Probability of default (PD)

Edition: second edition Veröffentlicht: 27.05.2019 aktuell Zum Quelldokument →

Definition: Probability of default. 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. This data attribute captures the probability of default of the counterparty as established in accordance with the CRR.

Reporting qualification: This data attribute is subject to AnaCredit reporting for counterparties reported to AnaCredit which are: • debtors; • protection providers, on condition that they are at the same time the issuers of the protection (in particular, if the protection item is a financial guarantee as defined in the ITS). However, the reporting of this data attribute to AnaCredit is not required if: • the reporting agent is not required to determine PD estimates for debtors and protection providers concerned in accordance with the IRB approach of the CRR; • the relevant NCB decides not to collect this data attribute from individual reporting agents in accordance with Article 7 of the AnaCredit Regulation. In particular, the relevant NCB may decide not to require this data attribute when: • the observed agent is not subject to capital requirements (i.e. is not supervised under the CRD IV or is a foreign branch of an entity not supervised under the CRD IV). This accounts for those credit institutions under Article 4(1)(1) of the Revision mark: clarification is included concerning “fully derecognised instruments being serviced” 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes CRR which are exempted from capital requirements under Article 2 of the CRD IV; • all the debtor’s instruments reported to AnaCredit are “fully derecognised instruments being serviced” in accordance with Annex II to the AnaCredit Regulation.

Values: If the data attribute is reported to AnaCredit, it is a number ranging from 0 to 1, rounded up to six decimal places, where a value of 0.05 denotes a PD of 5%. For an illustration of how the probability of default is reported, consider the following example. General reporting instructions, specific cases and examples The probability of default (PD) is calculated in accordance with the requirements specific to PD estimation as laid down in the CRR. In the case of PDs produced at the instrument level (the “product PD”), the counterparty’s PD at the reporting reference date is reported as the exposure- weighted average PD (where the exposure is the outstanding nominal amount) across the PDs of all instruments of the counterparty reported to AnaCredit at the reporting reference date. If, for a given counterparty, a reporting agent estimates PDs for both the counterparty and (some of) the products of the counterparty, it is the counterparty’s PD that is reported to AnaCredit in the data attribute. For an illustration of how the PD is reported in such cases, consider the following example. Revision mark: clarification is included concerning the value to report 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. Revision mark: further clarifications are added concerning the reporting of counterparty PD 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 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). In the case of project finance or specialised lending as referred to in Article 147(8) of the CRR (e.g. ship finance or other project finance), the PD is applicable to entities which correspond to the object financed. More specifically, the debtor is a special purpose entity (SPE) that is not permitted to perform any function other than developing, owning and operating the object, and the creditor is usually paid solely or almost exclusively out of the money generated by the contracts for the object’s output, such as the electricity sold by a power plant (cf. Section 3.4.2). The consequence is that repayment depends primarily on the project’s cash flow and on the collateral value of the project’s assets. In such cases, the PD is applicable to the SPE which corresponds to the object financed, including when there are several instruments extended to the SPE. 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes Counterparty reference dataset The exact identification of all counterparties involved in the instruments reported to AnaCredit and the completeness and quality of their reference information is a necessary prerequisite to unfold the whole potential of a granular credit dataset such as AnaCredit. It is important to note the AnaCredit Regulation leaves the NCBs the option not to collect from individual reporting agents some specific reference data attributes (i.e. those marked with an “N” in Tables 2 and 3, Annex III). Moreover, in accordance with Article 9 of the AnaCredit Regulation, depending on national specificities, NCBs might collect from their reporting agents only part of the reference data attributes listed in the AnaCredit Regulation, e.g. when they have access to alternative sources (e.g. national business registers) providing the same information in a comparable or better quality. Against this background, it should be clarified that these two options are ignored in the present chapter, with the assumption being made that all mandatory attributes are provided to the NCB by reporting agents. As a result, for a clear understanding of the actual reporting requirements applicable in each country, reporting agents are advised to refer to the national reporting instructions or to consult the respective NCB. 12.1 General aspects 12.1.1 Reporting principles regarding the counterparty reference data Only legal entities or parts of legal entities according to Article 1(5) of the AnaCredit Regulation are recorded as counterparties in AnaCredit. A list of legal forms, together with information on whether or not they qualify as legal entities for the purposes of AnaCredit, is included in the “List of legal forms” (for details on the list of legal forms, see Section 12.4.13). It should be noted that in the AnaCredit data model, a legal entity is undistinguishable from its head office and domestic part. In addition, if a legal entity has foreign branches, each foreign branch (under the “one country, one branch” principle) is deemed a distinct institutional unit, linked to the legal entity via the “head office undertaking identifier” data attribute. Moreover, if there are one or more foreign branches, the scope of counterparty reference data for legal entities is broader than for their head offices/domestic parts where the counterparty reference data reported in relation to the legal entity also include information relating to the foreign branches, despite the fact that the legal entity is identified by the head office/domestic part. Consider for example the data attribute “balance sheet total”, which refers to the legal entity as a whole and, consequently, includes information for all of its foreign branches. The counterparties for which counterparty reference data are reported (albeit to varying extents, depending, for example, on the specific role) are all legal entities or foreign branches of legal entities that are counterparties to an instrument reported to Revision mark: the clarifications concerning the scope of counterparty reference data for legal entities are aligned with Q&A 2018/0044 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes AnaCredit. This includes providers of protection to such an instrument, or entities that have an affiliation (e.g. as parent undertaking) with a counterparty to such an instrument, i.e.: − reporting agents; − observed agents acting as • creditors; • servicers; − counterparties to an instrument or to protection securing an instrument acting as • creditors; • servicers; • originators; • debtors; • protection providers; − Other parties that have an affiliation with a party to an instrument (affiliated population), i.e. • head office undertakings of debtors and protection providers; • immediate parent undertakings of debtors and protection providers; • ultimate parent undertakings of debtors and protection providers. This population can be illustrated as follows: 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes Figure 4: Counterparties for which a counterparty reference data record is generally submitted (blue squares) Instrument Protection (if applicable) A record of the counterparty reference data Relevant bCB Reporting agent hbserved agent (creditor and/or servicer) Creditor (if different from Observed agent) Servicer (if different from Observed agent) Originator (if applicable) Protection provider Debtor Head office undertaking Immediate parent undertaking (if applicable) Ultimate parent undertaking (if applicable) Head office undertaking Immediate parent undertaking (if applicable) Ultimate parent undertaking (if applicable) 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes As a result, the counterparty reference data include: 1. One data record for the reporting agent. 2. One data record for the observed agent. 3. One data record for each counterparty playing any of the following roles in the instrument: (i) creditor: (ii) servicer; (iii) debtor. 4. Where relevant (i.e. when an instrument is secured with protection or is subject to a securitisation), one data record for each counterparty playing any of the following roles: (i) originator; (ii) protection provider. 5. The AnaCredit Regulation stipulates that the head office undertaking identifier is always reported for counterparties that are foreign branches. Nevertheless, it is recommended that the head office undertaking identifier is also reported in the data record of the legal entity (represented by the head office undertaking), in which case the same counterparty identifier is reported twice. 6. The AnaCredit Regulation also stipulates that the immediate parent undertaking identifier and the ultimate parent undertaking identifier are reported for all counterparties which are resident in a reporting Member State. As a result, a distinct counterparty reference data record is reported for each of the following affiliates to a counterparty to an instrument (where relevant): (i) head office undertaking; (ii) immediate parent undertaking; (iii) ultimate parent undertaking. It is worth noting that a special fund and its managing financial corporation are deemed to have a relationship similar to that between a foreign branch and the legal entity to which it belongs (see also Section 12.2.2.2). Therefore, it is recommended that a counterparty reference data record is submitted for the managing financial corporation representing the “head office undertaking” of the special fund (when the latter acts as debtor or protection provider). While the concept of “head office undertaking” relates to the relationship between a foreign branch and the legal entity of which it is part, the concepts of “immediate parent undertaking” and “ultimate parent undertaking” relate merely to legal entities (for further information, see following sections). Therefore, no information on the immediate parent undertaking or the ultimate parent undertaking is reported in the data record of a counterparty which is a foreign branch. Revision mark: repeated references to the link between special funds and their managing financial companies in the context of counterparty reference data are streamlined in light of the clarifications provided in Section 12.2.2.2 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes Head office undertaking As explained, AnaCredit reporting is based on the concept of institutional units as counterparties. If it has no foreign branches, the legal entity corresponds to a single institutional unit. If it has foreign branches, the head office undertaking/domestic part represents the legal entity, and each foreign branch is a distinct institutional unit linked to the legal entity via the head office undertaking relationship (cf. Section 3.4.1 in Part I of the Manual). The AnaCredit Regulation (Annex IV) states that the data attribute “head office undertaking identifier” is reported only for debtors or protection providers that are foreign branches. Furthermore, it is recommended (cf. Section 3.4.1.3.1 in Part I of the Manual) that the “head office undertaking identifier” is also reported for counterparties which are special funds, given that they are considered similarly to a foreign branch of the financial corporation that manages them. Consequently, if a counterparty acting as a debtor or protection provider is a foreign branch (or a special fund), the counterparty reference data include a record on the debtor or protection provider itself, and a record for its head office undertaking (which represents the legal entity of which the foreign branch is part). In the counterparty reference data record of the foreign branch, the counterparty identifier of the head office undertaking is reported in the data attribute “head office undertaking identifier”, which allows the necessary link to be made between the foreign branch and the legal entity of which the branch is part. If the counterparty acting as debtor or protection provider is the head office undertaking representing the legal entity, it is still recommended that the counterparty identifier of the counterparty itself be reported in the data attribute “head office undertaking identifier”. In this case, however, no additional counterparty reference data report is required for the head office undertaking because it coincides with the debtor or protection provider itself. Finally, to avoid the reporting of redundant information, the head office undertaking identifier is reported as “not required” in the counterparty reference data record of the immediate parent undertaking and ultimate parent undertaking (this is illustrated in the following examples). Immediate parent undertaking If an immediate parent undertaking exists for (the head office undertaking of) the debtor or protection provider, a separate data record is reported for the immediate parent undertaking. The counterparty identifier of the immediate parent undertaking is reported in the data attribute “immediate parent undertaking identifier” of the debtor’s (or protection provider’s) counterparty reference data, unless the debtor (or protection provider) is a foreign branch or a special fund, in which case the “immediate parent undertaking identifier” is only reported in the record of the head office undertaking. The head office undertaking is the legal entity of which the foreign branch is a legally dependent part If the debtor or the protection provider is a foreign branch or special fund, the counterparty reference data report will include a record for the head office undertaking Revision mark: Section 12.2.2.2 clarifies that the treatment of special funds is analogous to the treatment of foreign branches; hence, repeated references to the link between special funds and their managing financial companies in the context of counterparty reference data are dropped 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes While each foreign branch in scope of AnaCredit is part of a legal entity (represented by the head office undertaking), not every legal entity has an immediate parent undertaking. If no immediate parent undertaking exists, the counterparty identifier of the head office undertaking itself is reported as the “immediate parent undertaking identifier” in the head office undertaking’s counterparty reference data record. Please refer to Section 3.4.2 in Part I of the Manual for more information on immediate parent undertakings. Ultimate parent undertaking If an ultimate parent undertaking exists for the (head office undertaking of the) debtor or protection provider, a separate data record is reported for the ultimate parent undertaking. The counterparty identifier of the ultimate parent undertaking is reported in the data attribute “ultimate parent undertaking identifier” of the debtor’s (or protection provider’s) counterparty reference data, unless the debtor is a foreign branch or a special fund, in which case the “ultimate parent undertaking identifier” is only reported in the record of the head office undertaking. If the head office undertaking (representing the legal entity) does not have an immediate parent undertaking (and therefore no ultimate parent undertaking either), the counterparty identifier of the head office undertaking of the debtor (or protection provider) itself is reported in the data attributes “immediate parent undertaking identifier” and “ultimate parent undertaking identifier” of the head office undertaking’s counterparty reference data. In this case, no distinct record is submitted for the immediate parent undertaking or ultimate parent undertaking. If the immediate parent undertaking does not have a parent undertaking (i.e. the immediate and ultimate parent undertakings coincide), the counterparty identifier of the immediate parent undertaking of the debtor (or protection provider) itself is reported in the data attributes “immediate parent undertaking identifier” and “ultimate parent undertaking identifier” of the head office undertaking’s counterparty reference data report. Please refer to Section 3.4.3 in Part I of the Manual for more information on ultimate parent undertakings. 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 12.1.1.1 Reporting obligation – examples The following example illustrates the reporting obligation in the case of a debtor with 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). The following example illustrates the reporting requirements in the case of a debtor 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). The following example illustrates the reporting requirements in the case of a debtor with immediate and ultimate parent undertakings, and a protection provider with just one parent undertaking (which is then both the immediate and the ultimate parent undertaking). Revision mark: the description in the example is streamlined 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 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. The following example illustrates the reporting requirements in a case where an instrument is held by one counterparty and serviced by another, the debtor to the instrument has immediate and ultimate parent undertakings, and there is a protection provider which provides protection to the instrument. 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 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). The following example illustrates the reporting requirements in the case of an instrument subject to a securitisation which is held by one counterparty while another counterparty acts as servicer and originator. 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 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 In general, the counterparty reference data of a debtor or protection provider include, in addition to the counterparty identifier of the debtor or protection provider itself, the counterparty identifiers of (i) its legal entity (represented by a head office undertaking), (ii) the immediate parent undertaking of the legal entity of which the counterparty is part, and (iii) the ultimate parent undertaking of the legal entity of which the counterparty is part. However, whether or not additional counterparty reference data are reported for any of these affiliated counterparties depends on a number of factors. Note that, for a given instrument reported to AnaCredit, the counterparty reference dataset includes records referring to the reporting agent, the observed agent, the creditor, the servicer and the debtor to the instrument. However, in the examples below, the emphasis is only on the counterparty identifiers in the counterparty reference data relating to the debtor and to the affiliated parties, leaving out the other counterparties. The following example illustrates the reporting requirements relating to the counterparty identifiers in the case of a debtor being a legal entity with no parent undertaking. 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 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 Counterparty Counterparty identifier Head office undertaking identifier Immediate parent undertaking identifier Ultimate parent undertaking 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. The following example illustrates the reporting requirements for the counterparty identifiers in the case of a debtor being a foreign branch of a legal entity with no immediate or ultimate parent undertaking. 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 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 Counterparty Counterparty identifier Head office undertaking identifier Immediate parent undertaking identifier Ultimate parent undertaking 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. The following example illustrates the reporting requirements relating to the counterparty identifiers in the case of a debtor being a foreign branch of a legal entity with an immediate parent undertaking which is also the ultimate parent undertaking. 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 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 Counterparty Counterparty identifier Head office undertaking identifier Immediate parent undertaking identifier Ultimate parent undertaking 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”. The following example illustrates the reporting with regard to the counterparty identifiers in the case of a debtor being a foreign branch of a legal entity with both an immediate and an ultimate parent undertaking (distinct from the immediate parent undertaking). 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 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 Counterparty Counterparty identifier Head office undertaking identifier Immediate parent undertaking identifier Ultimate parent undertaking 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”. 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 12.1.1.3 A counterparty playing different roles In AnaCredit, the same counterparty can play multiple roles in relation to different instruments issued by the same or by different observed agents. For example, a credit institution may act as creditor, debtor, protection provider, originator or servicer in different transactions. Moreover, it may be reported as the legal entity of which the debtor is part (as represented by the head office undertaking), the legal entity’s immediate parent undertaking and the legal entity’s ultimate parent undertaking in other transactions. The roles played by the various counterparties are recorded in the respective counterparty-instrument datasets, not in the counterparty reference datasets. Please refer to Example 89 for an illustration of the reporting in the case of debtors with no immediate or ultimate parent undertaking. Revision mark: further clarifications are included in the description of Example 89 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 Counterparty Counterparty identifier Head office undertaking identifier Immediate parent undertaking identifier Ultimate parent undertaking 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 Counterparty Counterparty identifier Head office undertaking identifier Immediate parent undertaking identifier Ultimate parent undertaking 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. 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 12.1.2 The reporting obligation for counterparty reference data depending on the role and residency of the counterparty As explained above, the reporting obligation of counterparty reference data varies with the type of counterparty, i.e. depending on whether the counterparty is a legal entity or a foreign branch. Moreover, while in general applicable to any counterparty, the specific set of attributes which is eventually reported depends on the role and the country of residency of the counterparty. This section provides further clarification on the reporting requirements detailed in Annex III to the AnaCredit Regulation. The relevant distinction as regards residency is whether or not the counterparty is resident in a reporting Member State. Tables 2 and 3 in Annex III to the AnaCredit Regulation set out in detail, for the various roles of the counterparty (creditor, debtor, etc.), the list of reference data attributes requested in the respective cases (Table 2 for counterparties resident in reporting Member States and Table 3 for counterparties not resident in reporting Member States). Depending on the residency of the counterparty and on national arrangements, the relevant NCB of the reporting agent may have access to alternative sources of reference information on counterparties (e.g. a national business register). The possibility for an NCB to make use of such alternative sources is explicitly acknowledged in Article 9(2) of the AnaCredit Regulation. As a result, in some countries, and within the limits established in the Regulation, the relevant NCB may decide to request that respective reporting agents report, e.g. for counterparties resident in the same country, only a subset of the data attributes listed in the AnaCredit Regulation. This is further illustrated below. As explained, the counterparty reference data relating to the legal entity of which the foreign branch is part are also reported in the record of the counterparty reference data relating to a foreign branch. The specific reporting requirements for the legal entity, in turn, depend on the role of the foreign branch in the instrument at stake. For instance, a larger set of attributes is generally requested when the foreign branch acts as a debtor rather than as a servicer. Please note that counterparties that are immediate and ultimate parent undertakings are, by definition, legal entities and their counterparty reference data are reported accordingly. By contrast, counterparties taking on all other roles may also be foreign branches or special funds. As another general rule, please note that the unique identification of counterparties is an essential feature of AnaCredit. Therefore, as set out in Article 9 of the AnaCredit Regulation, the legal entity identifier (LEI) or, if an LEI is not available, a national identifier from the list of national identifiers (for details on the list of national identifiers, see Section 12.4.3) is always reported for any counterparty in addition to the (mandatory) counterparty identifier, unless otherwise decided by the relevant NCB. This applies irrespective of the role or residency of the counterparty. Revision mark: editorial changes are applied Revision mark: editorial changes are applied Revision mark: editorial changes are applied Revision mark: the clarifications on LEIs and national identifiers are aligned with Q&A 2018/0044 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 12.1.3 Actual reporting requirements for special categories of counterparty As explained in Sections 12.1.1 and 12.1.2, the actual reporting requirements of counterparty reference data depend not only on whether the counterparty is a legal entity or a foreign branch, but also on the role and the residency of the counterparty. It is important to note that further deviations from the general reporting requirements can also arise for special categories of counterparties. For instance, while all data attributes listed in the counterparty reference data are applicable (and hence requested) in the case of a counterparty which is a legal entity constituted under corporate (private) law, for other counterparties the reporting of certain data attributes may not be meaningful. This may be the case, for instance, for the “immediate parent undertaking identifier”, “ultimate parent undertaking identifier”, and “balance sheet total” or “annual turnover” of an entity belonging to the public sector. As a result, similarly to what was explained for the possible derogations and exemptions granted by each relevant NCB (i.e. given the “N”s in Tables 2 and 3 in Annex III to the AnaCredit Regulation and the possibility of relying on alternative data sources), for a clear understanding of the actual reporting requirements for each category of counterparty, reporting agents are invited to consult the respective NCB, as such special cases can also vary considerably from country to country, reflecting the different national legal and institutional frameworks. 12.1.3.1 Monetary and financial institutions (MFIs) The official list of MFIs is published on the ECB’s website,25 which is updated on a daily basis. Unless otherwise decided by the relevant NCB, only the counterparty identifier, is reported for (non-debtor) counterparties included in the list, while all other counterparty reference data attributes are reported as “not required”. This means that for a counterparty which is included in the list of MFIs, the RIAD code (i.e. the “counterparty identifier”) is the only data attribute from the counterparty reference dataset reported to the relevant NCB as the remaining data attributes may be obtained from other sources under Article 8(5) of the AnaCredit Regulation. However, the above does not apply to counterparties included in the list of MFIs and acting as debtors, for which the general requirements apply (unless otherwise decided by the relevant NCB). More specifically, “reduced” reporting requirements do not apply if the “counterparty role” is as a debtor. Therefore, for an MFI that is a debtor, the general reporting obligations regarding the reference data attributes are 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 Revision mark: editorial changes are applied Revision mark: further clarifications on reporting in the case of MFIs are included in line with Q&A 2017/0008 Revision mark: the link to the list of MFIs (daily data) is updated 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 12.1.3.2 International organisations International organisations are listed in the “list of international organisations” (the list of international organisations can be found on the ECB’s website26). Unless otherwise decided by the relevant NCB, only the counterparty identifier (i.e. the RIAD code, as indicated in Column E in the list itself) is reported for these entities, while all other counterparty reference data attributes are reported as “not required”. This simplified reporting of AnaCredit counterparty reference data applies irrespective of the role of the counterparty vis-à-vis reportable instruments. Moreover, reporting agents are informed by the relevant NCB about the counterparty identifier to be used for each international organisation included in the list. Please note that the ECB provides the “list of international organisations” (available on the ECB’s AnaCredit webpage) exclusively in the context of AnaCredit. Thus the list should be seen merely in the context of the AnaCredit reporting obligations concerning the counterparty reference data. It is neither an exhaustive nor a legally binding list of such organisations, and it is not intended for purposes other than AnaCredit. Nonetheless, the list is regularly updated. 12.1.3.3 No data on natural persons According to Template 1, paragraph 1.6, in Annex I to the AnaCredit Regulation, “in the case of natural persons being affiliated with instruments reported to AnaCredit, no record for the natural persons must be reported”. This means that in no case will a record of counterparty reference data referring to a natural person be reported to AnaCredit. 12.1.4 Reporting requirements This section summarises the actual reporting requirements derived from the principles elaborated in the previous sections. 12.1.4.1 General requirements Counterparty reference data reports are transmitted for all counterparties which are linked to instruments as described in Part I, Chapter 3, of the Manual, or provide protection to secure such instruments, or are affiliated with such counterparties. 26 https://www.ecb.europa.eu/stats/money_credit_banking/anacredit/html/index.en.html Revision mark: further clarifications are included in line with Q&A 2017/0008 and Q&A 2018/0045 Revision mark: clarifications are included in line with Q&A 2018/0045 Counterparty reference data do not cover counterparties which are natural persons 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes However, in the case of counterparties which are natural persons (linked with an instrument reported to AnaCredit or providing protection), no counterparty reference data are reported. A single counterparty may be linked to several instruments or take different roles in relation to one an instrument. However, the counterparty reference data of one counterparty are reported only once (at all levels, i.e. reporting agent, NCB, European System of Central Banks), thus guaranteeing the uniqueness in the respective counterparty reference dataset. The level of granularity for the counterparty reference data is the counterparty. Each record is uniquely identified by the counterparty identifier on the reporting agent level. The counterparty data describe the characteristics of the counterparty. For each reporting agent, each counterparty identifier is unique for each counterparty, and each counterparty is always identified with the same counterparty identifier. This identifier is never reused by the same reporting agent to refer to a different counterparty. NCBs may communicate to their reporting agents the set of counterparty identifiers to be used for the AnaCredit reporting. 12.1.4.2 Specific requirements The information required for each type of counterparty is indicated in Annex III of the AnaCredit Regulation and further described in this chapter. Not all data attributes need to be reported for all roles or types of counterparties. The reporting obligation varies depending on the type of counterparty and on whether or not the counterparty is resident in a reporting Member State. As regards the roles of counterparties, Tables 2 and 3 in Annex II to the AnaCredit Regulation define specific reporting requirements for each data attribute in the counterparty reference data described in Template 1 in Annex I to the Regulation. Table 2 specifies the requirements for counterparties resident in a reporting Member State, while Table 3 specifies the requirements for counterparties not resident in a reporting Member State across all types of counterparties. For details regarding the application of the specific requirements, please refer to Chapter 7 in Part I of the Manual, which deals with the reduced data requirements. Please also refer to Section 5.4.20 in Part III of the Manual for additional information about the reporting of counterparty reference data in the case of trade receivables where the counterparty is the account debtor. 12.2 Level of granularity Article 1(10) of the AnaCredit Regulation implies that for legal entities with foreign branches, the reporting is based on the concept of the “institutional unit”. This means The counterparty identifier is unique and exclusive for each counterparty Revision mark: a reference is added to Part III of the Manual about the reporting of counterparty reference data in the case of trade receivables 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes that the legal entity is deemed to be composed of one institutional unit represented by the head office undertaking, and one for each foreign branch (to be considered as one foreign branch per country only). Each foreign branch is linked to the legal entity (of which it is part) via the information on the “head office undertaking identifier”. Where there are no foreign branches, the only existing institutional unit coincides with the whole legal entity. Consequently, the AnaCredit reporting relates to legal entities or foreign branches of legal entities, with the legal entity being represented by the head office undertaking. Given the multi-purpose nature of the dataset, the availability of information on relationships (head office undertaking, foreign branches, special funds) and group structures (immediate parent undertaking, ultimate parent undertaking) is of particular importance for the overall usability and informative value of the data. As described in Sections 2.2.1 and 3.2 in Part I of the Manual, some of the counterparty reference data reported in the data record of a head office undertaking refer to the legal entity as a whole, and not to the distinct institutional units of which it is formed. For example, the data attribute “status of legal proceedings” refers to the legal entity as a whole (a bankruptcy always affects the whole legal entity and is not limited to one or more of its individual institutional units), while the data attribute “institutional sector” relates to the single institutional unit to which the counterparty reference data report refers. This topic is addressed in more detail in the next section. 12.2.1 Counterparty reference data in the case of legal entities AnaCredit head office undertakings represent legal entities. This means, for example, that the name and address reported for a head office undertaking are always those of the legal entity. As a consequence, the counterparty reference data record of the head office undertaking includes data attributes which refer to the legal entity as a whole (cf. Section 12.1.1 for details). As explained, the “counterparty identifier” of a legal entity always coincides with the “head office undertaking identifier”. This is also true for counterparties which are reporting agents, because the record always refers to their respective head office undertakings. Similarly, the immediate and ultimate parent undertaking identifiers also refer to the respective legal entities as represented by the head office undertakings. This means that for affiliated counterparties acting as immediate or ultimate parent undertakings, only the counterparty reference data record for the legal entity is reported (and not for any foreign branches it may have). As usual, the counterparty reference data also include some data attributes that refer to the legal entity as a whole. 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 12.2.2 Counterparty reference data in the case of foreign branches and special funds 12.2.2.1 Foreign branches as counterparties As explained in detail in Section 2.1.3.2 in Part I of the Manual, a foreign branch is defined in accordance with the concept of a “single branch” referred to in Article 2(3) of Regulation (EC) No 2533/98. Whenever the counterparty reference data of a foreign branch are reported, an additional counterparty reference data record is reported for the legal entity (represented by the head office undertaking) of the foreign branch. Please note that in relation to a single counterparty, the same counterparty identifier is used in every dataset in which the counterparty is referred to. In particular, if a counterparty is a foreign branch, the counterparty identifier of the foreign branch (not of its head office undertaking) is used in the counterparty risk dataset and in the counterparty default dataset for the counterparty, even though the data attributes in these datasets are established at the level of the legal entity to which the counterparty belongs. The correct reassignment of these datasets is performed in the ECB’s systems. For information about which data attributes in the counterparty reference data record of the foreign branch are reported in relation to the foreign branch, please refer to Table 135 in Section 12.2.2.3 which deals specifically with the applicability and scope of the counterparty reference data for foreign branches and special funds. Treatment of foreign branches covering multiple branch offices As explained in Section 2.1.2 in Part I of the Manual, under AnaCredit a foreign branch may consist of a single branch office or several branch offices in different locations in the same country. If more than one branch office of the same legal entity is established in the same country, it is necessary that a single address of the foreign branch is reported. In such cases, the single address reported (in the data attributes: “address: city/town/village”, “address: postal code”, “address: county/administrative division”, “address: street”) is at the discretion of the reporting agent. 12.2.2.2 Special funds as counterparties Special funds are defined as unincorporated investment funds comprising investment portfolios owned by a group of participants and whose management is undertaken by other financial corporations. Revision mark: Section 12.2.2 is restructured to better present the subject of foreign branches and special funds as counterparties under AnaCredit Revision mark: this point is added to consolidate the clarifications in Sections 12.4.8 to 12.4.11 Revision mark: Section 12.2.2.2 is added, consolidating instructions relevant for special funds 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes Under AnaCredit, special funds and their managing financial corporations are deemed to have a similar relationship to each other as foreign branches and head office undertakings. In contrast to foreign branches, however, there can be multiple special funds under one managing financial corporation which are resident in the same country. Special funds are therefore reported to AnaCredit in a similar manner to the reporting of foreign branches, where it is recommended that the managing financial corporation of a special fund be identified as the head office undertaking. More specifically, although the AnaCredit Regulation does not currently require a link between the special fund and the managing financial corporation, reporting agents are advised to identify the managing financial corporation of a special fund and report it to AnaCredit, together with the link, in the same way as for the head office undertaking of foreign branches. This means that, for each investment fund, including sub-funds (see the treatment of funds made up of different internal sub-funds below), the counterparty identifier of the management company of the investment fund/sub‑fund is reported in the data attribute “head office undertaking identifier”, and a counterparty reference data record is submitted for the management company representing the fund where that fund acts as a counterparty under AnaCredit (e.g. as a debtor or a protection provider). For information about which data attributes in the counterparty reference data record of the special fund are reported in relation to the special fund, please refer to Table 135 in Section 12.2.2.3 which deals specifically with the applicability and scope of the counterparty reference data for foreign branches and special funds. Treatment of funds made up of different internal sub-funds When an investment fund segregates its assets into different sub-funds in such a way that shares/units relating to each sub-fund are independently backed by different assets, each sub-fund is regarded as an independent investment fund (see Article 4.2 of Regulation (EU) No 1075/2013 concerning statistics on the assets and liabilities of investment funds) and reported to AnaCredit in its own right with its own counterparty identifier. Such funds and sub-funds are institutional units that are separate from the managing financial corporation. Against this background, each sub-fund is regarded under AnaCredit as an individual investment fund. More specifically, AnaCredit regards each sub-fund as a counterparty in its own right (hence with its own counterparty identifier), regardless of how many sub-funds there are in the same country. This is consistent with the fact that each sub-fund typically has its own LEI code. Furthermore, in view of the above (i.e. given that each sub-fund is regarded as a counterparty in its own right), loans granted to sub-funds are reported individually, without any aggregation (e.g. at the level of the umbrella fund). One investment company may manage several special funds, each constituting a separate institutional unit Revision mark: further clarifications are included in line with Q&A 2018/0023 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 12.2.2.3 Applicability and scope of the counterparty reference data for foreign branches and special funds The applicability and scope of the counterparty reference data for foreign branches and special funds are different than for legal entities. The following table illustrates which data attributes in the counterparty reference data record of the foreign branch or special fund are reported in relation to the foreign 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 Counterparty reference data attributes Is a value for this data attribute generally reported in the reference data record of a counterparty which is a foreign 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 therefore reported in the counterparty reference data record of the head office undertaking/managing financial corporation Ultimate parent undertaking identifier Name Yes, and it refers to the foreign branch or special fund only Address: street Address: city/town/village 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 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 Date of initiation of legal proceedings Enterprise size For foreign branches:, no, this information is reported in the counterparty reference data record of the head office undertaking (representing the legal entity to which the foreign branch belongs) and is calculated as specified in Annex IV to the AnaCredit Regulation For special funds: yes. Date of enterprise size Number of employees Balance sheet total Annual turnover Revision mark: Table 135 (former Table 131) is updated in line with Q&A 2018/0044 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes Accounting standard (only for reporting agents) No, this information is reported in the counterparty reference data 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” The AnaCredit Regulation states that the enterprise size is reported in accordance with the SME classification provided in Commission Recommendation 2003/361/EC.27 Accordingly, in the case of an autonomous enterprise, the data used for the size classification are determined exclusively on the basis of the accounts of that enterprise (cf. Article 6(1) of the Commission Recommendation). However, in the case of an enterprise having partner enterprises or linked enterprises, the “enterprise size” is determined on the basis of the accounts and other data of the enterprise or, where they exist, the consolidated accounts of the enterprise, or the consolidated accounts in which the enterprise is included through consolidation (cf. Article 6(2) of the Commission Recommendation). Consequently, under AnaCredit the data attribute “enterprise size” of a counterparty is reported on the basis of the accounts of that counterparty and also considering the accounts of partner and linked enterprises. Please also note that if the enterprise size in accordance with the SME classification provided in Commission Recommendation 2003/361/EC (i.e. also considering partner and linked enterprises) is not available to the reporting agent and is considered to be burdensome to produce, the value of the “enterprise size” is calculated on the basis of the “number of employees”, “balance sheet total” and “annual turnover” of the legal entity only (i.e. with all its foreign branches but without considering partner or linked enterprises). The calculation is made by applying 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” The three “size-related” data attributes are reported on the basis of a different scope of consolidation than that envisaged for the calculation of the “enterprise size” data attribute itself. 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 Revision mark: further clarifications are included concerning enterprise size in line with Q&A 2017/0001 Revision mark: further clarifications are included concerning the data attributes “number of employees”, “balance sheet total” and “annual turnover” in line with Q&A 2018/0046 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes More specifically, unlike the data attribute “enterprise size” (for the calculation of which partner and linked enterprises are also considered), the data attributes “number of employees”, “balance sheet total” and “annual turnover” are calculated only in relation to the counterparty itself, i.e. without considering any partner enterprises or linked enterprises. This means that the value reported for such data attributes, as part of the data record of the head office representing the whole legal entity (cf. Section 12.2.1), is assessed only considering the accounts of the head office (with all its domestic offices) and of all foreign branches of the legal entity (if any). In particular, the value of the data attribute “number of employees” reported in the counterparty reference data record of the head office undertaking representing the whole legal entity is assessed taking into account the number of employees of the head office undertaking (with all its domestic offices) and of all foreign branches of the legal entity. Please also note that these data attributes are updated whenever the reporting agent is aware of a change in them based on the latest approved accounting statement of the counterparty, and at least when a new instrument is issued vis-à-vis the counterparty. 12.3 Reporting frequency Counterparty reference data are reported no later than the monthly transmission of credit data relevant for the reporting reference date on which the counterparty entered into a contract recorded in AnaCredit. If any changes occur, the data attributes affected are updated no later than the monthly transmission of credit data for the reporting reference date on which the change came into effect. For details regarding the reporting frequency, please refer to Section 6.3.2 in Part I of the Manual, which deals specifically with reporting methods, frequencies and timeliness. 12.4 The counterparty reference dataset – data attributes This section provides detailed definitions and guidance on the reporting requirements related to the various reference data attributes. The counterparty reference dataset is applicable for all counterparties which are reported in the counterparty-instrument dataset or in the protection received dataset or are affiliated with such counterparties as reported in the head office, immediate or ultimate parent undertakings. Revision mark: Section 12.4 is reorganised so that the description of each data attribute follows the standard structure: (i) definition; (ii) reporting qualification; (iii) values; and (iv) general reporting instructions, specific cases and examples 31 May 2019 AnaCredit Reporting Manual – Part II – Datasets and data attributes 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

Veröffentlicht: 06.02.2026 aktuell Zum Quelldokument →

Dieses Datenfeld erfasst die Ausfallwahrscheinlichkeit des Vertragspartners im Laufe eines Jahres, ermittelt im Einklang mit den Artikeln 160, 163, 179 und 180 CRR. Dieses Datenfeld ist für folgende Vertragspartner zu melden: – Schuldner, – Sicherungsgeber, sofern es sich bei diesen gleichzeitig um die Emittenten der Sicherheit handelt. Dies ist insbesondere dann der Fall, wenn es sich bei der Sicherheit um eine Finanzgarantie im Sinne der Definition in den ITS handelt: Ist der Sicherungsgeber gleichzeitig Emittent der Finanzgarantie, so ist dieses Datenfeld für diesen Sicherungsgeber zu melden. Handelt es sich bei der Sicherheit dagegen um Wertpapiere und ist der Sicherungsgeber nicht gleichzeitig Emittent dieser Wertpapiere, so ist für ihn keine Ausfallwahrscheinlichkeit zu melden. Die Meldung dieses Datenfelds ist nicht erforderlich, wenn der Berichtspflichtige nicht die Erlaubnis erhalten hat, Schätzungen der Ausfallwahrscheinlichkeiten betroffener Schuldner und Sicherungsgeber gemäß IRBA der CRR vorzunehmen. Es ist eine Zahl von 0 bis 1, gerundet auf sechs Nachkommastellen, anzugeben. Unter keinen Umständen ist die Ausprägung „nicht zutreffend“ zu melden. Ist das Datenfeld Ausfallstatus des Vertragspartners gemeldet und wird für dieses ein Ausfall, unabhängig von dessen Ausprägung, erfasst, so ist die Ausfallwahrscheinlichkeit mit 1 anzugeben. 5.9 Tabelle Daten des Vertragspartnerausfalls Die Meldung der Tabelle Daten des Vertragspartnerausfalls richtet sich danach, ob das Kreditinstitut über Vertragspartner verfügt, für die das Datenfeld Ausfallstatus des Vertragspartners zu melden ist. Dieses Datenfeld wird für Schuldner und Sicherungsgeber gemeldet, für die das Kreditinstitut den Ausfallstatus gemäß Art. 178 CRR auf Ebene des Vertragspartners und nicht auf Ebene des einzelnen Instruments feststellt. Die Angaben in dieser Tabelle werden auf Ebene des Vertragspartners zusammengestellt. Siehe „Ausfallstatus des Vertragspartners“ Für Vertragspartner, bei denen es sich weder um Schuldner noch um Sicherungsgeber handelt, ist das Datenfeld Ausfallstatus des Vertragspartners nicht zu melden. Für diese Vertragspartner sind dementsprechend keine Datensätze in der Tabelle Daten des Vertragspartnerausfalls zu melden. Des Weiteren wird das Datenfeld Ausfallstatus des Vertragspartners nicht gemeldet, wenn das Kreditinstitut im Fall von Risikopositionen aus dem Mengengeschäft die in Art. 178 CRR aufgeführte Ausfalldefinition auf Ebene eines einzelnen Instruments anwendet und nicht auf die gesamten Verbindlichkeiten eines Schuldners bzw. Sicherungsgebers. Deutsche Bundesbank Statistik Richtlinien Juli 2026 6.143 Kreditdaten- statistik Verfügt ein Kreditinstitut über keinerlei Vertragspartner, für die das Datenfeld Ausfallstatus des Vertragspartners zu melden ist, so entfällt die Meldung der gesamten Tabelle Daten des Vertragspartnerausfalls. Dies gilt für Kreditinstitute, die für alle nach AnaCredit berichtspflichtigen Instrumente die Ausfalldefinition auf Ebene des einzelnen Instrumentes anwenden. Für Kreditinstitute, die den Ausfallstatus zum Teil auf Ebene des Vertragspartners und zum Teil auf Ebene des einzelnen Instrumentes erfassen, gilt Folgendes: Wendet ein Kreditinstitut für einen bestimmten Vertragspartner die Ausfalldefinition ausschließlich auf Ebene des einzelnen Instrumentes an, so entfällt die Meldung des gesamten Datensatzes in der Tabelle Daten des Vertragspartnerausfalls für diesen Vertragspartner. Andernfalls wird ein entsprechender Datensatz für diesen Vertragspartner in der genannten Tabelle gemeldet.