Handbuch zu den AnaCredit-Validierungsregeln

Definition geändert

−LET X<>Y. IF (([X.Head office undertaking identifier type = Y.Counterparty Identifier Type]) AND ([X.Head office undertaking identifier = Y.Counterparty Identifer])) OR (([X.Immediate parent undertaking identifier type = Y.Counterparty Identifier Type]) AND ([X.Immediate parent undertaking identifier = Y.Counterparty Identifer])) OR (([X.Ultimate parent undertaking identifier type = Y.Counterparty Identifier Type]) AND ([X.Ultimate parent undertaking identifier = Y.Counterparty Identifer])) THEN (([Y.Head office undertaking identifier type <> X.Counterparty Identifier Type]) OR ([Y.Head office undertaking identifier <> X.Counterparty Identifer])) AND (([Y.Immediate parent undertaking identifier type <> X.Counterparty Identifier Type]) OR ([Y.Immediate parent undertaking identifier <> X.Counterparty Identifer]))

+LET X<>Y. IF (([X.Head office undertaking identifier type = Y.Counterparty Identifier Type]) AND ([X.Head office undertaking identifier = Y.Counterparty Identifer])) OR (([X.Immediate parent undertaking identifier type = Y.Counterparty Identifier Type]) AND ([X.Immediate parent undertaking identifier = Y.Counterparty Identifer])) OR (([X.Ultimate parent undertaking identifier type = Y.Counterparty Identifier Type]) AND ([X.Ultimate parent undertaking identifier = Y.Counterparty Identifer])) THEN (([Y.Head office undertaking identifier type <> X.Counterparty Identifier Type]) OR ([Y.Head office undertaking identifier <> X.Counterparty Identifer])) AND (([Y.Immediate parent undertaking identifier type <> X.Counterparty Identifier Type]) OR ([Y.Immediate parent undertaking identifier <> X.Counterparty Identifer])) AND (([Y.Ultimate parent undertaking identifier type <> X.Counterparty Identifier Type]) OR ([Y.Ultimate parent undertaking identifier <> X.Counterparty Identifer]))

Definition geändert

−LET X <> Y AND Y <> Z AND [Y.Legal form] = 'DE505' AND [X.Legal form] = 'DE505'. IF [Y.Head office undertaking identifier type] = [Z.Counterparty identifier type] AND [Y.Head office undertaking identifier] = [Z.Counterparty identifer] THEN [X.Head office undertaking identifier type] <> [Y.Counterparty identifier type] OR [X.Head office undertaking identifier] <> [Y.Counterparty identifer]

+LET X <> Y AND Y <> Z AND [Y.Legal form] = 'DE505' AND [X.Legal form] = 'DE505'. IF [Y.Head office undertaking identifier type] = [Z.Counterparty identifier type] AND [Y.Head office undertaking identifier] = [Z.Counterparty identifer] THEN [X.Head office undertaking identifier type] <> [Y.Counterparty

Definition geändert

−Let T be the reference date, IF [Counterparty reference.Annual turnover] (T)

+Let T be the reference date, IF [Counterparty reference.Annual turnover] (T) <> [Counterparty reference.Annual turnover] (T - 1) AND [Counterparty reference.Date of enterprise size] (T) <> {} THEN [Counterparty reference.Date of enterprise size] (T) <> [Counterparty reference.Date of enterprise size] (T - 1)

Definition geändert

−Let T be the reference date, IF [Counterparty reference.Number of employees] (T) <> [Counterparty reference.Number of employees] (T - 1) AND [Counterparty reference.Date of enterprise size] (T) <> {} THEN [Counterparty reference.Date of enterprise size] (T) <> [Counterparty reference.Date of enterprise size] (T - 1)

+Let T be the reference date, IF [Counterparty reference.Number of employees] (T) <> [Counterparty reference.Number of employees] (T - 1) AND [Counterparty reference.Date of enterprise size] (T) <> {}

Definition geändert

−LET [Counterparty reference.Counterparty identifier] = X, AND [Counterparty reference.Counterparty identifier type] =Y. IF [Counterparty reference.Institutional sector] ='Financial vehicle corporations (FVCs) engaged in securitisation transactions' AND [Financial.Type of securitisation] = ‘Traditional securitisation’ WHERE [Counterparty reference.Counterparty identifier] = X AND [Counterparty reference.Counterparty identifier type] =Y, THEN EXISTS [Counterparty-instrument.Counterparty role] =

+LET [Counterparty reference.Counterparty identifier] = X, AND [Counterparty reference.Counterparty identifier type] =Y. IF [Counterparty reference.Institutional sector] ='Financial vehicle corporations (FVCs) engaged in securitisation transactions' AND [Financial.Type of securitisation] = ‘Traditional securitisation’ WHERE [Counterparty reference.Counterparty identifier] = X AND [Counterparty reference.Counterparty identifier type] =Y, THEN EXISTS [Counterparty-instrument.Counterparty role] = 'Originator' for all instruments WHERE [Counterparty-instrument.Counterparty role](X,Y) = 'Creditor'

Definition geändert

−Let T be the reference date, IF [Counterparty default.Default status of the counterparty] (T) <> [Counterparty default.Default status of the counterparty] (T1) THEN [Counterparty default.Date of the default status of the

+Let T be the reference date, IF [Counterparty default.Default status of the counterparty] (T) <> [Counterparty default.Default status of the counterparty] (T1) THEN [Counterparty default.Date of the default status of the counterparty] (T) > [Counterparty default.Date of the default status of the counterparty] (T - 1)

Definition geändert

−IF [Accounting.Accumulated write-offs] >0 THEN ([Accounting.Balance sheet recognition] IN {'Entirely recognised' ,'Recognised to the extent of the institution's continuing involvement'} OR ([Financial.Outstanding nominal amount] = 0 AND

+IF [Accounting.Accumulated write-offs] >0 THEN ([Accounting.Balance sheet recognition] IN {'Entirely recognised' ,'Recognised to the extent of the institution's continuing involvement'} OR ([Financial.Outstanding nominal amount] = 0 AND [Accounting.Balance sheet recognition] IN 'Entirely derecognised'))

Definition geändert

−Let T be the reference date and T' the end of quarter reference date such that T'>=T: For each T IN {T’, T’-1, T’-2}, IF [Instrument.Project finance loan] (T) <> [Instrument.Project finance loan] (T-1) THEN [Accounting.Date of the forbearance and renegotiation status] (T') > (T-1)

+Let T be the reference date and T' the end of quarter reference date such that T'>=T: For each T IN {T’, T’-1, T’-2}, IF [Instrument.Project finance loan] (T) <> [Instrument.Project finance loan] (T-1)

Definition geändert

−Let T be the reference date: IF [Instrument-protection received.Instrument identifier] (T) IN [Instrument-protection received.Instrument identifier] (T-1) THEN [Protection received.Date of original protection value] (T) = [Protection received.Date of original protection value] (T-1)

+Let T be the reference date: IF [Instrument-protection received.Instrument identifier] (T) IN [Instrument-protection received.Instrument identifier] (T-1) THEN

Definition geändert

−[Counterparty risk.Probability of Default] = 1 IF AND ONLY IF [([Counterparty default.Default status of the counterparty] IN { 'Default because both unlikely to pay', 'Default because more than 90/180 days past due', 'Default because both unlikely to pay and more than 90/180 days past due'}) OR ([Financial.default status of the instrument] IN { 'Default because both unlikely to pay', 'Default because more than 90/180 days past due', 'Default because both unlikely to pay and more than 90/180 days past due'} for all instruments where [Counterparty-instrument.Counterparty role] = 'Debtor')]

+[Counterparty risk.Probability of Default] = 1 IF AND ONLY IF [([Counterparty default.Default status of the counterparty] IN { 'Default because both unlikely to pay', 'Default because more than 90/180 days past due', 'Default because both unlikely to pay and more than 90/180 days past due'}) OR ([Financial.default status of the instrument] IN { 'Default because both unlikely to pay', 'Default because more than 90/180

Definition geändert

−IF [Financial.Off-balance-sheet amount] > 0 AND [Financial.Outstanding nominal amount] = 0 THEN [Financial.Type of securitisation] <> ‘Traditional securitisation’

+IF [Financial.Off-balance-sheet amount] > 0 AND [Financial.Outstanding nominal amount] = 0