Austrian Anadi Bank’s covered bonds have been removed from the list of assets eligible for ECB repo in a move attributed by Commerzbank analysts to an incomplete surveillance report, in what is believed to be the first time new transparency rules have resulted in such an exclusion.

(Updated to include OeNB comment.)

As of 1 July, rating agencies have had to meet new reporting standards if their covered bond ratings are to be accepted by the ECB for repo collateral purposes, including that they publish surveillance reports on eligible covered bond programmes no later than eight weeks after the end of each quarter. After the first deadline passed, rating agencies reported that almost all quarterly reports had been submitted in full and on time.

However, covered bonds of Austrian Anadi Bank are now ineligible and hence not currently listed on the ECB’s list of eligible marketable assets.

“The covered bonds of Austrian Anadi Bank were deleted from the list of marketable assets because they do not satisfy the principles of eligible assets anymore,” a spokesperson for the Austrian central bank (OeNB) told The CBR, declining to explain further.

According to analysts at Commerzbank, the covered bonds have been made ineligible because a monitoring report relating to the third quarter of 2017 published by S&P – which rates the covered bonds AA – was incomplete.

This is understood to be the first case of an issuers’ covered bonds being removed from the ECB’s list of eligible assets due to the new transparency rules.

Austrian Anadi Bank, formerly Hypo Alpe-Adria-Bank AG, set up its conditional pass-through (CPT) mortgage-backed covered bond programme in December 2015.

Citing information from the Austrian central bank, Michael Weigerding, research analyst at Commerzbank, said that the S&P Q3 report, published on 22 November, lacks several data points including arrears, a regional breakdown, the number of loans, loan seasoning or the assets’ interest type.

The following monitoring report, relating to Q4 and published on 1 February, includes this missing data, but, according to the Austrian central bank, because of the previous incomplete report, the central bank will no longer accept Anadi’s covered bond rating as being valid for repo purposes.

“Given that S&P is the only rating agency assessing the bonds and Anadi does not have an issuer rating, on which the central bank usually relies in such cases, the covered bonds have been deemed unrated and removed from the ECB’s list of repo-eligible assets,” said Weigerding.

Austrian Anadi Bank did not respond to a request for comment by The CBR’s deadline.

Weigerding noted that some monitoring reports relating to other issuers had minor data issues, but have seemingly not been removed from the ECB list, implying some flexibility.

“However, the ECB doesn’t just look at timeliness of publication,” he said. “A significant lack of data could have drastic repercussions and may not be mitigated so easily – we understand that there has been some communication between the central bank and Anadi in December and the issuer has tried to come up with a solution in the meantime.”

Weigerding said the market implications for Anadi’s covered bonds are likely to remain limited given that most are privately placed.

“In sum, we would expect Anadi’s covered bonds to become repo-eligible again in a few weeks’ time,” he added. “After all, the required data are already published, only they need to be assessed and considered by the ECB.

“While we would not rule out that the ECB’s guidelines could become a stumbling block for other individual issuers, as well, the majority should be on the safe side since their repo assessment relies on multiple ratings. This example highlights, however, that complying with the ECB’s rules from the very beginning is clearly worth the effort.”