AnaCredit Reporting Manual - Part II – Datasets and data ...

AnaCredit Reporting Manual

Part II ? Datasets and data attributes

February / 2017

28 February 2017

Contents

1

AnaCredit Reporting Manual ? Part II

3

2

1 Contents of Part II

3

3

2 Internal identifiers

9

4

3 Instrument dataset

14

5

4 Financial dataset

63

6

5 Accounting dataset

92

7

6 Counterparty-instrument data

139

8

7 Joint liabilities dataset

154

9

8 Instrument-protection received dataset

165

10

9 Protection received dataset

177

11

10 Counterparty default dataset

213

12

11 Counterparty risk dataset

220

13

12 Counterparty reference dataset

225

AnaCredit Reporting Manual ? Part II ? Datasets and data attributes

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28 February 2017

AnaCredit Reporting Manual ? Part II

1

Contents of Part II

1.1

Overview of Part II

1

This document, AnaCredit Reporting Manual ? Part II, forms part of the AnaCredit

2

Reporting Manual (hereinafter referred to as "the Manual"). As stated in the

3

introduction, the Manual provides detailed information and guidance on AnaCredit

4

reporting requirements. It does not contain any additional requirements and has no

5

binding legal status. Regulation (EU) 2016/867 of the European Central Bank of 18

6

May 2016 on the collection of granular credit and credit risk data (ECB/2016/13)

7

(hereinafter referred to as "the AnaCredit Regulation") is the sole legally binding act.

8

Whereas Part I of the Manual describes the general methodology, Part II focuses on

9

the specific data attributes of the reported datasets.

10

In particular, the reporting frequency is discussed for each dataset, while the

11

reporting qualification, the definition, the applicable values, the general reporting

12

instructions and some examples of specific cases are provided for each data

13

attribute.

14

The structure of Part II, which is based on the AnaCredit logical data model

15

presented in Part I, Chapter 6 of the Manual (see also Section 1.3 below), is as

16

follows.

17

The instrument entity table is discussed first of all. This entity table comprises the

18

following datasets:

19

? instrument dataset (Chapter 3);

20

? financial dataset (Chapter 4);

21

? accounting dataset (Chapter 5).

22

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

23

which includes the following datasets:

24

? counterparty-instrument dataset;

25

? joint liabilities dataset.

26

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

27

the protection received entity table is presented in Chapter 9.

28

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

29

? counterparty default dataset (Chapter 10);

30

? counterparty risk dataset (Chapter 11);

AnaCredit Reporting Manual ? Part II ? Datasets and data attributes

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28 February 2017

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? counterparty reference dataset (Chapter 12).

2

For a better understanding of the information provided below, the reader is expected

3

to be familiar with the general AnaCredit methodology as explained in Part I of the

4

Manual.

1.2

Structure of the Manual

5

The Manual is organised into three parts following a top-down approach.

6

Part I explains the general AnaCredit methodology. It provides information about the

7

reporting population, about the credit instruments subject to reporting and about

8

setting up the reporting, with a general description of the underlying data model.

9

Part II concentrates on describing the datasets, including their attributes.

10

Part III presents various case studies and in particular covers special scenarios that

11

require more in-depth explanations.

12

The conceptual data model and the logical data model for AnaCredit, introduced in

13

Part I, are particularly important for understanding Part II.

14

The AnaCredit conceptual data model is fully described in Part I, Chapter 6.1,

15

"Conceptual data model" (page 89). The AnaCredit conceptual data model

16

establishes a broad view of what should be considered in the AnaCredit reporting, as

17

the data model includes the distinct data entities and the relationships between

18

them. However, the conceptual data model specifies neither data attributes nor

19

primary keys. Yet, choosing a conceptual data model means that dimensions,

20

measures and the granularity of data have been defined.

21

Chart 15 of Part I, "AnaCredit conceptual data model ? the observed agent's

22

perspective", provides a comprehensive overview of the conceptual data model

23

(page 95).

24

The AnaCredit logical data model is introduced in Part I, Chapter 6.2, "Logical data

25

model ? the reporting agent's perspective" (page 97). The logical data model

26

contains more details than the AnaCredit conceptual data model. In particular, the

27

logical data model:

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? includes all entities and relationships between them;

29

? specifies data attributes for each entity;

30

? specifies a primary key for each entity;

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? specifies foreign keys, which identify the relationship between

32

different entities.

33

Chart 16 of Part I, "AnaCredit logical data model ? the reporting agent's perspective",

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provides a comprehensive overview of the logical data model (page 99).

AnaCredit Reporting Manual ? Part II ? Datasets and data attributes

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28 February 2017

1

The entity tables of the logical data model are divided into datasets. This is

2

described in Part I, Chapter 6.3, "Reportable datasets and reporting timeliness"

3

(page 130).

4

Chart 17 of Part I, "AnaCredit logical data model and reportable datasets ? the

5

reporting agent's perspective" provides a comprehensive overview of the logical data

6

model and the datasets into which the entity tables are divided (page 132). The table

7

below gives an overview of the available documentation about the datasets.

Table 1 Entity tables, templates and datasets: available documentation

AnaCredit Manual Part I

AnaCredit Regulation, Annex I

Section 6.2 Logical data model, entity

table

Section 6.3. Reportable

Subsection

Datasets

Dataset name

Template

Chapter in AnaCredit

Manual Part II

Instrument entity

6.2.2.1 Instrument dataset

Instrument data

1

3

table

Financial dataset

Financial data

1

4

Accounting dataset

Accounting data

2

5

Counterparty-

6.2.2.2 Counterparty-instrument Counterparty-

1

6

instrument entity

dataset

instrument data

table

Joint liabilities dataset

Joint liabilities

1

7

data

Instrument-

6.2.2.3 Instrument-protection

Instrument-

2

8

protection received

received dataset

protection

entity table

received data

Protection received 6.2.2.4 Protection received dataset Protection

2

9

entity table

received data

Counterparty

6.2.2.5 Counterparty default

Counterparty

2

10

risk/default entity

dataset

default data

table

Counterparty risk dataset Counterparty risk

2

11

data

Counterparty

6.2.2.6 Counterparty reference

Counterparty

1

12

reference data

dataset

reference data

entity table

1.3

Structure of Part II and of the chapters on datasets

8

Part II of the Manual is structured according to the logical data model of AnaCredit,

9

which is presented in Part I, Chapter 6.2, "Logical data model ? the reporting agent's

10

perspective" and shown in Table 1 above.

11

One chapter is dedicated to each of the ten datasets (Chapters 3 to 12).

12

Each chapter on datasets is organised into four sections:

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? the first section describes general aspects of the dataset concerned

14

and also looks at specific aspects depending on the scope and

15

complexity of the dataset;

16

? the second section discusses the level of granularity of the dataset;

AnaCredit Reporting Manual ? Part II ? Datasets and data attributes

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