Definition
−IF [Counterparty risk.Probability of default] = 1 THEN [Counterparty default.Default status of the counterparty] NOT IN '{‘Nonapplicable’, ‘Not in default’}' OR [Financial.Default status of the instrument] NOT IN {'Non-applicable’, ‘Not in default'}
+[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 value reported for the [Probability of default] attribute is consistent with the [Default status of the counterparty] and [Default status of the instrument] attributes. This means that if a probability of default has a value of 100%, the default status assessed either at instrument or counterparty level is different from “Non-applicable” or “Not in default”.
+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).