ANNEX II
List of fields for a rating data file
Table 1: List of business fields for a rating data file
No | Field identifier | Description | Type | Standard |
1 | Rating identifier | Unique identifier of the rating, which shall be maintained unchanged over time. | Mandatory. | — |
2 | Rating name | Name or description of the rating. It shall identify the rating, the instrument or issuer being rated. | Optional. | — |
3 | Internal instrument identifier | Unique code to identify the financial instrument that is rated. It shall be maintained unchanged over time. | Mandatory. Applicable only for structured finance (not structured investment vehicle (SIV)) ratings. | — |
4 | Standard instrument identifier | International securities identifying number (ISIN) of the rated instrument. It shall be maintained unchanged over time. | Optional. Applicable only for structured finance (not SIV) ratings. | ISO 6166 code. |
5 | Internal issuer identifier | Unique identifier of the issuer (or the parent company of the issuer). It shall be maintained unchanged over time. | Mandatory. Applicable only for corporate, sovereign and public finance, and SIV ratings. | — |
6 | Standard issuer identifier | Unique business identifier code (BIC) of the issuer. It shall be maintained unchanged over time. | Optional. Applicable only for corporate, sovereign, public finance and SIV ratings. | ISO 9362 code. |
7 | Rating BOP | Notch value at the beginning of the reporting period. It shall be identical to the rating EOP of the previous period, except in case of changes in the rating scale. | Mandatory. Applicable only for ratings which existed at the beginning of the reporting period. | — |
8 | Rating EOP | Notch value at the end of the reporting period. | Mandatory. Applicable only for ratings which existed at the end of the reporting period. | — |
9 | New rating | Flags that the rating has been generated for the first time during the reporting period. | Mandatory. | — |
10 | Withdrawal | Flags that the rating was withdrawn during the reporting period. Once withdrawn, this specific rating shall not be reported any more in the subsequent reporting periods. | Mandatory if the rating was withdrawn during the reporting period. | — |
11 | Withdrawal reason | Reason for where there is an entry in the ‘withdrawal’ field. | Mandatory if field ‘Withdrawal’ is reported. | ‘1’ in case of incorrect or insufficient information on the issuer/issue, ‘2’ in case of bankruptcy of the rated entity or debt restructuring, ‘3’ in case of reorganisation of the rated entity including the merger or acquisition of the rated entity, ‘4’ in case of the end of maturity of the debt obligation, ‘5’ in case of automatic invalidity of rating due to business model of a credit rating agency, ‘6’ in case of end of rating due to other reasons. |
12 | Default | Identifies whether the rated issuer or instrument defaulted during the reporting period, as specified in Article 9(2) | Mandatory. | — |
13 | Solicited/unsolicited | A credit rating is considered as unsolicited, if the credit rating is not initiated on the request of the issuer or the rated entity. A credit rating is considered as solicited, if it was initiated by the issuer, the rated entity or its agent. | Mandatory. | ‘S’ in case the rating is solicited, ‘U’ in case the rating is unsolicited, ‘N’ in case this information is not available for the reporting periods before 7 September 2010. |
14 | Location of the issuance of the rating | Defines by whom the rating is issued. | Mandatory. | ‘I’ where the rating is issued in the EU by a credit rating agency registered in accordance with Regulation (EC) No 1060/2009, ‘E’ where a rating that has been endorsed in accordance with Article 4(3) of Regulation (EC) No 1060/2009, ‘T’ where the rating is issued by a certified credit rating agency in accordance with Article 5(2) of Regulation (EC) No 1060/2009 as amended, ‘N’ where this information is not available for the reporting periods before 7 September 2010, ‘O’ in any other case. |
15 | Time horizon | Identifies whether the rating is a short-term or a long-term rating. It shall be maintained unchanged over time. | Mandatory. | ‘S’ if it is a short-term rating, ‘L’ for a long-term rating. |
16 | Rating type | Identifies whether the rating is a corporate rating or a sovereign and public finance rating or a structured finance rating. It shall be maintained unchanged over time. | Mandatory. | ‘C’ for a corporate rating, ‘S’ for a sovereign and public finance rating, ‘T’ for a structured finance rating. |
17 | Country | Country code of the rated issuer/instrument. | Mandatory. | ISO 3166-1. The code ‘ZZ’ shall be used to identify the category ‘international’. |
18 | Industry | Industry segment of the issuer. | Mandatory. Applicable for corporate ratings. | ‘FI’ in case it is a financial institution including credit institutions and investment firms, ‘IN’ in case it is an insurance undertaking, ‘CO’ in case it is a corporate issuer that is not considered a financial institution or an insurance undertaking. |
19 | Sector | Specifies subcategories for sovereign and public finance ratings. | Mandatory. Applicable for sovereign and public finance ratings. | ‘FC’ for a sovereign foreign currency rating, ‘SL’ for a sovereign local currency rating, ‘SM’ fora sub-sovereign or municipality rating, ‘SO’ for a supranational organisation rating, ‘PE’ for a public entity rating. |
20 | Asset class | Defines the main asset classes for structured finance ratings. | Mandatory. Applicable for structured finance ratings. | ‘ABS’ for an asset-backed security, ‘RMBS’ for a residential mortgage backed security, ‘CMBS’ for a commercial mortgage backed security, ‘CDO’ for a collateralised debt obligation, ‘ABCP’ for an asset-backed commercial paper, ‘OTH’ in all other cases. |
21 | Sub-asset | Defines the sub-asset classes for ABS, RMBS and CDO ratings. | Mandatory. Applicable for defined asset classes of structured finance ratings. | For ABS: For RMBS: For CDO: ‘CCS’ for a credit card receivable backed security, ‘ALB’ for an auto loan-backed security, ‘OTH’ for another type of ABS. ‘HEL’ for a home equity loan, ‘PRR’ for a prime RMBS, ‘NPR’ for a non-prime RMBS. ‘CFH’ for a cash flow or hybrid CDO/CLO, ‘SDO’ for a synthetic CDO/CLO, ‘MVO’ for a market value CDO. |
22 | Vintage year | Specifies the year of issuance of the rated instrument. It shall be maintained unchanged over time. | Mandatory. Applicable for structured finance ratings. | — |
23 | Responsible CRA unique identifier | Business identifier code (BIC) of the entity responsible for the rating, i.e. in case for: a rating issued in the EU, the credit rating agency registered in accordance with Regulation (EC) No 1060/2009 that has issued the rating, an endorsed rating, the credit rating agency registered in accordance with Regulation (EC) No 1060/2009 that endorsed the rating, a rating issued by a credit rating agency that has been certified in accordance with Regulation (EC) No 1060/2009, the certified entity, a rating issued in a third country but not endorsed by a credit rating agency registered in accordance with Regulation (EC) No 1060/2009, the third country credit rating agency that issued the rating. | Mandatory. | ISO 9362. |
24 | Historical reporting period of the rating | Identifies the reporting period of the rating, if in the past. It shall be used if the rating is reported for a published period for the correction of factual errors. | Optional. | ISO 8601 date format (YYYY-MM-DD). |
25 | Reason for historical rating reporting | The reason why the rating is reported for a previously reported period. | Mandatory if the field ‘Historic reporting period of the rating’ is reported. | — |
Table 2: List of fields for the cancellation of rating data
No | Field identifier | Description | Type | Standard |
1 | Rating identifier | Declaration of an existing rating identifier to be cancelled. | Mandatory. | — |
2 | Reason for historic cancellation | The reason why the rating is cancelled for all the previously reported periods. | Optional. Mandatory in case of complete cancellation (cancellation of the rating for all the periods). | — |
Table 3: List of technical fields for a rating data file
No | Field identifier | Description | Type | Standard |
1 | Language | Defines the language of the file. | Mandatory | ISO 639-1 |
2 | CRA unique identifier | Code used internally by the system to identify the credit rating agency. Must be the business identifier code (BIC) of the credit rating agency sending the file. | Mandatory | ISO 9362 |
3 | Version | The version of the XML schema definition (XSD) used to generate the file. | Mandatory | Shall be the exact version number |
4 | Creation date | The date at which the file was created. | Mandatory | ISO 8601 date format (YYYY-MM-DD) |
5 | Creation time | The time at which the file was created. It shall be reported in the local time of the credit rating agency generating the file and expressed as coordinated universal time (UTC) +/– hours. | Mandatory | ISO 8601 time format (HH:MM:SS) |
6 | Creation time offset | Indicates that a local time offset for the creation of the file was used HH ahead or behind UTC. Separated subfield with values (+/–) HH, which shall be adjusted for summer time. | Mandatory | — |
7 | Reporting period | Identifies the reporting period of the file. It corresponds to the date of the beginning of the period. | Mandatory | ISO 8601 date format (YYYY-MM-DD) of the BOP |
8 | Number of records | Total amount of ratings records in the file, including ratings declarations and cancellations. | Mandatory | — |