2017年-ECB欧洲央行_AnaCredit_Reporting_Manual_Part_III_–_Case_studies_124页_1mb

AnaCredit Reporting Manual - Part III Summary

Core Content of Part III

Part III of the AnaCredit Reporting Manual provides case studies and special scenarios to illustrate the reporting requirements and logic for specific financial instruments. It complements Parts I and II, which outline the general methodology and data attributes, by offering detailed examples of how various financial instruments are reported under the AnaCredit framework. The manual does not introduce new legal requirements but serves as guidance on the interpretation of the AnaCredit Regulation (EU) 2016/867.

Main Case Studies Covered

The following case studies are presented in Part III:

• Reverse repurchase agreements
• Instruments under a multi-debtor/product structure
• Project finance loans
• Factoring and other trade receivables
• Instruments subject to securitisation
• Syndicated loans and other multi-creditor instruments

Each case study explains the reporting logic, data attributes, and examples to clarify how the AnaCredit datasets should be filled out.

Key Information on Reverse Repurchase Agreements

2.1 Defining the Business Case

• Reverse repos are a special form of financing and are treated as secured loans in AnaCredit.
• They involve the sale of an asset with a repurchase obligation at a future date.
• The term "reverse repo" encompasses both reverse repurchase agreements and documented sell/buy-backs.
• Documented sell/buy-backs are always reported under "reverse repurchase agreements" due to the written contract.
• Undocumented sell/buy-backs are reported under collateralised lending using a different instrument type.

2.2 Reporting Logic

• AnaCredit reporting is done on an instrument-by-instrument basis, without netting.
• Protection items (collateral) are reported separately in the protection received dataset.
• The interest rate is reported as a percentage per annum, based on the gain from the difference between the initial and final prices of the asset.

2.2.1 Example of a Directly Settled Reverse Repo

• Transaction details:
  • Debtor (DBTR#1) receives a loan of €5,075,250 from BANK#1.
  • Collateral: Government bonds with a notional amount of €5,000,000.
  • Interest rate: 2.01% (annualised).
  • Accrued interest: €605.71.
  • Protection value: €5,250,000 (fair value).
• The reporting reference date is 31 October 2018.

2.2.2 Central Clearing Counterparty (CCP) Involvement

• CCP-cleared reverse repos involve two contracts: one between the seller and CCP, and another between the CCP and buyer.
• The CCP is the debtor in the AnaCredit dataset, and the original counterparty is not reported.
• Protection value is reported at the fair value of the securities, which may exceed the notional amount.
• Example:
  • CCP#3 acts as the counterparty, and the fair value of the collateral is €1,100,000.

2.2.3 Tri-Party Reverse Repos

• Tri-party reverse repos involve a common custodian (tri-party agent) that holds the collateral and manages the transaction.
• The custodian is not a principal in the transaction but acts as a servicer.
• Collateral is managed by the custodian, and the debtor is still the original counterparty.
• Example:
  • OA#3 (observed agent) transfers cash to DBTR#3 (debtor) via a tri-party agent.
  • Collateral (a basket of government bonds) is reported with a fair value of €550,000.
  • The legal final maturity date is set to 10 November 2018.

2.3 Other Business Case Considerations

2.3.1 Open Reverse Repurchase Agreements

• Open reverse repos lack a contractually defined maturity date.
• If the maturity date is set but extendible, it is reported as the legal final maturity date.
• If no maturity date is set and the contract can be terminated at short notice, both "legal final maturity date" and "maturity date of the protection" are marked as "Non-applicable".
• These agreements roll over daily until terminated.

2.3.2 Interest Accrual in Open Reverse Repos

• Interest accrues daily but is not compounded daily.
• It is typically paid monthly, and thus resets monthly in the AnaCredit reporting.

2.3.3 Margin Deficit/Excess and Margin Calls

• Collateral is revalued frequently, usually daily.
• If the value of the collateral drops below a threshold, the buyer may call for margin to increase the collateral level.
• This ensures sufficient collateralisation and risk mitigation.

Additional Notes

• Complete reports are provided in Chapter 8 of the Manual, including examples and guidance on how datasets relate.
• The Excel spreadsheet "Complete reports.xlsx" is available on the ECB website.
• No netting is allowed in AnaCredit, even if the underlying contract includes a netting clause.
• Reporting is done on an instrument-by-instrument basis, with each instrument treated separately.