Definition
−IF [Counterparty risk.Probability of default] = 1 THEN [Counterparty default.Date of the default status of the counterparty] <> 'Non- applicable' OR [Financial.Date of the default status of the instrument] <> 'Non- applicable'
+[Financial.Default status of the instrument] <> {“Non-applicable”} IF AND ONLY IF [Financial.Date of the Default status of the instrument] <> “Non-applicable”
Kurzbeschreibung
−This validation check ensures that the value reported for the [Probability of default] attribute is consistent with the [Date of the default status of the counterparty] and [Date of the default status of the instrument] attributes. This means that a probability of default may have a value of 100% if a default status was assessed at a certain date either at instrument or counterparty level.
+This validation check ensures that the attributes [Default status of the instrument] and [Date of the default status of the instrument] are reported in a consistent manner. This means that if the default status of the instrument is specified and is not “Non-applicable” (i.e. it is not the case that the instrument has never been in default since it was originated) then the date of the default status of the instrument also has to be specified, and vice versa.