1) three instruments
to a legal entity (Debtor#A): (i) an investment loan (Inst#1), (ii) an overdraft (Inst#2)
and (iii) a guarantee given (Inst#3), the last of which is not reportable to AnaCredit.

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2. OA#1 has received two protection items: (i) a mortgage claim in an amount of €4
million on commercial real estate (CRE#1) with a market value of €6 million, fully
owned by Debtor#A and (ii) a financial guarantee (GUA#2) provided by Cpy#G for
an amount of €2 million.

3. Both protection items can be used to offset any debt that may arise under any of
the three instruments, and there are no third-party priority claims on either of these
protection items.

The instruments subject to AnaCredit reporting are reported in the instrument dataset
(not shown). The protection items are reported in the protection received dataset (for
details regarding the reporting of this dataset please refer to Chapter 9). This is
presented in Table 95 as of 30 September 2018.

Table 95 Protection items available in relation to the three instruments

Reporting Protection Type of
Protection Protection
reference provider Type of protection protection
identifier value
date identifier value
Commercial real estate
30/09/2018 DEBTOR#A CRE#1 6,000,000.00 Market value
collateral
Financial guarantee other than
30/09/2018 CPY#G GUA#2 2,000,000.00 Notional amount
credit derivatives

In accordance with point 3 above, the value of each protection item can be used in
relation to each of the three instruments. This is reflected in the instrument-protection
received dataset, where each of the two protection items is linked with each of the
reportable instruments.

Please note that Inst#3 is not subject to AnaCredit reporting and is therefore not
reported in the instrument-protection received dataset.

As regards the protection allocated value, OA#1 takes account of the following:
• although the protection value of the real estate collateral is €6 million, only €4
million can be eventually claimed;
• although Inst#3 is not reported, OA#1 allocates €1.2 million of the protection
items’ value to this instrument (not shown);
• any protection value allocated to an instrument diminishes the protection value
that may be allocated to other instruments.
In this connection, the total amount of protection that OA#1 may allocate to Inst#1 and
Inst#2 is €4 million + €0.8 million = €4.8 million. Subsequently, OA#1 allocates the
remaining value of GUA#2 of €0.8 million and €3 million of CRE#1 to Inst#1 and €1
million of CRE#1 to Inst#2, while there is no more value of GUA#2 remaining to be
allocated to Inst#2. This is shown in Table 96.

Please note that the instrument-protection received dataset includes all links between
an instrument and a protection item which exists to secure this instrument, regardless of
whether it is possible to allocate any positive value to an instrument (consider the pair
Inst#2 and GUA#2).

Table 96 Reporting the instrument-protection received dataset

Reporting Instrument Protection Protection
Contract identifier
reference date identifier identifier Allocated value
30/09/2018 CON#1 INST#1 CRE#1 3,000,000.00

30/09/2018 CON#1 INST#1 GUA#2 800,000.00

30/09/2018 CON#1 INST#2 CRE#1 1,000,000.00

30/09/2018 CON#1 INST#2 GUA#2 0.00

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1 Revision mark: the inception date For an illustration of how protection is reflected in the instrument-protection received
is corrected in Table 97
2 dataset, depending on whether or not the protection may be used to offset the
3 instrument, consider the following example.

Example 59: Instruments with and without protection

An observed agent (OA#2) has extended to a legal entity (DBTR#B) under a contract
(CNT#1) issued on 21 March 2017 a loan (LOAN#1) secured with a mortgage on a
commercial real estate property (CRE#99), and under contract CNT#2, originated on 16
June 2018, a credit card debt (CC#2) which is unsecured. The commercial real estate
protection cannot be used to offset any debt arising under CC#02 and the protection
value allocated to LOAN#1 is €100,000. Both LOAN#01 and CC#02 are subject to
AnaCredit reporting and DBTR#B has no other instruments vis-à-vis OA#2

The instruments are reported in the instrument dataset (Table 97), while the information
about whether or not the instruments are secured is provided in the instrument-
protection received dataset. Accordingly, only LOAN#1 is reported as secured by the
commercial real estate, whereas no record at all is reported for the credit card debt, thus
indicating that the instrument is unsecured (Table 98).

Table 97 Indication of the instrument dataset

Reporting Instrument
reference date Contract identifier identifier Type of instrument Inception date
30/09/2018 CNT#1 LOAN#1 Other loans 21/03/2017

30/09/2018 CNT#2 CC#2 Credit card debt 16/06/2018

Table 98 Reporting the instrument-protection received dataset

Reporting Contract Instrument Protection Protection
reference date identifier identifier identifier Allocated value
30/09/2018 CNT#1 LOAN#1 CRE#1 100,000.00

The instrument-protection received dataset includes all links between an instrument and
a protection item which exists to secure a given instrument, and only such links.
Conversely, if no protection item exists which secures a given instrument, the instrument
is not recorded in the instrument-protection received dataset.

8.2 Level of granularity

4 The level of granularity is the combination of the individual instrument and the
5 individual protection item. Each record is uniquely identified by (a) the reporting
6 agent identifier, (b) the observed agent identifier, (c) the contract identifier, (d) the
7 instrument identifier, and (e) the protection identifier.

8 These data describe all the protection received in relation to the instrument that the
9 protection is securing.

10 More specifically, the instrument-protection received dataset is compiled so that it

11 captures the link between an instrument and a protection item whenever the usage
12 of (proceeds from) the given protection is explicitly or implicitly allowed (i.e. is not
13 prohibited contractually or by law) to offset any debt that arises or may arise in
14 relation to the instrument.

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8.3 Reporting frequency

1 This dataset is reported on a monthly basis, with complete records submitted

2 irrespective of whether or not changes take place compared with previously reported
3 data.

8.4 The instrument-protection received dataset – data attributes

4 This dataset is applicable for instruments reported in the financial dataset in relation
5 to which the creditor has received protection to offset any debt that arises or may
6 arise in relation to the instrument. For each pair of protection and instrument, the
7 following data attributes are reported:

Table 99 Overview of data attributes in the instrument-protection received dataset

Internal
Data attribute identifier Data type Section in Part II

Reporting agent identifier √ String 2.1.2.1

Observed agent identifier √ String 2.1.2.2

Contract identifier √ String 2.1.2.4

Instrument identifier √ String 2.1.2.5

Protection identifier String 2.1.2.6

Protection allocated value Amount in euro 8.4.1

Third-party priority claims against the protection Amount in euro 8.4.2

8.4.1 Protection allocated value

Definition: 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.

8 In the context of AnaCredit, the protection allocated value is the maximum amount of
9 the protection value that can be considered as credit protection for the instrument.
10 The amount of the existing third-party priority claims against the protection or priority
11 claims against the protection of other instruments relating to the same or another
12 observed agent within the scope of the reporting agent is excluded when deriving the
13 protection allocated value.

14 Specifically, AnaCredit stipulates that, in order to determine a protection allocated

15 value, an observed agent follows the collateral allocation principles that it uses
16 internally for the risk management purposes. In this respect, AnaCredit does not
17 provide any standard allocation algorithm according to which observed agents
18 determine the protection allocated value.

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1 Observed agents are free in the Conversely, observed agents are not required to report the protection allocated value
protection value allocation process
2 and are allowed to allocate in accordance with Part 2 of Annex V to the amended ITS, irrespective of whether or
3 independently from FINREP or not the protection item in question is eligible for credit risk mitigation in accordance
COREP
4 with the CRR. In particular, under AnaCredit the protection allocated value (or the
Revision mark: editorial changes
5 are applied sum of the protection allocated values of all protection items if the instrument is
6 secured by more than one protection items) may exceed the outstanding nominal
7 amount of the instrument that the protection secures.

8 The reason why AnaCredit does not require the protection allocated value to be
9 determined in accordance with the ITS is that a broader approach to protection is
10 taken in the context of AnaCredit than in the CRR, where every protection item which
11 secures the instrument is reported, irrespective of its eligibility for the calculation of
12 the minimum capital requirements in accordance with the CRR/ITS. Consequently, it
13 is not advisable to require that the allocation be carried out in accordance with the
14 CRR/ITS while the scope of the protection that can be allocated and the required
15 reporting frequencies are different across the frameworks.

16 Similarly, AnaCredit does not require that a specific prioritisation of protection items
17 (in cases where several protection items secure a particular instrument) or
18 prioritisation of instruments (in cases where one protection item is associated with
19 several instruments) be carried out. In this connection, it is clarified that banks can
20 choose their own prioritisation rules to allocate received protection items to
21 instruments.

22 The AnaCredit requirement stipulates in particular that the allocation logic applied by
23 an observed agent also takes into consideration amounts of the protection values
24 that the observed agent allocates to other instruments which, owing to the limited
25 scope of AnaCredit, are not subject to AnaCredit reporting (e.g. strict off-balance-
26 sheet instruments). Please refer to Example 58 in Section 8.1 for an illustration of
27 this requirement.

28 The allocated protection value In the context of AnaCredit, a distinction is made between the protection value taken
takes the notional protection value
29 as a starting point and considers in principle at its notional amount and the allocated protection value which takes the
30 additional factors affecting the notional amount only as a starting point and then considers additional factors
maximum amount of the protection
31 value which can actually be affecting the maximum amount of the protection value which can actually be
considered to secure the instrument
32 considered as protection for the instrument (e.g. the mortgage inscription value, any
33 third-party priority claims, the quality or marketability of the protection, other
34 instruments secured with this protection, etc.).

Reporting qualification

35 The protection allocated value is to be reported for every combination of a protection

36 item and an instrument that the protection item secures.

Values

37 The protection allocated value is a monetary amount in euro. The reported value is a
38 non-negative real number.

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General reporting instructions, specific cases and examples

1 If a protection item is contractually assigned not to a particular instrument but to a

2 debtor, this implicitly means that the protection item is linked to all instruments in
3 relation to which this counterparty assumes the role of the debtor. Consequently,
4 AnaCredit requires that a record is reported for each combination of the protection
5 item and an instrument in relation to the debtor in the instrument-protection received
6 dataset.

7 By analogy, any protection item linked to a contract that gives rise to one or more
8 instruments, rather than to individual instruments themselves, is reported in the
9 instrument-protection received dataset in relation to every instrument that arises
10 under the contract and that is subject to AnaCredit reporting.

11 In both cases, the allocation of the protection value to the individual instruments secured
12 by the protection item via the protection allocated value is carried out as in the standard
13 case, where a protection item is explicitly linked to instruments rather than to a debtor or
14 contract. In particular, any value of the protection item allocated to one instrument of a
15 debtor to which this protection item is attached decreases the allocated value of the
16 same protection item used to secure another instrument in relation to the same debtor.

17 All protection items received to secure instruments – and not only those that are
18 eligible for the calculation of the minimum capital in accordance with the CRR – are
19 allocated. Furthermore, it is clarified that, if a given protection item can be used to
20 secure an instrument, then the instrument-protection received dataset includes such
21 a link, irrespective of the protection allocated value, even if the protection allocated
22 value amounts to 0.

23 For an illustration of how the dataset is reported in such cases, also taking account
24 of an internal allocation process versus an allocation in accordance with the CRR,
25 consider the following example.

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Example 60: 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#1 protection 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#1 applies 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 100.

Table 100 Reporting the instrument-protection received dataset

Reporting Contract Instrument Protection Protection allocated
reference date identifier identifier identifier 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.

1 As explained in Chapter 9, the protection identifier represents the protection item

2 (e.g. real estate property) rather than a claim on the protection item.

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1 Please note, however, that any many-to-many relationship between protection items
2 and instruments which may occur in relation to the claims is also relevant in the
3 context of AnaCredit. In particular, the existence of such claims is implicitly captured
4 in the requirements formulated in respect of the protection allocated value: if the
5 creditor’s right to proceeds from liquidating a protection item (vis-à-vis an instrument)
6 is limited by the amount specified in a claim, this limitation is considered when
7 determining the maximum amount of the protection value that can be considered as
8 credit protection for the instrument.

9 As regards which other factors, besides the protection value, are taken into
10 consideration by an observed agent when determining the protection allocated value,
11 consider the example of a loan secured by a mortgage inscription for an amount
12 lower than the market value/long-term sustainable value.

Example 61: 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 also 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” does not exceed the mortgage inscription
value as it is the maximum amount that OA#1 could recover if the protection is realised.

13 Please note that a mortgage inscription value may not be the only factor that affects
14 the protection allocated value. Other relevant factors include:

15 • a third-party priority claim that exists in relation to the protection item;

16 • the market conditions at which the protection item could be liquidated (a fair
17 value of debt securities that would be obtained on the stock exchange or other
18 organised financial market if the debt securities were to be liquated);

19 • the quality of the protection concerned (e.g. a portfolio of impaired loans

20 pledged whose high notional amount is in principle not a good reflection of the
21 maximum amount that an observed agent could consider as credit protection for
22 the instrument);

23 • the quality of the issuer of the protection (e.g. for corporate bonds, information
24 is used for the issuer of the bond and remaining tenor).

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1 Please note that protection items are always reported only once in the protection
2 received dataset (which records the information on the value of each item of
3 collateral), irrespective of how many instruments they secure (which is reflected in
4 the instrument-protection received dataset). Hence, there is no double-counting of
5 the protection in the protection received dataset.

8.4.2 Third-party priority claims against the protection

Definition: The maximum amount of any existing higher ranked liens with respect to
third parties other than the observed agent against the protection.

6 The third-party priority claim against the protection is the maximum amount of any
7 existing higher ranked liens with respect to third parties other than the observed
8 agent against the protection.

Reporting qualification

9 This data attribute is to be reported for every combination of a protection item and an
10 instrument that it secures.

Values

11 This data attribute is a monetary amount in euro. The reported value is a non-
12 negative real number.

General reporting instructions, specific cases and examples

13 The third-party priority claim against the protection is the total amount of all third-
14 party claims on the protection item with higher ranked liens compared to the reported
15 instrument.

16 Instruments granted by third-party credit institutions (observed agents) which give

17 rise to the third-party priority claims on the protection securing a reported instrument
18 are not subject to AnaCredit reporting from the perspective of the reporting agent of
19 the observed agent that extended the reported instrument (unless the third party is
20 another observed agent within the scope of the same reporting agent). This is
21 because only instruments held or serviced by an observed agent are reportable.

22 The third-party claims against the protection available to an observed agent are
23 typically based on the information as recorded at the inception of an instrument
24 rather than at a reporting reference date. Therefore, this data attribute in AnaCredit is
25 quite static, as it is not expected to change regularly. It would tend to be updated
26 when the claim of the third party on the protection item as such no longer exists with
27 the third party. Nevertheless, the third-party priority claim may be updated on an
28 ongoing basis if observed agents have up-to-date information in this respect.

29 The amount of the third-party priority claims against the protection is typically a
30 feature of the protection item itself rather than of the instrument-protection

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1 combination vis-à-vis an observed agent. Therefore, in cases where multiple

2 instruments are reported that are secured by the same protection item, it is common
3 to report the same amount for the data attribute “third-party priority claim” for each
4 instrument-protection combination. However, this is not necessarily the case, as the
5 observed agent may have several liens on the same protection item in relation to
6 different instruments, with third-party creditors also having (intermediate) liens.

7 The third-party priority claim to an instrument is the maximum amount of any existing
8 higher ranked liens with respect to third parties where higher ranked liens are to be
9 determined on the basis of the lowest priority claim the creditor has for that
10 instrument against the protection (if the creditor has multiple claims with mixed-rank
11 liens on the same property).

12 For an illustration of how the instrument-protection received dataset may be reported

13 in the presence of multiple claims (with mixed ranks) on the same protection item,
14 including the reporting of the third-party priority claim, please consider the following
15 example.

Example 62: Multiple mortgage claims on a single property with third-party claims

This example concerns the perspective of observed agent (OA#1).

1. On 5 August 2016 OA#1 makes a contract Con#6 to extend a first-lien loan in the
amount of €100,000 (Inst#1) to a legal entity (Cpy#A). The loan is secured by a
mortgage claim of €400,000 on commercial real estate (CRE#1). The market value
of the property is established to be €950,000.

2. On 23 June 2017, a credit institution (OtherBank) extends a second-lien loan of

€150,000 (Inst#2) to Cpy#A on the basis of a mortgage inscription amount of
€300,000 on the same commercial real estate (CRE#1); at the origination of the
loan, the market value of the property is established to be €950,000.

3. On 7 September 2018 OA#1, on the basis of contract Con#8 extends a loan of

€500,000 (Inst#3) to Cpy#A. The loan is secured by a third-lien mortgage on the
commercial real estate CRE#1 (with a mortgage claim of €500,000). The market
value established at the origination of Inst#3 is €1 million.

4. As of 30 September 2018, the outstanding nominal amounts of the loans extended

by OA#1 are €100,000 and €500,000 for Inst#1 and Inst#3, respectively. The real
estate collateral is exclusively owned by Cpy#A. OA#1 has no insight into the
outstanding nominal amount of Inst#2 extended by OtherBank.

The real estate collateral is reported to AnaCredit as of 30 September 2018 in

connection with Inst#1 and Inst#2. This reporting is depicted in Table 101 (selected data
attributes only).

Table 101 Commercial real estate CRE#1 in the protection received dataset
Reporting Protection Protection
reference date provider identifier identifier Protection value Type of protection
Commercial real
30/09/2018 CPY#A CRE#1 1,000,000.00
estate collateral

Please note that it is the immovable property itself, not the mortgage claim on the
property, which is considered a protection item in relation to both instruments.

As regards the allocation of the protection value to the two instruments, OA#1 calculates
as follows in the event that Cpy#A defaults:

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• it is assumed that the commercial real estate collateral will be realised in the
market and the liquidation will give €1 million of proceeds;

• having a first-lien of €400,000 on the protection, OA#1 allocates €100,000 of it

to Inst#1 and the remaining €300,000 to Inst#3;

• from the remaining proceeds of €600,000, OA#1 subtracts the claim of

OtherBank of €300,000, which has a prior lien over its other claim, and
allocates additional €200,000 of the protection value to Inst#3 (up to the lien
amount).

This allocation is reported in the instrument-protection received dataset, which is

depicted in Table 102.

Table 102 Protection allocated value in the instrument-protection received dataset

Reporting Contract Instrument Protection Protection Third-party
reference date identifier identifier identifier allocated value priority claim
30/09/2018 CON#6 INST#1 CRE#1 100,000.00 0.00

30/09/2018 CON#8 INST#3 CRE#1 500,000.00 300,000.00

Please note that the third-party priority claim is the maximum amount of any existing
higher ranked liens with respect to third parties (i.e. other than the observed agent),
where higher ranked liens are to be determined on the basis of the lowest priority claim
OA#1 has against the protection (as in this case there are multiple claims with mixed-
rank liens on the same property).

Please also note that in this case OA#1 own prior liens are not accounted for in the
third-party priority claim reported for Inst#3.

Last but not least, the instrument (Inst#2) extended by the third-party credit institution is
not reported vis-à-vis OA#1, as only instruments held or serviced by the observed agent
are subject to AnaCredit reporting. In this connection, the actual amount that could be
eventually claimed by the third-party credit institution (as the loan is substantially lower
than the mortgage inscription) is not taken into account by OA#1.

1 Please note that, when determining the protection allocated value in relation to
2 Inst#3 in Example 62, both the third-party priority claims and the amount of the
3 protection value allocated to Inst#1 have been taken into consideration. This is
4 necessary, as otherwise an amount larger than actually allocable would be
5 dispensed to the instrument. This goes against the definition of the protection
6 allocated value as the maximum amount of the protection value that can be
7 considered as credit protection for the instrument. The amount of the existing third
8 parties or observed agent priority claims against the protection is excluded in the
9 protection allocated value.

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9 Protection received dataset

9.1 General aspects

1 The protection received dataset describe the characteristics of any protection (both
2 funded and unfunded) that serves to secure the repayment of instruments reported
3 in the instrument dataset.

4 For the purposes of AnaCredit data collection, protection received data comprise
5 data on any kind of protection that is linked to any reported instrument via the
6 instrument-protection received table.

7 Protection items that are not linked to any instrument reported under AnaCredit
8 requirements do not have to be reported.

9 A protection item is recorded in the protection received dataset if it is considered by

10 the reporting agent to be an assurance or coverage against a negative credit event
11 that may arise in relation to an instrument, in accordance with Article 1(24) of the
12 AnaCredit Regulation. In other words, protection serves as a creditor’s protection
13 against a debtor’s default where the value of the protection can be used to pay the
14 loan if the debtor fails to satisfactorily pay any amount that it is obliged to pay under
15 the terms of the contract.

16 Consequently, AnaCredit considers that any item accepted by the reporting agent as
17 security and providing assurance or coverage against the credit risk arising under a
18 contract or an instrument is reported. In particular, all protection items considered as
19 such by reporting agents are reported irrespective of whether or not they are eligible
20 for credit risk mitigation in the calculation of the minimum capital requirements under
21 the CRR or reported as collateral under Annex V to the amended ITS. Similarly,
22 protection is reported regardless of the loan/collateral ratio.

23 If a protection item is contractually assigned not at the level of a particular instrument

24 but at the level of a debtor or a contract, this implicitly means that the protection item
25 is linked to all instruments of the debtor or all instruments existing under the contract.
26 Consequently, such protection is reported as a single record in the protection
27 received dataset, whereas the instrument-protection received dataset includes a
28 record for every combination of this protection item with any instrument of the debtor
29 (or of the contract, respectively) that is reported to AnaCredit.

30 Each protection has one protection identifier. This identifier will not change over time
31 and cannot be used as the protection identifier for any other protection.

32 Each protection item has a value and the total protection value without considering
33 any (regulatory) haircuts is reported.

34 Each protection item is assigned one type of protection as referred to in Article 1(24)
35 of the AnaCredit Regulation.

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9.1.1 Relationship with the counterparty risk/default datasets

1 Revision mark: the definition of As regards the relationship between the protection received entity table and the
“unfunded credit protection” is
2 added in line with Article 4(1)(59) of counterparty risk/default entity table, the counterparty risk/default entity table is
3 the CRR applicable for those protection providers which are at the same time the protection
4 issuers of the protection (i.e. when the provider of the protection and the issuer of the
5 protection coincide). This situation happens in the case of unfunded credit protection
6 as defined in Article 4(1)(59) of the CRR, i.e. “a technique of credit risk mitigation
7 where the reduction of the credit risk on the exposure of an institution derives from
8 the obligation of a third party to pay an amount in the event of the default of the
9 borrower or the occurrence of other specified credit events”.

10 Revision mark: the definition of In particular, regarding protection providers of a “financial guarantee” as defined in
“financial guarantee” is added in
11 line with the amended ITS the amended ITS, the counterparty which is the protection provider of such a
12 protection item and is recorded in the protection received entity table is also
13 recorded in the counterparty risk/default entity table. In accordance with paragraph
14 114 of Annex V to the amended ITS, financial guarantees are defined “as contracts
15 that require the issuer to make specified payments to reimburse the holder of a loss
16 it incurs, because a specified debtor fails to make payment where due in accordance
17 with the original or modified terms of a debt instrument”. Please note that thus
18 defined “financial guarantee” corresponds to the following types of protection as
19 defined in Annex IV of the AnaCredit Regulation: “financial guarantees other than
20 credit derivatives” and “credit derivative”, to the extent the credit derivative meets the
21 definition of a “financial guarantee” (cf. Section 9.4.3).

9.2 Level of granularity

22 The level of granularity is the individual protection item, which may be linked to
23 multiple instruments.

24 The protection identifier represents a protection item (e.g. real estate property or
25 debt securities) that is used to secure payments arising under one or more
26 instruments.

27 A protection item refers to a specific property rather than a debtor’s (or third party’s)
28 pledge of specific property. In particular, the level of protection will not be lower than
29 the level of property (as opposed to a claim on the property). Please note, however,
30 that a protection item may entail several properties (e.g. a pool of securities or a pool
31 of trade receivables) but in no case will the protection level be lower than the
32 property level. For more guidance on the level at which protection is considered
33 please refer to the following example.

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Example 63: Level of protection – multiple mortgage claims on single property

1. On 17 September 2018 observed agent (OA#1) extends a loan of the amount of

€300,000 (Inst#1) to a legal entity (Cpy#A). The loan is secured by a mortgage
claim of €500,000 on commercial real estate (CRE#1).

2. During the loan acceptance process, the market value of the real estate was
established to be €1,000,000 following a third-party appraisal. The property is
exclusively owned by Cpy#A.

3. In addition, the information available in the cadastre shows a third-party credit

institution’s claim of €150,000 on the real estate which was made in 2016.

The real estate collateral is reported to AnaCredit as of 30 September 2018 in

connection with Inst#1. This reporting is depicted in Table 103 (selected data attributes
only).

Table 103 Reporting property as protection

Reporting Protection Protection
reference date provider identifier identifier Protection value Type of protection
Commercial real
30/09/2018 CPY#A CRE#1 1,000,000.00
estate collateral

Please note that it is the immovable property itself, not the mortgage claim on the
property, which is considered a protection item in relation to Inst#1. Therefore it is the
property that is reported in the protection received dataset.

Furthermore, as regards the protection value, it is the total amount of the protection item
that is reported in the dataset rather than the mortgage claim of €500,000. Similarly, the
protection value is reported without taking account of the third-party priority claim that
exists in relation to the protection item (i.e. the immovable property).

Please note, however, that both claims (i.e. the actual claim of OA#1 and the third-party
priority claim) are taken into consideration when determining the protection allocated
value as reported in the instrument-protection received dataset, which is defined to be
“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 is excluded in the protection allocated value”.

For more guidance regarding the protection allocated value, please refer to Chapter 8,
which deals specifically with the instrument-protection received dataset.

1 Revision mark: further Please note that AnaCredit does not stipulate at which level “bundled protection
clarifications concerning the
2 reporting of baskets of protection, items” (i.e. a basket of protection that includes several individual items) are reported.
3 including Example 64, are added in In this respect, it is clarified that in the case of protection items which entail several
line with Q&A 2017/0012
4 individual items, each of which could be considered a separate protection item (e.g.
5 a pool of securities or a pool of trade receivables), the level of granularity depends
6 on the approach that the reporting agent takes to value such protection items.

7 More specifically, for bundled protection items which are valued and considered by
8 the reporting agent as one multi-name protection item (hereinafter referred to as “the
9 valuation principle”), the reporting granularity of the protection item is the same, and
10 the reporting agent does not need to report the individual items separately. However,
11 it is possible to make use of the convenience of reporting one multi-name protection
12 item only if a basket consists of “like” elements, e.g. if it consists solely of debt
13 securities or solely of equities.

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1 An example of such protection items includes a pool of securities received which are
2 valued and considered by the creditor as a single protection item; in such a case, the
3 pool of securities is reported as one (bundled) protection item in a single record in
4 the protection received dataset with a value reflecting the total value of the securities
5 included therein, as opposed to reporting each individual security within this pool
6 (each with a separate protection identifier).

7 Conversely, protection items with different characteristics are considered to be

8 different protection items and are reported separately to AnaCredit.

9 With regard to the question of which features should match in order to be able to
10 consider protection items to be alike (and thus reportable as one multi-name
11 protection item), these include the type of protection, the type of protection value, the
12 protection valuation approach (otherwise the valuation principle is not possible),
13 maturity considerations and, where relevant, the real estate collateral location.

14 Since granularity is an inherent However, in the specific case of centrally cleared repurchase agreements, where
objective of AnaCredit, it is
15 expected that granular information reporting agents may not always have sufficiently detailed information about such
16 on the composition of baskets of bundled protection (and obtaining it would involve substantial costs), protection items
protection will gradually become
17 available in reporting agents’ of different types may be bundled, provided that they are indeed valued and
systems
18 considered by the reporting agent as one multi-name protection item. Nevertheless,
19 since granularity is an inherent objective of AnaCredit, it is expected that granular
20 information on the composition of baskets of protection will gradually become
21 available in reporting agents’ systems.

22 For an illustration of the reporting of baskets of protection, please consider the

23 following example.

Example 64: Baskets of protection and the protection type

An instrument reported to AnaCredit is secured by a basket comprising both debt

securities and equities. Initially the basket includes more debt securities than equities,
but over time the composition changes and the basket includes more equities than debt
securities. Should the type of protection be changed to “equity and investment fund
shares or units” for the existing protection or should it be considered as a new protection
item with a new protection identifier?
Under AnaCredit, bundled protection items (i.e. a basket of protection which comprises
several individual items) may be reported as one multi-name protection item, provided
that the bundled protection items are valued and considered by the reporting agent as
one protection item (“the valuation principle”).

In the specific case in question, from the beginning the protection items are reported
separately to AnaCredit rather than as one multi-name protection item. Thus the debt
securities and equities are reported as separate protection items (possibly with the debt
securities being one bundled protection item and the equities another, in accordance
with the valuation principle) under the corresponding type of protection.

If over time more equities are added to secure the instrument, the additional equities
may either be considered a new protection item with a new protection identifier or they
may be reported under the existing protection item (cf. Section 2.3.3 in Part III of the
Manual). However, the latter option is available only if this is consistent with the
valuation principle for reporting bundled protection items.

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1 On the other hand, if for the valuation and consequent utilisation the reporting agent
2 uses a look-through approach for such bundled protection items, then such
3 protection is reported to AnaCredit at the level of individual items included in the
4 basket.

9.2.1 Uniqueness of protection identifier at the level of a reporting agent

5 An individual protection item is uniquely identified by a protection identifier at the

6 level of a reporting agent, cf. Section 2.1.2.6. This means that the same protection
7 identifier of a protection item is used by whichever observed agent of the same
8 reporting agent whose data include instruments secured by the protection item.

9 A single protection item which is used as protection by different observed agents

10 within the scope of the same reporting agent is therefore identified with the same
11 (and common) protection identifier across the different observed agents.

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1 For an illustration of how a protection item common across multiple observed agents
2 of the same reporting agent is reported, consider the following example.

Example 65: Unique identification of protection at the level of reporting agent

1. A credit institution (RepAgt#1) consists of the domestic part (OA#1/DOM) and a

foreign branch (OA#2/FB).

2. On 17 September 2018 OA#1/DOM grants a short-term lending cross-limit to a

legal entity (IntCpy#1) which is internationally active. In accordance with the
contract, the credit cross-limit can be used by any subsidiary of IntCpy#1.

3. The cross-limit is secured by a financial guarantee (GUA#1) provided by IntCpy#1.

The guaranteed amount is €5,000,000.

4. On 2 October, OA#1/DOM extends under the short-term lending cross-limit a loan

(Loan#1/A) to a legal entity (Cpy#A) which is a subsidiary of IntCpy#1.

5. On 19 October OA#2/FB extends under the short-term lending cross-limit a loan

(Loan#2/B) to a legal entity (Cpy#B) which is a subsidiary of IntCpy#1.

In this situation, both Loan#1/A and Loan#2/B which relate to two different observed
agents of the same reporting agent are secured with the same protection item (GUA#1).

In connection with Loan#1/A, OA#1/DOM reports the guarantee in the protection

received dataset. The reporting as of 31 October 2018 is depicted in Table 104.

Table 104 Protection received dataset reported in relation to OA#1/DOM

Reporting Observed Protection Type of
reference agent provider Protection Protection Type of protection
date identifier identifier identifier value protection value
Financial
guarantee other Notional
31/10/2018 OA#1/DOM INTCPY#1 GUA#1 5,000,000.00
than credit amount
derivatives

Meanwhile, OA#2/FB reports the same protection item in connection with Loan#2/B.
This is presented in Table 105.

Table 105 Protection received dataset reported in relation to OA#2/FB

Reporting Observed Protection Type of
reference agent provider Protection Protection Type of protection
date identifier identifier identifier value protection value
Financial
guarantee other Notional
31/10/2018 OA#2/FB INTCPY#1 GUA#1 5,000,000.00
than credit amount
derivatives

In this situation, when there is one protection item linked with multiple instruments
relating to different observed agents of the same reporting agent, the common
protection is reported in the protection received datasets of all the observed agents
concerned, with the observed agents replicating the information regarding the common
protection item (i.e. they report identical information for the whole record with the
exception of the observed agent identifier).

3 Irrespective of the fact that the same protection item may be reported multiple times in
4 the protection received dataset (including in relation to different reporting agents, e.g.
5 many unrelated credit institutions may have mortgage claims on the same real estate
6 property), the protection allocated values and the third-party priority claims as reported
7 in the instrument-protection received dataset in relation to different instruments are
8 required to accurately reflect the actual situation, i.e. the reported value takes into

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1 account the fact that it is one and the same protection item, and, in particular, if a part
2 of the protection value is allocated to one instrument, the maximum amount of the
3 protection allocable to other instruments is reduced accordingly. In other words, the
4 risk of double-counting the protection allocated value is mitigated thanks to the
5 definitions of the protection allocated value and the third-party priority claims.

9.3 Reporting frequency

6 The information contained in the protection received dataset describes the protection
7 regularly reported in the instrument-protection received dataset as of a reporting
8 reference date. However, rather than being regularly reported, the information in the
9 protection received dataset is submitted to AnaCredit once and updated whenever
10 changed. This applies both to new records (i.e. when new/additional protection was
11 received as security for the repayment of any instrument reported in AnaCredit) and
12 to changed records (i.e. when a change takes place regarding a protection item for
13 which the protection-received dataset was reported previously).

14 In both cases, the records are reported no later than the monthly transmission of the
15 instrument-protection received relevant for the reporting reference date on or before
16 which the change came into effect.

9.4 The protection received dataset – data attributes

17 The protection received dataset is applicable for protection items which are reported
18 in the instrument-protection received dataset. For each protection item, the following
19 data attributes are reported.

Table 106 Overview of data attributes in the protection received dataset

Data attribute Internal identifier Data type Section in Part II

Reporting agent identifier √ String 2.1.2.1

Observed agent identifier √ String 2.1.2.2

Protection identifier √ String 2.1.2.6

Protection provider identifier √ String 2.1.2.7

Type of protection Code list 9.4.3

Protection value Amount in euro 9.4.4

Type of protection value Code list 9.4.5

Protection valuation approach Code list 9.4.6

Real estate collateral location Code list 9.4.7

Date of protection value Date 9.4.8

Maturity date of the protection Date 9.4.2

Original protection value Amount in euro 9.4.9

Date of original protection value Date 9.4.10

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9.4.1 Protection provider identifier

Definition: Counterparty identifier for the protection provider. If the protection provider is
not a legal entity, the protection provider identifier is not required to be reported.

1 The counterparty that provides protection securing an instrument is reported in the

2 protection received dataset. No data regarding the role of protection provider are
3 entered into the counterparty-instrument dataset.

4 The protection provider identifier is the counterparty identifier of the counterparty that
5 grants protection against a contractually agreed negative credit event and/or that is
6 obliged to make payments to the creditor if the debtor fails to meet the obligation to
7 make repayments arising under the instrument secured by the protection item (i.e.
8 when the negative credit event under Article 1(13) of the AnaCredit Regulation
9 occurs). Table 107 gives an overview of the counterparty (if any) that typically serves
10 as the protection provider for a given type of protection in the general case.

Reporting qualification

11 The protection provider identifier is reported unless the counterparty which provides
12 the protection item is not a legal entity or a part of a legal entity under Article 1(5) of
13 the AnaCredit Regulation (i.e. if the protection provider is a natural person).

14 If the protection provider is a natural person, the value “non-applicable” is reported

15 as the protection provider identifier in relation to the protection item. Moreover, this
16 protection provider, which represents a natural person, is not linked to any
17 counterparty reference data record because no counterparty reference data for
18 natural persons are reported to AnaCredit (cf. Section 12 on counterparty reference
19 data).

Reporting in the case of a plurality of protection providers

20 In some cases, protection may be provided by several protection providers (e.g. by

21 joint guarantors or in the case of property jointly owned by two or more
22 counterparties). Such a situation is referred to as plurality of protection providers (of
23 one protection item).

24 A plurality of protection providers is not the same as a plurality of protection items, as

25 the latter refers to several protection items being provided in relation to one
26 instrument.

27 Revision mark: an explanation is Furthermore, a plurality of protection providers (of one protection item) does not
28 added concerning guarantees concern cases where, because of clearly limited liabilities and/or other specifics,
provided by several guarantors
29 there are in fact several protection items, each with a single protection provider,
30 rather than just one protection item with several protection providers. For example, a
31 guarantee of €100 provided by two guarantors where each guarantor is liable for €50
32 only and a payment made by one of them does not reduce the liability of the other
33 guarantor is reported as two separate guarantees of €50 each.

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1 It is clarified that in the case of a plurality of protection providers, reporting agents

2 are recommended to identify all protection providers and record them all in their
3 respective systems, although only one of them can actually be recorded in the
4 protection dataset at this stage of AnaCredit.

5 In this connection, reporting agents are advised to select which one to report to
6 AnaCredit, basing their choice on reasonable and risk prudent considerations
7 (examples: subordination of liabilities, size of the contribution to the joint protection).
8 In cases where there is a natural person acting as joint protection provider with a
9 non-natural person, it is always the latter that is reported to AnaCredit.

10 Suitable enhancements to the reporting scheme are envisaged as part of the future
11 development of AnaCredit in order to capture each of joint protection providers. This
12 can be achieved specifically by introducing a new entity table describing, inter alia,
13 the relationship between protection and counterparty, as with the counterparty-
14 instrument dataset. 22

Protection items extended from the head office to its branch

Revision mark: clarifications are
15 added in line with Q&A 2018/0030
Generally, legal entities are liable for contractual obligations of their branches and
16 concerning protection items under certain circumstances they may step in to take over their branches’ activities.
extended from a head office to its
17 branch Sometimes a protection item (such as a financial guarantee) may be explicitly
18 extended from the head office to its branch.

19 Please note the following clarifications about when assurances from the head office to
20 its branches are considered a form of protection that is reported to AnaCredit.

21 In accordance with the AnaCredit Regulation, “protection” is defined as “assurance

22 or coverage against a negative credit event, by means of any item listed in the data
23 attribute ‘type of protection’ as defined in Annex IV”.

24 Furthermore, protection items which are “financial guarantees other than credit
25 derivatives” are defined in accordance with the amended ITS.

26 Therefore, if the protection extended from the head office to its branch takes the form
27 of financial guarantees and fulfils the definition criteria for the protection type
28 “financial guarantees other than credit derivatives”, such protection items are
29 reported as financial guarantees in AnaCredit.

30 On the other hand, if an item does not fulfil these criteria, but the reporting agent
31 considers it to be protection as defined in Article 1(24) of the AnaCredit Regulation,
32 the item is reported, and the data attribute “type of protection” is assigned to it in
33 accordance with the specific definitions of protection items in AnaCredit.

34 It should be noted that the legal circumstances under which legal entities are
35 implicitly liable for the contractual obligations of their branches do not imply that this

22
A new entity table is envisaged with a view to bridging the protection received data with the
counterparty reference date, so that besides the relationship between protection and counterparty,
additional attributes can be included such as the amount provided by each protection provider and the
maturity date of each protection provider’s commitment in relation to the same protection contract.

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1 is recognised as “protection” reportable to AnaCredit (this is implicit from the fact that
2 the branch belongs to the legal entity – cf. Section 12.4.4).

Values

3 The protection provider identifier is a code consisting of alphabetical and numerical

4 symbols. In cases where a protection item reported to AnaCredit is provided by a
5 natural person, the value “non-applicable” is reported.

General reporting instructions, specific cases and examples

6 The counterparty considered as a protection provider for a given protection item is

7 largely dependent on the type of the protection itself. In general, for physical assets,
8 equity and real estate, the protection provider is the ownership holder of the
9 protection item.

10 For instance, in these specific cases, the protection provider is:

11 • the owner of physical collateral typically entitled to pledge the collateral;

12 • the legal owner of the physical item/real estate;

13 • the holder of the security pledged as a protection as opposed to the issuer of

14 the security;

15 • the policy holder in the case of life insurance policies issued by an insurance
16 company.

17 Typically, in the case of physical collateral, it is the debtor that pledges such
18 collateral. However, the protection provider may also be a third party if the protection
19 is pledged by a party different from the debtor. Consider for instance a case in which
20 a company owned by a parent company receives a loan, and where the payment of
21 the loan is secured by a real estate property belonging to the parent company. In this
22 case, the owner of the property, i.e. the parent company, is reported as the
23 protection provider and not the debtor.

24 Revision mark: further Nevertheless, the reporting agent verifies on an individual basis whether a
clarifications are included
25 concerning the distinction between counterparty that bears the credit risk if a given protection item is used qualifies for
26 a creditor and protection provided in reporting. This applies most notably in cases of “other protection”. In any case, the
line with Article 1(11) of the
27 AnaCredit Regulation protection provider must be a counterparty that is different from the creditor, as the
28 existence of protection implies that the credit risk is transferred from the creditor to
29 another counterparty and the loss in the event of a default is absorbed by the other
30 counterparty (cf. Articles 1(11) and 1(13) of the AnaCredit Regulation).

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Table 107 Protection provider by the type of protection

Type of protection Protection provider

Gold Owner(s) of the gold

Currency and deposits Owner(s) of the currency and deposits

Securities Holder(s) of the debt security

Loans Creditor(s) of the pledged loans

Holder(s) of the equity and investment fund shares or
Equity and investment fund shares or units
units
Credit derivatives (e.g. CDS) Holder(s) of the credit derivative/protection issuer(s)

Financial guarantees other than credit derivatives Guarantor(s)/protection issuer(s)

Trade receivables Owner(s) of the trade receivables

Life insurance policies pledged Holder(s) of the life insurance policy

Residential real estate collateral Owner(s) of the residential real estate

Offices and commercial premises Owner(s) of the offices or commercial premises

Commercial real estate collateral Owner(s) of the commercial real estate

Other physical collateral Owner(s) of the physical collateral

Other protection Determined on an individual basis

1 Revision mark: further Please note that in the case of:

clarifications are included in line
with Q&A 2018/0051 concerning
2 the protection provider in the case • financial leases, the legal owner of the leased assets is the lessor (i.e. the
of financial leases and reverse
3 creditor), while the economic owner, which is also reported as the protection
repurchase agreements
4 provider, is the lessee;

5 • reverse repurchase agreements, the legal owner of the assets used as

6 collateral is the creditor, because it has purchased them from the debtor, while
7 the economic owner, which is also reported as the protection provider, is the
8 debtor.

9.4.2 Maturity date of the protection

Definition: The contractual maturity date of the protection, which is the earliest date at
which the protection may terminate or be terminated, taking into account any
agreements amending initial contracts.

9 The maturity date of the protection is a date which, generally, is contractually

10 specified. It is the earliest date beyond which the protection is not legally valid, taking
11 into account any agreements amending initial contracts.

Reporting qualification

12 The maturity date of the protection is reported for each protection received record. If
13 no specific date is provided in the credit contract (or no such date arises from the
14 general legal framework), “non-applicable” is reported as the value for “maturity date
15 of protection”.

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Values

1 Unless “non-applicable” is reported, the maturity date of the protection is reported as

2 a date indicating the day on which the protection will be terminated or may be
3 terminated.

General reporting instructions, specific cases and examples

4 The maturity date of the protection is not a property of the received protection item
5 itself (e.g. the expiry date of a debt security pledged as protection) but of its function
6 as protection securing a reported instrument (e.g. the date upon which the debt
7 security may be withdrawn from serving as protection for the reported instrument). If
8 the protection is used to secure multiple instruments and in relation to each
9 instrument, it is contractually specified that the protection cannot be used beyond the
10 maturity date of the instrument, the reported maturity date of the protection is the
11 earliest of all the maturity dates specified in any of the contracts.

12 Additionally, when the reporting reference date reaches or is after the earliest
13 protection maturity date, then “maturity date of protection” is changed/rolled over to
14 the next such date, i.e. the maturity date of the next reported instrument to which the
15 protection item is linked, unless the maturity date is unspecified for the instruments.

16 If the credit contract expressly specifies that the protection can be legally pledged for
17 an unlimited period of time, then “non-applicable” is reported. Similarly, if no specific
18 date is provided in the credit contract (or no such date arises from the general legal
19 framework), “non-applicable” is reported as the “maturity date of protection”. Please
20 note that the “non-applicable” value is understood such that no specific maturity date
21 has been contractually agreed. For example, if a protection item is pledged “until
22 further notice”, the value “non-applicable” is reported.

23 Physical collateral, gold, equity shares and real estate collateral do not expire in the
24 same way that, for example, a debt instrument does. However, the contract
25 establishing that those physical goods, equity shares or property may be used as
26 protection for a specific instrument may set a maturity date upon which the function
27 of these goods or property as protection may terminate or be terminated. This date is
28 reported. If no such provision exists in the contract, and the instrument gives no such
29 information either, the value “non-applicable” is reported.

30 If trade receivables are used as collateral, the end of the limitation period sets an
31 upper limit for the maturity date, but it is not necessarily the contractually agreed
32 maturity date. If a maturity date has been contractually specified, this value is
33 reported. If no maturity date has been specified in the contract, the value “non-
34 applicable” is reported rather than the end of the limitation period.

35 Revision mark: further Please note that the maturity date of the protection need not change even if the
clarifications are added in line with
36 Q&A 2018/0029 creditor has the right to execute the protection, such as when the loan secured by
37 the protection matures or goes into default. Moreover, in such cases the protection
38 item is reported for as long as the creditor has the right to execute the protection

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1 (e.g. the right to call the guarantee securing the existing instrument), even if the
2 “maturity date of the protection” was not updated in the above-mentioned case.

9.4.3 Type of protection

Definition: Type of protection received, irrespective of its eligibility for credit risk
mitigation.

3 Please note that the eligibility referred to in the definition regards the eligibility of the
4 protection in accordance with the CRR.

Reporting qualification

5 The type of protection is filled in for each data record in the protection received
6 dataset.

General reporting instructions, specific cases and examples

Revision mark: clarification is
7 added concerning the protection The protection received in the form of (pledged) assets may be explicit (e.g.
received
8 mortgages or securities pledged as collateral) or implicit (e.g. financial leases and
9 reverse repurchase agreements) in the contract.

Financial leases

10 The leased assets in financial leases function as implicit protection. Hence, the
11 protection is reported as a protection item under the applicable type of protection.

12 Revision mark: further In the context of AnaCredit, financial leases are economically equivalent to protected
clarifications are included in line
13 with Q&A 2018/0051; Example 66 loans from the lessor (i.e. the legal owner of an asset such as a durable good) to the
14 (former Example 55) is amended, lessee (i.e. the economic owner of the leased asset, which is the party to whom the
where the protection provider is the
15 debtor (the lessee), which is the lessor lends this asset), enabling the lessee to rent the asset, where the leased
economic owner of the leased
16 asset is treated as collateral (cf. Section 6.1.1 in Part I of the Manual).
assets

17 Consequently, please note that in the case of financial leases:

18 • the legal owner of the leased assets (the lessor) is the creditor;

19 • the economic owner (the lessee) is the debtor; and

20 • the lessee is also reported as the protection provider.

21 For an illustration of how to report protection in the case of financial leases, consider
22 the following example:

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Example 66: Protection in the case of instruments classified as financial lease

Observed agent (OA#1) is a resident credit institution that extends an instrument

(Inst#1) to a legal entity (LESSEE#A) with the following arrangements (CNTRCT$FL):

1. LESSEE#A requires financing of an equipment and machinery to be used in

relation to its activity;

2. the lessor (OA#1) purchases the required equipment and machinery;

3. LESSEE#A will have use of the assets during the lease for which it will pay a series
of instalments;

4. OA#1 will recover a large part or all of the cost of the equipment and machinery
plus earn interest from the instalments paid by LESSEE#A;

5. LESSEE#A has the option to acquire ownership of the equipment and machinery.

At 30 April 2019, the following information is reported to AnaCredit in connection with

Inst#1:

Table 108 Instrument dataset for the financial lease (selected data attributes)
Reporting reference
date Contract identifier Instrument identifier Type of instrument
30/04/2019 CNTRCT$FL INST#1 Financial leases

Table 109 Instrument-protection received dataset for the financial lease (selected data
attributes)
Reporting reference
date Contract identifier Instrument identifier Protection identifier
30/04/2019 CNTRCT$FL INST#1 PROT#1

Table 110 Protection received dataset for the financial lease (selected data attributes)
Reporting reference Protection provider
date Protection identifier Type of protection identifier
30/04/2019 PROT#1 Other physical collateral LESSEE#A

Please note that in the case of financial leases, the identification of the commercial
product is done vis-à-vis the type of instrument in the instrument dataset, whereas the
leased asset is captured in the protection received dataset, where it is classified as the
type of protection corresponding to the leased asset (in this case “other physical
collateral”). The link between the leased asset and the instrument is captured in the
instrument-protection received dataset.

In addition, in this case, the protection provider is the debtor which is the economic
owner of the leased assets.

Reverse repurchase agreements

1 Revision mark: further The financial assets that are part of a reverse repurchase agreement function as
clarifications are included
2 concerning the protection provided implicit collateral (cf. Section 6.2 in Part I of the Manual). Hence, they are to be
3 in the case of reverse repurchase reported as protection items of the applicable type of protection, i.e. securities; equity
agreement in line with
4 Q&A 2018/0051 and investment fund shares or units, gold or other assets. For further details
5 regarding reverse repurchase agreements please refer to Chapter 2 in Part III of the
6 Manual.

7 Please note that, in the case of reverse repurchase agreements, the counterparty
8 receiving the assets is the creditor and the counterparty receiving the loan is the

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1 debtor. Moreover, the protection provider is the debtor, because it remains the
2 economic owner of the assets given as collateral to the creditor and will hence
3 absorb the loss in the event of a default (cf. Section 9.4.1).

Residential vs. commercial real estate collateral vs. offices and commercial premises

4 Article 4(1)(75) of the CRR provides a definition of residential property but no

5 definition of commercial property.

6 “Residential property” is described as a “residence which is occupied by the owner or

7 the lessee of the residence, including the right to inhabit an apartment in housing
8 cooperatives located in Sweden”. In the context of AnaCredit, “commercial
9 immovable property” encompasses any immovable property that is not a “residential
10 property” within the meaning of Article 4(1)(75) of the CRR. Consequently, any real
11 estate property that is not residential real estate is considered to be commercial
12 property, with a further distinction made between (i) commercial real estate and (ii)
13 offices and commercial premises as types of protection.

14 If a property has a mixed residential and commercial use (such as office/apartment

15 or retail outlet/apartment), it is to be classified according to its dominant use.

16 Amongst commercial properties, the distinction between the types of protection

17 “offices and commercial premises” and “commercial real estate collateral” is based
18 on the relationship between the collateral and the creditworthiness of the debtor.

19 In accordance with Article 126 of the CRR, the type of protection “offices and
20 commercial premises” means real estate property other than residential real estate,
21 where the debtor’s creditworthiness does not materially depend on any cash flow
22 generated by the property, and the property’s value does not materially depend on
23 the quality of the debtor, while “commercial real estate collateral” is immovable
24 property other than residential real estate which does affect the creditworthiness of
25 the debtor (i.e. if the proceeds received from it affect the creditworthiness of the
26 debtor).

Financial derivative contracts involving cash deposits

27 Revision mark: clarifications Where a financial derivative contract involves a party requiring a deposit to
concerning financial derivatives
28 involving cash deposits are compensate for the risk of non‑delivery/non-settlement, repayable margin payments
29 included in line with deposited in cash by the reporting agent under such agreements generally qualify as
Q&A 2018/0012 and
30 Q&A 2018/0013 instruments reportable under AnaCredit (cf. the clarifications on “deposits other than
31 reverse repurchase agreements” and “other loans” in Section 3.4.1).

32 However, it should be noted that, unlike the securities in reverse repurchase

33 agreements, the financial derivative itself does not serve as protection for the
34 instrument (i.e. the repayable margin payment) and is not, therefore, reported to
35 AnaCredit as protection. The reason is that the financial derivative does not
36 constitute “protection” as defined by Article 1(24) of the AnaCredit Regulation, as it
37 does not serve as insurance against a negative credit event in relation to the
38 repayable margin payment.

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Values
Revision mark: the clarifications
1 are streamlined AnaCredit gives a broad definition of “protection” and does not stipulate or pre-empt
2 a creditor’s decision as to which items may be accepted as protection in relation to
3 an instrument, contract or debtor.

4 Under AnaCredit, the meaning of In particular, the data attribute “type of protection” in AnaCredit is aimed at a
protection goes beyond collateral
5 recognised for FINREP purposes classification of whichever physical or non-physical, funded or unfunded items an
6 under Section 12 of Part 2 of Annex observed agent accepts as collateral or guarantee securing a reported instrument,
V to the ITS
7 regardless of the loan/collateral ratio (commonly referred as “loan-to-value”) or its
8 eligibility as collateral in accordance with the CRR.

9 Moreover, in the context of AnaCredit, each protection item is assigned a type of

10 protection, i.e. a classification of protection into a list of several categories defined in
11 the subsequent points. This classification is aimed at a clear identification of the
12 protection category for each protection item and is independent of classifications
13 under different reporting frameworks that may serve different purposes, e.g. in the
14 context of credit risk mitigation in accordance with the CRR.

Gold

Definition: Gold in accordance with Regulation (EU) No 575/2013.

15 A protection item which fulfils the definition of gold as referred to in the CRR is
16 assigned this type of protection. The value “gold” includes gold bullion held in own
17 vault and on an allocated basis to the extent backed by bullion liabilities.

18 Gold is recorded in the protection received dataset, irrespective of whether or not it

19 qualifies as eligible collateral in accordance with the CRR.

Currency and deposits

Definition: Currency and deposits as defined in paragraph 5.74 of Annex A to

Regulation (EU) No 549/2013.

20 The value “currency and deposits” comprises currency in circulation and deposits,
21 both in national currency and in foreign currencies, as defined in paragraph 5.74 of
22 Annex A to Regulation (EU) No 549/2013.

Securities

Definition: Securities as defined in paragraph 5.89 of Annex A to Regulation (EU) No

549/2013.

23 The value “securities” is restricted to debt securities, which are negotiable financial
24 instruments serving as evidence of debt, in accordance with Regulation (EU) No
25 549/2013. Accordingly, the type of protection “securities” may relate to a single debt
26 security or a basket (portfolio) of debt securities.

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Loans

Definition: Loans as defined in paragraph 5.112 of Annex A to Regulation (EU) No

549/2013.

1 The value “loans” comprises funds extended by creditors to debtors, as defined in

2 paragraph 5.112 of Annex A to Regulation (EU) No 549/2013.

Equity and investment fund shares or units

Definition: Equity and investment fund shares or units as defined in paragraph 5.139 of
Annex A to Regulation (EU) No 549/2013.

3 The value “equity and investment fund shares or units” comprises residual claims on
4 the assets of the institutional units that issued the shares or units, as defined in
5 paragraph 5.139 of Annex A to Regulation (EU) No 549/2013.

Credit derivatives

Definition: Credit derivatives that are: credit derivatives meeting the definition of
financial guarantees (as defined in paragraph 114(b) of Part 2 of Annex V to the
amended Implementing Regulation (EU) No 680/2014), and credit derivatives other
than financial guarantees (as defined in paragraph 129(d) of Part 2 of Annex V to the
amended Implementing Regulation (EU) No 680/2014). Credit derivatives include the
eligible credit derivatives indicated in Article 204 of Regulation (EU) No 575/2013.

6 The value “credit derivatives” comprises both credit derivatives meeting the definition
7 of financial guarantees as defined in paragraph 114(b) of Part 2 of Annex V to the
8 amended ITS and credit derivatives other than financial guarantees as defined in
9 paragraph 129(d) of Part 2 of Annex V to the amended ITS.

10 Credit derivatives are recorded in the protection received dataset, irrespective of

11 whether or not they qualify as eligible collateral in accordance with the CRR.

Financial guarantees other than credit derivatives

Definition: Financial guarantees other than credit derivatives, in accordance with the
amended Implementing Regulation (EU) No 680/2014.

12 The value “financial guarantees other than credit derivatives” comprises guarantees
13 having the character of credit substitute and irrevocable standby letters of credit
14 having the character of credit substitute, as defined in paragraphs 114(a) and 114(c)
15 of Part 2 of Annex V to the amended ITS.

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Trade receivables

Definition: Trade receivables as defined in paragraph 85 (c) of part 2 of Annex V to the

amended Implementing Regulation (EU) No 680/2014.
Revision mark: an explanation is
1 included concerning “trade In the context of the data attribute “type of protection”, the value “trade receivables”
receivables” as protection under
2 AnaCredit refers to the bills or other documents that give the right to receive the proceeds of
3 transactions for the sale of goods or provision of services, as defined in paragraph
4 85(c) of Part 2 of Annex V to the amended ITS, that are pledged as a form of funded
5 protection.

6 As opposed to the instrument type “trade receivables” which are trade receivables
7 purchased by a credit institution (and are reported in the instrument dataset
8 accordingly), the type of protection “trade receivables” refers to those trade
9 receivables themselves which are not instruments in the context of AnaCredit but are
10 a protection item which is pledged by the owner of the trade receivables to secure a
11 loan granted by the credit institution to the owner or a third party (i.e. financing
12 against trade receivables).

13 Revision mark: further In the case of instruments that are “trade receivables” in accordance with
clarifications are included
14 concerning the difference between Article 1(23) of the AnaCredit Regulation, the trade receivables purchased by the
15 instruments being “trade creditor are not reported as a protection item securing the instruments. The reason is
receivables” and protection “trade
16 receivables” that, in this case, the purchased trade receivables alone constitute an instrument
17 “trade receivable” under which the creditor is entitled to receive a payment.

18 For more details on the instrument type “trade receivables” please refer to Trade
19 receivables in Section 3.4.1 and Chapter 5 in Part III of the Manual.

Life insurance policies pledged

Definition: Life insurance policies pledged to the lending institutions in accordance with
Regulation (EU) No 575/2013.

20 The value “life insurance policies pledged” comprises life insurance policies pledged
21 to the creditor as referred to in the CRR.

22 Life insurance policies pledged are recorded in the protection received dataset,
23 irrespective of whether or not they qualify as eligible collateral in accordance with the
24 CRR.

Residential real estate collateral

Definition: Residential property as defined in Article 4(1)(75) of

Regulation (EU) No 575/2013.

25 The value “residential real estate collateral” comprises residences occupied by the
26 owner or the lessee of the residence, as defined in the CRR.

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1 The value takes into account both an actual pledge on residential real estate and a
2 residential real estate mandate.

3 Real estate mandates are defined as the right to seize a designated real estate.
4 They are included in the real estate collateral categories if they are recognised as
5 credit protection by the respective reporting agent.

6 Any residential real estate collateral items are reported, irrespective of whether or
7 not they qualify as eligible collateral in accordance with the CRR.

8 Revision mark: clarifications are Please note that in accordance with Article 125(1)(a) of the CRR the residential real
included concerning unoccupied
9 residential real estate in line with estate collateral also includes unoccupied residential real estate.
Q&A 2017/0013

Offices and commercial premises

Definition: Offices and commercial premises in accordance with

Regulation (EU) No 575/2013.

10 The value “offices and commercial premises” comprises real estate other than
11 residential real estate that qualifies as “offices or other commercial premises” for the
12 purposes of Article 126(1) of the CRR. For further details please refer to the EBA
13 Q&A 2014_1214 regarding the recognition of real estate as commercial property.

14 In determining whether a property other than residential real estate collateral meets
15 the description of “offices or other commercial premises” in accordance with the
16 CRR, consideration is to be given to the dominant purpose of the property in
17 question, which should meet the following conditions:

18 • “the value of the property shall not materially depend upon the credit quality of
19 the borrower” (Article 126(2)(a) of the CRR);

20 • “the risk of the borrower shall not materially depend upon the performance of
21 the underlying property or project”, i.e. “the repayment of the facility shall not
22 materially depend on any cash flow generated by the underlying property
23 serving as collateral” (Article 126(2)(b) of the CRR).

Commercial real estate collateral

Definition: Real estate property other than residential property, offices and commercial
premises.

24 The value “commercial real estate collateral” comprises any real estate collateral
25 other than residential real estate collateral under Article 4(1)(75) of the CRR and
26 other than offices and commercial premises for the purposes of Article 126(1) of the
27 CRR.

28 Instruments secured by mortgages on real estate property are not restricted to

29 instruments secured by residential properties or offices or other commercial
30 premises.

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1 “Commercial real estate collateral” is recorded in the protection received dataset,

2 irrespective of whether or not it qualifies as eligible collateral in accordance with the
3 CRR.

Other physical collateral

Definition: Other physical collateral in accordance with Regulation (EU) No 575/2013

and not included in the previous values.

4 The value “other physical collateral” comprises any physical object other than real
5 estate and other than gold that is pledged to secure a reported instrument.

6 Any other physical collateral items are recorded in the protection received dataset,
7 irrespective of whether or not they qualify as eligible collateral in accordance with the
8 CRR.

Other protection

Definition: Other protection not included in any of the categories listed above.

9 The value “other protection” comprises all other non-physical collateral that is used
10 to secure a reported instrument.

11 In particular, any assurance or coverage against a negative credit event relating to

12 an instrument reported to AnaCredit which does not meet the definition of the types
13 of protection as listed above is reported as “other protection”.

14 Any such assurance or coverage is reported in the protection received dataset,

15 irrespective of whether or not it qualifies as eligible collateral in accordance with the
16 CRR.

9.4.4 Protection value

Definition: The amount of the protection value as established for the relevant “Type of
protection value” following the valuation approach.
Revision mark: clarification is
17 included concerning the latest The protection value is the monetary value of the protection item that was
valuation date
18 established at the latest valuation date prior to or at the reporting reference date
19 under the chosen value type and protection valuation approach (cf. Section 9.4.5
20 and Section 9.4.6).

21 The protection value reflects the total value of the protection, which secures a
22 reportable instrument, being either its notional amount, if relevant, or otherwise an
23 amount that best represents the value of the protection, established at the latest
24 valuation, for which the protection is taken into account at a reporting reference date
25 (cf. Section 9.4.5 and Table 3 in Section 2.3).

26 The total protection value without considering any (regulatory) haircuts is reported.

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Reporting qualification

1 The protection value is reported for each protection item received.

Values

2 The protection value is a monetary amount in euro. The reported value is a non-
3 negative real number.

General reporting instructions, specific cases and examples

Revision mark: further
4 clarifications are included The “protection value” is the value of the protection item as established following the
concerning the protection value
5 protection valuation approach (as reported in the data attribute “protection valuation
6 approach”) for the type of protection value (as reported in the “type of protection
7 value” data attribute).

8 The protection value is based on the most recent valuation carried out prior to or at
9 the reporting reference date. For protection items valued at their notional amount,
10 the date of the protection value is the reporting reference date.

11 For each protection item that is reported as a separate record in the protection
12 received dataset, a single protection value is reported, which is the protection item’s
13 total value, established under a certain valuation approach.

14 For a bundled protection item (for example a basket of securities) that was valued as
15 one multi-name protection item, the protection value is in accordance to the valuation
16 approach (cf. Section 9.2).

17 The total (gross) protection value is reported without applying any (regulatory)
18 haircuts (i.e. deductible percentage that is applicable if certain conditions are met). In
19 other words, no haircuts are applied to protection values.

20 In particular, the protection value of a protection item reported under AnaCredit may
21 be larger than the value reported for FINREP purposes (cf. Part 2, Section 12, of
22 Annex V to the amended ITS) because the latter is required to be capped at the
23 carrying amount of the instrument that the protection secures.

24 Revision mark: further Furthermore, when the protection value is the notional (nominal) amount (as in the
clarifications are included
25 concerning the relationship case of debt instruments and financial guarantees), this amount is not adjusted, even
26 between the protection value and when the amount that could potentially be recovered from the protection is lower
the allocated protection value
27 than the notional due to the inherent credit risk of the protection. However, the
28 amount of the impairment of the protection is considered for the purpose of reporting
29 the “protection allocated value” (cf. Section 8.4.1). For an illustration of which value
30 to report, consider the following example.

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Example 67: 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 111.

Table 111 Protection value in the case

Reporting Protection Type of
reference Protection provider Protection protection
date identifier Type of protection identifier value value
Financial guarantee other
31/03/2019 GUA#1 “Non-applicable” 150,000.00 Notional amount
than credit derivatives
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.

1 In line with the general rule that an amount denominated in a currency other than
2 euro is converted into euro using the respective exchange rate as of the date to
3 which the amount refers, the following clarification is given.

4 • If a protection item is valued at its notional amount, then the date of protection
5 value is the reporting reference date, and the foreign currency exchange rate as
6 of the reporting reference date is applied to convert the amount into euro. In
7 such cases, this data attribute is updated whenever the exchange rate changes
8 (from one reporting reference date to another).

9 • If a protection item is not valued at a notional amount (but instead at fair value,
10 for instance), then the exchange rate on the date of protection value is used to

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1 convert the original protection currency into euro and, consequently, the
2 protection value is not updated at a reporting reference date unless an
3 evaluation of the protection takes place.

4 For an illustration of how often this dataset is reported to AnaCredit, consider the
5 following example which takes into account possible implications of changes in
6 foreign exchange rates on the reporting obligation.

Example 68: 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 112.

Table 112 Indication of the protection received dataset as of March

Protection Date of Type of
Reporting provider Protection Protection protection protection
reference date identifier identifier value value 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 113.

Table 113 Indication of the protection received dataset as of April

Protection Date of Type of
Reporting provider Protection Protection protection protection
reference date identifier identifier value value 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.

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9.4.5 Type of protection value

Definition: Identification of the type of value provided in the data attribute “Protection
value”.

1 The attribute “type of protection value” identifies, with reference to an exhaustive list,
2 the type of the reported value of the protection item as reported in the data attribute
3 “protection value”.

Reporting qualification

4 The type of protection value is to be reported for each protection item reported in the
5 protection received dataset.

General reporting instructions, specific cases and examples

6 This data attribute is used for identifying the type of the protection value that
7 corresponds to the protection value as reported in the data attribute “protection
8 value”.

9 In the context of AnaCredit, the protection value reflects the total value of the
10 protection and is either its notional amount, if available, or otherwise an amount that
11 best represents the value at which the protection may be taken into account at a
12 reporting reference date, i.e. the value established in the most recent valuation.

13 Revision mark: further Consequently, AnaCredit provides for two general types of protection value (notional
clarifications are included
14 concerning the types of protection amount and fair value). In principle, under AnaCredit a notional amount is reported
15 value for protection items that are debt instruments or financial guarantees and credit
16 derivatives, while a fair value is reported for equity instruments and non-financial
17 protection items. In particular, protection items such as gold or other physical
18 collateral are valued at their fair values, whereas protection in the form of real estate
19 collateral is reported at either its market value or long-term sustainable values, with
20 the market value being the equivalent of the fair value in relation to real estate, while
21 long-term sustainable values are determined in a prudent assessment of real estate
22 taking into account its long-term aspects.

23 Revision mark: further For the purpose of reporting the data attribute “type of protection value”, it is
clarifications are added in line with
24 Q&A 2018/0027 concerning the therefore important to consider the scope of the appraisal when considering which
25 difference between the market “type of protection value” to report for real estate protection items. In particular, the
value and the long-term sustainable
26 value following guidance should be noted:

27 • if the appraisal aims to estimate the spot value taking into consideration market
28 conditions, then “market value” is reported;

29 • if the appraisal aims to estimate the market value ignoring cyclical factors, then
30 “long-term sustainable value” is reported.

31 Finally, the category “other protection value” is reported only in cases where the
32 protection value available to reporting agents does not meet the definition of any of
33 the explicit types of protection value.

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1 Table 114 provides an indication of the type of protection value that would typically
2 be expected for a given type of protection.

Table 114 Applicable type of protection value by type of protection

Type of protection Type of protection value

Gold Fair value

Currency and deposits Notional amount

Securities Notional amount

Loans Notional amount

Equity and investment fund shares or units Fair value

Credit derivatives Notional amount

Financial guarantees other than credit derivatives Notional amount

Trade receivables Notional amount

Life insurance policies pledged Notional amount

Residential real estate collateral Market value/long-term sustainable value

Offices and commercial premises Market value/long-term sustainable value

Commercial real estate collateral Market value/long-term sustainable value

Other physical collateral Fair value

Other protection Notional amount/fair value

(determined per protection item)

3 More detailed guidance regarding the type of protection value is provided below
4 where the specific values of this data attribute are discussed one by one.

Values

5 For each protection item reported in the protection received dataset one of the
6 following values is reported to provide a qualification of the protection value reported
7 in the data attribute “protection value”.

Notional amount

Definition: The nominal or face amount contractually agreed that is used to calculate
payments in the event that the protection is executed.

8 The notional amount is the nominal or face amount contractually agreed that is used
9 to calculate payments in the event that the protection is executed. This comprises all
10 value types possessing this property, even if they are typically addressed by a
11 specific technical term different from notional value. For example, the surrender
12 value established as the type of protection value for life insurance policies under
13 Article 212(2) of the CRR is also to be identified as a notional value for AnaCredit
14 purposes. In other words, all value types that are equivalent to a notional value are
15 reported as “notional value” under the type of protection value, even if a different
16 terminology has been in used.

17 For an indication of the types of protection for which the type of protection value is
18 typically a notional amount, consider the following examples:

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1 • the protection value of financial guarantees other than credit derivatives is the
2 notional value (e.g. the guaranteed amount);

3 • the protection value of loans serving as protection is the notional value (i.e. the
4 nominal amount), irrespective of whether the loans are performing or non-
5 performing;

6 • the notional amount is reported for debt securities issued at par, irrespective of
7 whether or not fair values are available for these securities (including in cases
8 where their fair values are obtainable on the stock exchange or other organised
9 financial markets);

10 • the protection value of trade receivable is the notional value of the trade
11 receivables;

12 • for debt securities (bonds) on which interest is paid regularly or deep-

13 discounted or zero-coupon bonds on which little or no interest is paid, the
14 values are reported at their notional (nominal) amount;

15 • for currency, the valuation is the notional value of the currency;

16 • for deposits, the values to be reported are notional (nominal) values:

17 • for life insurance policies pledged, the protection value is the surrender value of
18 the protection (as opposed to the insured amount), while the type of protection
19 value is “notional amount”, being equal to the amount built up to date in relation
20 to the policy.

21 Please note, however, that any such protection items (including currency and
22 deposits) which are in a currency different from euro are converted to euro at the
23 respective ECB euro foreign exchange rates (i.e. the mid-rate) on the date of
24 protection value as reported in the data attribute “date of protection value”. For
25 protection items valued at notional amount, it is the reporting reference date
26 (cf. Table 3 in Section 2.3). In particular, the type of protection value is “notional
27 amount” in the case of financial guarantees other than credit derivatives.

28 Revision mark: clarifications are This in particular implies that for financial guarantees in which the individual
added in line with Q&A 2018/0028
29 on protection value for financial guarantee covers a percentage of the outstanding nominal amount rather than the
30 guarantees absolute value, the attribute “protection value” is updated as the instrument is being
31 repaid. More specifically, given that the protection value reflects the conditions of the
32 contract relating to the specific financial guarantee and, where indicated, elements of
33 the instrument, it follows that if the protection secures a part of the principal (as a
34 percentage), then the protection value is updated as the principal is repaid.

35 Revision mark: further Please also note that for protection items such as debt securities the protection value
clarifications are included
36 concerning the relationship is the nominal amount even if, because of the credit risk, the fair value is lower. In
37 between the protection value (for such cases, however, the fair value of the protection (instead of the nominal amount)
items of protection valued at their
38 notional amount) and the protection should the considered in the calculation of the “protection allocated value”.
allocated value

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Fair value

Definition: The price that would be received to sell an asset or paid to transfer a liability
in an orderly transaction between market participants at the measurement date. To be
used if the protection is not immovable property.

1 The fair value is the price that would be received to sell an asset or paid to transfer a
2 liability in an orderly transaction between market participants at the valuation date.

3 In the case of real estate protection, the term fair value is referred to as the market
4 value. Consequently, fair value is not used for real estate protection.

5 As regards certain types of protection for which there is no notional amount, or

6 where valuing them at their notional amount is inappropriate, AnaCredit stipulates
7 that such protection items are valued at their fair values. This relates in particular to
8 non-financial protection items such as “other physical collateral”.

9 For an indication of types of protection for which the type of protection value is a fair
10 value, consider the following examples:

11 • gold is to be valued at the price established in organised gold markets;

12 • listed shares are valued at their fair value, represented by the mid-market price
13 observed on the stock exchange or other organised financial markets;

14 • unlisted shares are valued at their fair value, which will be estimated;

15 • other equity instruments and investment fund shares/units are valued at their
16 fair values;

17 • leased assets other than real estate collateral are valued at their fair value.

18 Please note that in the case of any real estate collateral, the applicable type of
19 protection value is either market value or long-term sustainable value as further
20 discussed in the subsequent sections.

Market value

Definition: The current “market value” of immovable property as defined in

Article 4(1)(76) of Regulation (EU) No 575/2013. To be used if the protection is
immovable property when the market value is reported in the data attribute “Protection
value”.

21 The market value is a value type to be used only for real estate collateral.

22 Revision mark: further In the context of AnaCredit, the term “market value” is an equivalent of fair value in
clarifications are added in line with
23 Q&A 2018/0027 concerning the relation to real estate properties and means “the estimated amount for which the
24 market value property could be exchanged on the date of valuation between a willing buyer and a
25 willing seller in an arm’s-length transaction after proper marketing wherein the
26 parties had each acted knowledgeably, prudently and without compulsion”, as
27 defined in Article 4(1)(76) of the CRR. This means that if the appraisal aims to

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1 estimate the spot value taking into consideration market conditions, then “market
2 value” is reported.

Long-term sustainable value

Definition: The “mortgage lending value” of immovable property as defined in

Article 4(1)(74) of Regulation (EU) No 575/2013. To be used if the protection is
immovable property when the “mortgage lending value” is reported in the data attribute
“Protection value”.

3 The long-term sustainable value is a value type to be used only for real estate
4 collateral.

5 Revision mark: further The mortgage lending value as the value of immovable property is “determined by a
clarifications are added in line with
6 Q&A 2018/0027 concerning the prudent assessment of the future marketability of the property taking into account
7 long-term sustainable value long-term sustainable aspects of the property, the normal and local market
8 conditions, and the current use and alternative appropriate uses of the property”, as
9 defined in Article 4(1)(74) of the CRR. This means that if the appraisal aims to
10 estimate the market value ignoring cyclical factors, then “long-term sustainable
11 value” is reported.

12 If both a market value and a long-term sustainable value are available for real estate
13 property, the market value is reported to AnaCredit.

Other protection value

Definition: Other protection value not included in any of the categories listed above.

14 Other protection values comprise value types not included in any of the categories
15 listed above. Only value types that differ from the definition of the above values are
16 included in this category, while value types that differ only as regards the name (such
17 as the surrender value in the case of life insurance policies pledged) are mapped to
18 the respective value type.

9.4.6 Protection valuation approach

Definition: Type of protection valuation; method used to determine the protection value.

19 The protection valuation approach identifies the type of the protection valuation (or
20 the method used to determine the protection value) from among an exhaustive list of
21 values this data attribute may assume.

22 The type of valuation approach is in particular relevant for protection items which are
23 valued at their fair values (or market or long-term sustainable values in the case of
24 real estate collateral).

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Reporting qualification

1 The protection valuation approach is to be reported for each protection received

2 record.

General reporting instructions, specific cases and examples

3 The reporting agent reports the valuation method that was used to establish the
4 protection value as reported in the data attribute “protection value”.

5 Please note that if the type of protection value is “notional amount”, the protection
6 valuation approach does not in fact apply, and therefore the value “other type of
7 valuation” is reported.

8 Otherwise, if the protection is not valued at its notional amount, then the valuation
9 approach that was undertaken in the latest valuation is reported. In this connection,
10 AnaCredit distinguishes between four broadly defined categories:

11 • mark-to-market valuation;

12 • counterparty estimation;

13 • creditor valuation;

14 • third-party valuation.

15 AnaCredit does not specify a priority as regards the protection valuation approach
16 because there is no intention to restrict the choice of the reporting agents for the
17 appropriate protection valuation approach and thereby to impose an additional
18 constraint.

19 Accordingly, AnaCredit does not require reporting agents to change or enhance (any
20 step in) the process of protection valuation. On the contrary, this data attribute is
21 intended to indicate which kind of valuation process reporting agents actually have in
22 place.

23 For the sake of consistency, under the term creditor valuation, it is also presumed that
24 the actual valuation is performed by a reporting agent by means of a quantitative
25 valuation model (rather than by an appraiser as such) following a methodology applied
26 by the reporting agent. Similarly, third-party valuation, besides valuations carried out by
27 appraisers, includes also valuations by means of quantitative techniques and
28 methodologies over which neither the debtor nor the creditor have any control.

29 However, reporting agents will naturally face constraints as regards the available
30 valuation approaches. For example, a quoted price, which is the most recent price at
31 which an investment (or any other type of asset) has traded in an active market, will
32 only be available for a subset of protection items which are traded in an active market.

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Values

Mark-to-market

Definition: Mark-to-market is a valuation method whereby the protection value is based

on unadjusted prices quoted at an exchange for identical assets and liabilities in an
active market.

1 For protection items whose fair value reported in the data attribute “protection value”
2 has been established in organised markets, “mark-to-market” is reported as the
3 protection valuation approach. This in particular regards the following protection items:

4 • gold is valued at the price established in organised gold markets;

5 • listed shares are valued at their fair value, represented by the mid-market price
6 observed on the stock exchange or other organised financial markets.

Counterparty estimation

Definition: Counterparty estimation is a valuation method whereby the valuation is

carried out by the protection provider.

7 For protection items whose value (other than a notional amount) reported in the data
8 attribute “protection value” has been established by the protection provider, other
9 than the creditor, “counterparty estimation” is reported.

10 This in particular may regard equity and investment fund shares/units that are valued
11 at their fair values.

Creditor valuation

Definition: Creditor valuation is a valuation method whereby the valuation is carried out
by the creditor. The valuation may be undertaken by an external or staff appraiser who
possesses the necessary qualifications, ability and experience to execute a valuation
and who is not independent from the credit decision process.

12 For protection items whose fair value (or market or long-term sustainable value in the
13 case of real estate collateral) has been established by the creditor (or by a
14 methodology which is controlled by the creditor), then the protection valuation
15 approach is reported as “creditor valuation”.

16 This in particular may regard the following cases:

17 • unlisted shares valued at their fair value which is estimated on the basis of a
18 methodology controlled by the creditor;

19 • leased assets valued at their fair value following a valuation methodology

20 controlled by the creditor where the asset value is calculated with the use of
21 asset valuation curves;

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1 • commercial real estate valued at a long-term sustainable value which was

2 based on an appraisal carried out by an appraiser hired by the creditor;

3 • residential real estate valued at its market value which was based on an
4 appraisal carried out by an appraiser hired by the creditor.

Third-party valuation

Definition: Third-party valuation is a valuation method in which the valuation is provided

by an appraiser who is independent of the credit decision process.

5 For protection items whose fair value (or market or long-term sustainable value in the
6 case of real estate collateral) has been established by a third party (or by a
7 methodology which is not controlled by the creditor), then the protection valuation
8 approach is reported as “third-party valuation”.

9 This in particular may regard the following cases:

10 • unlisted shares valued at their fair value which is estimated on the basis of a
11 methodology not controlled by the creditor;

12 • leased assets valued at their fair value following a valuation methodology not
13 controlled by the creditor where the asset value is calculated with the use of
14 asset valuation curves;

15 • commercial real estate valued at its market value following a valuation carried
16 out by a third-party appraiser, over which the creditor has no control;

17 • residential real estate valued at its market value following a quantitative

18 valuation technique (using a publicly available house price index) developed by
19 a third party over which the creditor has no control.

Other type of valuation

Definition: Other type of valuation is any other type of valuation that is not included in
the previous categories of valuation approaches.

20 If the protection value is the notional amount of the protection, as reported in the
21 data attribute “type of protection value”, the protection valuation approach is reported
22 as “other type of valuation”.

9.4.7 Real estate collateral location

Definition: Region or country where the collateral is located.

23 The real estate collateral location is the region or the country where the real estate
24 collateral is located.

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Reporting qualification

1 The real estate collateral location is to be reported only in the case of protection
2 items for which the data attribute “type of protection” is reported in the protection
3 received dataset as any of the three types of real estate collateral:

4 • residential real estate collateral;

5 • offices and commercial premises;

6 • commercial real estate collateral.

7 Otherwise, if the type of protection is not any of the real estate collateral types, the
8 value “non-applicable” is reported.

Values

9 For real estate collateral located in a reporting Member State, the value is the code
10 of the Nomenclature of Units for Territorial Statistics (NUTS) 3 region where the real
11 estate collateral is located.

12 In the context of AnaCredit, the conversion to NUTS 3 region is done centrally by the
13 ECB on the basis of postal codes. Therefore, reporting agents are expected to report
14 a postal code of the location of real estate collateral rather than the NUTS 3 code
15 determined by the postal code, unless postal codes are not generally available in the
16 country where the real estate collateral is located. In the latter case, reporting agents
17 are expected to report a NUTS 3 code (if available) or the ISO country code of the
18 location of the real estate collateral.

19 Revision mark: further For real estate collateral not located in any reporting Member State, the value is the
clarifications are included in line
20 with Q&A 2017/0004 ISO 3166-1 alpha-2 code of the country where the real estate collateral is located. It
21 is also clarified that for real estate collateral located in a country that has a specific,
22 separate alpha-2 code in the ISO 3166 standard, the specific two-letter code of the
23 country is reported. This also applies in cases where the country is a subdivision of
24 another country.

Example 69: ISO country codes for the real estate collateral location

In accordance with the ISO 3166 standard – codes for the representation of names of
countries and their subdivisions – the United States of America includes one district, 50
states and six outlying areas. As regards the six outlying areas, they all have separate
country code entries in the standard. For example, Puerto Rico, which is an outlying
area of the United States, has the country code “PR”.

The AnaCredit Regulation stipulates that the counterparty’s country is reported as an

ISO 3166 alpha-2 code. ISO 3166 is the international standard for country codes and
the codes of their subdivisions. The standard is intended for use in any application
requiring the expression of current country names in coded form. An alpha-2 code is a
two-letter code that represents a country name.

Under AnaCredit, for counterparties located in a country that has a specific, separate
alpha-2 code in the ISO 3166 standard, the specific two-letter code of the country is
reported.

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This means that the separate country code in the ISO 3166 standard is reported for
counterparties established in any of the six outlying areas, rather than the country code
of the United States.
For example, for real estate collateral located in Puerto Rico, the data attribute “real
estate collateral location” is reported as “PR”.

General reporting instructions, specific cases and examples

1 In relation to protection items which are not any of the real estate collateral types, the
2 value “non-applicable” is reported.

3 In the case of real estate collateral, the real estate collateral location is the region of
4 a country where the real estate collateral is located, taking the account of the
5 following:

6 • if a postal code is available, then the location is identified by the two-digit ISO
7 code of the country, a dash, and the postal code of the area where the real
8 estate is located is reported;

9 • if no postal code is in use in the relevant country, but the NUTS3 codes are in
10 use, then (the country and) the NUTS3 code of the region where the real estate
11 collateral is located is (are) reported;

12 • if neither a postal code nor a NUTS3 code is available, a two-digit ISO code of
13 the country where the real estate collateral is located is reported.

14 Revision mark: further Reporting agents update this data attribute in the event of an amendment of the
clarifications concerning the use of
15 external code lists are included in NUTS 3 code of the country where the real estate collateral is located (cf. Section
16 line with Q&A 2017/0005 2.4).

17 For an illustration of how the real estate collateral location is reported to AnaCredit,
18 consider the following example.

Example 70: Reporting of the real estate collateral location

1. In March 2019, an observed agent (OA#1) extends a loan (Inst#1) to a legal entity.
The loan is secured by commercial real estate collateral (RealEst#1) and a financial
guarantee (Gua#2).

2. The real estate collateral is located in Frankfurt am Main, Germany. The area of the
city where the property is located has the following postal code: 60311.

In connection with Inst#1, both the real estate collateral and the financial guarantee are
reported in the protection received dataset at 31 March 2019. The reporting of the data
attribute “real estate collateral location” in the protection received dataset is depicted in
Table 115.

Table 115 Real estate collateral location

Reporting Protection Real estate collateral
reference date identifier Type of protection location
31/03/2019 REALEST#1 Commercial real estate collateral DE-60311
Financial guarantee other than credit
31/03/2019 GUA#2 “Non-applicable”
derivatives

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9.4.8 Date of protection value

Definition: The date on which the latest appraisal or valuation of the protection was
carried out prior to the reporting reference date.

1 The date of the protection value is the date on which the latest appraisal or valuation
2 of the protection was carried out prior to the reporting reference date, i.e. the date on
3 which the amount reported in the attribute “protection value” of the value type
4 reported in the attribute “type of protection value” was established under the
5 valuation method reported in the attribute protection valuation approach.

Reporting qualification

6 The date of the protection value is to be reported for each protection item reported in
7 the protection received dataset.

Values

8 This data attribute is reported as a date indicating the day on which the protection
9 value as reported in the data attribute “protection value” is considered to have been
10 established.

General reporting instructions, specific cases and examples

11 As regards protection items which are valued at their fair values (or market or long-
12 term sustainable values in the case of real estate collateral), the date of the
13 protection value is the date on which the latest appraisal or valuation of the
14 protection was carried out prior to the reporting reference date. More specifically, it is
15 the date on which the amount reported in the attribute “protection value” of the value
16 type reported in the attribute “type of protection value” was established under the
17 valuation method reported in the attribute “protection valuation approach”.

18 Revision mark: clarification is In the case of protection items which are valued at their notional amount, the date of
included in line with Table 3 –
19 protection items valued at their protection value is the reporting reference date.
notional amount
20 For an illustration of how the date of protection value is reported, consider the
21 following example.

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Example 71: Reporting of the data attribute “date of protection”

1. On 11 May 2011 an observed agent (OA#1) extends a loan (Inst#55) to a legal

entity for a tenor of ten years. The loan is secured by commercial real estate
collateral (CRE#1) and a financial guarantee (Gua#2) provided by a third-party
legal entity (GUARANTOR#AA).

2. The maximum amount GUARANTOR#AA would have to pay if the guarantee is

called on equals €500,000. The guarantee can be revoked only if the loan is
repaid in full.

3. On 28 April 2011, just prior to the loan origination, the real estate was evaluated
by a third-party appraiser not related to OA#1 where the market value of the
protection was established to be €380,000.

4. On 15 March 2014 and 14 October 2016 the market value of the real estate
collateral is re-evaluated by a third-party appraiser; taking into account the local
market conditions, the protection value is estimated to be €400,000 and €425,000,
respectively.
5. Inst#55 is subject to AnaCredit reporting as of 30 September 2018.

6. In October 2018 OA#1 opts for a quantitative valuation of the real estate collateral
where the protection value is regularly estimated following a methodology
developed by OA#1 on the basis of a publically available house price index.
Accordingly, the real estate value is estimated to grow by 0.5% month-to-month.

In connection with Inst#55, both the real estate collateral and the financial guarantee
are reported in the protection received dataset at 30 September 2018. The reporting of
the protection received dataset is depicted in Table 116.
Table 116 Indication of the protection received dataset as of 30 September
Reporting Type of Protection Date of
reference Protection Protection protection valuation protection
date identifier Type of protection value value approach value
Commercial real Market Third-party
30/09/2018 CRE#1 425,000.00 14/10/2016
estate collateral value valuation
Financial guarantee
Notional Other type
30/09/2018 GUA#2 other than credit 500,000.00 30/09/2018
amount of valuation
derivatives

As of October 2018, the data concerning the real estate collateral change compared
with the previous periods are therefore subject to reporting. In addition, the data
regarding the financial guarantee are also reported as for protection valued at notional
amount; the date of protection value is the reporting reference date. Accordingly, the
reported records as of October, November and December are illustrated in Table 117.
Table 117 Subsequent reporting of the protection received dataset
Reporting Type of Protection Date of
reference Protection Protection protection valuation protection
date identifier Type of protection value value approach value
Commercial real Market Creditor
31/10/2018 CRE#1 427,125.00 31/10/2018
estate collateral value valuation
Financial guarantee
Notional Other type
31/10/2018 GUA#2 other than credit 500,000.00 31/10/2018
amount of valuation
derivatives
Commercial real Market Creditor
30/11/2018 CRE#1 429,260.63 30/11/2018
estate collateral value valuation
Financial guarantee
Notional Other type
30/11/2018 GUA#2 other than credit 500,000.00 30/11/2018
amount of valuation
derivatives
Commercial real Market Creditor
31/12/2018 CRE#1 431,406.93 31/12/2018
estate collateral value valuation
Financial guarantee
Notional Other type
31/12/2018 GUA#2 other than credit 500,000.00 31/12/2018
amount of valuation
derivatives

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9.4.9 Original protection value

Definition: The original protection value is the monetary value of the protection item
that was established at the date when the protection item was originally received as a
credit protection.

1 This data attribute captures the value of the protection at the origination date.

Reporting qualification

2 The original protection value is to be reported for each protection item reported in the
3 protection received dataset. In particular, a value is always reported for protection
4 items securing any instrument reported to AnaCredit that was originated on or after 1
5 September 2018. However, NCBs may decide not to collect the original protection
6 value for a protection item, if all instruments reported to AnaCredit within the scope
7 of the observed agent which are secured by the protection item were originated prior
8 to 1 September 2018. Should this happen, the value “not required” is reported for
9 such protection items.

Values

10 The original protection value is a monetary amount in euro. The reported value is a
11 non-negative real number.

General reporting instructions, specific cases and examples

12 In the case of a protection item securing the same instrument, the original protection
13 value will remain unchanged throughout the entire life of the instrument. This
14 includes cases where the same protection is pledged to secure another instrument
15 which is originated some period after the first instrument was originated.

16 For an illustration of how the original protection value and the corresponding date are
17 reported, consider the examples below.

18 The original protection value is not updated owing to the changes in exchange rates.

19 In particular, Example 72 depicts the reporting in the case of protection which is

20 pledged once.

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Example 72: Reporting of the data attribute “original protection value” in the case of
a single pledge

Further considering the case of Example 71 above, Table 118 presents the reporting of
the original protection value and the date of original protection value in relation to the
real estate collateral and the financial guarantee from September through to December
2018.

Table 118 Protection received dataset in the case of a single pledge

Date of
Reporting Date of Original original
reference Protection Protection protection protection protection
date identifier Type of protection value value value value
Commercial real
30/09/2018 CRE#1 425,000.00 14/10/2016 380,000.00 28/04/2011
estate collateral
Financial guarantee
30/09/2018 GUA#2 other than credit 500,000.00 30/09/2018 500,000.00 11/05/2011
derivatives
Commercial real
31/10/2018 CRE#1 427,125.00 31/10/2018 380,000.00 28/04/2011
estate collateral
Commercial real
30/11/2018 CRE#1 429,260.63 30/11/2018 380,000.00 28/04/2011
estate collateral
Commercial real
31/12/2018 CRE#1 431,406.93 31/12/2018 380,000.00 28/04/2011
estate collateral

Please note that after the initial reporting, records of the protection received dataset are
reported to AnaCredit only if a change takes place compared with the data reported
previously. In this connection, the financial guarantee (Gua#2) is only reported at 30
September (initial reporting) and is not subject to reporting thereafter.

As regards the real estate collateral, this protection item is reported as of each reporting
reference date in the reporting period concerned, because the protection value changes
on a monthly basis (as the protection value is updated on the basis of a house price
index), which triggers the reporting of the entire dataset in relation to the protection item.

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1 Example 73 illustrates the reporting of the original protection value taking account of
2 multiple pledges of the same protection.

Example 73: Reporting of the data attribute “original protection value” in the case
that the same protection is pledged multiple times

1. On 28 November 2018 an observed agent OA#99 extends a loan (Loan#1) to a

legal entity and accepts a pledge of a commercial real estate property (REPRO#6)
as protection for the loan. At the origination of the loan, the original protection value
of the property amounted to €750,000, which was established by a physical
appraisal carried out on 15 July 2018.

2. On 11 May 2019 OA#66 extends another loan (Loan#2) to the legal entity. The real
estate property (REPRO#66) is pledged as protection for the loan and OA#66
considers the protection value as established on 15 July 2018 valid and accurate
also as of May 2019.

3. On 25 April 2020, OA#99 extends an additional loan (Loan#3) to the legal entity,
accepting the same real estate property (REPRO#6) as protection. For the loan
acceptance, however, OA#99 had the real estate property re-evaluated, and on 4
April 2020 the protection value was established to be €699,000 following a physical
appraisal.

Table 119 presents relevant data attributes of the protection received dataset. The
reporting of the protection is initially triggered in connection with Loan#1 and thereafter
also in relation to Loan#2 and Loan#3. Once originated, all the loans continue to be
reported beyond 30 April 2020. The connection between the protection and the loans is
reported in the instrument-protection received dataset which is reported on a monthly
basis (not shown).

Table 119 Protection received dataset in the case of multiple pledges

Date of
Reporting Date of Original original
reference Protection Protection protection protection protection
date identifier Type of protection value value value value
Commercial real
30/11/2018 REPRO#6 750,000.00 15/07/2018 750,000.00 15/07/2018
estate collateral
Commercial real
30/04/2020 REPRO#6 699,000.00 04/04/2020 750,000.00 15/07/2018
estate collateral

Please note that after the initial reporting, records of the protection received dataset are
reported to AnaCredit only if a change takes place compared with the data reported
previously. In this connection, the real estate collateral is initially reported as of 30
November 2018 and it is not reported thereafter until 30 April 2020 when a change to
the protection value takes place for the first time. Please note also that the original
protection value is not updated.

It is further clarified that the use of the protection in relation to the loans is captured
throughout the entire period in the instrument-protection received, which continues to be
reported from 30 November 2018 onwards for each reporting reference date,
irrespective of whether or not changes occur to the data therein.

For details refer to Example 61 in Section 8.4.2, which relates to multiple mortgage
deeds/claims on a single property.

3 Finally, Example 74 illustrates the reporting of the original protection value in cases
4 where the same protection is used in relation to the multiple instruments, but over
5 different periods of time (which do not overlap).

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Example 74: Reporting of the data attribute “original protection value” in the case
that the same protection is pledged multiple times

1. On 28 September 2018 observed agent OA#99 extends a loan (Loan#A) for one
year to a legal entity for which a commercial real estate property (CRE#1) is
pledged. At the origination of the loan, the original protection value of the property
amounts to €200,000, which was established by a physical appraisal carried out on
1 August 2018.

2. After one year, i.e. by 30 September 2019, Loan#A is entirely redeemed and the
pledge on the real estate is recalled shortly after.

3. On 2 February 2020, OA#99 extends a new two-year loan (Loan#B) to the legal
entity, accepting the same real estate property (CRE#1) as protection for the loan.
At the same time, the real estate property is re-evaluated, with the protection value
established to be €250,000 as at 25 January 2020.

Table 120 presents the reporting of the original protection value when it is used in
relation to Loan#A, while Table 121 depicts the reporting in connection with Loan#B.

Table 120 Reporting of protection CRE#1 in relation to Loan#A

Date of
Reporting Date of Original original
reference Protection Protection protection protection protection
date identifier Type of protection value value value value
Commercial real
30/09/2018 CRE#1 200,000.00 01/08/2018 200,000.00 01/08/2018
estate collateral

Please note that, after the initial reporting with reference to 30 September, no records of
the protection received dataset are reported to AnaCredit because no changes take
place compared with the data reported originally. However, the instrument-protection
received dataset, where the real estate collateral is associated with Loan#A, is reported
for each month as long as Loan#A exists, i.e. until September 2019.

In February 2020 when Loan#B is issued, the commercial real estate is once again
subject to reporting as it secures the instruments. In this connection, the instrument-
protection received dataset is reported monthly from 29 February 2020, whereas the
protection item itself is reported in the protection received dataset which is in turn
reported with reference to 29 February 2020 with updated data attributes.

Table 121 Reporting of protection CRE#1 in relation to Loan#B

Date of
Reporting Date of Original original
reference Protection Protection protection protection protection
date identifier Type of protection value value value value
Commercial real
29/02/2020 CRE#1 250,000.00 25/01/2020 250,000.00 25/01/2020
estate collateral

Please note that after the initial reporting with reference to 29 February 2020, no records
of the protection received dataset are reported to AnaCredit as long as no changes take
place over the life of the loan compared with the data reported originally. However, the
instrument-protection received dataset (not shown), where the real estate collateral is
associated with Loan#B, is reported for each month until the loan is paid off.

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9.4.10 Date of original protection value

Definition: The date of original protection value is the date on which the latest appraisal
or valuation of the protection was carried out prior to its initial receipt as credit
protection.

1 This data attribute captures the date of the original valuation of the protection as
2 reported in the data attribute “original protection value”.

Reporting qualification

3 The date of original protection value is to be reported for each protection received
4 record. The date is reported for protection items securing any instrument reported to
5 AnaCredit originating at or after 1 September 2018. For a protection item which
6 secures only instruments reported to AnaCredit which were originated prior to 1
7 September 2018, NCBs may decide not to collect the date of the original protection
8 value of any such protection item.

Values

9 This data attribute is reported as a date indicating the day on which the value as
10 reported in the data attribute “original protection value” is considered to have been
11 established.

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10 Counterparty default dataset

10.1 General aspects

1 The counterparty default dataset serves to identify the default status of the
2 counterparty in accordance with Article 178 of the CRR.

10.1.1 Reporting qualification

3 The counterparty default dataset is, in principle, applicable for all debtors and
4 protection providers of unfunded types of protection 23 which are at the same time the
5 issuers of the protection (in particular, if the protection item is a financial guarantee
6 as defined in the amended ITS).

7 However, the counterparty default dataset is exclusively relevant for counterparties

8 reported to AnaCredit for which the data attribute “default status of the counterparty”
9 is applicable as specified in Section 10.4.1.

10 Conversely, the counterparty dataset need not be reported (i.e. no records at all
11 need be reported) for counterparties which are neither debtors nor protection
12 providers, or for debtors and protection providers for which the data attribute “default
13 status of the counterparty” is not applicable.

14 Consequently, unless the data attribute “default status of the counterparty” is

15 reported for a counterparty as of a given reporting reference date, no record at all is
16 reported to AnaCredit in the counterparty default dataset in relation to the
17 counterparty at the reporting reference date. 24

18 Revision mark: further In particular, when a counterparty only has retail exposures and, in accordance with
clarifications are included
19 concerning cases where the default Article 178 of the CRR, the reporting agent applies the definition of default at the
20 definition is applied at the level of level of the instrument rather than the debtor, no record at all is reported for that
the instrument
21 counterparty in the counterparty default dataset (cf. Section 4.4.4).

22 For an illustration of how the counterparty default dataset is to be reported consider

23 the following example.

23
I.e. unfunded protection under Article 4(1)(59) of the CRR to which the protection provider is at the
same time the protection issuer.
24
Please note that no records are to be reported at all in the counterparty default dataset if the data
attributes therein are not subject to AnaCredit reporting. By accommodating such a reporting scheme,
the reporting of the dataset’s internal identifiers for the mere purpose of reporting that the data
attributes are not required/applicable is avoided. The reasoning is that if there is no value to be
reported, nothing is reported at all. The same reporting scheme is also followed in relation to the
counterparty risk dataset as described in Section 11.1.1.

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Example 75: Reporting the counterparty default dataset

1. Observed agent (OA#1) is a (part of a) credit institution supervised under the CRR.
In March 2019 the observed agent extended a loan (Inst#1) to a legal entity
(CPY#A). The loan is secured by a financial guarantee provided by a legal entity
(GUARANTOR#G) and by securities pledged by a legal entity (ThirdParty#1).
CPY#A was earlier in default in the course of 2016 but was classified not in default
in accordance with the CRR on 14 December 2018. GUARANTOR#G has not been
classified in default in accordance with the CRR for the entirety of its business
relationship with OA#1 to date.

In connection with Inst#1, the debtor is reported in the counterparty-instrument dataset,

while the protection providers of both protection items are reported in the protection
received dataset as of 31 March 2019. However, the reporting of the default status of
the counterparty is required only in relation to the debtor (CPY#A) and the guarantor
(GUARANTOR#G), whereas no default status is required for the protection provider
(ThirdParty#1) of the securities because ThirdParty#1 is not the issuer of the securities.
Ultimately, since the reporting of the default status for ThirdParty#1 is not subject to
AnaCredit reporting, the counterparty default dataset is populated only for the debtor
and the guarantor and no record at all is reported for the other protection provider. This
reporting is depicted in Table 122.

Table 122 Counterparty default dataset for the case

Date of the default
Reporting reference Default status of the status of the
date Counterparty identifier counterparty counterparty
31/03/2019 CPY#A Not in default 14/12/2018

31/03/2019 GUARANTOR#G Not in default “Non-applicable”

2. Observed agent (OA#XY) is supervised under the CRR and applies the definition of
default at the level of an instrument rather than at the level of a counterparty in
accordance with Article 178 of the CRR. In March 2019 the observed agent extends
a loan (Loan#2) to a legal entity (SmallCpy#B).

While the debtor (SmallCpy#B) is reported in the counterparty-instrument dataset in

connection with Loan#2 as of 31 March 2019, the default status of the counterparty is
not required as the definition of default is applied at the level of the loan. Consequently,
the counterparty default dataset is not reported at all for the debtor (i.e. no record in the
counterparty default dataset is reported for the counterparty) as of the reporting
reference date.

10.2 Level of granularity

1 The information in this dataset is compiled at the level of counterparty. Consequently,

2 each record is uniquely identified by the combination of the following attributes:

3 • reporting agent identifier;

4 • observed agent identifier;

5 • counterparty identifier.

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10.3 Reporting frequency

1 The dataset is reported on a monthly basis.

Revision mark: the reference to

Article 16(2) is deleted, as the
possibility to report on a quarterly
basis is not specific to this data
attribute

10.4 The counterparty default dataset – data attributes

2 The counterparty default dataset is applicable for counterparties for which the default
3 status of the counterparty is reported. In such cases, the following data attributes are
4 reported.

Table 123 Overview of data attributes in the counterparty default dataset

Data attribute Internal identifier Data type Section in Part II

Reporting agent identifier √ String 2.1.2.1

Observed agent identifier √ String 2.1.2.2

Counterparty identifier √ String 2.1.2.3

Default status of the counterparty Code list 10.4.1

Date of the default status of the counterparty Date 10.4.2

10.4.1 Default status of the counterparty

Definition: Identification of the default status of the counterparty. Categories describing

the motives for which the counterparty can be in default in accordance with Article 178
of Regulation (EU) No 575/2013.

5 The identification of the default status of the counterparty is done at the level of a
6 counterparty.

Reporting qualification
Revision mark: a reference is
7 added to the CRR concerning This data attribute is subject to AnaCredit reporting for counterparties reported to
providers of unfunded protection
8 and to the CRD IV concerning AnaCredit which are:
supervised entities
9 • debtors;

10 • protection providers of unfunded protection under Article 4(1)(59) of the CRR,

11 on condition that they are at the same time the issuer of the protection
12 (particularly if the protection item is a financial guarantee as defined in the
13 amended ITS).

14 However, this data attribute is not reported to AnaCredit if:

15 • the observed agent is not subject to capital requirements (i.e. is not supervised
16 under the CRD IV or is a foreign branch of an entity not supervised under the

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1 CRD IV) and has been granted a derogation by the relevant NCB in accordance
2 with Article 7 of the AnaCredit Regulation;

3 • all the debtor’s instruments reported to AnaCredit are “fully derecognised

4 instruments being serviced”, and the observed agent has been granted a
5 derogation by the relevant NCB in accordance with Article 7 of the AnaCredit
6 Regulation from reporting this data attribute in relation to the debtor;

7 • all instruments secured by the protection issued by the protection provider are
8 “fully derecognised instruments being serviced”, and the observed agent has
9 been granted a derogation by the relevant NCB in accordance with Article 7 of
10 the AnaCredit Regulation from reporting this data attribute in relation the
11 protection provider;

12 • the reporting agent applies, in the case of retail exposures, the definition of
13 default laid down in Article 178 of the CRR at the level of an instrument rather
14 than in relation to the total obligations of a debtor.

15 In particular, the relevant NCB may grant a derogation in respect of this data attribute
16 if the observed agent is not subject to capital requirements. This accounts for
17 observed agents of those credit institutions under Article 4(1)(1) of the CRR which
18 are exempted from capital requirements under Article 2 of the CRD IV.

19 One of the following four values is reported for a given debtor or a protection
20 provider that is subject to reporting.

Values

21 1. Not in default

22 • The counterparty does not fulfil the default definition in accordance with
23 Article 178 of the CRR.

24 2. Default because unlikely to pay

25 • The counterparty is classified to be in default because payments are unlikely

26 in accordance with Article 178(1)(a) of the CRR.

27 3. Default because more than 90/180 days past due

28 • In accordance with Article 178(1)(b) of the CRR, the counterparty is

29 classified to be in default because the counterparty is past due more than
30 90/180 days on any material credit obligation to the credit institution, the
31 parent undertaking under Article 4(1)(15) of the CRR or any of its
32 subsidiaries.

33 • Competent authorities may replace the 90 days with 180 days for exposures
34 secured by residential property or SME commercial immovable property in
35 the retail exposure class, as well as for exposures to public sector entities.

36 • For the purpose of indications of the past due criterion on a counterparty,

37 see Article 178(2)(a) to (e) of the CRR. The materiality of a credit obligation
38 past due will be assessed at the level of the counterparty. A threshold will be

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1 defined by the competent authorities in their jurisdictions. This threshold will

2 reflect a level of risk that the competent authority considers to be
3 reasonable.

4 • The sum of all amounts past due that are related to a counterparty needs to
5 be established on a daily basis, to allow for cross-checks with the materiality
6 threshold set by the competent authority in accordance with Article 178(2)(d)
7 of the CRR.

8 4. Default because both unlikely to pay and more than 90/180 days past due

9 • The counterparty is classified in default when both of the following have

10 taken place:

11 • the counterparty is classified to be in default because payments are unlikely

12 in accordance with Article 178(1)(a) of the CRR;

13 • the counterparty is classified to be in default because the counterparty is

14 past due more than 90/180 days on any material credit obligation in
15 accordance with Article 178(1)(b) of the CRR.

General reporting instructions, specific cases and examples

16 This data attribute relates to counterparties.

17 Revision mark: the reference to For details on the definition of default, please refer to the EBA Guidelines on the
the Guidelines on the application of
18 the definition of default is updated application of the definition of default under Article 178 of Regulation (EU) No
19 575/2013 (EBA/GL/2016/07).

20 Revision mark: the clarifications on Please note that in the case of retail exposures where the definition of default laid
the reporting of the data attribute
21 “default status of the counterparty” down in Article 178 (in connection with Article 127) of the CRR is applied at the level
22 in cases where the default definition of an instrument rather than at the level of a debtor, the data attribute “default status
is applied at the level of instrument
23 are streamlined of the counterparty”, which in that case does not apply, is not reported to AnaCredit.

24 Please also note that a special case arises if, in accordance with Article 178(1) of the
25 CRR, the option to apply the definition of default at the level of an instrument is
26 exercised only for a subset of instruments extended to a counterparty, while this
27 option is not exercised for other instruments extended to the same counterparty. This
28 scenario implies that default is assessed both at instrument and counterparty level.
29 In such cases, the default status of the counterparty is subject to AnaCredit
30 reporting.

31 For an illustration of the reporting of the data attribute “default status of the
32 counterparty”, including in connection with the data attribute “performing status of the
33 instrument”, please refer to Examples 37 to 41 in Section 5.4.9, and to Example 76 in
34 Section 10.4.2.

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10.4.2 Date of the default status of the counterparty

Definition: The date on which the default status, as reported in the data attribute
“Default status of the counterparty”, is considered to have arisen.

1 This data attribute captures the date on which the default status as reported in the
2 data attribute “default status of the counterparty” is considered to have arisen.

Reporting qualification

3 This data attribute is reported only if the data attribute “default status of the
4 counterparty” is subject to AnaCredit reporting as explained under the heading
5 “Reporting qualification” in Section 10.4.1 above.

6 Conversely, if the default status of the counterparty is not reported, the date of the
7 default status of the counterparty is not reported either.

Values

8 If subject to reporting, this data attribute is reported as a date indicating the day on
9 which the status as reported in the data attribute “default status of the counterparty”
10 is considered to have arisen.

11 However, in the case of counterparties which are considered by the reporting agent
12 not to have been in default in accordance with Article 178 of the CRR since the
13 beginning of the relationship (until the reporting reference date) and for which the
14 default status of the counterparty is reported as “not in default”, and only in such
15 cases, the data attribute “date of the default status of the counterparty” is reported as
16 “non-applicable”.

General reporting instructions, specific cases and examples

17 If subject to reporting at a reporting reference date, the date of the default status of
18 the counterparty is no later than the reporting reference date.

19 If no default is considered to have occurred with regard to a counterparty prior to the

20 reporting reference date, the date of the default status of the counterparty is reported
21 as “non-applicable”.

22 In particular, in the case of counterparties which are protection providers – for which
23 the default status of the counterparty is subject to reporting (please refer to Section
24 10.4.1) – and which are not classified as being in default in accordance with Article
25 178 of the CRR, the default status of the counterparty is reported as “not in default”,
26 while the date of the default status is reported as “non-applicable”.

27 If a counterparty which was in default earlier has not been in default since then and
28 is not in default at a reporting reference date, the default status of the counterparty is
29 reported as “not in default”, and the date of the default status of the counterparty at
30 the reporting reference date is the date as of which the counterparty ceased to be in

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1 default. For an illustration of how the date of the default status of the counterparty is
2 to be reported, consider the following example.

Example 76: Reporting the default status of the counterparty

Observed agent (OA#1) is a (part of a) credit institution supervised under the CRR and
applies the definition of default in accordance with Article 178 of the CRR at the level of
a counterparty. The observed agent has a parent undertaking (CredInst#A) (under
Article 4(1)(15) of the CRR) which is a credit institution under Article 4(1)(1) of the CRR.
The parent undertaking of the legal entity has no other subsidiaries than the observed
agent.

1. At 31 March 2019, a legal entity (DEBTOR#1) has a credit obligation (Loan#1) to

OA#1. The loan is secured with a financial guarantee provided by counterparty
GUARANTOR#T. GUARANTOR#T has no direct credit obligation to OA#1 but has
one to CredInst#A. Neither DEBTOR#1 nor GUARANTOR#T has been classified
in default in accordance with the CRR for the entirety of the business relationship
with OA#1 and its parent undertaking CredInst#A.

In the context of AnaCredit, DEBTOR#1 is reported to AnaCredit vis-à-vis OA#1 in

connection with Loan#1 (as reported in the counterparty-instrument dataset).
GUARANTOR#T acts as protection provider to Loan#1 and is reported in the protection
received dataset. The data attribute “default status of the counterparty” is required for
both DEBTOR#1 and GUARANTOR#T. The reporting is depicted in Table 124.

Table 124 Counterparty default dataset for the case as of 31 March

Reporting Counterparty Default status of the Date of the default status of
reference date identifier counterparty the counterparty
31/03/2019 DEBTOR#1 Not in default “Non-applicable”

31/03/2019 GUARANTOR#T Not in default “Non-applicable”

2. The situation described in 1 above continues unchanged until 15 September 2019,

when OA#1 classifies DEBTOR#1 in default because payments are unlikely in
accordance with Article 178(1)(a) of the CRR.

As of 30 September, DEBTOR#1 and GUARANTOR#T are reported in the counterparty

default dataset as follows:

Table 125 Counterparty default dataset for the case as of 30 September

Reporting Counterparty Default status of the Date of the default status of
reference date identifier counterparty the counterparty
30/09/2019 DEBTOR#1 Default because unlikely to pay 15/09/2019

30/09/2019 GUARANTOR#T Not in default “Non-applicable”

3. On 24 January 2020 GUARANTOR#T becomes past due more than 90 days on

the obligation to CredInst#A and is classified in default in accordance with Article
178(1)(b) of the CRR. The counterparty default dataset reported in relation to
OA#1 is presented in Table 126.

Table 126 Counterparty default dataset for the case as of 31 January 2020
Reporting Counterparty Default status of the Date of the default status of
reference date identifier counterparty the counterparty
30/09/2019 DEBTOR#1 Default because unlikely to pay 15/09/2019
Default because more than
30/09/2019 GUARANTOR#T 24/01/2020
90/180 days past due

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11 Counterparty risk dataset

11.1 General aspects

1 The dataset captures the assessment of the counterparty’s credit risk in accordance
2 with the CRR.

11.1.1 Reporting qualification

3 The counterparty risk dataset is exclusively relevant for counterparties reported to

4 AnaCredit for which the data attribute “probability of default” is applicable as
5 specified in Section 11.4.1 below.

6 Conversely, the counterparty risk data are not reported (i.e. no records at all are
7 reported) for counterparties which are neither debtors nor protection providers, or for
8 debtors and protection providers for which the PD is not applicable.

9 Specifically, unless the data attribute “probability of default” in the counterparty risk
10 dataset is reported for a counterparty as of a given reporting reference date, no
11 record at all is to be reported to AnaCredit in the respective dataset in relation to the
12 counterparty at the reporting reference date.

13 For an illustration of how the counterparty risk dataset is to be reported, consider the
14 following example.

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Example 77: Reporting the counterparty risk dataset

1. An observed agent (OA#1) is a (part of a) credit institution supervised under the

CRR. In March 2019 the observed agent extends a loan (Inst#1) to a legal entity
(Cpy#A) for which a PD of 1.35% is estimated in accordance with the IRB approach
of the CRR. The loan is secured by a financial guarantee provided by a legal entity
(Guarantor#G) and by securities pledged by a legal entity (ThirdParty#1). A PD of
0.75% is estimated in accordance with the IRB approach for the guarantor, and no
PD is required to be estimated for the provider of the securities.

In connection with Inst#1 the debtor is reported in the counterparty-instrument dataset,

while the protection providers of both protection items are reported in the protection
received dataset. However, the reporting of PD is required only in relation to the debtor
(Cpy#A) and the guarantor (Guarantor#G), whereas no PD is required for the protection
provider (ThirdParty#1) of the securities because ThirdParty#1 is not the issuer of the
protection. Ultimately, since the reporting of the PD for ThirdParty#1 is not subject to
AnaCredit reporting, as of 31 March 2019 the counterparty risk dataset is populated only
for the debtor and the guarantor and no record at all is reported for ThirdParty#1.

Table 127 Counterparty risk dataset

Reporting reference date Counterparty identifier Probability of default

31/03/2019 CPY#A 0.0135

31/03/2019 GUARANTOR#G 0.0075

2. Observed agent (OA#XY) is supervised under the CRR but does not estimate PD in
accordance with the IRB approach. In March 2019 the observed agent extends a
loan (Loan#2) to a legal entity (Cpy#B).

The debtor is reported in the counterparty-instrument dataset in connection with Loan#2.

However, since the observed agent does not estimate a PD for the debtor in accordance
with the IRB approach of the CRR, the PD is not required and the counterparty risk
dataset is not reported at all for the debtor (i.e. no record in the counterparty risk dataset
is reported).

11.2 Level of granularity

1 The level of granularity for the counterparty risk dataset is the counterparty.
2 Consequently, each record is uniquely identified by the combination of the following
3 attributes:

4 • reporting agent identifier;

5 • observed agent identifier; and

6 • counterparty identifier.

7 In the case of natural persons being affiliated with instruments reported to AnaCredit,
8 no record for the natural persons is reported.

11.3 Reporting frequency

9 The records are reported on a monthly basis.

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1 However, in accordance with point 9.6 of Annex I to the AnaCredit Regulation, the
2 relevant NCB may decide to collect the counterparty risk data on a quarterly basis

11.4 The counterparty risk dataset – data attributes

3 The counterparty risk dataset is applicable for counterparties for which the PD is
4 reported. In such cases, the following data attributes are reported.

Table 128 Overview of data attributes in the counterparty risk dataset

Data attribute Internal identifier Data type Section in Part II

Reporting agent identifier √ String 2.1.2.1

Observed agent identifier √ String 2.1.2.2

Counterparty identifier √ String 2.1.2.3

Probability of default Numerical 11.4.1

11.4.1 Probability of default

Definition: The counterparty’s probability of default over one year, determined in

accordance with Articles 160, 163, 179 and 180 of Regulation (EU) No 575/2013.

5 This data attribute captures the probability of default of the counterparty as

6 established in accordance with the CRR.

Reporting qualification

7 This data attribute is subject to AnaCredit reporting for counterparties reported to

8 AnaCredit which are:

9 • debtors;

10 • protection providers, on condition that they are at the same time the issuers of
11 the protection (in particular, if the protection item is a financial guarantee as
12 defined in the ITS).

13 However, the reporting of this data attribute to AnaCredit is not required if:

14 • the reporting agent is not required to determine PD estimates for debtors and
15 protection providers concerned in accordance with the IRB approach of the
16 CRR;

17 • the relevant NCB decides not to collect this data attribute from individual
18 reporting agents in accordance with Article 7 of the AnaCredit Regulation.
Revision mark: clarification is
19 included concerning “fully
In particular, the relevant NCB may decide not to require this data attribute when:
derecognised instruments being
20 serviced” • the observed agent is not subject to capital requirements (i.e. is not supervised
21 under the CRD IV or is a foreign branch of an entity not supervised under the
22 CRD IV). This accounts for those credit institutions under Article 4(1)(1) of the

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1 CRR which are exempted from capital requirements under Article 2 of the CRD
2 IV;

3 • all the debtor’s instruments reported to AnaCredit are “fully derecognised

4 instruments being serviced” in accordance with Annex II to the AnaCredit
5 Regulation.

Values
Revision mark: clarification is
6 included concerning the value to If the data attribute is reported to AnaCredit, it is a number ranging from 0 to 1,
report
7 rounded up to six decimal places, where a value of 0.05 denotes a PD of 5%.

8 For an illustration of how the probability of default is reported, consider the following
9 example.

Example 78: Reporting PDs to AnaCredit

The counterparty PD is reported to AnaCredit as follows:

If the PD is equal to 2.53%, the value 0.0253 is reported.

If the PD equals 0.03569%, then the value 0.000357 is reported.

General reporting instructions, specific cases and examples

10 The probability of default (PD) is calculated in accordance with the requirements

11 specific to PD estimation as laid down in the CRR.

12 Revision mark: further In the case of PDs produced at the instrument level (the “product PD”), the
clarifications are added concerning
13 the reporting of counterparty PD counterparty’s PD at the reporting reference date is reported as the exposure-
14 weighted average PD (where the exposure is the outstanding nominal amount)
15 across the PDs of all instruments of the counterparty reported to AnaCredit at the
16 reporting reference date.

17 If, for a given counterparty, a reporting agent estimates PDs for both the
18 counterparty and (some of) the products of the counterparty, it is the counterparty’s
19 PD that is reported to AnaCredit in the data attribute. For an illustration of how the
20 PD is reported in such cases, consider the following example.

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Example 79: Reporting PD where both product and counterparty PDs are estimated

1. A counterparty PD has been estimated for a small company for the assessment of
loans extended in relation to the counterparty’s business activities. In addition, the
counterparty also has a residential mortgage loan (for reasons not related to the
counterparty’s business activities), where the PD is estimated specifically for the
mortgage loan (the product PD).

In this case, the counterparty PD that is estimated for the counterparty is reported to
AnaCredit.

2. A small company is a debtor in a residential mortgage loan for which a product PD

has been estimated. At a given moment in time, the mortgage loan is reported to
AnaCredit and the debtor does not have any other instruments.

In this case, the product PD is reported to AnaCredit.

3. A small company is a debtor in two residential mortgage loans for which product
PDs have been estimated. At a given reporting reference date, the mortgage loans
amount to €150,000 and €85,000 and the product PD are 1.35% and 1.45%,
respectively. Both loans are reported to AnaCredit and the debtor does not have
any other instruments.

In this case, the exposure-weighted product PD is reported to AnaCredit.

4. Considering further the situation of the debtor referred to in point 2 above, an

additional loan is extended to the debtor at a later moment in time in relation to the
debtor’s business activities, and a PD has been assigned to the debtor at
counterparty level.

In this case, it is the counterparty PD that is reported to AnaCredit at this later moment in
time (thus replacing the product PD associated with the residential mortgage loan).

1 In the case of project finance or specialised lending as referred to in Article 147(8) of

2 the CRR (e.g. ship finance or other project finance), the PD is applicable to entities
3 which correspond to the object financed. More specifically, the debtor is a special
4 purpose entity (SPE) that is not permitted to perform any function other than
5 developing, owning and operating the object, and the creditor is usually paid solely
6 or almost exclusively out of the money generated by the contracts for the object’s
7 output, such as the electricity sold by a power plant (cf. Section 3.4.2). The
8 consequence is that repayment depends primarily on the project’s cash flow and on
9 the collateral value of the project’s assets. In such cases, the PD is applicable to the
10 SPE which corresponds to the object financed, including when there are several
11 instruments extended to the SPE.

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12 Counterparty reference dataset

1 The exact identification of all counterparties involved in the instruments reported to
2 AnaCredit and the completeness and quality of their reference information is a
3 necessary prerequisite to unfold the whole potential of a granular credit dataset such
4 as AnaCredit.

5 It is important to note the AnaCredit Regulation leaves the NCBs the option not to
6 collect from individual reporting agents some specific reference data attributes (i.e.
7 those marked with an “N” in Tables 2 and 3, Annex III). Moreover, in accordance with
8 Article 9 of the AnaCredit Regulation, depending on national specificities, NCBs
9 might collect from their reporting agents only part of the reference data attributes
10 listed in the AnaCredit Regulation, e.g. when they have access to alternative sources
11 (e.g. national business registers) providing the same information in a comparable or
12 better quality. Against this background, it should be clarified that these two options
13 are ignored in the present chapter, with the assumption being made that all
14 mandatory attributes are provided to the NCB by reporting agents. As a result, for a
15 clear understanding of the actual reporting requirements applicable in each country,
16 reporting agents are advised to refer to the national reporting instructions or to
17 consult the respective NCB.

12.1 General aspects

12.1.1 Reporting principles regarding the counterparty reference data

18 Only legal entities or parts of legal entities according to Article 1(5) of the AnaCredit
19 Regulation are recorded as counterparties in AnaCredit. A list of legal forms, together
20 with information on whether or not they qualify as legal entities for the purposes of
21 AnaCredit, is included in the “List of legal forms” (for details on the list of legal forms,
22 see Section 12.4.13).

23 Revision mark: the clarifications It should be noted that in the AnaCredit data model, a legal entity is
concerning the scope of
24 counterparty reference data for undistinguishable from its head office and domestic part. In addition, if a legal entity
25 legal entities are aligned with has foreign branches, each foreign branch (under the “one country, one branch”
Q&A 2018/0044
26 principle) is deemed a distinct institutional unit, linked to the legal entity via the “head
27 office undertaking identifier” data attribute. Moreover, if there are one or more foreign
28 branches, the scope of counterparty reference data for legal entities is broader than
29 for their head offices/domestic parts where the counterparty reference data reported
30 in relation to the legal entity also include information relating to the foreign branches,
31 despite the fact that the legal entity is identified by the head office/domestic part.
32 Consider for example the data attribute “balance sheet total”, which refers to the
33 legal entity as a whole and, consequently, includes information for all of its foreign
34 branches.

35 The counterparties for which counterparty reference data are reported (albeit to
36 varying extents, depending, for example, on the specific role) are all legal entities or
37 foreign branches of legal entities that are counterparties to an instrument reported to

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1 AnaCredit. This includes providers of protection to such an instrument, or entities

2 that have an affiliation (e.g. as parent undertaking) with a counterparty to such an
3 instrument, i.e.:

4 − reporting agents;

5 − observed agents acting as

6 • creditors;

7 • servicers;

8 − counterparties to an instrument or to protection securing an instrument acting as

9 • creditors;

10 • servicers;

11 • originators;

12 • debtors;

13 • protection providers;

14 − Other parties that have an affiliation with a party to an instrument (affiliated

15 population), i.e.

16 • head office undertakings of debtors and protection providers;

17 • immediate parent undertakings of debtors and protection providers;

18 • ultimate parent undertakings of debtors and protection providers.

19 This population can be illustrated as follows:

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Figure 4: Counterparties for which a counterparty reference data record is generally

submitted (blue squares)

Relevant bCB Ultimate parent

undertaking
(if applicable)

Immediate parent
undertaking
(if applicable)
Reporting agent

Creditor
(if different from Head office
Observed agent) undertaking

hbserved agent
(creditor and/or
servicer)

Protection provider
Servicer Protection
Instrument
(if different from (if applicable)
Observed agent)

Originator
(if applicable) Debtor

A record of the
counterparty reference
Head office Immediate parent Ultimate parent
data undertaking
undertaking undertaking
(if applicable) (if applicable)

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1 As a result, the counterparty reference data include:

2 1. One data record for the reporting agent.

3 2. One data record for the observed agent.

4 3. One data record for each counterparty playing any of the following roles in the
5 instrument:

6 (i) creditor:
7 (ii) servicer;
8 (iii) debtor.

9 4. Where relevant (i.e. when an instrument is secured with protection or is subject

10 to a securitisation), one data record for each counterparty playing any of the
11 following roles:

12 (i) originator;
13 (ii) protection provider.

14 5. The AnaCredit Regulation stipulates that the head office undertaking identifier is
15 always reported for counterparties that are foreign branches. Nevertheless, it is
16 recommended that the head office undertaking identifier is also reported in the
17 data record of the legal entity (represented by the head office undertaking), in
18 which case the same counterparty identifier is reported twice.

19 6. The AnaCredit Regulation also stipulates that the immediate parent undertaking
20 identifier and the ultimate parent undertaking identifier are reported for all
21 counterparties which are resident in a reporting Member State. As a result, a
22 distinct counterparty reference data record is reported for each of the following
23 affiliates to a counterparty to an instrument (where relevant):

24 (i) head office undertaking;

25 (ii) immediate parent undertaking;
26 (iii) ultimate parent undertaking.
Revision mark: repeated
27 references to the link between It is worth noting that a special fund and its managing financial corporation are
28 special funds and their managing deemed to have a relationship similar to that between a foreign branch and the legal
financial companies in the context
29 of counterparty reference data are entity to which it belongs (see also Section 12.2.2.2). Therefore, it is recommended
30 streamlined in light of the that a counterparty reference data record is submitted for the managing financial
clarifications provided in
31 Section 12.2.2.2 corporation representing the “head office undertaking” of the special fund (when the
32 latter acts as debtor or protection provider).

33 While the concept of “head office undertaking” relates to the relationship between a
34 foreign branch and the legal entity of which it is part, the concepts of “immediate
35 parent undertaking” and “ultimate parent undertaking” relate merely to legal entities
36 (for further information, see following sections). Therefore, no information on the
37 immediate parent undertaking or the ultimate parent undertaking is reported in the
38 data record of a counterparty which is a foreign branch.

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Head office undertaking

1 The head office undertaking is the As explained, AnaCredit reporting is based on the concept of institutional units as
2 legal entity of which the foreign counterparties. If it has no foreign branches, the legal entity corresponds to a single
branch is a legally dependent part
3 institutional unit. If it has foreign branches, the head office undertaking/domestic part
4 represents the legal entity, and each foreign branch is a distinct institutional unit
5 linked to the legal entity via the head office undertaking relationship (cf. Section 3.4.1
6 in Part I of the Manual).

7 If the debtor or the protection The AnaCredit Regulation (Annex IV) states that the data attribute “head office
provider is a foreign branch or
8 special fund, the counterparty undertaking identifier” is reported only for debtors or protection providers that are
9 reference data report will include a foreign branches. Furthermore, it is recommended (cf. Section 3.4.1.3.1 in Part I of
record for the head office
10 undertaking the Manual) that the “head office undertaking identifier” is also reported for
11 counterparties which are special funds, given that they are considered similarly to a
12 foreign branch of the financial corporation that manages them.

13 Revision mark: Section 12.2.2.2 Consequently, if a counterparty acting as a debtor or protection provider is a foreign
clarifies that the treatment of
14 special funds is analogous to the branch (or a special fund), the counterparty reference data include a record on the
15 treatment of foreign branches; debtor or protection provider itself, and a record for its head office undertaking
hence, repeated references to the
16 link between special funds and their (which represents the legal entity of which the foreign branch is part). In the
17 managing financial companies in counterparty reference data record of the foreign branch, the counterparty identifier
the context of counterparty
18 reference data are dropped of the head office undertaking is reported in the data attribute “head office
19 undertaking identifier”, which allows the necessary link to be made between the
20 foreign branch and the legal entity of which the branch is part.

21 If the counterparty acting as debtor or protection provider is the head office

22 undertaking representing the legal entity, it is still recommended that the
23 counterparty identifier of the counterparty itself be reported in the data attribute
24 “head office undertaking identifier”. In this case, however, no additional counterparty
25 reference data report is required for the head office undertaking because it coincides
26 with the debtor or protection provider itself.

27 Finally, to avoid the reporting of redundant information, the head office undertaking
28 identifier is reported as “not required” in the counterparty reference data record of the
29 immediate parent undertaking and ultimate parent undertaking (this is illustrated in
30 the following examples).

Immediate parent undertaking

31 If an immediate parent undertaking exists for (the head office undertaking of) the
32 debtor or protection provider, a separate data record is reported for the immediate
33 parent undertaking.

34 The counterparty identifier of the immediate parent undertaking is reported in the

35 data attribute “immediate parent undertaking identifier” of the debtor’s (or protection
36 provider’s) counterparty reference data, unless the debtor (or protection provider) is
37 a foreign branch or a special fund, in which case the “immediate parent undertaking
38 identifier” is only reported in the record of the head office undertaking.

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1 While each foreign branch in scope of AnaCredit is part of a legal entity (represented
2 by the head office undertaking), not every legal entity has an immediate parent
3 undertaking. If no immediate parent undertaking exists, the counterparty identifier of
4 the head office undertaking itself is reported as the “immediate parent undertaking
5 identifier” in the head office undertaking’s counterparty reference data record.

6 Please refer to Section 3.4.2 in Part I of the Manual for more information on
7 immediate parent undertakings.

Ultimate parent undertaking

8 If an ultimate parent undertaking exists for the (head office undertaking of the) debtor
9 or protection provider, a separate data record is reported for the ultimate parent
10 undertaking.

11 The counterparty identifier of the ultimate parent undertaking is reported in the data
12 attribute “ultimate parent undertaking identifier” of the debtor’s (or protection
13 provider’s) counterparty reference data, unless the debtor is a foreign branch or a
14 special fund, in which case the “ultimate parent undertaking identifier” is only
15 reported in the record of the head office undertaking.

16 If the head office undertaking (representing the legal entity) does not have an
17 immediate parent undertaking (and therefore no ultimate parent undertaking either),
18 the counterparty identifier of the head office undertaking of the debtor (or protection
19 provider) itself is reported in the data attributes “immediate parent undertaking
20 identifier” and “ultimate parent undertaking identifier” of the head office undertaking’s
21 counterparty reference data. In this case, no distinct record is submitted for the
22 immediate parent undertaking or ultimate parent undertaking.

23 If the immediate parent undertaking does not have a parent undertaking (i.e. the
24 immediate and ultimate parent undertakings coincide), the counterparty identifier of
25 the immediate parent undertaking of the debtor (or protection provider) itself is
26 reported in the data attributes “immediate parent undertaking identifier” and “ultimate
27 parent undertaking identifier” of the head office undertaking’s counterparty reference
28 data report.

29 Please refer to Section 3.4.3 in Part I of the Manual for more information on ultimate
30 parent undertakings.

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12.1.1.1 Reporting obligation – examples

1 The following example illustrates the reporting obligation in the case of a debtor with
2 no parent undertakings.

Example 80: Debtor with no parent undertakings

The observed agent (OA), which is a foreign branch of the reporting agent (RA), extends
an instrument to a counterparty (debtor D), which is a legal entity with no immediate or
ultimate parent undertaking. The instrument is protected by a guarantee of a protection
provider (PP), which is a legal entity.

In this case, counterparty reference data are submitted for the following counterparties:

• reporting agent (RA);

• observed agent (OA) acting as creditor and servicer (one record in the
counterparty reference data, but two roles of the observed agent in the
counterparty-instrument dataset);

• debtor (D);

• protection provider (PP).

3 Revision mark: the description in The following example illustrates the reporting requirements in the case of a debtor
the example is streamlined
4 with an immediate parent undertaking and an ultimate parent undertaking.

Example 81: Debtor with an immediate and an ultimate parent undertaking

The observed agent (OA) extends an instrument to a counterparty which is a foreign

branch (debtor D). The OA is a foreign branch of the reporting agent (RA). The
instrument is protected by a guarantee of protection provider (PP), which is a legal entity
with no immediate parent undertaking. The debtor D has a head office undertaking
(which represents the legal entity of which debtor D is part), an immediate parent and an
ultimate parent undertaking.

In this case, counterparty reference data are submitted for the following counterparties:

• reporting agent (RA);

• observed agent (OA) acting as creditor and servicer (one record in the
counterparty reference data, but two roles in the counterparty-instrument dataset);

• debtor (D);

• head office undertaking of the debtor D;

• immediate parent undertaking (of the legal entity of which debtor D is part);

• ultimate parent undertaking (of the legal entity of which debtor D is part);

• protection provider (PP).

5 The following example illustrates the reporting requirements in the case of a debtor
6 with immediate and ultimate parent undertakings, and a protection provider with just
7 one parent undertaking (which is then both the immediate and the ultimate parent
8 undertaking).

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Example 82: Debtor with an immediate and an ultimate parent undertaking and
protection provider with an immediate and ultimate parent undertaking

The observed agent (OA) extends an instrument to a counterparty which is a foreign

branch (debtor D). The instrument is protected by a guarantee provided by protection
provider PP, which is a foreign branch. The legal entity of which PP is part (represented
by the head office undertaking) has only one parent (i.e. the immediate parent is also the
ultimate parent). The legal entity of debtor D, which is represented by its head office
undertaking, has an immediate parent undertaking and an ultimate parent undertaking.

In this case, counterparty reference data are submitted for the following counterparties:

• reporting agent = observed agent (OA) acting as creditor and servicer (one
record in the counterparty reference dataset, but two roles in the counterparty-
instrument dataset);

• debtor (D);

• head office undertaking of debtor D;

• immediate parent undertaking (of the legal entity of which debtor D is part);

• ultimate parent undertaking (of the legal entity of which debtor D is part);

• protection provider (PP);

• head office undertaking of the protection provider PP, representing the legal
entity of which protection provider PP is part;

• immediate parent undertaking (= ultimate parent undertaking) of the legal entity

of which protection provider PP is part.

1 The following example illustrates the reporting requirements in a case where an

2 instrument is held by one counterparty and serviced by another, the debtor to the
3 instrument has immediate and ultimate parent undertakings, and there is a protection
4 provider which provides protection to the instrument.

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Example 83: Instrument serviced and held by two different counterparties

The observed agent (OA) is the creditor of an instrument to a counterparty which is a

foreign branch (debtor D). The OA is a foreign branch of the reporting agent (RA). The
instrument is protected by a guarantee provided by protection provider PP, which is a
legal entity (the legal entity does not have an immediate parent). Debtor D belongs to a
legal entity (represented by its head office undertaking) which has an immediate parent
undertaking and an ultimate parent undertaking. The instrument is serviced by
counterparty C, which is a legal entity.

In this case, counterparty reference data are submitted for the following counterparties:

• reporting agent (RA);

• observed agent (OA) acting as creditor (one record in the counterparty-

instrument dataset);

• counterparty C acting as servicer (one record in the counterparty-instrument

dataset);
• debtor (D);

• head office undertaking of debtor D;

• immediate parent undertaking (of the legal entity of which debtor D is part);

• ultimate parent undertaking (of the legal entity of which debtor D is part);

• protection provider (PP).

1 The following example illustrates the reporting requirements in the case of an

2 instrument subject to a securitisation which is held by one counterparty while another
3 counterparty acts as servicer and originator.

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Example 84: Instrument held by one counterparty and serviced by another

counterparty which also acts as originator

The observed agent (OA) is the creditor of an instrument to a counterparty which is a

foreign branch (debtor D). The OA is a foreign branch of the reporting agent (RA). The
instrument is protected by a guarantee provided by protection provider PP, which is a
legal entity (which does not have an immediate or ultimate parent undertaking). Debtor D
belongs to a legal entity (represented by its head office undertaking) which has no
immediate parent undertaking or ultimate parent undertaking. The instrument was
originated by counterparty C, which still services the instrument.

Based on this situation, counterparty reference data are submitted for the following
counterparties:

• reporting agent (RA);

• observed agent (OA) acting as creditor (one record in the counterparty-

instrument dataset);

• counterparty C acting as servicer and originator (one record in the counterparty

reference dataset, but two roles in the counterparty-instrument dataset);

• debtor (D);

• head office undertaking of debtor D;

• protection provider (PP).

12.1.1.2 Counterparty reference data in relation to debtors and protection

providers – examples

1 In general, the counterparty reference data of a debtor or protection provider include,

2 in addition to the counterparty identifier of the debtor or protection provider itself, the
3 counterparty identifiers of (i) its legal entity (represented by a head office
4 undertaking), (ii) the immediate parent undertaking of the legal entity of which the
5 counterparty is part, and (iii) the ultimate parent undertaking of the legal entity of
6 which the counterparty is part. However, whether or not additional counterparty
7 reference data are reported for any of these affiliated counterparties depends on a
8 number of factors.

9 Note that, for a given instrument reported to AnaCredit, the counterparty reference
10 dataset includes records referring to the reporting agent, the observed agent, the
11 creditor, the servicer and the debtor to the instrument. However, in the examples
12 below, the emphasis is only on the counterparty identifiers in the counterparty
13 reference data relating to the debtor and to the affiliated parties, leaving out the other
14 counterparties.

15 The following example illustrates the reporting requirements relating to the

16 counterparty identifiers in the case of a debtor being a legal entity with no parent
17 undertaking.

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Example 85: Counterparty identifiers in relation to a debtor with no immediate or

ultimate parent undertaking

The debtor (counterparty identifier = Cty#DE100) is a legal entity resident in Germany.

The debtor has no parent undertaking.

Table 129 provides an overview of the counterparty reference data related to the debtor
(the other records are ignored in this example).

Table 129 Overview of data relating to the identification of a debtor which is a legal entity
Head office Immediate parent Ultimate parent
Counterparty undertaking undertaking undertaking
Counterparty identifier identifier identifier identifier
Debtor CTY#DE100 CTY#DE100 CTY#DE100 CTY#DE100

Please note that both the legal entity and the head office undertaking (which represents
the legal entity) are identified by the same counterparty identifier. In this case, since the
debtor is a legal entity (not a foreign branch), the reporting of the head office undertaking
identifier (in italics) is recommended, although it is not strictly mandatory.
Moreover, since the legal entity has no immediate or ultimate parent undertaking, the
counterparty identifier of the legal entity itself is also reported both in the data attribute
“immediate parent undertaking identifier” and in the data attribute “ultimate parent
undertaking identifier”.
Since all the affiliates’ counterparty identifiers refer to the same counterparty, the
counterparty reference data include only one record in this case.

1 The following example illustrates the reporting requirements for the counterparty
2 identifiers in the case of a debtor being a foreign branch of a legal entity with no
3 immediate or ultimate parent undertaking.

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Example 86: Counterparty identifiers in relation to a debtor with no immediate or

ultimate parent undertaking

The debtor is a French branch (counterparty identifier = Cty#FR001) of a German legal

entity, which is identified by the counterparty identifier Cty#DE100. The German legal
entity of which the debtor is part (represented by the head office undertaking of the
debtor) has no immediate or ultimate parent undertaking.

The following table below provides an overview of the counterparty reference data
related to the debtor. Note that in this case the counterparty reference data of both the
debtor and the debtor’s head office undertaking are reported.
Table 130 Overview of data relating to the identification of the debtor and its head office
undertaking
Head office Immediate parent Ultimate parent
Counterparty undertaking undertaking undertaking
Counterparty identifier identifier identifier identifier
Debtor CTY#FR001 CTY#DE100 “Not required” “Not required”

Head office undertaking CTY#DE100 CTY#DE100 CTY#DE100 CTY#DE100

In this example, the counterparty reference data of the debtor include its own
counterparty identifier (Cty#FR001) as well as the (distinct) identifier of the head office
undertaking (Cty#DE100). Since the debtor is a foreign branch, the immediate parent
undertaking identifier and the ultimate parent undertaking identifiers are both reported as
“not required” in this data report.

However, as in this case counterparty CTY#DE100 is affiliated with the debtor, the
counterparty reference dataset also includes a record for the legal entity of the debtor
(represented by the head office undertaking). In this connection, the record relating to the
legal entity (as represented by the head office undertaking) is identified by the
counterparty identifier of the head office undertaking of the legal entity of which the
foreign branch (the debtor) is part. Furthermore, information on the immediate and
ultimate parent undertakings is recorded in this report, because it relates to the
relationship between legal entities. Please note that since the counterparty is a legal
entity (not a foreign branch), the reporting of the head office undertaking identifier (in
italics) is recommended, although it is not strictly mandatory.
Therefore, as it is explained in Section 3.4.2 in Part I of the Manual, if, in the case of
foreign branches, the legal entity of which the foreign branch is a legally dependant part
does not have an immediate parent undertaking, the counterparty identifier of the head
office undertaking of the debtor itself is reported as the immediate parent undertaking
identifier, which in this case is Cty#DE100. The same reasoning applies to the ultimate
parent undertaking of the debtor, whose identifier is Cty#DE100.

1 The following example illustrates the reporting requirements relating to the

2 counterparty identifiers in the case of a debtor being a foreign branch of a legal entity
3 with an immediate parent undertaking which is also the ultimate parent undertaking.

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Example 87: Counterparty identifiers in relation to a debtor with an immediate parent

undertaking which is also the ultimate parent undertaking

The debtor is located in France and is a foreign branch (counterparty identifier =

Cty#FR001) of a German legal entity, which is identified by the counterparty identifier
(Cty#DE100). The German legal entity has an immediate parent undertaking, identified
by the counterparty identifier (Cty#DE200), which is also the ultimate parent undertaking
and is also resident in Germany.

In this case, the counterparty reference data records relating to the debtor, the legal
entity of which debtor is part (represented by the head office undertaking) and the legal
entity’s immediate parent undertaking are reported. An overview of the data is provided in
Table 131.
Table 131 Overview of data relating to the identification of the debtor, its head office
undertaking and the debtor’s immediate parent undertaking
Immediate
Head office parent Ultimate parent
Counterparty undertaking undertaking undertaking
Counterparty identifier identifier identifier identifier
Debtor CTY#FR001 CTY#DE100 “Not required” “Not required”

Head office undertaking CTY#DE100 CTY#DE100 CTY#DE200 CTY#DE200

Immediate parent undertaking CTY#DE200 “Not required” “Not required” “Not required”

The record of counterparty reference data relating to the debtor includes the counterparty
identifier of the debtor itself (Cty#FR001), as well as the identifier of the legal entity of
which the debtor is part (represented by the head office undertaking (Cty#DE100). Since
the debtor is a foreign branch, the immediate and ultimate parent undertaking identifiers
are reported as “not required” in the reference data report of the debtor.

As regards the counterparty reference data of the head office undertaking (which
represents the legal entity of which the debtor is part), it is identified by the counterparty
identifier of the legal entity of which the foreign branch (the debtor) is part. Please note
that since in the record of the head office undertaking the counterparty is a legal entity
(not a foreign branch), the reporting of the head office undertaking identifier (in italics) is
recommended, although it is not strictly mandatory. In this connection, the counterparty
identifier of the immediate parent undertaking (Cty#DE200) of the legal entity of which
the debtor is part is reported in the data attribute “immediate parent undertaking
identifier” in the record of the head office undertaking of the debtor.

Finally, since the immediate and ultimate parent undertakings of the legal entity of the
debtor coincide (i.e. the immediate parent undertaking is the only parent undertaking),
the counterparty reference data of the immediate parent undertaking include only its own
counterparty identifier, while the data attributes “head office undertaking identifier”,
“immediate parent undertaking identifier” and “ultimate parent undertaking identifier” are
reported as “not required”.

1 The following example illustrates the reporting with regard to the counterparty
2 identifiers in the case of a debtor being a foreign branch of a legal entity with both an
3 immediate and an ultimate parent undertaking (distinct from the immediate parent
4 undertaking).

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Example 88: Counterparty identifiers in relation to a debtor with an immediate and

an ultimate parent undertaking

The debtor is located in France and is a foreign branch (counterparty identifier =

Cty#FR001) of a German legal entity, which is identified by the counterparty identifier
(Cty#DE100). The German legal entity has an immediate parent undertaking, identified
by the counterparty identifier (Cty#DE200), and an ultimate parent undertaking, identified
by the counterparty identifier (Cty#IT400). The legal entity of which the debtor is part (as
represented by the head office undertaking) and the immediate parent undertaking are
both resident in Germany, while the ultimate parent undertaking is resident in Italy.

In this case, the counterparty reference data record of the debtor, the identifiers of the
legal entity of which the debtor is part (represented by the head office undertaking) and
the legal entity’s immediate and ultimate parent undertakings are reported.
Table 132 Overview of data attributes relating to the identification of the debtor, its head
office undertaking and the immediate and ultimate parent undertakings
Immediate
Head office parent Ultimate parent
Counterparty undertaking undertaking undertaking
Counterparty identifier identifier identifier identifier
Debtor CTY#FR001 CTY#DE100 “Not required” “Not required”

Head office undertaking CTY#DE100 CTY#DE100 CTY#DE200 CTY#IT400

Immediate parent undertaking CTY#DE200 “Not required” “Not required” “Not required”

Ultimate parent undertaking CTY#IT400 “Not required” “Not required” “Not required”

As in the previous example, since the debtor is a foreign branch, the counterparty
identifier of the legal entity of which the debtor is part (as represented by the head office
undertaking Cty#DE100) is reported in the record of the debtor, while the counterparty
identifiers of the immediate and ultimate parent undertakings are reported as “not
required”.

Given that the legal entity of which the debtor is part (as represented by the head office
undertaking) is identified in the record of the debtor, the counterparty reference data
include a record on the legal entity (i.e. the record on the head office undertaking).
Furthermore, the record on the legal entity includes the counterparty identifiers of the
immediate and ultimate parent undertakings of the legal entity. In this connection, the
counterparty identifier of the immediate parent undertaking (Cty#DE200) is reported in
the data attribute “immediate parent undertaking identifier” and the counterparty identifier
of the ultimate parent undertaking (Cty#IT400) is reported as the “ultimate parent
undertaking identifier” in the record of head office undertaking which represents the legal
entity of which the debtor is part. Please note that since in the record of the head office
undertaking the counterparty is a legal entity (not a foreign branch), the reporting of the
head office undertaking identifier (in italics) is recommended, although it is not strictly
mandatory.

Finally, since the immediate and ultimate parent undertakings are identified in the record
relating to the head office undertaking, additional records of the counterparty reference
data are reported for both the immediate and ultimate parent undertakings. In these
records, the data attributes “head office undertaking identifier”, “immediate parent
undertaking identifier” and “ultimate parent undertaking identifier” are reported as “not
required”.

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12.1.1.3 A counterparty playing different roles

1 In AnaCredit, the same counterparty can play multiple roles in relation to different
2 instruments issued by the same or by different observed agents. For example, a
3 credit institution may act as creditor, debtor, protection provider, originator or servicer
4 in different transactions. Moreover, it may be reported as the legal entity of which the
5 debtor is part (as represented by the head office undertaking), the legal entity’s
6 immediate parent undertaking and the legal entity’s ultimate parent undertaking in
7 other transactions. The roles played by the various counterparties are recorded in
8 the respective counterparty-instrument datasets, not in the counterparty reference
9 datasets.

10 Revision mark: further Please refer to Example 89 for an illustration of the reporting in the case of debtors
clarifications are included in the
11 description of Example 89 with no immediate or ultimate parent undertaking.

Example 89: Counterparty identifiers in relation to a debtor with no immediate or

ultimate parent undertaking

A counterparty in this example (Cty#100) is a legal entity with no immediate or ultimate

parent undertaking. This counterparty acts as a debtor in one instrument (instrument 1)
and as protection provider in relation to another instrument (instrument 2). The debtor of
instrument 2 (Cty#800) is another legal entity, which has no immediate or ultimate parent
undertakings.

These roles are recorded in the counterparty-instrument dataset, in the data attribute
“counterparty role” (in relation to instrument 1) and in the protection received dataset (in
relation to instrument 2). Note that other roles regarding the instrument (e.g. observed
agent and reporting agent) are also reported, but these are beyond the scope of the
present example.

The following counterparty reference data have to be submitted in relation to instruments

1 and 2, respectively.
Table 133 Overview of data relating to the identification of the debtor in relation to
Instrument 1
Head office Immediate parent Ultimate parent
Counterparty undertaking undertaking undertaking
Counterparty identifier identifier identifier identifier
Debtor CTY#100 CTY#100 CTY#100 CTY#100

Table 134 Overview of data relating to the identification of the debtor and the protection
provider in relation to Instrument 2
Head office Immediate parent Ultimate parent
Counterparty undertaking undertaking undertaking
Counterparty identifier identifier identifier identifier
Debtor CTY#800 CTY#800 CTY#800 CTY#800

Protection provider CTY#100 CTY#100 CTY#100 CTY#100

Please note that since neither the debtor nor the protection provider are foreign
branches, the reporting of the head office undertaking identifiers (in italics) in the
respective reference data is recommended, although not strictly mandatory.

Counterparty Cty#100 takes two different roles (one in relation to each instrument); when
both instruments are reported by the same reporting agent (even if they are held or
serviced by its different observed agents), the reporting agent only reports one record in
the counterparty reference dataset relating to Counterparty Cty#100.

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12.1.2 The reporting obligation for counterparty reference data depending

on the role and residency of the counterparty

1 Revision mark: editorial changes As explained above, the reporting obligation of counterparty reference data varies
are applied
2 with the type of counterparty, i.e. depending on whether the counterparty is a legal
3 entity or a foreign branch. Moreover, while in general applicable to any counterparty,
4 the specific set of attributes which is eventually reported depends on the role and the
5 country of residency of the counterparty. This section provides further clarification on
6 the reporting requirements detailed in Annex III to the AnaCredit Regulation.

7 Revision mark: editorial changes The relevant distinction as regards residency is whether or not the counterparty is
are applied
8 resident in a reporting Member State. Tables 2 and 3 in Annex III to the AnaCredit
9 Regulation set out in detail, for the various roles of the counterparty (creditor,
10 debtor, etc.), the list of reference data attributes requested in the respective cases
11 (Table 2 for counterparties resident in reporting Member States and Table 3 for
12 counterparties not resident in reporting Member States).

13 Depending on the residency of the counterparty and on national arrangements, the

14 relevant NCB of the reporting agent may have access to alternative sources of
15 reference information on counterparties (e.g. a national business register). The
16 possibility for an NCB to make use of such alternative sources is explicitly
17 acknowledged in Article 9(2) of the AnaCredit Regulation. As a result, in some
18 countries, and within the limits established in the Regulation, the relevant NCB may
19 decide to request that respective reporting agents report, e.g. for counterparties
20 resident in the same country, only a subset of the data attributes listed in the
21 AnaCredit Regulation. This is further illustrated below.

22 Revision mark: editorial changes As explained, the counterparty reference data relating to the legal entity of which the
are applied
23 foreign branch is part are also reported in the record of the counterparty reference
24 data relating to a foreign branch. The specific reporting requirements for the legal
25 entity, in turn, depend on the role of the foreign branch in the instrument at stake. For
26 instance, a larger set of attributes is generally requested when the foreign branch
27 acts as a debtor rather than as a servicer. Please note that counterparties that are
28 immediate and ultimate parent undertakings are, by definition, legal entities and their
29 counterparty reference data are reported accordingly. By contrast, counterparties
30 taking on all other roles may also be foreign branches or special funds.

31 Revision mark: the clarifications on As another general rule, please note that the unique identification of counterparties is
LEIs and national identifiers are
32 aligned with Q&A 2018/0044 an essential feature of AnaCredit. Therefore, as set out in Article 9 of the AnaCredit
33 Regulation, the legal entity identifier (LEI) or, if an LEI is not available, a national
34 identifier from the list of national identifiers (for details on the list of national
35 identifiers, see Section 12.4.3) is always reported for any counterparty in addition to
36 the (mandatory) counterparty identifier, unless otherwise decided by the relevant
37 NCB. This applies irrespective of the role or residency of the counterparty.

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12.1.3 Actual reporting requirements for special categories of

counterparty

1 Revision mark: editorial changes As explained in Sections 12.1.1 and 12.1.2, the actual reporting requirements of
are applied
2 counterparty reference data depend not only on whether the counterparty is a legal
3 entity or a foreign branch, but also on the role and the residency of the counterparty.

4 It is important to note that further deviations from the general reporting requirements
5 can also arise for special categories of counterparties. For instance, while all data
6 attributes listed in the counterparty reference data are applicable (and hence
7 requested) in the case of a counterparty which is a legal entity constituted under
8 corporate (private) law, for other counterparties the reporting of certain data
9 attributes may not be meaningful. This may be the case, for instance, for the
10 “immediate parent undertaking identifier”, “ultimate parent undertaking identifier”, and
11 “balance sheet total” or “annual turnover” of an entity belonging to the public sector.

12 As a result, similarly to what was explained for the possible derogations and
13 exemptions granted by each relevant NCB (i.e. given the “N”s in Tables 2 and 3 in
14 Annex III to the AnaCredit Regulation and the possibility of relying on alternative data
15 sources), for a clear understanding of the actual reporting requirements for each
16 category of counterparty, reporting agents are invited to consult the respective NCB,
17 as such special cases can also vary considerably from country to country, reflecting
18 the different national legal and institutional frameworks.

12.1.3.1 Monetary and financial institutions (MFIs)

19 Revision mark: further The official list of MFIs is published on the ECB’s website, 25 which is updated on a
clarifications on reporting in the
20 case of MFIs are included in line daily basis. Unless otherwise decided by the relevant NCB, only the counterparty
21 with Q&A 2017/0008 identifier, is reported for (non-debtor) counterparties included in the list, while all
22 Revision mark: the link to the list of other counterparty reference data attributes are reported as “not required”. This
MFIs (daily data) is updated
23 means that for a counterparty which is included in the list of MFIs, the RIAD code
24 (i.e. the “counterparty identifier”) is the only data attribute from the counterparty
25 reference dataset reported to the relevant NCB as the remaining data attributes may
26 be obtained from other sources under Article 8(5) of the AnaCredit Regulation.

27 However, the above does not apply to counterparties included in the list of MFIs and
28 acting as debtors, for which the general requirements apply (unless otherwise
29 decided by the relevant NCB). More specifically, “reduced” reporting requirements do
30 not apply if the “counterparty role” is as a debtor. Therefore, for an MFI that is a
31 debtor, the general reporting obligations regarding the reference data attributes are
32 applicable (Table 2 and 3 in the Annex to AnaCredit Regulation).

25
The list of MFIs is available via the ECB’s Market Information Dissemination (MID) system and can be
accessed at
https://www.ecb.europa.eu/stats/financial_corporations/list_of_financial_institutions/html/elegass.en.ht
ml

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12.1.3.2 International organisations

1 Revision mark: further International organisations are listed in the “list of international organisations” (the list
clarifications are included in line
2 with Q&A 2017/0008 and of international organisations can be found on the ECB’s website 26).
Q&A 2018/0045
3 Unless otherwise decided by the relevant NCB, only the counterparty identifier (i.e.
4 the RIAD code, as indicated in Column E in the list itself) is reported for these
5 entities, while all other counterparty reference data attributes are reported as “not
6 required”.

7 This simplified reporting of AnaCredit counterparty reference data applies

8 irrespective of the role of the counterparty vis-à-vis reportable instruments.
9 Moreover, reporting agents are informed by the relevant NCB about the counterparty
10 identifier to be used for each international organisation included in the list.

11 Revision mark: clarifications are Please note that the ECB provides the “list of international organisations” (available
included in line with
12 Q&A 2018/0045 on the ECB’s AnaCredit webpage) exclusively in the context of AnaCredit. Thus the
13 list should be seen merely in the context of the AnaCredit reporting obligations
14 concerning the counterparty reference data. It is neither an exhaustive nor a legally
15 binding list of such organisations, and it is not intended for purposes other than
16 AnaCredit. Nonetheless, the list is regularly updated.

12.1.3.3 No data on natural persons

17 According to Template 1, paragraph 1.6, in Annex I to the AnaCredit Regulation, “in

18 the case of natural persons being affiliated with instruments reported to AnaCredit,
19 no record for the natural persons must be reported”. This means that in no case will
20 a record of counterparty reference data referring to a natural person be reported to
21 AnaCredit.

12.1.4 Reporting requirements

22 This section summarises the actual reporting requirements derived from the
23 principles elaborated in the previous sections.

12.1.4.1 General requirements

24 Counterparty reference data reports are transmitted for all counterparties which are
25 linked to instruments as described in Part I, Chapter 3, of the Manual, or provide
26 protection to secure such instruments, or are affiliated with such counterparties.

Counterparty reference data do not

cover counterparties which are
natural persons

26
https://www.ecb.europa.eu/stats/money_credit_banking/anacredit/html/index.en.html

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1 However, in the case of counterparties which are natural persons (linked with an
2 instrument reported to AnaCredit or providing protection), no counterparty reference
3 data are reported.

4 A single counterparty may be linked to several instruments or take different roles in

5 relation to one an instrument. However, the counterparty reference data of one
6 counterparty are reported only once (at all levels, i.e. reporting agent, NCB,
7 European System of Central Banks), thus guaranteeing the uniqueness in the
8 respective counterparty reference dataset.

9 The level of granularity for the counterparty reference data is the counterparty. Each
10 record is uniquely identified by the counterparty identifier on the reporting agent
11 level. The counterparty data describe the characteristics of the counterparty.

12 The counterparty identifier is unique For each reporting agent, each counterparty identifier is unique for each
and exclusive for each counterparty
13 counterparty, and each counterparty is always identified with the same counterparty
14 identifier. This identifier is never reused by the same reporting agent to refer to a
15 different counterparty. NCBs may communicate to their reporting agents the set of
16 counterparty identifiers to be used for the AnaCredit reporting.

12.1.4.2 Specific requirements

17 The information required for each type of counterparty is indicated in Annex III of the
18 AnaCredit Regulation and further described in this chapter.

19 Not all data attributes need to be reported for all roles or types of counterparties. The
20 reporting obligation varies depending on the type of counterparty and on whether or
21 not the counterparty is resident in a reporting Member State.

22 As regards the roles of counterparties, Tables 2 and 3 in Annex II to the AnaCredit

23 Regulation define specific reporting requirements for each data attribute in the
24 counterparty reference data described in Template 1 in Annex I to the Regulation.

25 Table 2 specifies the requirements for counterparties resident in a reporting Member

26 State, while Table 3 specifies the requirements for counterparties not resident in a
27 reporting Member State across all types of counterparties. For details regarding the
28 application of the specific requirements, please refer to Chapter 7 in Part I of the
29 Manual, which deals with the reduced data requirements.

30 Revision mark: a reference is Please also refer to Section 5.4.20 in Part III of the Manual for additional information
added to Part III of the Manual
31 about the reporting of counterparty about the reporting of counterparty reference data in the case of trade receivables
32 reference data in the case of trade where the counterparty is the account debtor.
receivables

12.2 Level of granularity

33 Article 1(10) of the AnaCredit Regulation implies that for legal entities with foreign
34 branches, the reporting is based on the concept of the “institutional unit”. This means

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1 that the legal entity is deemed to be composed of one institutional unit represented
2 by the head office undertaking, and one for each foreign branch (to be considered as
3 one foreign branch per country only). Each foreign branch is linked to the legal entity
4 (of which it is part) via the information on the “head office undertaking identifier”.
5 Where there are no foreign branches, the only existing institutional unit coincides
6 with the whole legal entity.

7 Consequently, the AnaCredit reporting relates to legal entities or foreign branches of

8 legal entities, with the legal entity being represented by the head office undertaking.
9 Given the multi-purpose nature of the dataset, the availability of information on
10 relationships (head office undertaking, foreign branches, special funds) and group
11 structures (immediate parent undertaking, ultimate parent undertaking) is of
12 particular importance for the overall usability and informative value of the data.

13 As described in Sections 2.2.1 and 3.2 in Part I of the Manual, some of the
14 counterparty reference data reported in the data record of a head office undertaking
15 refer to the legal entity as a whole, and not to the distinct institutional units of which it
16 is formed. For example, the data attribute “status of legal proceedings” refers to the
17 legal entity as a whole (a bankruptcy always affects the whole legal entity and is not
18 limited to one or more of its individual institutional units), while the data attribute
19 “institutional sector” relates to the single institutional unit to which the counterparty
20 reference data report refers. This topic is addressed in more detail in the next
21 section.

12.2.1 Counterparty reference data in the case of legal entities

22 AnaCredit head office undertakings represent legal entities. This means, for
23 example, that the name and address reported for a head office undertaking are
24 always those of the legal entity. As a consequence, the counterparty reference data
25 record of the head office undertaking includes data attributes which refer to the legal
26 entity as a whole (cf. Section 12.1.1 for details).

27 As explained, the “counterparty identifier” of a legal entity always coincides with the
28 “head office undertaking identifier”. This is also true for counterparties which are
29 reporting agents, because the record always refers to their respective head office
30 undertakings.

31 Similarly, the immediate and ultimate parent undertaking identifiers also refer to the
32 respective legal entities as represented by the head office undertakings. This means
33 that for affiliated counterparties acting as immediate or ultimate parent undertakings,
34 only the counterparty reference data record for the legal entity is reported (and not
35 for any foreign branches it may have). As usual, the counterparty reference data also
36 include some data attributes that refer to the legal entity as a whole.

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12.2.2 Counterparty reference data in the case of foreign branches and

special funds

12.2.2.1 Foreign branches as counterparties

1 Revision mark: Section 12.2.2 is As explained in detail in Section 2.1.3.2 in Part I of the Manual, a foreign branch is
restructured to better present the
2 subject of foreign branches and defined in accordance with the concept of a “single branch” referred to in Article 2(3)
3 special funds as counterparties of Regulation (EC) No 2533/98.
under AnaCredit

4 Whenever the counterparty reference data of a foreign branch are reported, an

5 additional counterparty reference data record is reported for the legal entity
6 (represented by the head office undertaking) of the foreign branch.

7 Please note that in relation to a single counterparty, the same counterparty identifier
8 is used in every dataset in which the counterparty is referred to. In particular, if a
9 counterparty is a foreign branch, the counterparty identifier of the foreign branch (not
10 of its head office undertaking) is used in the counterparty risk dataset and in the
11 counterparty default dataset for the counterparty, even though the data attributes in
12 these datasets are established at the level of the legal entity to which the
13 counterparty belongs. The correct reassignment of these datasets is performed in
14 the ECB’s systems.

15 For information about which data attributes in the counterparty reference data record
16 of the foreign branch are reported in relation to the foreign branch, please refer to
17 Table 135 in Section 12.2.2.3 which deals specifically with the applicability and scope
18 of the counterparty reference data for foreign branches and special funds.

Treatment of foreign branches covering multiple branch offices

Revision mark: this point is added
19 to consolidate the clarifications in As explained in Section 2.1.2 in Part I of the Manual, under AnaCredit a foreign
20 Sections 12.4.8 to 12.4.11 branch may consist of a single branch office or several branch offices in different
21 locations in the same country.

22 If more than one branch office of the same legal entity is established in the same
23 country, it is necessary that a single address of the foreign branch is reported. In
24 such cases, the single address reported (in the data attributes: “address:
25 city/town/village”, “address: postal code”, “address: county/administrative division”,
26 “address: street”) is at the discretion of the reporting agent.

12.2.2.2 Special funds as counterparties

27 Revision mark: Section 12.2.2.2 is Special funds are defined as unincorporated investment funds comprising
added, consolidating instructions
28 relevant for special funds investment portfolios owned by a group of participants and whose management is
29 undertaken by other financial corporations.

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1 One investment company may Under AnaCredit, special funds and their managing financial corporations are
manage several special funds, each
2 constituting a separate institutional deemed to have a similar relationship to each other as foreign branches and head
3 unit office undertakings. In contrast to foreign branches, however, there can be multiple
4 special funds under one managing financial corporation which are resident in the
5 same country.

6 Special funds are therefore reported to AnaCredit in a similar manner to the reporting
7 of foreign branches, where it is recommended that the managing financial
8 corporation of a special fund be identified as the head office undertaking.

9 More specifically, although the AnaCredit Regulation does not currently require a link
10 between the special fund and the managing financial corporation, reporting agents
11 are advised to identify the managing financial corporation of a special fund and
12 report it to AnaCredit, together with the link, in the same way as for the head office
13 undertaking of foreign branches.

14 This means that, for each investment fund, including sub-funds (see the treatment of
15 funds made up of different internal sub-funds below), the counterparty identifier of
16 the management company of the investment fund/sub‑fund is reported in the data
17 attribute “head office undertaking identifier”, and a counterparty reference data
18 record is submitted for the management company representing the fund where that
19 fund acts as a counterparty under AnaCredit (e.g. as a debtor or a protection
20 provider).

21 For information about which data attributes in the counterparty reference data record
22 of the special fund are reported in relation to the special fund, please refer to Table
23 135 in Section 12.2.2.3 which deals specifically with the applicability and scope of
24 the counterparty reference data for foreign branches and special funds.

Treatment of funds made up of different internal sub-funds

Revision mark: further
25 clarifications are included in line When an investment fund segregates its assets into different sub-funds in such a
26 with Q&A 2018/0023 way that shares/units relating to each sub-fund are independently backed by
27 different assets, each sub-fund is regarded as an independent investment fund (see
28 Article 4.2 of Regulation (EU) No 1075/2013 concerning statistics on the assets and
29 liabilities of investment funds) and reported to AnaCredit in its own right with its own
30 counterparty identifier.

31 Such funds and sub-funds are institutional units that are separate from the managing
32 financial corporation.

33 Against this background, each sub-fund is regarded under AnaCredit as an individual

34 investment fund. More specifically, AnaCredit regards each sub-fund as a
35 counterparty in its own right (hence with its own counterparty identifier), regardless of
36 how many sub-funds there are in the same country. This is consistent with the fact
37 that each sub-fund typically has its own LEI code.

38 Furthermore, in view of the above (i.e. given that each sub-fund is regarded as a
39 counterparty in its own right), loans granted to sub-funds are reported individually,
40 without any aggregation (e.g. at the level of the umbrella fund).

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12.2.2.3 Applicability and scope of the counterparty reference data for

foreign branches and special funds

1 Revision mark: Table 135 (former The applicability and scope of the counterparty reference data for foreign branches
Table 131) is updated in line with
2 Q&A 2018/0044 and special funds are different than for legal entities.

3 The following table illustrates which data attributes in the counterparty reference data
4 record of the foreign branch or special fund are reported in relation to the foreign
5 branch or special fund if it is a counterparty under AnaCredit.

Table 135 General applicability and scope of the reference data attributes for foreign
branches and special funds
Is a value for this data attribute generally reported in the
reference data record of a counterparty which is a foreign
Counterparty reference data attributes branch or special fund?

Counterparty identifier Yes, and it refers to the foreign branch or special fund only

Legal entity identifier (LEI) Yes, if existing, and it refers to the foreign branch or special fund
only

National identifier Yes, and it refers to the foreign branch or special fund only

Head office undertaking identifier Yes, and it is the same for all foreign branches of the same legal
entity or the same for all special funds managed by the same
managing financial corporation

Immediate parent undertaking identifier No, this information is only applicable at the legal entity level of
the foreign branch or managing financial corporation and is
Ultimate parent undertaking identifier therefore reported in the counterparty reference data record of the
head office undertaking/managing financial corporation

Name

Address: street

Address: city/town/village
Yes, and it refers to the foreign branch or special fund only
Address: county/administrative division

Address: postal code

Address: country

Legal form For foreign branches: no, as it is reported in the counterparty

reference data record of the head office undertaking (representing
the legal entity to which the foreign branch belongs)

For special funds: yes, and it exclusively refers to the special fund

Institutional sector
Yes, and it refers to the foreign branch or special fund only
Economic activity

Status of legal proceedings For foreign branches: no, this information is only applicable at the
legal entity level and is therefore reported in the counterparty
Date of initiation of legal proceedings reference data record of the head office undertaking (representing
the legal entity to which the foreign branch belongs)
For special funds: yes, and it exclusively refers to the special fund

Enterprise size
For foreign branches:, no, this information is reported in the
counterparty reference data record of the head office undertaking
Date of enterprise size
(representing the legal entity to which the foreign branch belongs)
Number of employees and is calculated as specified in Annex IV to
the AnaCredit Regulation
Balance sheet total

Annual turnover For special funds: yes.

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Accounting standard (only for reporting No, this information is reported in the counterparty reference data
agents) record of the head office undertaking (representing the legal entity
to which the foreign branch belongs)

12.2.3 The scope of the size-related data attributes under AnaCredit

12.2.3.1 The scope of consolidation of the “enterprise size”

1 Revision mark: further The AnaCredit Regulation states that the enterprise size is reported in accordance
clarifications are included
2 concerning enterprise size in line with the SME classification provided in Commission Recommendation
3 with Q&A 2017/0001 2003/361/EC. 27

4 Accordingly, in the case of an autonomous enterprise, the data used for the size
5 classification are determined exclusively on the basis of the accounts of that
6 enterprise (cf. Article 6(1) of the Commission Recommendation).

7 However, in the case of an enterprise having partner enterprises or linked

8 enterprises, the “enterprise size” is determined on the basis of the accounts and
9 other data of the enterprise or, where they exist, the consolidated accounts of the
10 enterprise, or the consolidated accounts in which the enterprise is included through
11 consolidation (cf. Article 6(2) of the Commission Recommendation).

12 Consequently, under AnaCredit the data attribute “enterprise size” of a counterparty

13 is reported on the basis of the accounts of that counterparty and also considering the
14 accounts of partner and linked enterprises.

15 Please also note that if the enterprise size in accordance with the SME classification
16 provided in Commission Recommendation 2003/361/EC (i.e. also considering
17 partner and linked enterprises) is not available to the reporting agent and is
18 considered to be burdensome to produce, the value of the “enterprise size” is
19 calculated on the basis of the “number of employees”, “balance sheet total” and
20 “annual turnover” of the legal entity only (i.e. with all its foreign branches but without
21 considering partner or linked enterprises). The calculation is made by applying
22 analogously the criteria laid down in Commission Recommendation 2003/361/EC.

12.2.3.2 The calculation of the “number of employees”, “balance sheet total”

and “annual turnover”

23 Revision mark: further The three “size-related” data attributes are reported on the basis of a different scope
clarifications are included
24 concerning the data attributes of consolidation than that envisaged for the calculation of the “enterprise size” data
25 “number of employees”, “balance attribute itself.
sheet total” and “annual turnover” in
line with Q&A 2018/0046

27
Further guidance on the definition of SME can be found in the User Guide to the SME Definition at
http://ec.europa.eu/regional_policy/sources/conferences/state-aid/sme/smedefinitionguide_en.pdf

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1 More specifically, unlike the data attribute “enterprise size” (for the calculation of
2 which partner and linked enterprises are also considered), the data attributes
3 “number of employees”, “balance sheet total” and “annual turnover” are calculated
4 only in relation to the counterparty itself, i.e. without considering any partner
5 enterprises or linked enterprises.

6 This means that the value reported for such data attributes, as part of the data
7 record of the head office representing the whole legal entity (cf. Section 12.2.1), is
8 assessed only considering the accounts of the head office (with all its domestic
9 offices) and of all foreign branches of the legal entity (if any).

10 In particular, the value of the data attribute “number of employees” reported in the
11 counterparty reference data record of the head office undertaking representing the
12 whole legal entity is assessed taking into account the number of employees of the
13 head office undertaking (with all its domestic offices) and of all foreign branches of
14 the legal entity.

15 Please also note that these data attributes are updated whenever the reporting agent
16 is aware of a change in them based on the latest approved accounting statement of
17 the counterparty, and at least when a new instrument is issued vis-à-vis the
18 counterparty.

12.3 Reporting frequency

19 Counterparty reference data are reported no later than the monthly transmission of
20 credit data relevant for the reporting reference date on which the counterparty
21 entered into a contract recorded in AnaCredit. If any changes occur, the data
22 attributes affected are updated no later than the monthly transmission of credit data
23 for the reporting reference date on which the change came into effect.

24 For details regarding the reporting frequency, please refer to Section 6.3.2 in Part I of
25 the Manual, which deals specifically with reporting methods, frequencies and
26 timeliness.

12.4 The counterparty reference dataset – data attributes

27 Revision mark: Section 12.4 is This section provides detailed definitions and guidance on the reporting
reorganised so that the description
28 of each data attribute follows the requirements related to the various reference data attributes.
standard structure: (i) definition; (ii)
reporting qualification; (iii) values;
29 The counterparty reference dataset is applicable for all counterparties which are
and (iv) general reporting
30 instructions, specific cases and reported in the counterparty-instrument dataset or in the protection received dataset
examples
31 or are affiliated with such counterparties as reported in the head office, immediate or
32 ultimate parent undertakings.

33

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Table 136 Overview of data attributes in the counterparty reference data

Data attribute Internal identifier Data type Section in Part II

Reporting agent identifier √ String 2.1.2.1

Counterparty identifier √ String 2.1.2.3 and 12.4.1

Legal entity identifier (LEI) String 12.4.2

National identifier String 12.4.3

Head office undertaking identifier String 12.4.4

Immediate parent undertaking identifier String 12.4.5

Ultimate parent undertaking identifier String 12.4.6

Name String 12.4.7

Address: street String 12.4.8

Address: city/town/village String 12.4.9

Address: postal code String 12.4.10

Address: county/administrative division String 12.4.11

Address: country Code list 12.4.12

Legal form Code list 12.4.13

Institutional sector Code list 12.4.14

Economic activity Code list 12.4.15

Status of legal proceedings Code list 12.4.16

Date of initiation of legal proceedings Date 12.4.17

Enterprise size Code list 12.4.18

Date of enterprise size Date 12.4.19

Number of employees Numerical value 12.4.20

Balance sheet total Amount in euro 12.4.21

Annual turnover Amount in euro 12.4.22

Accounting standard Code list 12.4.23

12.4.1 Counterparty identifier

Definition: The counterparty identifier is an identifier applied by the reporting agent to

uniquely identify each counterparty. Each counterparty must have a unique and
exclusive counterparty identifier. This value will not change over time and can never be
used as the counterparty identifier for any other counterparty.
Revision mark: editorial changes
1 are applied The counterparty identifier is the identifier used by the reporting agent to identify the
2 counterparty. In general, the reporting agent specifies the counterparty identifier and
3 ensures that it meets the above criteria.

4 However, in those countries where an entity register has already been established
5 by the NCB (e.g. for the purpose of running the national credit register), a unique
6 counterparty identifier may be assigned to each counterparty by the NCB and will be
7 used by all reporting agents at national level.

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Reporting qualification

1 The counterparty identifier is reported for all counterparties.

Values

2 Alphanumeric: a code consisting of alphabetical and numerical symbols.

General reporting instructions, specific cases and examples

Revision mark: the clarifications
3 have been consolidated in Please refer to Section 2.1.2.3 on general reporting instructions of the data attribute
Section 2.1.2.3
4 “counterparty identifier”.

12.4.2 Legal entity identifier (LEI)

Definition: A legal entity identifier of the counterparty assigned in accordance with the
International Organization for Standardization (ISO) 17442 standard.

5 The legal entity identifier (LEI) is the counterparty identifier assigned in accordance
6 with the International Organization for Standardization (ISO) 17442 standard.

Reporting qualification
Revision mark: the clarifications
7 are streamlined A legal entity identifier (LEI) is reported for each counterparty playing any role in the
8 exposures to be reported for AnaCredit purposes, provided that an eligible LEI has
9 been assigned to the counterparty.

10 If no eligible LEI exists for a given counterparty, the data attribute “legal entity
11 identifier (LEI)” is reported as “non-applicable”, while the reporting of a national
12 identifier and of the identifier type becomes mandatory for that counterparty.

13 Revision mark: clarification is Although LEIs are currently assigned only to legal entities, it is foreseen that a
added about the need to report
14 LEIs once they have been assigned distinct LEI will be assigned in the near future to each foreign branch, if any, of legal
15 to foreign branches entities. Consequently, as soon as an eligible LEI has been assigned to a foreign
16 branch, it is reported to AnaCredit. 28

Values

17 Alphanumeric: a code consisting of alphabetical and numerical symbols.

General reporting instructions, specific cases and examples

Revision mark: further
18 clarifications are added on eligible The unique identification of counterparties is an essential feature of AnaCredit.
LEIs in line with Q&A 2017/0007
19 and Q&A 2018/0044 Therefore, the LEI or, if an LEI is not available, a national identifier (cf. Section

28
See the policy document on including data on international/foreign branches in the Global LEI System
https://www.leiroc.org/publications/gls/roc_20160711-1.pdf

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1 12.4.3) is always reported for any counterparty in addition to the counterparty

2 identifier (cf. Section 12.4.1), unless otherwise decided by the relevant NCB.

3 The “registration status” of an LEI can be any of the following: annulled, cancelled,
4 duplicate, issued, lapsed, merged, pending transfer, pending archival, pending
5 validation, retired, transferred (for details, see the website of the General Legal Entity
6 Identifier Foundation – GLEIF).

7 Revision mark: the set of eligible For the purpose of reporting the data attribute “LEI” under AnaCredit, the only eligible
LEIs includes the registration status
8 “retired” LEIs are those whose registration status is:

9 • issued, lapsed, merged, retired, transferred (which identify a legal entity even
10 if the entity no longer exists as an operating entity);

11 • pending validation, pending archival, pending transfer (which are considered

12 eligible, awaiting a non-pending status);

13 Please note that as regards LEIs with the status “merged”, these are reported only
14 for reporting reference dates preceding the time at which the entity was acquired by
15 or merged with another entity, after which the LEI of the surviving/new legal entity is
16 reported.

17 Conversely, LEIs with all other statuses are treated similarly to the case where no
18 LEI has been assigned to the counterparty, which is why there is also a need to
19 report a national identifier for the counterparty. This means that LEIs with the
20 registration status duplicate, annulled or cancelled are not considered eligible as
21 they are no longer valid.

22 Revision mark: clarification is Although LEIs are currently assigned only to legal entities, it is foreseen that a
added about the need to report
23 LEIs once they have been assigned distinct LEI will be assigned in the near future to each foreign branch, if any, of legal
24 to foreign branches entities. Consequently, as soon as an eligible LEI has been assigned, to a foreign
25 branch, it is reported to AnaCredit. 29

12.4.3 National identifier and identifier type

Definition: A national identifier is a commonly used identification code which enables

the unambiguous identification of a counterparty or of the legal entity of which the
counterparty forms part within its country of residency.
Revision mark: further
26 clarifications are added in line with A national identifier is a commonly used identification code which enables the
Q&A 2018/0022
27 unambiguous identification of a counterparty or the legal entity of which that
28 counterparty forms part within its country of residence.

29
See the policy document on including data on international/foreign branches in the Global LEI System
https://www.leiroc.org/publications/gls/roc_20160711-1.pdf

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Reporting qualification

1 A national identifier (code) and the corresponding identifier type are required for any
2 counterparty, irrespective of its role in the instruments reportable to AnaCredit, if no
3 LEI (cf. Section 12.4.2) is reported for the counterparty.

4 If a counterparty is not assigned any national identifier and the counterparty is

5 resident in a country for which “not applicable” is included in the list of national
6 identifiers, the value “not applicable” is reported in the data attribute “national
7 identifier”.

8 Moreover, the relevant NCB may decide not to collect a national identifier for all or
9 some of the counterparties, e.g. in cases where this information is already available
10 to the NCB via other sources and can be derived from the counterparty identifier,
11 which is always reported.

Values

12 Alphanumeric: a code consisting of alphabetical and numerical symbols.

General reporting instructions, specific cases and examples

Revision mark: further
13 clarifications are included in line A national identifier for the counterparty is reported in cases where no LEI has been
with Q&A 2017/0007
14 assigned to the counterparty,

15 For each counterparty, a national identifier from the “list of national identifiers” for the
16 relevant country (the list of national identifiers can be found on the ECB’s website 30)
17 is reported, together with the indication of the respective identifier type.

18 When more than one identifier type included in the list for the relevant country of
19 residency is available for the counterparty, the first available identifier from the
20 ranked list is reported.

21 If the only available identifier for a counterparty is not in the list of national identifiers
22 published on the ECB’s website, this “other” identifier is reported to the relevant
23 NCB, provided that the identifier in question is publicly available, allows for the
24 unambiguous identification of the counterparty in the country of residence and one of
25 the following conditions is met:

26 a) the counterparty is resident in a country included in the list and for which
27 the option “other” (identifier type “XX_OTHER_CD”, where XX is the
28 country) is included in the list;

29 b) the counterparty is resident in a country not included in the list or in any

30 non-EU country (identifier type “GEN_OTHER_CD”).

30
https://www.ecb.europa.eu/stats/money_credit_banking/anacredit/html/index.en.html

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1 In both cases, besides the corresponding identification code itself, a short description
2 of the type of identifier is also reported (e.g. national tax authority registration
3 number) to the relevant NCB.

4 Furthermore, irrespective of the country of residence, reporting an “other” identifier,

5 i.e. not included in the list, although accepted in some cases (see above), is always
6 considered as the least preferred option.

7 For non-EU counterparties, a generic (“GEN”) identifier can always be reported even
8 if the country is included in the list, although preference is given to one of the
9 identifiers included in the list, where applicable.

10 Once an identifier type from the country list has been identified by the reporting
11 agent and reported for the data attribute “identifier type”, the corresponding code is
12 reported (in the format indicated in the “list of national identifiers” on the ECB’s
13 website), if applicable – in the data attribute “national identifier”.

14 The list of national identifiers If the counterparty is not assigned any national identifier in its country of residency
includes the option “not applicable”
15 in some countries (for example, when it belongs to the public sector) and “not applicable” is included in
16 the list of national identifiers in the country, the data attribute “national identifier” does
17 not apply.

18 The list of national identifiers will be updated over time to cover new countries and/or
19 additional identifiers, based on the experience accumulated with AnaCredit reporting.
20 A national identifier can be reported as soon as it has been added to the list,
21 irrespective of the reference date of the information being reported.

22 Revision mark: further Where a counterparty is a foreign branch, the national identifier refers to the foreign
clarifications and Example 90 are
23 included in line with branch; where a counterparty is not a foreign branch, the national identifier refers to
24 Q&A 2018/0022 the legal entity.

25 Please refer to Example 90 for an illustration of the reporting of the data attributes
26 “LEI” and “national identifier” for foreign branches.

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Example 90: National identifier in the case of foreign branches

The national identifier is a country-specific identifier and is provided where there is no LEI
code. A commonly used identification code enables the unambiguous identification of a
counterparty or the legal entity of which that counterparty forms part within its country of
residence. Consider the following scenarios:

Scenario 1: Legal entity (head office undertaking of the foreign branch) has an LEI

If the counterparty is the foreign branch, the LEI of the legal entity is not reported in the
counterparty reference data record of the foreign branch.

Notably, as explained in Sections 12.2.1 and 12.2.2, a distinction is made between the
reference data for the counterparty itself and the reference data for the legal entity to
which the foreign branch belongs. If the counterparty (i.e. the foreign branch) has its own
LEI – which will become possible in the near future (cf. Section 12.4.2) – that LEI should
be reported. If it has no LEI, a national identifier identifying that foreign branch is
reported, using the published list of country-specific national identifiers. It is also
necessary to report the counterparty identifier of the legal entity to which that foreign
branch belongs (in the “head office undertaking identifier” data attribute in the
counterparty reference data record of the foreign branch). When reporting counterparty
reference data for the legal entity itself, either the LEI or a national identifier is reported,
depending on their availability.

Scenario 2: Legal entity (head office undertaking of the foreign branch) has a register
identifier and has no LEI

For example, a German company without an LEI has a branch in Denmark where the
Danish CVR code or FT number are allowed as the national identifier.

In this scenario, the foreign branch and the legal entity to which the foreign branch
belongs are regarded as two distinct counterparties in AnaCredit, each with its own
counterparty reference data record (and its own counterparty identifier). Specifically, the
Danish foreign branch has a Danish national identifier (a CVR code or an FT number),
while the legal entity to which that foreign branch belongs may have a German national
identifier or an LEI code.

Notably, the information on the Danish foreign branch also includes the counterparty
identifier for the legal entity in Germany to which the foreign branch belongs (via the
“head office undertaking identifier” data attribute).

12.4.4 Head office undertaking identifier

Definition: The head office undertaking identifier is the counterparty identifier of the
domestic part of the legal entity of which the institutional unit is a legally dependent
part.

1 The head office undertaking identifier enables a link to be established between the
2 institutional unit and the legal entity, as represented by the head office undertaking,
3 to which the institutional unit belongs.

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Reporting qualification

1 A “head office undertaking identifier” is reported for each debtor (or protection
2 provider) which is a foreign branch resident in a reporting Member State, and to
3 which at least one instrument has been originated at or after 1 September 2018 (cf.
4 Table 2 in Annex III to the AnaCredit Regulation).

5 Revision mark: further For other debtors and protection providers that are resident in a reporting Member
clarifications are included in line
6 with Annex III to the AnaCredit State (RMS), there is a general reporting obligation. However, the relevant NCB may
7 Regulation decide not to collect this information from individual reporting agents for some or all
8 counterparties (cf. Table 2 in Annex III to the AnaCredit Regulation).

9 When this data attribute is not required by the relevant NCB, the value “not required”
10 is reported.

11 For debtors and protection providers that are not resident in an RMS, this data
12 attribute is not required for reporting to AnaCredit. In such cases, the value “not
13 required” is reported (cf. Table 3 in Annex III to the AnaCredit Regulation). For all
14 other counterparty roles, regardless of the country of residence, this data attribute is
15 not required under AnaCredit (cf. Tables 2 and 3 in Annex III to the AnaCredit
16 Regulation).

17 Revision mark: this paragraph is It is recommended that for a counterparty that is a legal entity the counterparty
moved from Section 3.4.1.2 in
18 Part II of the Manual identifier of the legal entity also be reported in the data attribute “head office
19 undertaking identifier”. This means that the same value is reported in the data
20 attributes “counterparty identifier” and “head office undertaking identifier” in the
21 counterparty reference data record of the legal entity.

Values

22 Alphanumeric: a code consisting of alphabetical and numerical symbols.

General reporting instructions, specific cases and examples

Revision mark: further
23 clarifications are included in line For counterparties that are foreign branches, the head office undertaking identifier
with Sections 12.2.1 and 12.2.2
24 enables a link to be established between the foreign branch and the legal entity to
25 which the foreign branch belongs.

26 In a similar vein, for counterparties which are special funds (or sub-funds), the
27 counterparty identifier of the managing financial corporation that manages the
28 special fund is reported in the “head office undertaking identifier”. Please refer to
29 Section 12.2.2.2 for more information about special funds.

30 Repeating the counterparty identifier in the data attribute “head office undertaking
31 identifier” for counterparties which are legal entities signals that the counterparty is a
32 legal entity. Therefore, whenever the counterparty identifier and the head office
33 undertaking identifier in a given counterparty reference data record coincide, the
34 data record is considered to refer to a legal entity, not to a foreign branch. By
35 contrast, whenever the counterparty identifier and the head office undertaking

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1 identifier are distinct, the counterparty reference data record is considered to refer to
2 a foreign branch or special fund (cf. Section 12.2.2).

3 For an illustration of the reporting of this data attribute in the case of foreign
4 branches, please refer to Example 90.

12.4.5 Immediate parent undertaking identifier

Definition: The immediate parent undertaking identifier is the counterparty identifier for
the domestic part of the legal entity which is the immediate parent undertaking of the
counterparty. If the counterparty has no parent undertaking and is a domestic part of a
legal entity, the counterparty identifier for the counterparty itself is to be reported.
Parent undertaking has the same meaning as defined in Article 4(1)(15)(a) of
Regulation (EU) No 575/2013.

5 The immediate parent undertaking identifier enables a link to be established between

6 the legal entity, as represented by the head office undertaking, and its immediate
7 parent undertaking (if any).

8 Revision mark: further The immediate parent undertaking of a counterparty is the undertaking which
clarifications are added concerning
9 the immediate parent undertaking effectively and directly exercises a dominant influence over the counterparty.

Reporting qualification

10 The immediate parent undertaking identifier is reported for all debtors resident in a
11 reporting Member State (RMS) to which at least one instrument has been originated
12 at or after 1 September 2018 (cf. Table 2 in Annex III to the AnaCredit Regulation).

13 For other debtors and protection providers that are resident in an RMS, there is a
14 general reporting obligation. However, the relevant NCB may decide not to collect
15 this information for some or all counterparties from individual reporting agents (cf.
16 Table 2 in Annex III to the AnaCredit Regulation).

17 Revision mark: further For debtors and protection providers that are not resident in an RMS, this data
clarifications are included in line
18 with Annex III to the AnaCredit attribute is not required (cf. Table 3 in Annex III to the AnaCredit Regulation).
Regulation
19 For all other counterparty roles, regardless of the counterparty’s country of
20 residence, this data attribute is not required (cf. Tables 2 and 3 in Annex III to the
21 AnaCredit Regulation).

22 When this data attribute is not required by the relevant NCB, the value “not required”
23 is reported.

Values

24 Alphanumeric: a code consisting of alphabetical and numerical symbols.

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General reporting instructions, specific cases and examples

1 According to Article 4(1)(15)(a) of the CRR, “parent undertaking” means “a parent

2 undertaking within the meaning of Articles 1 and 2 of Directive 83/349/EEC”.

3 Revision mark: clarifications The immediate parent undertaking (if any) of a counterparty is the undertaking which
concerning the immediate parent
4 undertakings are added in line with effectively and directly exercises a dominant influence over the counterparty.
Q&A 2018/0047
5 In the case of counterparties which are part of the general government, the
6 immediate parent undertaking which belongs to the general government is reported.
7 For more details on the definition of general government, please refer to Chapter 2 of
8 the Annex to Regulation (EU) 549/2013.

9 As regards counterparties in relation to which a natural person exercises a dominant

10 influence, the natural person does not qualify as either the immediate or ultimate
11 parent undertaking and is consequently not reported to AnaCredit.

12 As the concept of immediate parent undertaking relates only to legal entities, no

13 information on the immediate parent undertaking is recorded in the counterparty
14 reference data of a foreign branch or special fund (cf. Section 12.2.2). In line with the
15 general approach, the immediate parent undertaking of a foreign branch is the legal
16 entity which is the immediate parent undertaking of the legal entity of which the
17 foreign branch is part. Moreover, the immediate parent undertaking identifier is
18 reported in the counterparty reference data record of the legal entity (as represented
19 by the head office undertaking) of the foreign branch (rather than in the counterparty
20 reference data record of the foreign branch).

21 If a debtor or protection provider does not have an immediate parent undertaking,

22 the counterparty identifier of the legal entity to which the debtor or protection provider
23 belongs is reported as the immediate parent undertaking identifier (in the data record
24 of the head office undertaking, if the debtor is a foreign branch).

25 If a counterparty or protection provider has more than one immediate parent

26 undertaking, the entity with the most significant influence over the debtor/protection
27 provider (normally, but not necessarily, the one with the highest share of ownership)
28 is reported as the immediate parent undertaking. If two or more undertakings have
29 the same influence over a debtor/protection provider, only one of them, at the
30 discretion of the reporting agent, is reported as the immediate parent undertaking.

31 Note that the immediate parent undertaking identifier and the respective counterparty
32 reference data are reported irrespective of whether there is a business relationship
33 between the observed agent and the immediate parent undertaking.

34 Revision remark: moved from If the legal entity does not have an immediate parent undertaking, the counterparty
Section 3.4.2 in Part I of the
35 AnaCredit Manual identifier of the legal entity is reported as the “immediate parent undertaking
36 identifier”.

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12.4.6 Ultimate parent undertaking identifier

Definition: The ultimate parent undertaking identifier is the counterparty identifier for the
domestic part of the legal entity which is the ultimate parent undertaking of the
counterparty. If the counterparty has no parent undertaking, the counterparty identifier
for the counterparty itself is to be reported. Parent undertaking has the same meaning
as defined in Article 4(1)(15)(a) of Regulation (EU) No 575/2013.

1 The ultimate parent undertaking identifier enables a link to be established between

2 the legal entity, as represented by the head office undertaking, and its ultimate
3 parent undertaking (if any).

4 The ultimate parent undertaking of a counterparty is the undertaking which

5 effectively exercises, directly or indirectly, the ultimate dominant influence over the
6 counterparty.

Reporting qualification

7 The ultimate parent undertaking identifier is reported for all debtors resident in a
8 reporting Member State (RMS) to which at least one instrument has been originated
9 at or after 1 September 2018 (cf. Table 2 in Annex III to the AnaCredit Regulation).

10 For other debtors and protection providers that are resident in an RMS, there is a
11 general reporting obligation. However, the relevant NCB may decide not to collect
12 this information from individual reporting agents (cf. Tables 2 and 3 in Annex III to the
13 AnaCredit Regulation).

14 For debtors and protection providers that are not resident in an RMS, this data is not
15 required (cf. Table 3 in Annex III to the AnaCredit Regulation).

16 For all other counterparty roles, regardless of the country of residence, this data
17 attribute is not required (cf. Tables 2 and 3 in Annex III to the AnaCredit Regulation).

18 When this data attribute is not required by the relevant NCB, the value “not required”
19 is reported.

Values

20 Alphanumeric: a code consisting of alphabetical and numerical symbols.

General reporting instructions, specific cases and examples

21 According to Article 4(1)(15)(a) of the CRR “parent undertaking” means “a parent

22 undertaking within the meaning of Articles 1 and 2 of Directive 83/349/EEC”.

23 Revision mark: clarifications The ultimate parent undertaking (if any) of a counterparty is the undertaking which
concerning the ultimate parent
24 undertakings are added in line with effectively exercises, directly or indirectly, the ultimate dominant influence over the
25 Q&A 2018/0047 counterparty.

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1 In the case of counterparties which are part of the general government, the ultimate
2 parent undertaking which belongs to the general government is reported. For more
3 details on the definition of general government, please refer to Chapter 2 of the
4 Annex to Regulation (EU) 549/2013.

5 As regards counterparties in relation to which a natural person exercises a dominant

6 influence, the natural person does not qualify as either the immediate or ultimate
7 parent undertaking and is consequently not reported to AnaCredit.

8 As the concept of ultimate parent undertaking relates only to legal entities, no

9 information on the ultimate parent undertaking is recorded in the counterparty
10 reference data of a foreign branch or special fund (cf. Section 12.2.2). In line with the
11 general approach, the ultimate parent undertaking of a foreign branch is the legal
12 entity which is the ultimate parent undertaking of the legal entity of which the foreign
13 branch is part. Moreover, the ultimate parent undertaking identifier is reported in the
14 counterparty reference data record of the legal entity (as represented by the head
15 office undertaking) of the foreign branch (rather than in the counterparty reference
16 data record of the foreign branch).

17 In the context of AnaCredit, a legal If a debtor or a protection provider does not have an ultimate parent undertaking, the
entity is uniquely identified by the
18 counterparty identifier of the head counterparty identifier of the legal entity to which the debtor or protection provider
19 office undertaking belongs is reported as the ultimate parent undertaking identifier (in the data record of
20 the head office undertaking, if the debtor is a foreign branch).

21 Note that the ultimate parent undertaking identifier and the respective counterparty
22 reference data report are reported irrespective of whether there is a business
23 relationship between the observed agent and the ultimate parent undertaking.

24 Revision mark: moved from If the legal entity does not have an ultimate parent undertaking, the counterparty
Section 3.4.3 in Part I of the Manual
25 identifier of the legal entity is reported as the “ultimate parent undertaking identifier”.

12.4.7 Name

Definition: The full legal name of the counterparty.

26 Each counterparty has a full legal name.

Reporting qualification

27 The name is reported for all counterparties irrespective of their role and of the
28 country of residency. It also applies to foreign branches and special funds.

Values

29 String of characters: a finite sequence of characters.

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General reporting instructions, specific cases and examples

1 The name is reported in accordance with the information contained in the national
2 business register, when applicable. No translation from the original national language
3 is required, unless otherwise decided by the relevant NCB.

4 For a legal entity, the name registered upon incorporation is reported.

5 For counterparties which are not registered (e.g., in some countries, public sector
6 entities and associations) and can therefore have multiple names that are all equally
7 valid, the name in the language of the country where the counterparty is resident is
8 reported.

12.4.8 Address: street

Definition: The counterparty’s street address, including the street number.

9 It is the name of the street and the street number (i.e. house or building number) of
10 the premises where the counterparty is officially located (e.g. in accordance with the
11 business register if applicable).

Reporting qualification
Revision mark: editorial changes
12 are applied This data attribute is reported for all counterparties, irrespective of the country of
13 residency. While a general reporting obligation also applies for servicers, the
14 relevant NCB may decide not to collect this information from individual reporting
15 agents.

16 When this data attribute is not required by the relevant NCB, the value “not required”
17 is reported.

Values

18 String of characters: a finite sequence of characters, where the street name is

19 followed by the street number (including the subsection or floor number, if
20 applicable).

General reporting instructions, specific cases and examples

21 The address is reported in line with the residency of the counterparty according to
22 Article 1(4) of Regulation (EC) No 2533/98.

23 It is the name of the street and the street number (including the subsection or floor
24 number, e.g. 1/E, where relevant) of the premises where the counterparty is
25 registered, e.g. in accordance with the business register, if applicable. If deemed
26 feasible, the two fields are preferably separated by a comma (“,”) and are reported in
27 the following order: street name, street number.

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1 Revision mark: the clarifications The street address of a foreign branch differs from that of the legal entity to which it
concerning foreign branches are
2 streamlined, taking into belongs (cf. Section 12.2.2.3 which deals with the applicability and scope of the
3 consideration the general counterparty reference data attributes for foreign branches and special funds).
explanations provided in
Section 12.2.2.3

12.4.9 Address: city/town/village

Definition: The counterparty’s city, town or village.

4 This is the name of the place (i.e. the city, town or village) where the counterparty is
5 officially located (e.g. in accordance with the business register if applicable).

Reporting qualification

6 This data attribute is reported for all counterparties, irrespective of the country of
7 residency. While a general reporting obligation also applies for servicers, the relevant
8 NCB may decide not to collect this information from individual reporting agents (cf.
9 Tables 2 and 3 in Annex III to the AnaCredit Regulation).

10 When this data attribute is not required by the relevant NCB, the value “not required”
11 is reported.

Values

12 String of characters: a finite sequence of characters.

General reporting instructions, specific cases and examples

13 The address is reported in line with the residency of the institutional unit according to
14 Article 1(4) of Regulation (EC) No 2533/98.

15 Revision mark: the clarifications The city, town or village of residency of a foreign branch differs from the address of
concerning foreign branches are
16 streamlined, taking into the legal entity to which it belongs (cf. Section 12.2.2.3 which deals with the
17 consideration the general applicability and scope of counterparty reference data attributes for foreign branches
explanations provided in
18 Section 12.2.2.3 and special funds).

12.4.10 Address: postal code

Definition: The counterparty’s postal code.

19 This is the postal code of the place (the area in the city, town or village) where the
20 counterparty is officially located (e.g. in accordance with the business register if
21 applicable).

Reporting qualification

22 This data attribute is reported for all counterparties, irrespective of the country of
23 residency. While a general reporting obligation also applies for servicers, the relevant

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1 NCB may decide not to collect this information from individual reporting agents (cf.
2 Tables 2 and 3 in Annex III to the AnaCredit Regulation).

3 When this data attribute is not required by the relevant NCB, the value “not required”
4 is reported.

5 If no postal code is in use in the counterparty’s country, the value “non-applicable” is

6 reported.

Values

7 Alphanumeric: a code consisting of alphabetical and numerical symbols.

General reporting instructions, specific cases and examples

8 The address is reported in line with the residency of the institutional unit according to
9 Article 1(4) of Regulation (EC) No 2533/98.

10 Revision mark: the clarifications The postal code of a foreign branch differs from that of the legal entity to which it
concerning foreign branches are
11 streamlined, taking into belongs (cf. Section 12.2.2.3 which deals with the applicability and scope of
12 consideration the general counterparty reference data attributes for foreign branches and special funds).
explanations provided in
Section 12.2.2.3

12.4.11 Address: county/administrative division

Definition: The county or similar administrative division of counterparties resident in

European Union Member States.

13 This is the county/administrative division (NUTS 3 classification) of the place (the

14 city, town or village) where the counterparty is officially located (e.g. in accordance
15 with the business register, if applicable).

Reporting qualification

16 This data attribute is reported for all counterparties resident in a reporting Member
17 State (RMS). While a general reporting obligation also applies for servicers resident
18 in an RMS, the relevant NCB may decide not to collect this information from
19 individual reporting agents (cf. Table 2 in Annex III to the AnaCredit Regulation).

20 When this data attribute is not required by the relevant NCB, the value “not required”
21 is reported.

22 There is no obligation to report the county/administrative division for counterparties

23 not resident in an RMS. In these cases, the value “not required” is reported (cf. Table
24 3 in Annex III to the AnaCredit Regulation).

Values

25 String of characters: NUTS 3 regions.

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General reporting instructions, specific cases and examples

1 The address is reported in line with the residency of the institutional unit according to
2 Article 1(4) of Regulation (EC) No 2533/98.

3 Revision mark: the clarifications The county/administrative division of a foreign branch differs from the one of the
concerning foreign branches are
4 streamlined, taking into legal entity to which it belongs (cf. Section 12.2.2.3 which deals with the applicability
5 consideration the general and scope of counterparty reference data attributes for foreign branches and special
explanations provided in
6 Section 12.2.2.3 funds).

7 For counterparties resident in the European Union, the Nomenclature of Units for
8 Territorial Statistics (NUTS) applies. This is a hierarchical geocode standard for
9 referencing the subdivisions of countries for statistical purposes, developed and
10 regulated by the European Union.

11 For each EU Member State, a hierarchy of three NUTS levels is established by

12 Eurostat. The subdivisions in some levels do not necessarily correspond to
13 administrative divisions within the country.

14 Revision mark: clarifications on the For more information about the use of NUTS 3 codes, including their versioning,
use of external code lists are
15 included in line with Section 2.4 please refer to Section 2.4.

16 Revision mark: clarifications are As in the case of the data attribute “real estate collateral location” (cf. Section 9.4.7),
included in line with
17 Q&A 2018/0048 the information on NUTS 3 regions is derived centrally by the ECB on the basis of
18 the postal code of the counterparty, according to the information available on the
19 Eurostat website 31, and the data attribute “address: county/administrative division”
20 need not be reported to AnaCredit, provided that the postal code is reported.
21 However, if reporting agents opt to report the data attribute “address:
22 county/administrative division”, please note that the current NUTS 3 classification
23 came into effect on 1 January 2018. Accordingly, for reporting reference dates from 1
24 January 2018 onwards, this data attribute is based on the amended classification (cf.
25 Section 2.4). Therefore, the data attribute “address: county/administrative division” is
26 reported only when the information about the postal code of the counterparty is not
27 reported, while it is reported as “not required” when a postal code is reported.

12.4.12 Address: country

Definition: The counterparty’s country.

28 This is the country of the place (the city, town or village) where the counterparty is
29 officially located (e.g. in accordance with the business, register if applicable).

31
http://ec.europa.eu/eurostat/tercet/flatfiles.do

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Reporting qualification

1 This data attribute is reported for all counterparties, irrespective of the country of
2 residency. While a general reporting obligation also applies for servicers, the relevant
3 NCB may decide not to collect this information from individual reporting agents (cf.
4 Tables 2 and 3 in Annex III to the AnaCredit Regulation).

5 When this data attribute is not required by the relevant NCB, the value “not required”
6 is reported.

Values

7 ISO 3166-1 alpha-2 codes: ISO 3166-1 alpha-2 code of the country.

General reporting instructions, specific cases and examples

8 The address is reported in line with the residency of the institutional unit according to
9 Article 1(4) of Regulation (EC) No 2533/98.

10 Revision mark: the clarifications The country of residency of a foreign branch differs from that of the legal entity to
concerning foreign branches are
11 streamlined, taking into which it belongs (cf. Section 12.2.2.3 which deals with the applicability and scope of
12 consideration the general counterparty reference data attributes for foreign branches and special funds).
explanations provided in
Section 12.2.2.3
13 Revision mark: further For counterparties located in a country that has a specific, separate alpha-2 code in
clarifications concerning ISO
14 country codes are included in line the ISO 3166 standard, the specific two-letter code of the country is reported. This
15 with Q&A 2017/0004 also applies to cases where the country is a subdivision of another country (in which
16 case, the country code of the subdivision is reported, rather than the country code of
17 the other country). Please refer to Example 69 for an illustration of the reporting of
18 ISO country codes.

19 Revision mark: clarifications on the For more information about the use of ISO country codes, including their versioning,
use of external code lists are
20 included in line with please refer to Section 2.4.
Q&A 2017/0005

12.4.13 Legal form

Definition: The type of business entity as defined in the national legal system.

21 The type of business entity as defined in the national legal system is reported in this
22 data attribute. Depending on the country of residency of the counterparty, the list of
23 admissible options is presented in the “list of legal forms” (the list of legal forms can
24 be found on the ECB’s website 32).

Reporting qualification

25 This data attribute is reported for all counterparties, irrespective of the country of
26 residency. While a general reporting obligation also applies for servicers, the relevant
32
https://www.ecb.europa.eu/stats/money_credit_banking/anacredit/html/index.en.html

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1 NCB may decide not to collect this information from individual reporting agents (cf.
2 Tables 2 and 3 in Annex III to the AnaCredit Regulation).

3 When this data attribute is not required by the relevant NCB, the value “not required”
4 is reported.

Values
Revision mark: editorial changes
5 are applied This is a value from the “list of the legal forms” (see the list of legal forms on the
6 ECB’s website) available in the country of residency of the counterparty (or of the
7 legal entity in the case of foreign branches).

8 In addition to the country-specific legal forms, legal entities resident in any country of
9 the European Union can also have one of the following European legal forms, i.e.:

10 • European Company (SE);

11 • European Cooperative Society (SCE);

12 • European Economic Interest Grouping (EEIG);

13 • European Grouping of Territorial Cooperation (EGTC).

14 For legal entities resident outside the European Union, one of the following options is
15 reported (i.e. the one that best represents the country-specific legal form of that
16 particular counterparty):

17 • corporation;

18 • cooperative;

19 • partnership;

20 • sole trader;

21 • limited liability company;

22 • other.

General reporting instructions, specific cases and examples

23 A list of legal forms applicable in the country of residency of (the head office
24 undertaking of) the counterparty is provided in the “list of legal forms” (see the list of
25 legal forms on the ECB’s website).

26 Revision mark: the clarifications This data attribute is applicable only at the legal entity level, which impacts on the
concerning foreign branches are
27 streamlined, taking into reporting in the case of foreign branches (cf. Section 12.2.2.3 which deals with the
28 consideration the general applicability and scope of counterparty reference data attributes for foreign branches
explanations provided in
29 Section 12.2.2.3 and special funds).

30 Revision mark: further Although special funds are treated similarly to foreign branches for AnaCredit
clarifications are included
31 concerning reporting in the case of reporting purposes, the data attribute “legal form” is also reported in the counterparty
32 special funds in line with reference data record of the special fund (i.e. as opposed to in the counterparty
Q&A 2018/0025
33 reference data record of the managing company only). In particular, the value

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1 “special fund” is reported in the counterparty reference data record of the special
2 fund.

12.4.14 Institutional sector

Definition: Institutional sectors in accordance with Regulation (EU) No 549/2013,

Regulation (EU) No 575/2013 and Regulation (EU) No 1075/2013 of the European
Central Bank (ECB/2013/40).

3 The institutional sector refers exclusively to the institutional unit. Therefore, in the
4 case of a legal entity which has foreign branches, a distinct value for the “institutional
5 sector” is potentially reported in the reference data record of the head office
6 undertaking (representing the legal entity) and in the reference data records of the
7 foreign branches.

Reporting qualification

8 This data attribute is reported for all counterparties, irrespective of the country of
9 residency. While a general reporting obligation also applies for servicers, the relevant
10 NCB may decide not to collect this information from individual reporting agents (cf.
11 Tables 2 and 3 in Annex III to the AnaCredit Regulation).

12 Revision mark: clarification is When this data attribute is not required by the relevant NCB, the value “not required”
included concerning the use of “not
13 required” is reported.

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Values

The following table lists the applicable institutional sectors:

Table 137 List of applicable institutional sectors

Institutional sector Definition

Non-financial corporations Non-financial corporations as defined in paragraphs 2.45 to

2.50 of Annex A to Regulation (EU) No 549/2013.

Central Bank Central banks as defined in paragraphs 2.72 to 2.74 of

Annex A to Regulation (EU) No 549/2013.

Credit institutions Credit institutions as defined in Article 4(1)(1) of Regulation

(EU) No 575/2013.

Deposit-taking corporations other than Deposit-taking corporations other than credit institutions as
credit institutions defined in Article 1(a)(2)(a)(ii) of Regulation (EU)
No 1071/2013 (ECB/2013/33).

Money market funds (MMF) Money market funds (MMF) as defined in Article 2 of
Regulation (EU) No 1071/2013 (ECB/2013/33).

Non-MMF investment funds Non-MMF investment funds as defined in paragraphs 2.82 to

2.85 of Annex A to Regulation (EU) No 549/2013.

Financial vehicle corporations (FVCs) FVCs engaged in securitisation transactions, as defined in

engaged in securitisation transactions Article 1(1) and (2) of Regulation (EU) No 1075/2013
(ECB/2013/40).

Other financial intermediaries, except Other financial intermediaries, except financial auxiliaries,
financial auxiliaries, captive financial captive financial institutions and money lenders, insurance
institutions and money lenders, insurance corporations and pension funds, as defined in paragraph
corporations, pension funds and financial 2.86 of Annex A to Regulation (EU) No 549/2013 and
vehicle corporations engaged in excluding FVCs engaged in securitisation transactions, as
securitisation transactions defined in Article 1(1) and (2) of Regulation (EU) No
1075/2013 (ECB/2013/40).

Financial auxiliaries Financial auxiliaries as defined in paragraph 2.63 of Annex A

to Regulation (EU) No 549/2013.

Captive financial institutions and money Captive financial institutions and money lenders as defined in
lenders paragraphs 2.98 to 2.99 of Annex A to Regulation (EU)
No 549/2013.

Insurance corporations Insurance corporations as defined in paragraphs 2.100 to

2.104 of Annex A to Regulation (EU) No 549/2013.

Pension funds Pension funds as defined in paragraphs 2.105 to 2.110 of

Annex A to Regulation (EU) No 549/2013.

Central government Central government as defined in paragraph 2.114 of Annex

A to Regulation (EU) No 549/2013.

State government State government as defined in paragraph 2.115 of Annex A

to Regulation (EU) No 549/2013.

Local government Local government as defined in paragraph 2.116 of Annex A

to Regulation (EU) No 549/2013.

Social security funds Social security funds as defined in paragraph 2.117 of Annex
A to Regulation (EU) No 549/2013.

Non-profit institutions serving households Non-profit institutions serving households, as defined in

paragraphs 2.129 to 2.130 of Annex A to Regulation (EU)
No 549/2013.

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General reporting instructions, specific cases and examples

1 The institutional sector always refers to the institutional unit, not to the legal entity of
2 which it forms part. Hence, it is also reported for foreign branches and special funds.
3 Usually, although not always, the head office undertaking and the foreign branches
4 of a single legal entity have the same institutional sector.

5 For the reporting agent, the institutional sector of the legal entity (represented by the
6 head office undertaking) and of its foreign branches is always “Credit institutions”.

7 Special funds belong either to the institutional sector “Money market funds (MMF)”
8 (ESA 2010, S.123) or “Non-MMF investment funds” (ESA 2010, S.124) 33.

9 Please refer to Section 12.2.2.3 for information about the applicability and scope of
10 this data attribute for foreign branches and special funds.

12.4.15 Economic activity

Definition: Economic activity is a classification of counterparties according to their

economic activities, in accordance with the NACE revision 2 statistical classification as
laid down in Regulation (EC) No 1893/2006 of the European Parliament and of the
Council.

11 This data attribute is a statistical classification of the economic activity of the

12 counterparty as established in accordance with Regulation (EC) No 1893/2006 of the
13 European Parliament and of the Council of 20 December 2006 establishing the
14 statistical classification of economic activities NACE Revision 2 and amending
15 Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific
16 statistical domains (OJ L 393, 30.12.2006, p. 1).

Reporting qualification

17 The economic activity is reported for all creditors, debtors, head office undertakings
18 and immediate parent undertakings resident in a reporting Member State. A general
19 reporting obligation applies for protection providers, ultimate parent undertakings,
20 originators and servicers resident in a reporting Member State. However, the
21 relevant NCB may decide not to collect this information from individual reporting
22 agents (cf. Table 2 in Annex III to the AnaCredit Regulation).

23 A general reporting obligation also applies for the economic activity of creditors,
24 debtors, protection providers, head office undertakings, immediate and ultimate
25 parent undertakings, originators and servicers not resident in a reporting Member
26 State. However, the relevant NCB may decide not to collect this information from
27 individual reporting agents (cf. Table 3 in Annex III to the AnaCredit Regulation).

33
See the European System of Accounts (ESA 2010).

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1 Revision mark: clarification is When this data attribute is not required by the relevant NCB, the value “not required”
included concerning the use of “not
2 required” is reported.

3 In the case of reporting agents and observed agents resident in a reporting Member
4 State, the value “not required” is reported.

Values

5 NACE code: a level two, three or four NACE code in accordance with Regulation
6 (EC) No 1893/2006.

General reporting instructions, specific cases and examples

7 The level four NACE code in accordance with Regulation (EC) No 1893/2006 is
8 generally reported. If the level four NACE code is not available to the reporting
9 agent, the NCB may allow the reporting of a level three or level two NACE code.

10 The economic activity always refers to the institutional unit, not to the legal entity of
11 which it forms part. Hence, it is also reported for foreign branches and special funds.
12 In addition, the economic activity of a foreign branch can be different from that of its
13 head office undertaking.

14 If a counterparty is engaged in several activities, the principal activity is taken into

15 account when determining the economic activity to be reported.

16 Revision mark: clarification is Unless the value “not required” is reported, a NACE code is reported for all
added that there is no link between
17 “economic activity” and “institutional counterparties irrespective of whether they are (part of) incorporated enterprises,
18 sector” sole proprietors or government. Please refer to NACE Rev.2 Manual 34 for more
19 information.

12.4.16 Status of legal proceedings

Definition: The status of legal proceedings covers the categories describing a

counterparty’s legal status in relation to its solvency based on the national legal
framework. The NCB should transpose these values (listed below) into the national
legal framework.

20 In due course, a reference table will be prepared by each NCB to facilitate the
21 interpretation and comparison of these values across countries.

Reporting qualification

22 This data attribute is reported for all debtors resident in a reporting Member State to
23 which at least one instrument has been originated at or after 1 September 2018.

34
The NACE Rev.2 Manual is available at
https://ec.europa.eu/eurostat/documents/3859598/5902521/KS-RA-07-015-EN.PDF.

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1 A general reporting obligation applies for other debtors, protection providers, head
2 office undertakings, immediate and ultimate parent undertakings, originators and
3 servicers resident in a reporting Member State. However, the relevant NCB may
4 decide not to collect this information from individual reporting agents (cf. Table 2 in
5 Annex III to the AnaCredit Regulation).

6 In the case of reporting agents, observed agents and creditors resident in an RMS,
7 the value “not required” is reported.

8 This data attribute is not required for counterparties not resident in an RMS. A
9 general reporting obligation only applies for debtors not resident in an RMS to which
10 at least one instrument has been originated at or after 1 September 2018, and for
11 protection providers. However, the relevant NCB may decide not to collect this
12 information from individual reporting agents (cf. Table 3 in Annex III to the AnaCredit
13 Regulation).

14 Revision mark: clarification is When this data attribute is not required by the relevant NCB, the value “not required”
included concerning the use of “not
15 required” is reported.

Values

16 One of the following values is reported in the data attribute “Status of legal
17 proceedings”.

Table 138 Values of the data attribute “status of legal proceedings”

Status of legal proceedings Description

No legal actions taken is reported if no legal actions have been taken concerning the
solvency or indebtedness of a counterparty.

Under judicial administration, is reported if any proceedings have been taken involving the
receivership or similar measures intervention of a judicial body or similar aimed at reaching a
refinancing agreement among the creditors, with the exception of
any bankruptcy or insolvency proceedings.

Bankruptcy/insolvency is reported if collective and binding bankruptcy or insolvency

proceedings under judicial control have taken place, which entail
the partial or total divestment of a counterparty and the
appointment of a liquidator.

Other legal measures is reported if legal measures other than those already specified
have been applied in relation to the counterparty.

General reporting instructions, specific cases and examples

18 This data attribute is intended to contain, to the extent possible, “objective”

19 information, i.e. information that represents the actual situation of the counterparty at
20 a given point in time and is independent of the specific observed agent reporting it.

21 A value other than “no legal actions taken” is thus not only to be reported if the
22 respective observed agent has taken some form of legal action, but also when the
23 reporting agent is aware that some sort of legal action has been taken against the
24 counterparty by a third party (e.g. by a distinct reporting agent).

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1 Revision mark: further Moreover, as the attribute relates directly to the legal entity, it is only reported in the
clarifications are included about the
2 applicability and scope of counterparty reference data record of the head office undertaking (which represents
3 counterparty reference data the legal entity). Consequently, in the case of foreign branches, the value “non-
attributes for foreign branches and
4 special funds applicable” is reported in the respective reference data record. Nevertheless, for
5 special funds, a value other than “non-applicable” is reported because the solvency
6 of a special fund is independent of the solvency of the managing financial
7 corporation that manages it. Please refer to Section 12.2.2.3 for more information
8 about the applicability and scope of counterparty reference data attributes for foreign
9 branches and special funds).

12.4.17 Date of initiation of legal proceedings

Definition: The date on which the legal proceedings, as reported under the attribute
“status of legal proceedings”, were initiated. This date should be the most recent
relevant date prior to the reporting date.

10 This data attribute captures the date when the information reported in the data
11 attribute “status of legal proceedings” is considered to have been initiated,
12 irrespective of whether the legal proceedings were initiated by the reporting agent or
13 by a third party.

Reporting qualification
Revision mark: clarifications are
14 included on the reporting This data attribute is reported for all debtors resident in a reporting Member State to
qualification in line with
15 Section 12.4.16 which at least one instrument has been originated at or after 1 September 2018.

16 A general reporting obligation applies for other debtors, protection providers, head
17 office undertakings, immediate and ultimate parent undertakings, originators and
18 servicers resident in a reporting Member State. However, the relevant NCB may
19 decide not to collect this information from individual reporting agents (cf. Table 2 in
20 Annex III to the AnaCredit Regulation).

21 In the case of reporting agents, observed agents and creditors resident in an RMS,
22 the value “not required” is reported.

23 This data attribute is not required for counterparties not resident in an RMS. A
24 general reporting obligation only applies for debtors not resident in an RMS to which
25 at least one instrument has been originated at or after 1 September 2018, and for
26 protection providers. However, the relevant NCB may decide not to collect this
27 information from individual reporting agents (cf. Table 3 in Annex III to the AnaCredit
28 Regulation).

29 Revision mark: clarification is When the data attribute “status of legal proceedings” is reported with the value “not
included concerning the use of “not
30 required” required”, “not required” is also reported in the data attribute “date of initiation of
31 legal proceedings”.

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Values

1 This data attribute is reported as a date indicating the day, month and year on which
2 the status as reported in the data attribute “status of legal proceedings” is considered
3 to have been initiated.

General reporting instructions, specific cases and examples

4 If the value for a counterparty of the data attribute “status of legal proceedings” has
5 been “no legal actions taken” from the inception date, then “non-applicable” is
6 reported in the data attribute “Date of initiation of legal proceedings”.

7 If the status has a value other than “no legal actions taken”, the date that is reported
8 is the date on which the status is considered to have arisen.

9 If the status changes from any other status to “no legal actions taken” (e.g. because
10 the counterparty has recovered following a period where it was under judicial
11 administration), the date of such a change is reported in the data attribute “Date of
12 initiation of legal proceedings”. If the latter date is before the first reporting reference
13 date, “non-applicable” is reported in this data attribute.

12.4.18 Enterprise size

Definition: The classification of enterprises by size, in accordance with the Annex to

Commission Recommendation 2003/361/EC.

14 This data attribute classifies counterparties which are enterprises by size.

Reporting qualification

15 This attribute is reported for all debtors resident in a reporting Member State (RMS)
16 to which at least one instrument has been originated at or after 1 September 2018.

17 A general reporting obligation applies for other debtors, protection providers, head
18 office undertakings, immediate and ultimate parent undertakings, originators and
19 servicers resident in an RMS. However, the relevant NCB may decide not to collect
20 this information from individual reporting agents (cf. Table 2 in Annex III to the
21 AnaCredit Regulation).

22 In the case of reporting agents, observed agents and creditors resident in an RMS,
23 the value “not required” is reported.

24 A general reporting obligation only applies for debtors not resident in an RMS to
25 which at least one instrument has been originated at or after 1 September 2018, and
26 for protection providers. However, the relevant NCB may decide not to collect this
27 information from individual reporting agents (cf. Table 3 in Annex III to the AnaCredit
28 Regulation).

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1 Revision mark: clarification is When this data attribute is not required by the relevant NCB, the value “not required”
included concerning the use of “not
2 required” is reported.

Values

3 One of the following values is reported in the data attribute “Enterprise size”

Table 139 Values of the data attribute “enterprise size”

Enterprise size Description

Large enterprise is reported if the counterparty is an enterprise not qualifying as a

micro, small or medium-sized enterprise (SME), in accordance with
the Annex to Recommendation 2003/361/EC

Medium enterprise is reported if the counterparty is an enterprise qualifying as an

SME, but not as a small enterprise or as a microenterprise, in
accordance with the Annex to Recommendation 2003/361/EC

Small enterprise is reported if the counterparty is an enterprise qualifying as a small

enterprise, in accordance with the Annex to Recommendation
2003/361/EC

Microenterprise is reported if the counterparty is an enterprise qualifying as a

microenterprise in accordance with the Annex to Recommendation
2003/361/EC

General reporting instructions, specific cases and examples

Revision mark: the clarifications are
4 streamlined in line with For information regarding the scope of consolidation for the reporting of this data
Q&A 2017/0001 and also taking
5 into consideration the explanations attribute, please refer to Section 12.2.3.1.
in Section 12.2.3
6 This data attribute is only applicable to enterprises, as defined in Article 1 of the
7 Annex to Commission Recommendation 2003/361/EC: “an enterprise is considered
8 to be any entity engaged in an economic activity, irrespective of its legal form. This
9 includes, in particular, self-employed persons and family businesses engaged in craft
10 or other activities, and partnerships or associations.”

11 This means that this data attribute is not applicable for counterparties which are not
12 engaged in any economic activity, such as general government units. In such cases,
13 the value “non-applicable” is reported in the data attribute “enterprise size”.

14 Moreover, the enterprise size is reported in the counterparty reference data record of
15 the head office undertaking. Please refer to Section 12.2.2.3 for more information
16 about the applicability and scope of this data attribute for foreign branches and
17 special funds. Consequently, in the case of foreign branches and special funds, the
18 value “non-applicable” is reported.

19 The classification of the enterprise size is performed in accordance with Article 2 of

20 the Annex to Recommendation 2003/361/EC, taking into account the staff headcount
21 and financial ceilings as follows:

22 1. the category of micro, small and medium-sized enterprises (SMEs) is made up

23 of enterprises which employ fewer than 250 persons and which have an annual

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1 turnover not exceeding €50 million, and/or an annual balance sheet total not
2 exceeding €43 million; 35

3 2. within the SME category, a small enterprise is defined as an enterprise which

4 employs fewer than 50 persons and whose annual turnover and/or annual
5 balance sheet total does not exceed €10 million;

6 3. within the SME category, a microenterprise is defined as an enterprise which

7 employs fewer than 10 persons and whose annual turnover and/or annual
8 balance sheet total does not exceed €2 million.

9 Please note that the these definitions of enterprise size deviate from the definition of
10 SMEs subject to the reduction factor for capital requirements according to Article
11 501(2)(b) of the CRR, which states that only the annual turnover is taken into
12 account.

13 According to Article 4 of the Annex to Commission Recommendation 2003/361/EC,

14 the data to apply to the headcount of staff and the financial amounts are those
15 relating to the latest approved accounting period and are calculated on an annual
16 basis. They are taken into account from the date of closure of the accounts. In the
17 case of newly established enterprises, whose accounts have not yet been approved,
18 the data to apply are derived from a bona fide estimate made in the course of the
19 financial year.

20 All the parameters used in the calculation of the enterprise size (number of
21 employees, annual turnover and balance sheet total) refer to the same year. When
22 this is not the case, the enterprise size is reported for the last year for which all
23 parameters are available.

24 Table 140 illustrates the reporting of the data attribute “enterprise size” by means of
25 a set of examples.

Table 140 Application of the reporting principles when establishing enterprise size:
example
Balance
Annual sheet Enterprise size in
turnover total accordance with Annex to
Number of (EUR (EUR Recommendation
Unit employees millions) millions) 2003/361/EC Report of
Head office/
Legal entity A 220 8 20 Medium enterprise
Legal entity
Not to be taken into
Head office A 216 6 15 -
account
Foreign branch B in Not to be taken into
3 1 2 -
RMS account
Foreign branch C Not to be taken into
1 1 3 -
not in RMS account
Head office/
Legal entity B 40 8 8 Small enterprise
Legal entity
Not to be taken into
Head office A 36 6 3 -
account

35
Please note that in accordance with the User guide to the SME Definition, meeting one of the two
conditions is sufficient to qualify as an SME, provided that the headcount condition is fulfilled.

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Balance
Annual sheet Enterprise size in
turnover total accordance with Annex to
Number of (EUR (EUR Recommendation
Unit employees millions) millions) 2003/361/EC Report of

Foreign branch B in Not to be taken into

3 1 2 -
RMS account

Foreign branch C Not to be taken into

1 1 3 -
not in RMS account
Managing financial Head office/
5 1 1 NA
corporation C Legal entity
Special fund A in
NA NA NA NA -
RMS
Special fund B not in
NA NA NA NA -
RMS
Public legal entity D 75 20 5 NA NA

12.4.19 Date of enterprise size

Definition: The date to which the value provided in the “enterprise size” refers. This is
the date of the latest data used to classify or review the classification of the enterprise.

1 This data attribute represents the date to which the data used to establish the
2 enterprise size of a counterparty refer.

Reporting qualification

3 This attribute is reported for all debtors resident in a reporting Member State (RMS)
4 to which at least one instrument has been originated at or after 1 September 2018.

5 A general reporting obligation applies for other debtors, protection providers, head
6 office undertakings, immediate and ultimate parent undertakings, originators and
7 servicers resident in an RMS. However, the relevant NCB may decide not to collect
8 this information from individual reporting agents (cf. Table 2 in Annex III to the
9 AnaCredit Regulation).

10 Revision mark: clarification is When this data attribute is not required by the relevant NCB, the value “not required”
included concerning the use of “not
11 required” is reported.

12 In the case of reporting agents, observed agents and creditors resident in an RMS,
13 the value “not required” is reported.

14 This attribute is not reported for counterparties which are not resident in an RMS (cf.
15 Table 3 in Annex III to the AnaCredit Regulation).

Values

16 This is the day, month and year to which the enterprise size refers.

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General reporting instructions, specific cases and examples

1 The date of enterprise is the date to which the value provided in the “enterprise size”
2 refers.

3 If the value “non-applicable” is reported for the data attribute “enterprise size”, the
4 value “non-applicable” is also reported in the data attribute “date of enterprise size”
5 (please refer to Section 12.2.2.3 for more information about the applicability and
6 scope of this data attribute for foreign branches and special funds).

12.4.20 Number of employees

Definition: Number of employees working for the counterparty, in accordance with

Article 5 of the Annex to Recommendation 2003/361/EC.

7 This data attribute represents the staff headcount of a counterparty.

Reporting qualification

8 This attribute is reported for all debtors resident in a reporting Member State (RMS)
9 to which at least one instrument has been originated at or after 1 September 2018.

10 A general reporting obligation applies for other debtors, protection providers, head
11 office undertakings, immediate and ultimate parent undertakings, and originators
12 resident in an RMS. However, the relevant NCB may decide not to collect this
13 information from individual reporting agents (cf. Table 2 in Annex III to the AnaCredit
14 Regulation).

15 Revision mark: clarification is When this data attribute is not required by the relevant NCB, the value “not required”
included concerning the use of “not
16 required” is reported.

17 In the case of reporting agents, observed agents, creditors and servicers resident in
18 an RMS, the value “not required” is reported.

19 This data attribute is not reported for counterparties which are not resident in an
20 RMS (cf. Table 3 in Annex III to the AnaCredit Regulation).

Values

21 Numerical: a non-negative number.

General reporting instructions, specific cases and examples

Revision mark: the clarifications
22 are streamlined in line with For information regarding the scope of the consolidation for the reporting of the
Q&A 2018/0046 and also taking
23 into consideration the explanations “number of employees”, “balance sheet total” and “annual turnover”, please refer to
in Section 12.2.3
24 Section 12.2.3.2.

25 For an illustration of the calculation of the number of employees for a legal entity with
26 foreign branches, please refer to Example 91.

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1 If a counterparty is a foreign branch or special fund, “non-applicable” is reported

2 (please refer to Section 12.2.2.3 for more information about the applicability and
3 scope of this data attribute for foreign branches and special funds).

4 Please note that the “number of employees” of the counterparty is equivalent to the
5 concept of “staff headcount” described in Article 5 of Recommendation 2003/361/EC.

6 Revision mark: clarification is Accordingly, the “number of employees” is applicable only to enterprises. This means
added concerning counterparties
7 that are not enterprises that the data attribute “number of employees” is not applicable for counterparties
8 which are not enterprises, such as general government units not engaged in any
9 economic activity. In such cases, the value “non-applicable” is reported.

10 Moreover, the data applicable to the staff headcount are those relating to the latest
11 approved accounting period and are calculated on an annual basis. They are taken
12 into account from the date of closure of the accounts. In the case of newly
13 established enterprises, whose accounts have not yet been approved, the applicable
14 data are to be derived from a bona fide estimate made in the course of the financial
15 year.

16 Revision mark: further According to Article 5 of the Annex to Commission Recommendation 2003/361/EC,
clarifications are added regarding
17 the calculation of the headcount in “the headcount corresponds to the number of annual work units (AWU), i.e. the
18 line with Commission number of persons who worked full-time within the enterprise in question or on its
Recommendation 2003/361/EC
19 behalf during the entire reference year under consideration. The work of persons
20 who have not worked the full year, the work of those who have worked part-time,
21 regardless of duration, and the work of seasonal workers are counted as fractions of
22 AWU.”

23 This data attribute is updated whenever the reporting agent is aware of a change in
24 the counterparty’s number of employees (based on the latest approved accounting
25 statement), and at least when a new instrument is issued vis-à-vis the counterparty.

Example 91: The number of employees of a debtor

A legal entity L, resident in a reporting Member State, has two foreign branches.
Additionally, the legal entity has one subsidiary (i.e. another legal entity controlled by L).
The legal entity employs 1,000 employees in the country of the head office, while the two
foreign branches have 100 and 200 employees, respectively. The subsidiary has 500
employees.

The legal entity is a debtor to an instrument reported in AnaCredit. Therefore, the

counterparty reference data report of the debtor includes the number of employees.

The value to be reported in the data attribute “number of employees” in the counterparty
reference data of the head office undertaking (representing the counterparty L) is equal
to 1,300 (adding up the employees of the domestic part and of the two foreign branches,
while not including the subsidiary).

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12.4.21 Balance sheet total

Definition: The carrying value of the counterparty’s total assets in accordance with
Regulation (EU) No 549/2013.

1 This data attribute measures the balance sheet of the counterparty.

Reporting qualification

2 This attribute is reported for all debtors resident in a reporting Member State (RMS)
3 to which at least one instrument has been originated at or after 1 September 2018.

4 A general reporting obligation applies for other debtors, protection providers, head
5 office undertakings, immediate and ultimate parent undertakings, and originators
6 resident in an RMS. However, the relevant NCB may decide not to collect this
7 information from individual reporting agents (cf. Table 2 in Annex III to the AnaCredit
8 Regulation).

9 Revision mark: clarification is When this data attribute is not required by the relevant NCB, the value “not required”
included concerning the use of “not
10 required” is reported.

11 In the case of reporting agents, observed agents, creditors and servicers resident in
12 an RMS, the value “not required” is reported.

13 This attribute is not reported for counterparties which are not resident in an RMS (cf.
14 Table 3 in Annex III to the AnaCredit Regulation).

Values

15 The carrying value of the counterparty’s total assets referring to the latest approved
16 accounting period of the legal entity is reported. This amount is reported in euro.
17 Foreign currency amounts are converted into euro at the respective ECB euro
18 foreign exchange reference rate (i.e. the mid-rate) on the relevant reference date.
19 For more details regarding the relevant date, please refer to Section 2.3.

General reporting instructions, specific cases and examples

Revision mark: the clarifications
20 are streamlined in line with For information regarding the scope of the consolidation for the reporting of the
Q&A 2018/0046 and also taking
21 into consideration the explanations “number of employees”, “balance sheet total” and “annual turnover”, please refer to
in Section 12.2.3
22 Section 12.2.3.2.

23 The “balance sheet total” is applicable only to enterprises.

24 As explained for the data attribute “number of employees”, according to Article 4 of

25 the Annex to Commission Recommendation 2003/361/EC, the data to apply to the
26 balance sheet total are those relating to the latest approved accounting period and
27 are calculated on an annual basis. They are taken into account from the date of
28 closure of the accounts. In the case of newly established enterprises, whose
29 accounts have not yet been approved, the applicable data are to be derived from a
30 bona fide estimate made in the course of the financial year.

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1 The data attribute “balance sheet If a counterparty is a foreign branch or special fund, “non-applicable” is reported
total” is reported in relation to the
2 legal entity and not in relation to the (please refer to Section 12.2.2.3 for more information about the applicability and
3 institutional units that are part of the scope of this data attribute for foreign branches and special funds).
legal entity

4 This data attribute is updated whenever the reporting agent is aware of a change in
5 the counterparty’s balance sheet total (as based on the latest approved accounting
6 statement), and at least when a new instrument is issued vis-à-vis the counterparty.

12.4.22 Annual turnover

Definition: The annual sales volume net of all discounts and sales taxes of the
counterparty in accordance with Recommendation 2003/361/EC. It is equivalent to the
concept of “total annual sales” in Article 153(4) of Regulation (EU) No 575/2013.

7 This data attribute represents the annual turnover (sales) of a counterparty.

Reporting qualification

8 This attribute is reported for all debtors resident in a reporting Member State (RMS)
9 to which at least one instrument has been originated at or after 1 September 2018.

10 A general reporting obligation applies for other debtors, protection providers, head
11 office undertakings, immediate and ultimate parent undertakings, and originators
12 resident in an RMS. However, the relevant NCB may decide not to collect this
13 information from individual reporting agents (cf. Table 2 in Annex III to the AnaCredit
14 Regulation).

15 Revision mark: clarification is When this data attribute is not required by the relevant NCB, the value “not required”
included concerning the use of “not
16 required” is reported.

17 In the case of reporting agents, observed agents, creditors and servicers resident in
18 an RMS, the value “not required” is reported.

19 This attribute is not reported for counterparties which are not resident in an RMS
20 (cf. Table 3 in Annex III to the AnaCredit Regulation).

Values

21 The annual turnover is reported in euro. Foreign currency amounts are converted
22 into euro at the respective ECB euro foreign exchange rate (i.e. the mid-rate) at the
23 relevant reference date. For more details regarding the relevant date, please refer to
24 Section 2.3.

General reporting instructions, specific cases and examples

Revision mark: the clarifications
25 are streamlined in line with For information regarding the scope of the consolidation for the reporting of the
Q&A 2018/0046 and also taking
26 into consideration the explanations “number of employees”, “balance sheet total” and “annual turnover”, please refer to
in Section 12.2.3
27 Section 12.2.3.2.

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1 The “annual turnover” is applicable only to enterprises.

2 As explained for the data attribute “number of employees”, according to Article 4 of

3 the Annex to Commission Recommendation 2003/361/EC the data to apply to the
4 annual turnover are those relating to the latest approved accounting period and
5 calculated on an annual basis. They are taken into account from the date of closure
6 of the accounts. The amount reported for the turnover is calculated excluding value
7 added tax (VAT) and other indirect taxes. In the case of newly established
8 enterprises, whose accounts have not yet been approved, the data to apply are to be
9 derived from a bona fide estimate made in the course of the financial year.

10 If a counterparty is a foreign branch or special fund, “non-applicable” is reported

11 (please refer to Section 12.2.2.3 for more information about the applicability and
12 scope of this data attribute for foreign branches and special funds).

13 This data attribute is updated whenever the reporting agent is aware of a change in
14 the counterparty’s annual turnover (as based on the latest approved accounting
15 statement), and at least when a new instrument is issued vis-à-vis the counterparty.

12.4.23 Accounting standard

Definition: Accounting standard used by the observed agent’s legal entity. If the
reporting agent is subject to Regulation (EU) 2015/534 (ECB/2015/13), the data are
recorded in accordance with the accounting standard – International Financial
Reporting Standards (IFRS) or national generally accepted accounting principles
(GAAP) – applied to fulfil the requirements under Regulation (EU) 2015/534
(ECB/2015/13) by the observed agent’s legal entity.

16 This data attribute represents the accounting standard applied by the legal entity of
17 the observed agent. The accounting standard describes not only the accounting
18 standard according to which instruments are assigned to the accounting portfolio but
19 also all other relevant rules in accordance with which the instrument is recognised in
20 the balance sheet, the carrying amount is established, the impairment is assessed,
21 etc. (cf. Section 5.1.1).

Reporting qualification

22 The accounting standard is reported for reporting agents. The value is reported as
23 “not required” in all other cases.

Values

24 1. “IFRS” is reported if the legal entity applies IFRS, as applicable under

25 Regulation (EC) No 1606/2002 of the European Parliament and of the Council.

26 2. “National GAAP consistent with IFRS” is reported if the accounting standard

27 applied by the legal entity of the observed agent is a national accounting

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1 framework developed under Council Directive 86/635/EEC applying IFRS 9

2 criteria for the instruments.

3 3. “National GAAP not consistent with IFRS” is reported if the accounting standard
4 applied by the legal entity of the observed agent is a national accounting
5 framework developed under Council Directive 86/635/EEC not applying IFRS 9
6 criteria for the instruments.

General reporting instructions, specific cases and examples

7 This data attribute represents the accounting standard used by the observed agent’s
8 legal entity. In particular, if the reporting agent is subject to Regulation (EU)
9 2015/534 (ECB/2015/13), the data are recorded in accordance with the accounting
10 standard – International Financial Reporting Standards (IFRS) or national generally
11 accepted accounting principles (GAAP) – applied to fulfil the requirements under
12 Regulation (EU) 2015/534 (ECB/2015/13) by the observed agent’s legal entity.

13 Revision mark: further The accounting standard that is applied by foreign branches of credit institutions
clarifications are included in line
14 with Q&A 2018/0041 concerning need not be the same as the accounting standard of the legal entity to which the
15 the accounting standard to be foreign branch belongs. For example, banking laws in some reporting Member
followed
16 States prescribe that, at an unconsolidated (solo) level, the national GAAP have to
17 be applied. This provision is also applicable to foreign branches resident in such
18 Member States of credit institutions resident in any other country (irrespective of
19 whether or not it is a reporting Member State), which means that the foreign
20 branches apply the national GAAP of the reporting Member State even if the legal
21 entity of which they form part and which is resident in another country applies IFRS
22 at an unconsolidated level.

23 Notably, the accounting standard not only determines which instruments are
24 assigned to which accounting portfolios, but also provides other relevant rules in
25 accordance with which the instrument is recognised in the balance sheet, the
26 carrying amount is established, etc.

27 Consequently, in order to ensure that AnaCredit data of observed agents relating to

28 the same reporting agent are reported according to the same accounting standard,
29 the AnaCredit Regulation requires that the data be reported following the accounting
30 standard of the observed agent’s legal entity (cf. Section 5.1.1).

31 However, it is clarified that when the observed agent is a foreign branch resident in a
32 reporting Member State of a credit institution not resident in a reporting Member
33 State, the applicable accounting standard is the accounting standard applied by the
34 observed agent in the country where it is resident, rather than the accounting
35 standard applied by the legal entity to which the foreign branch belongs.

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References to legal acts

Regulation /
Directive /
Guideline No Official name

(EU) 2016/867 Regulation (EU) 2016/867 of the European Central Bank of 18

(ECB/2016/13) May 2016 on the collection of granular credit and credit risk
data (ECB/2016/13)

(EU) 2017/2335 Guideline (EU) 2017/2335 of the European Central Bank of 23

(ECB/2017/38) November 2017 on the procedures for the collection of
granular credit and credit risk data (ECB/2017/38)

(ECB/2014/15) Guideline of the European Central Bank of 4 April 2014 on

(2014/810/EU) monetary and financial statistics (recast) (ECB/2014/15)
(2014/810/EU)

(EU) No 1071/2013 Regulation (EU) No 1071/2013 of the European Central Bank

(ECB/2013/33) of 24 September 2013 concerning the balance sheet of the
monetary financial institutions sector (recast) (ECB/2013/33)

(EU) No 549/2013 Regulation (EU) No 549/2013 of the European Parliament and

of the Council of 21 May 2013 on the European system of
national and regional accounts in the European Union

(EU) No 575/2013 Regulation (EU) No 575/2013 of the European Parliament and

of the Council of 26 June 2013 on prudential requirements for
credit institutions and investment firms and amending
Regulation (EU) No 648/2012

2013/36/EU Directive 2013/36/EU of the European Parliament and of the

Council of 26 June 2013 on access to the activity of credit
institutions and the prudential supervision of credit institutions
and investment firms, amending Directive 2002/87/EC and
repealing Directives 2006/48/EC and 2006/49/EC

(EU) No 680/2014 Commission Implementing Regulation (EU) No 680/2014 of 16

April 2014 laying down implementing technical standards with
regard to supervisory reporting of institutions according to
Regulation (EU) No 575/2013 of the European Parliament and
of the Council (as amended by Commission Implementing
Regulation (EU) 2017/1443 of 29 June 2017)

(EU) No 648/2012 Regulation (EU) No 648/2012 of the European Parliament of

the Council of 4 July 2012 on OTC derivatives, central
counterparties and trade repositories

(EC) No 2533/98 Council Regulation (EC) No 2533/98 of 23 November 1998

concerning the collection of statistical information by the
European Central Bank

(EU) No 1075/2013 Regulation (EU) No 1075/2013 of the European Central Bank

(ECB/2013/40) of 18 October 2013 concerning statistics on the assets and
liabilities of financial vehicle corporations engaged in
securitisation transactions (recast) (ECB/2013/40)

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(EU) 2015/534 Regulation (EU) 2015/534 of the European Central Bank of 17

(ECB/2015/13) March 2015 on reporting of supervisory financial information
(ECB/2015/13)

(EC) No 290/2009 Regulation (EC) No 290/2009 of the European Central Bank of

(ECB/2009/7) 31 March 2009 amending Regulation (EC) No 63/2002
(ECB/2001/18) concerning statistics on interest rates applied
by monetary financial institutions to deposits and loans vis-à-
vis households and non-financial corporations (ECB/2009/7)

(EC) No 1606/2002 Regulation (EC) No 1606/2002 of the European Parliament

and of the Council of July 2002 on the application of
international accounting standards

(EC) No 1059/2003 Regulation (EC) No 1059/2003 of the European Parliament

and of the Council of 26 May 2003 on the establishment of a
common classification of territorial units for statistics (NUTS)

© European Central Bank, 2019

Postal address 60640 Frankfurt am Main, Germany

Telephone +49 69 1344 0
Website www.ecb.europa.eu

All rights reserved. Any reproduction, publication and reprint in the form of a different publication, whether printed or produced electronically, in whole or in part,
is permitted only with the explicit written authorisation of the ECB or the authors.

ISBN 978-92-899-3858-7 (pdf)

DOI 10.2866/925610 (pdf)
EU catalogue No QB-01-19-498-EN-N (pdf)

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