CN0832 - This validation check ensures that the attributes [Probability of default] and [Default…
Definition
[Counterparty risk.Probability of default] = 1 IF AND ONLY IF [([Counterparty default.Default status of the counterparty] IN {“Default because 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 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”)] Note: The check is to be executed only when [Counterparty risk.Probability of Default] is reported and either [Counterparty default.Default status of the counterparty] or at least one [Financial.Default status of the instrument] is reported for a loan where the counterparty acts as a debtor.
Kurzbeschreibung
This validation check ensures that the attributes [Probability of default] and [Default status of the counterparty] are reported in a consistent manner. This means that if the value of 100% is reported in [Probability of default], then the counterparty is in default if the definition of default is applied at the level of a counterparty or, if the definition of default is not applied at the level of a counterparty, all instruments of the counterparty are in default (provided that the counterparty is a debtor).
Versionen
Quelldokument
- AnaCredit validation checks, version 1.8 (version 1.8)
Betrifft folgende Attribute
Gehört zu Datensätzen
Diese Angaben wurden ohne KI deterministisch aus den Tabellen der genannten Quelldokumente geparst. Fehler bei der PDF-Auswertung sind dennoch möglich – im Zweifel gilt das Quelldokument.