ANNEX ISupplementary provisions
ANNEX I Data to report and templates 1. The data to be reported under this Regulation refers to multiple elements, e.g. creditors, debtors, instruments, protection, etc. that are interconnected. For example, one debtor may be granted multiple loans or a single protection might secure multiple instruments. A data set for reporting the specific information for each of these elements is set out in this Annex. 2. The information for each data set refers to a single element, e.g. instrument, or to the combination of several elements, e.g. ‘instrument-protection’, thereby establishing the level of granularity to be provided for each data set. The data sets are organised into two templates. 3. The reporting requirements for the data attributes included in each template are set out in Annexes II and III. 4. The data attributes included in each template are defined in Annex IV. 5. Amounts are reported in units of euro. Foreign currency amounts should be converted into euro at the respective European Central Bank (ECB) euro foreign exchange reference rates, i.e. the mid-rate on the reporting reference date. Template 1 1. Counterparty reference data 1.1 The level of granularity for the counterparty reference data is the counterparty. Each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; and (b) counterparty identifier. 1.2 Each counterparty identifier must be unique for each counterparty reported by the same reporting agent and each counterparty must always be identified by the reporting agent using its unique counterparty identifier. This identifier must not be reused by the same reporting agent at any point in time to identify a different counterparty. NCBs may require reporting agents to use counterparty identifiers as specified by the relevant NCB. 1.3 The counterparties to be registered are all institutional units which are legal entities or form part of legal entities and are linked to instruments reported pursuant to Articles 4 and 5 or provide protection to secure such instruments. Specifically, the counterparties to be registered are: (a) creditors; (b) debtors; (c) protection providers; (d) originators; (e) servicers; (f) head offices of undertakings; (g) immediate parent undertakings and (h) ultimate parent undertakings. A single entity may be the counterparty in relation to several instruments or take different roles as a counterparty for the same instrument. However, each counterparty should only be registered once. 1.4 The information required for each type of counterparty is indicated in Annex III. 1.5 The counterparty data describes the characteristics of the counterparty. 1.6 In the case of natural persons being affiliated with instruments reported to AnaCredit, no record for the natural persons must be reported. 1.7 The records must be reported no later than the monthly transmission of credit data relevant for the reporting reference date on which the counterparty entered into a contract registered in AnaCredit. If a change takes place, the records must be updated no later than the monthly transmission of credit data for the reporting reference date on which the change came into effect. 2. Instrument data 2.1 The level of granularity for the instrument data is the instrument. Each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; (b) observed agent identifier; (c) contract identifier; and (d) instrument identifier. 2.2 Each contract identifier must be unique for each contract that generates credit risk for the same observed agent. This identifier must not be reused at any point in time to identify a different contract with the same observed agent. Each instrument identifier must be unique for each contract, i.e. all instruments embedded in a single contract are to be assigned a different instrument identifier, and these must not be reused at any point in time to identify a different instrument within the contract. 2.3 The instrument data registers any instrument that exists under a contract between the observed agent and the counterparties, including all instruments between institutional units within the same legal entity. 2.4 The instrument data describes the features of the instrument, which rarely change over time. 2.5 The records must be reported no later than the monthly transmission of credit data relevant for the reporting reference date on which the instrument is registered in AnaCredit. If a change takes place, the records must be updated no later than the monthly transmission of credit data for the reporting reference date on or before which the change came into effect. 3. Financial data 3.1 The level of granularity for the financial data is the instrument. Each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; (b) observed agent identifier; (c) contract identifier and (d) instrument identifier. 3.2 The financial data describes the instrument's financial development. 3.3 Any drawn amount of an instrument must be registered in the data attribute ‘outstanding nominal amount’. Any committed undrawn amount of an instrument must be registered in the data attribute ‘off-balance-sheet amount’. 3.4 The records must be reported on a monthly basis. 4. Counterparty-instrument data 4.1 The level of granularity for the counterparty-instrument data is the ‘counterparty-instrument’ combination and each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; (b) observed agent identifier; (c) counterparty identifier; (d) contract identifier; (e) instrument identifier; and (f) counterparty role. 4.2 The counterparty-instrument data describes the role of all counterparties in each instrument. 4.3 In the case of natural persons being affiliated with instruments reported to AnaCredit, no record for the natural persons must be reported. 4.4 The records must be reported no later than the monthly transmission of credit data relevant for the reporting reference date on or before which the instrument was registered in AnaCredit. If a change takes place, the records must be updated no later than the date of the monthly transmission of credit data that is relevant for the reporting reference date on or before which the change came into effect. 5. Joint liabilities data 5.1 The level of granularity for the joint liabilities data is the ‘counterparty-instrument’ combination. Each record is uniquely identified by the combination of the data attributes: (a) reporting agent identifier; (b) observed agent identifier; (c) counterparty identifier; (d) contract identifier; and (e) instrument identifier. 5.2 These data register the joint liability amount of the instrument that corresponds to each debtor that is jointly liable in relation to a single instrument. 5.3 In the case of natural persons being affiliated with instruments reported to AnaCredit, no record for the natural persons must be reported. 5.4 The records must be reported on a monthly basis. Data set Data attribute 1. Counterparty reference data Reporting agent identifier Counterparty identifier Legal Entity Identifier (LEI) National identifier Head office undertaking identifier Immediate parent undertaking identifier Ultimate parent undertaking identifier Name Address: street Address: city/town/village Address: county/administrative division Address: postal code Address: country Legal form Institutional sector Economic activity Status of legal proceedings Date of initiation of legal proceedings Enterprise size Date of enterprise size Number of employees Balance sheet total Annual turnover Accounting standard 2. Instrument data Reporting agent identifier Observed agent identifier Contract identifier Instrument identifier Type of instrument Amortisation type Currency Fiduciary instrument Inception date End date of interest-only period Interest rate cap Interest rate floor Interest rate reset frequency Interest rate spread/margin Interest rate type Legal final maturity date Commitment amount at inception Payment frequency Project finance loan Purpose Recourse Reference rate Settlement date Subordinated debt Syndicated contract identifier Repayment rights Fair value changes due to changes in credit risk before purchase 3. Financial data Reporting agent identifier Observed agent identifier Contract identifier Instrument identifier Interest rate Next interest rate reset date Default status of the instrument Date of the default status of the instrument Transferred amount Arrears for the instrument Date of past due for the instrument Type of securitisation Outstanding nominal amount Accrued interest Off-balance-sheet amount 4. Counterparty-instrument data Reporting agent identifier Observed agent identifier Counterparty identifier Contract identifier Instrument identifier Counterparty role 5. Joint liabilities data Reporting agent identifier Observed agent identifier Counterparty identifier Contract identifier Instrument identifier Joint liability amount Template 2 6. Accounting data 6.1 The level of granularity for the accounting data is the instrument. Each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; (b) observed agent identifier; (c) contract identifier; and (d) instrument identifier. 6.2 These data describe the development of the instrument in accordance with the relevant accounting standards of the observed agent's legal entity. If the reporting agent is subject to Regulation (EU) 2015/534 of the European Central Bank (ECB/2015/13) ( 1 ) , the data is 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. 6.3 The records must be reported on a quarterly basis. 7. Protection received data 7.1 The level of granularity for the protection received data is the protection received. Each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; (b) observed agent identifier; and (c) protection identifier. 7.2 Reporting agents should report any protection received as security for the repayment of any instrument(s) reported in the instrument data regardless of the protection's eligibility for credit risk mitigation in accordance with Regulation (EU) No 575/2013. 7.3 These data describe the protection received. 7.4 The records must be reported no later than the monthly transmission of credit data relevant for the reporting reference date on or before which the protection was received as security for the repayment of any instrument reported in AnaCredit. If a change takes place, the records must be updated no later than the quarterly transmission of credit data relevant for the reporting reference date on or before which the change came into effect. 8. Instrument-protection received data 8.1 The level of granularity for the instrument-protection received data is the instrument-protection received combination. Each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; (b) observed agent identifier; (c) contract identifier; (d) instrument identifier; and (e) protection identifier. 8.2 These data describe all the protection received in relation to the instrument that the protection is securing. 8.3 The records must be reported on a monthly basis. 9. Counterparty risk data 9.1 The level of granularity for the counterparty risk data is the counterparty. Each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; (b) observed agent identifier; and (c) counterparty identifier. 9.2 The data allows the assessment of the counterparty's' credit risk. 9.3 This information is required only for debtors and protection providers. 9.4 In the case of natural persons being affiliated with instruments reported to AnaCredit, no record for the natural persons must be reported. 9.5 The records must be reported on a monthly basis. 9.6 The relevant NCB may decide to collect the counterparty risk data on a quarterly basis. 10. Counterparty default data 10.1 The level of granularity for the counterparty default data is the counterparty. Each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; (b) observed agent identifier; and (c) counterparty identifier. 10.2 These data allow the identification of counterparties in default without undue delay. 10.3 This information is required only for debtors and protection providers. 10.4 In the case of natural persons being affiliated with instruments reported to AnaCredit, no record for the natural persons must be reported. 10.5 The records must be reported on a monthly basis. Data Data attribute 6. Accounting data Reporting agent identifier Observed agent identifier Contract identifier Instrument identifier Accounting classification of instruments Balance sheet recognition Accumulated write-offs Accumulated impairment amount Type of impairment Impairment assessment method Sources of encumbrance Accumulated changes in fair value due to credit risk Performing status of the instrument Date of the performing status of the instrument Provisions associated with off-balance-sheet exposures Status of forbearance and renegotiation Date of the forbearance and renegotiation status Cumulative recoveries since default Prudential portfolio Carrying amount 7. Protection received data Reporting agent identifier Observed agent identifier Protection identifier Protection provider identifier Type of protection Protection value Type of protection value Protection valuation approach Real estate collateral location Date of protection value Maturity date of the protection Original protection value Date of original protection value 8. Instrument-protection received data Reporting agent identifier Observed agent identifier Contract identifier Instrument identifier Protection identifier Protection allocated value Third party priority claims against the protection 9. Counter-party risk data Reporting agent identifier Observed agent identifier Counterparty identifier Probability of default 10. Counterparty default data Reporting agent identifier Observed agent identifier Counterparty identifier Default status of the counterparty Date of the default status of the counterparty ( 1 ) Regulation (EU) 2015/534 of the European Central Bank of 17 March 2015 on reporting of supervisory financial information (ECB/2015/13) ( OJ L 86, 31.3.2015, p. 13 ).