AnaCredit validation checks

Definition geändert

−IF [Instrument.Settlement date] <> ‘Non-applicable’ THEN [Instrument.Settlement date] >= [Instrument.Inception date]

+IF [Instrument.Settlement date] <> “Non-applicable” THEN [Instrument.Settlement date] >= [Instrument.Inception date]

Definition geändert

−IF [Instrument.End date of interest-only period] <> ‘Nonapplicable’ THEN [Instrument.End date of interest-only period] >= [Instrument.Inception date]

+IF [Instrument.End date of interest-only period] <> “Non-applicable” THEN [Instrument.End date of interest-only period] >= [Instrument.Inception date]

Definition geändert

−IF [Instrument.Legal final maturity date] <> ‘Non- applicable’ AND [Instrument.Settlement date] <> ‘Non- applicable’ THEN [Instrument.Legal final maturity date] >= [Instrument.Settlement date]

+IF [Instrument.Legal final maturity date] <> “Non-applicable” AND [Instrument.Settlement date] <> “Non-applicable” THEN [Instrument.Legal final maturity date] >= [Instrument.Settlement date]

Definition geändert

−IF [Instrument.Legal final maturity date] <> ‘Nonapplicable’ AND [Instrument.End date of interest-only period] <> ‘Non-applicable’ THEN [Instrument.Legal final maturity date] >= [Instrument.End date of interest-only period]

+IF [Instrument.Legal final maturity date] <> “Non-applicable” AND [Instrument.End date of interest-only period] <> “Non-applicable” THEN [Instrument.Legal final maturity date] >= [Instrument.End date of interest-only period]

Definition geändert

−IF [Financial.Next interest rate reset date] <> ‘Non- applicable’ AND [Instrument.Legal final maturity date] <> ‘Non-applicable’ AND [Instrument.Legal final maturity date] > [Instrument.Reference date] THEN [Instrument.Legal final maturity date] >= [Financial.Next interest rate reset date]

+IF [Financial.Next interest rate reset date] <> “Non-applicable” AND [Instrument.Legal final maturity date] <> “Non-applicable” AND [Instrument.Legal final maturity date] > [Instrument.Reference date] THEN [Instrument.Legal final maturity date] >= [Financial.Next interest rate reset date]

Definition geändert

−IF [Instrument.Settlement date] <> ‘Non-applicable’ THEN [Instrument.Reference date] >= [Instrument.Settlement date]

+IF [Instrument.Settlement date] <> “Non-applicable” THEN [Instrument.Reference date] >= [Instrument.Settlement date]

Definition geändert

−IF [Financial.Next interest rate reset date] <> ‘Non- applicable’ THEN [Financial.Next interest rate reset date] >= [Instrument.Inception date]

+IF [Financial.Next interest rate reset date] <> “Non-applicable” THEN [Financial.Next interest rate reset date] >= [Instrument.Inception date]

Definition geändert

−IF [Financial.Date of the default status of the instrument] <> ‘Non-applicable’ THEN [Financial.Date of the default status of the instrument] >= [Instrument.Inception date]

+IF [Financial.Date of the default status of the instrument] <> “Non-applicable” THEN [Financial.Date of the default status of the instrument] >= [Instrument.Inception date]

Definition geändert

−IF [Financial.Date of past due for the instrument] <> ‘Non- applicable’ THEN [Financial.Date of past due for the instrument] >= [Instrument.Inception date]

+IF [Financial.Date of past due for the instrument] <> “Non-applicable” THEN [Financial.Date of past due for the instrument] >= [Instrument.Inception date]

Definition geändert

−IF [Financial.Next interest rate reset date] <> ‘Nonapplicable’ AND [Instrument.Settlement date] <> ‘Nonapplicable’ THEN [Financial.Next interest reset date] >= [Instrument.Settlement date]

+IF [Financial.Next interest rate reset date] <> “Non-applicable” AND [Instrument.Settlement date] <> “Non-applicable” THEN [Financial.Next interest reset date] >= [Instrument.Settlement date]

Definition geändert

−IF [Financial.Next interest rate reset date] <> ‘Non- applicable’ THEN [Financial.Next interest reset date] >= [Financial.Reference date]

+IF [Financial.Next interest rate reset date] <> “Non-applicable” THEN [Financial.Next interest reset date] >= [Financial.Reference date]

Definition geändert

−IF [Instrument.End date of interest-only period] <> ‘Nonapplicable’ AND [Instrument.Settlement date] <> ‘Nonapplicable’ THEN [Instrument.End date of interest-only period] >= [Instrument.Settlement date]

+IF [Instrument.End date of interest-only period] <> “Non-applicable” AND [Instrument.Settlement date] <> “Non-applicable” THEN [Instrument.End date of interest-only period] >= [Instrument.Settlement date]

Definition geändert

−IF [Financial.Type of securitisation] = 'Synthetic securitisation' THEN EXISTS protection item such that [Protection received.Type of protection] IN {'Credit derivatives', 'Financial guarantees other than credit derivatives', 'Currency and deposits', 'Securities'}

+IF [Financial.Type of securitisation] = “Synthetic securitisation” THEN EXISTS protection item such that [Protection received.Type of protection] IN {“Credit derivatives”, “Financial guarantees other than credit derivatives”, “Currency and deposits”, “Securities”}

Definition geändert

−IF [Financial.Date of the default status of the instrument] <> ‘Non-applicable’ THEN [Financial.Reference date] >= [Financial.Date of the default status of the instrument]

+IF [Financial.Date of the default status of the instrument] <> “Non-applicable” THEN [Financial.Reference date] >= [Financial.Date of the default status of the instrument]

Definition geändert

−IF [Financial.Date of past due for the instrument] <> ‘Non- applicable’ THEN [Financial.Reference date] >= [Financial.Date of past due for the instrument]

+IF [Financial.Date of past due for the instrument] <> “Non-applicable” THEN [Financial.Reference date] >= [Financial.Date of past due for the instrument]

Definition geändert

−[Financial.Arrears for the instrument] > 0 IF AND ONLY IF [Financial.Date of past due for the instrument] <> ‘Non-applicable’

+[Financial.Arrears for the instrument] > 0 IF AND ONLY IF [Financial.Date of past due for the instrument] <> “Non-applicable”

Definition geändert

−IF [Financial.Default status of the instrument] NOT IN {'Not in default', 'Non-applicable’} THEN [Accounting.Performing status of the instrument] ='Non-performing'

+IF [Financial.Default status of the instrument] NOT IN {“Not in default”, “Non-applicable”} THEN [Accounting.Performing status of the instrument] = “Non-performing”

Definition geändert

−[Accounting.Type of impairment] =, ‘Non-applicable’ IF AND ONLY IF [Accounting.Impairment assessment method] = ‘Non-applicable’

+[Accounting.Type of impairment] =, “Non-applicable” IF AND ONLY IF [Accounting.Impairment assessment method] = “Non-applicable”

Definition geändert

−IF [Financial.Type of securitisation] = 'Synthetic securitisation' AND [Financial.Outstanding nominal amount] > 0 THEN [Accounting.Balance sheet recognition] <> 'Entirely derecognised'

+IF [Financial.Type of securitisation] = “Synthetic securitisation” AND [Financial.Outstanding nominal amount] > 0 THEN [Accounting.Balance sheet recognition] <> “Entirely derecognised”

Definition geändert

−Let [Counterparty reference.Observed agent identifier] = X. IF observed agent’s legal entity [Accounting standard] is in (IFRS accounting framework values, nGAAP accounting framework values) AND observed agent’s [Accounting classification of instruments] is in (nGAAP accounting classification values , IFRS accounting classification values) AND [Counterparty reference.Address: Country] of the [Counterparty reference.Head office undertaking] of X IN a reporting Member State} THEN [Accounting.Accounting classification of instruments] IN {IFRS accounting classification values} IF AND ONLY IF [Counterparty reference.Accounting standard] of X IN {IFRS accounting framework value} WHERE IFRS accounting framework values = {"IFRS", "National GAAP consistent with IFRS"};

+Let [Counterparty reference.Observed agent identifier] = X. IF observed agent’s legal entity [Accounting standard] is in (IFRS accounting framework values, nGAAP accounting framework values) AND observed agent’s [Accounting classification of instruments] is in (nGAAP accounting classification values, IFRS accounting classification values) AND [Counterparty reference.Address: Country] of the [Counterparty reference.Head office undertaking] of X IN a reporting Member State} THEN [Accounting.Accounting classification of instruments] IN {IFRS accounting classification values} IF AND ONLY IF [Counterparty reference.Accounting standard] of X IN {IFRS accounting framework value} WHERE IFRS accounting framework values = {“IFRS”, “National GAAP consistent with IFRS”}; nGAAP accounting framework values = {“National GAAP not consistent with IFRS”} IFRS accounting classification values = {“IFRS: Cash balances at central banks and other demand deposits”, “IFRS: Financial assets at amortised cost”, “IFRS: Financial assets at fair value through other comprehensive income”, “IFRS: Financial assets designated at fair value through profit or loss”, “IFRS: Financial assets held for trading”, “IFRS: Non-trading financial assets mandatorily at fair value through profit or loss”} nGAAP accounting classification values = {“nGAAP: Available-for-sale financial assets”,”nGAAP: Cash balances at central banks and other demand deposits”, “nGAAP: Financial assets designated at fair value through profit or loss”, “nGAAP: Financial assets held for trading”, “nGAAP: Held-to-maturity investments”, “nGAAP: Loans and receivables”, “nGAAP: Non-trading financial assets mandatorily at fair value through profit or loss”, “nGAAP: Non-trading non-derivative financial assets measured at fair value through profit or loss”, “nGAAP: Non-trading non-derivative financial assets measured at fair value to equity”, “nGAAP: Non-trading non-derivative financial instruments measured at a cost-based method”, “nGAAP: Other Non-trading Non-derivative Financial assets”, “nGAAP: Trading Financial assets”}

Definition geändert

−IF [Counterparty reference.Date of enterprise size] <> 'Non-applicable' THEN [Counterparty reference.Reference date] >= [Counterparty reference.Date of enterprise size]

+IF [Counterparty reference.Date of enterprise size] <> “Non-applicable” THEN [Counterparty reference.Reference date] >= [Counterparty reference.Date of enterprise size]

Definition geändert

−IF [Counterparty reference.Date of initiation of legal proceedings] <> 'Non-applicable' THEN[Counterparty reference.Reference date] >= [Counterparty reference.Date of initiation of legal proceedings]

+IF [Counterparty reference.Date of initiation of legal proceedings] <> “Non-applicable” THEN[Counterparty reference.Reference date] >= [Counterparty reference.Date of initiation of legal proceedings]

Definition geändert

−IF [Counterparty reference.National identifier type] = 'Other' THEN [Counterparty reference.Description of other national identifier type] <> ( {}, 'Non-applicable')

+IF [Counterparty reference.National identifier type] = “Other” THEN [Counterparty reference.Description of other national identifier type] <> ( {}, “Non-applicable”)

Definition geändert

−Let [Counterparty reference.Counterparty identifier] = X IF [Counterparty reference.Institutional sector] ='Financial vehicle corporations (FVCs) engaged in securitisation transactions' WHERE [Counterparty reference.Counterparty identifier] = X AND [Financial.Type of securitisation] = ‘Traditional securitisation’ THENEXISTS [Counterparty-instrument.Counterparty role] = 'Originator' for all instruments WHERE [Counterparty- instrument.Counterparty role](X) = 'Creditor'

+Let [Counterparty reference.Counterparty identifier] = X IF [Counterparty reference.Institutional sector] = “Financial vehicle corporations (FVCs) engaged in securitisation transactions” WHERE [Counterparty reference.Counterparty identifier] = X AND [Financial.Type of securitisation] = “Traditional securitisation” THENEXISTS [Counterparty-instrument.Counterparty role] = “Originator” for all instruments WHERE [Counterparty-instrument.Counterparty role](X) = “Creditor”

Definition geändert

−Let A = {[Counterparty-instrument.Counterparty role]} for ([Counterparty-instrument.Observed agent identifier],[Counterparty-instrument.Contract identifier],[Counterparty-instrument.Instrument identifier],[Counterparty-instrument.Counterparty identifier]). THEN, 'Creditor' IN A IF AND ONLY IF 'Debtor' NOT IN A

+Let A = {[Counterparty-instrument.Counterparty role]} for ([Counterparty-instrument.Observed agent identifier],[Counterparty-instrument.Contract identifier],[Counterparty-instrument.Instrument identifier],[Counterparty-instrument.Counterparty identifier]). THEN, “Creditor” IN A IF AND ONLY IF “Debtor” NOT IN A

Definition geändert

−[Protection received.Protection provider identifier] DOES NOT EXIST IN {[Counterparty-instrument.Counterparty identifier] | ([Instrument-Protection received.Observed agent identifier],[Instrument-Protection received.Contract identifier],[Instrument-Protection received.Instrument identifier]) = ([Counterparty-instrument.Observed agent identifier],[Counterparty-instrument.Contract identifier],[Counterparty-instrument.Instrument identifier]) AND [Counterparty-instrument.Counterparty role] = ‘Creditor’ }

+[Protection received.Protection provider identifier] DOES NOT EXIST IN {[Counterparty-instrument.Counterparty identifier] | ([Instrument-Protection received.Observed agent identifier],[Instrument-Protection received.Contract identifier],[Instrument-Protection received.Instrument identifier]) = ([Counterparty-instrument.Observed agent identifier],[Counterparty-instrument.Contract identifier],[Counterparty-instrument.Instrument identifier]) AND [Counterparty-instrument.Counterparty role] = “Creditor”}

Definition geändert

−IF [Counterparty default.Date of the default status of the counterparty] <> ‘Non-applicable’ THEN [Counterparty default.Reference date] >= [Counterparty default.Date of the default status of the counterparty]

+IF [Counterparty default.Date of the default status of the counterparty] <> “Non-applicable” THEN [Counterparty default.Reference date] >= [Counterparty default.Date of the default status of the counterparty]

Definition geändert

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

+Let T be the reference date, IF [Counterparty default.Default status of the counterparty] (T) <> [Counterparty default.Default status of the counterparty] (T-1) 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 [Protection received.Maturity date of the protection] <> 'Non-applicable' THEN [Protection received.Maturity date of the protection] >= [Instrument.Inception date]

+IF [Protection received.Maturity date of the protection] <> “Non-applicable” THEN [Protection received.Maturity date of the protection] >= [Instrument.Inception date]

Definition geändert

−IF [Financial.Outstanding nominal amount] = 0 THEN ([Financial.Accrued Interest] > 0 OR [Accounting.Accumulated write-offs] > 0 OR [Financial.Off- balance sheet amount] > 0)

+IF [Financial.Outstanding nominal amount] = 0 THEN ([Financial.Accrued Interest] > 0 OR [Accounting.Accumulated write-offs] > 0 OR [Financial.Off-balance sheet amount] > 0)

Definition geändert

−[Accounting.Balance sheet recognition] IN {'Entirely recognised’,'Recognised to the extent of the institution's continuing involvement'} IF AND ONLY IF [Accounting.Carrying amount] <> 'Non- applicable' In particular cases where the Carrying amount is 'Not required' (intracompany loans) do not trigger CN0702

+[Accounting.Balance sheet recognition] IN {“Entirely recognised”, “Recognised to the extent of the institution’s continuing involvement”} IF AND ONLY IF [Accounting.Carrying amount] <> “Non-applicable”

Definition geändert

−IF [Instrument.Commitment amount at inception] <> 'Non- applicable' THEN [Instrument.Commitment amount at inception] > 0

+IF [Instrument.Commitment amount at inception] <> “Non-applicable” THEN [Instrument.Commitment amount at inception] > 0

Definition geändert

−IF [Accounting.Sources of encumbrances ] in {'Central bank funding', 'Exchange traded derivatives', 'Over-the- counter derivatives', 'Deposits – repurchase agreements other than to central banks', 'Deposits other than repurchase agreements', 'Debt securities issued – covered bonds securities', 'Debt securities issued – asset-backed securities', 'Debt securities issued – other than covered bonds and ABSs', 'Other sources of encumbrance'} THEN [Accounting.Balance sheet recognition] IN {'Entirely recognised’,'Recognised to the extent of the institution's continuing involvement'}

+IF [Accounting.Sources of encumbrances ] IN {“Central bank funding”, “Exchange traded derivatives”, “Over-the-counter derivatives”, “Deposits – repurchase agreements other than to central banks”, “Deposits other than repurchase agreements”, “Debt securities issued – covered bonds securities”, “Debt securities issued – asset-backed securities”, “Debt securities issued – other than covered bonds and ABSs”, “Other sources of encumbrance”} THEN [Accounting.Balance sheet recognition] IN {“Entirely recognised”, “Recognised to the extent of the institution’s continuing involvement”}

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 [Accounting.Balance sheet recognition] IN 'Entirely derecognised'))

+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

−IF [Accounting.Balance sheet recognition] IN {'Entirely recognised' ,'Recognised to the extent of the institution's continuing involvement'} THEN [Financial.Off-balance sheet amount]<>'non-applicable' IF AND ONLY IF [Accounting.Provisions associated with off-balance sheet exposures]<>'Non-applicable'

+IF [Accounting.Balance sheet recognition] IN {“Entirely recognised”, “Recognised to the extent of the institution’s continuing involvement”} THEN [Financial.Off-balance sheet amount] <> “Non-applicable” IF AND ONLY IF [Accounting.Provisions associated with off-balance sheet exposures] <> “Non-applicable”

Definition geändert

−IF ([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'} OR [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'}) AND [Financial.Default status of the instrument] <> 'Not in default' THEN [Accounting.Cumulative recoveries since default] <> ‘Non-applicable’"

+IF ([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”} OR [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”}) AND [Financial.Default status of the instrument] <> “Not in default” THEN [Accounting.Cumulative recoveries since default] <> “Non-applicable”

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.Fiduciary instrument] (T) <> [Instrument.Fiduciary instrument] (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.Fiduciary instrument] (T) <> [Instrument.Fiduciary instrument] (T-1) THEN [Accounting.Date of the forbearance and renegotiation status] (T’) > (T-1)

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) THEN [Accounting.Date of the forbearance and renegotiation status] (T’) > (T-1)

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.Purpose] (T) <> [Instrument.Purpose] (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.Purpose] (T) <> [Instrument.Purpose] (T-1) THEN [Accounting.Date of the forbearance and renegotiation status] (T’) > (T-1)

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.Recourse] (T) <> [Instrument.Recourse] (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.Recourse] (T) <> [Instrument.Recourse] (T-1) THEN [Accounting.Date of the forbearance and renegotiation status] (T’) > (T-1)

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.Repayment rights] (T) <> [Instrument.Repayment rights] (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.Repayment rights] (T) <> [Instrument.Repayment rights] (T-1) THEN [Accounting.Date of the forbearance and renegotiation status] (T’) > (T-1)

Definition geändert

−IF [Instrument.Settlement date] = 'Non-applicable' THEN [Financial.Off-balance-sheet amount] > 0

+IF [Instrument.Settlement date] = “Non-applicable” THEN [Financial.Off-balance-sheet amount] > 0

Definition geändert

−IF [Counterparty default.Date of the default status of the counterparty] = 'Non-applicable' AND [Counterparty default.Default status of the counterparty] <> 'Nonapplicable' THEN [Counterparty default.Default status of the counterparty] = 'Not in default'

+IF [Counterparty default.Date of the default status of the counterparty] = “Non-applicable” AND [Counterparty default.Default status of the counterparty] <> “Non-applicable” THEN [Counterparty default.Default status of the counterparty] = “Not in default”

Definition geändert

−IF [Instrument.Type of instrument] = 'Reverse repurchase agreements' THEN [Financial.Off-balance-sheet amount] = 'Non- applicable'

+IF [Instrument.Type of instrument] = “Reverse repurchase agreements” THEN [Financial.Off-balance-sheet amount] = “Non-applicable”

Definition geändert

−[Accounting.Accumulated impairment amount] = 'Nonapplicable' IF AND ONLY IF [Accounting.Type of impairment] = 'Non-applicable'

+[Accounting.Accumulated impairment amount] = “Non-applicable” IF AND ONLY IF [Accounting.Type of impairment] = “Non-applicable”

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')] 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.

+[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.

Definition geändert

−[Financial.Default status of the instrument] <> {'Non- applicable'} IF AND ONLY IF [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”

Definition geändert

−IF [Instrument.Amortisation type] IN {'French', 'Fixed amortisation schedule'} THEN [Instrument.End date of interest-only period] = 'Nonapplicable'

+IF [Instrument.Amortisation type] IN {“French”, “Fixed amortisation schedule”} THEN [Instrument.End date of interest-only period] = “Non-applicable”

Definition geändert

−IF [Instrument.Interest rate type] = 'Fixed' THEN [Instrument.Interest rate cap] = 'Non-applicable'

+IF [Instrument.Interest rate type] = “Fixed” THEN [Instrument.Interest rate cap] = “Non-applicable”

Definition geändert

−IF [Instrument.Interest rate type] = 'Fixed' THEN [Instrument.Interest rate floor] = 'Non-applicable'

+IF [Instrument.Interest rate type] = “Fixed” THEN [Instrument.Interest rate floor] = “Non-applicable”

Definition geändert

−IF [Instrument.Interest rate type] = 'Fixed' THEN [Instrument.Interest rate spread/margin] = 'Non- applicable'

+IF [Instrument.Interest rate type] = “Fixed” THEN [Instrument.Interest rate spread/margin] = “Non-applicable”

Definition geändert

−IF [Instrument.Interest rate type] = 'Fixed' THEN [Instrument.Reference rate] = 'Non-applicable'

+IF [Instrument.Interest rate type] = “Fixed” THEN [Instrument.Reference rate] = “Non-applicable”

Definition geändert

−IF [Accounting.Cumulative recoveries since default] = 'Non-applicable' THEN [Counterparty default.Default status of the counterparty] IN {'Not in default', 'Non-applicable'} AND [Financial.Default status of the Instrument] IN {'Not in default', 'Non-applicable'}

+IF [Accounting.Cumulative recoveries since default] = “Non-applicable” THEN [Counterparty default.Default status of the counterparty] IN {“Not in default”, “Non-applicable”} AND [Financial.Default status of the Instrument] IN {“Not in default”, “Non-applicable”}

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 THEN [Financial.Type of securitisation] <> “Traditional securitisation”

Definition geändert

−[Accounting.Balance sheet recognition] IN {'Entirely recognised', 'Recognised to the extent of the institution's continuing involvement'} IF AND ONLY IF [Accounting.Accounting classification of instruments] <> 'Non-applicable'

+[Accounting.Balance sheet recognition] IN {“Entirely recognised”, “Recognised to the extent of the institution’s continuing involvement”} IF AND ONLY IF [Accounting.Accounting classification of instruments] <> “Non-applicable”

Definition geändert

−IF [Accounting.Balance sheet recognition] <> 'Entirely derecognised' THEN [Accounting.Prudential portfolio] <> 'Non-applicable'

+IF [Accounting.Balance sheet recognition] <> “Entirely derecognised” THEN [Accounting.Prudential portfolio] <> “Non-applicable”

Definition geändert

−IF [Accounting.Provisions associated to off-balance sheet exposures] <> 'Non-applicable' THEN [Accounting.Provisions associated to off-balance sheet exposures] <= [Financial.Off-balance sheet amount]

+IF [Accounting.Provisions associated to off-balance sheet exposures] <> “Non-applicable” THEN [Accounting.Provisions associated to off-balance sheet exposures] <= [Financial.Off-balance sheet amount]

Definition geändert

−Let T be the reference date: IF [Instrument] NOT IN ({[Instrument.Type of instrument] = 'Overdraft' AND [Financial.Off- balance sheet amount] = 'Non-applicable'} OR {[Instrument.Type of Instrument] = ‘Deposits other than reverse repurchase agreements’ AND [Instrument.Legal final maturity date] = 'Non-applicable'}) THEN [Instrument.Inception date] (T) = [Instrument.Inception date] (T-1)

+Let T be the reference date: IF [Instrument] NOT IN ({[Instrument.Type of instrument] = “Overdraft” AND [Financial.Off-balance sheet amount] = “Non-applicable”} OR {[Instrument.Type of Instrument] = “Deposits other than reverse repurchase agreements” AND [Instrument.Legal final maturity date] = “Non-applicable”}) THEN [Instrument.Inception date] (T) = [Instrument.Inception date] (T-1)

Definition geändert

−IF [Accounting.Accounting classification of instruments] IN {'IFRS: Financial assets held for trading', ‘IFRS: Financial assets designated at fair value through profit or loss’, ‘IFRS: Non-trading financial assets mandatorily at fair value through profit or loss’, 'nGAAP: Financial assets held for trading', 'nGAAP: Trading financial assets', 'nGAAP: Non-trading non-derivative financial assets measured at fair value through profit or loss', ‘nGAAP: Financial assets designated at fair value through profit or loss’, ‘nGAAP: Non-trading financial assets mandatorily at fair value through profit or loss’, 'nGAAP: Non-trading non-derivative financial assets measured at fair value to equity'} THEN [Accounting.Accumulated impairment amount] = 'Nonapplicable'

+IF [Accounting.Accounting classification of instruments] IN {“IFRS: Financial assets held for trading”, “IFRS: Financial assets designated at fair value through profit or loss”, “IFRS: Non-trading financial assets mandatorily at fair value through profit or loss”, “nGAAP: Financial assets held for trading”, “nGAAP: Trading financial assets”, “nGAAP: Non-trading non-derivative financial assets measured at fair value through profit or loss”, “nGAAP: Financial assets designated at fair value through profit or loss”, “nGAAP: Non-trading financial assets mandatorily at fair value through profit or loss”, “nGAAP: Non-trading non-derivative financial assets measured at fair value to equity”} THEN [Accounting.Accumulated impairment amount] = “Non-applicable”

Definition geändert

−Let T be the reference date: IF [Instrument] NOT IN ({ [Instrument.Type of instrument] = 'Overdraft' AND [Financial.Off- balance sheet amount] = 'Non-applicable'} OR {[Instrument.Type of instrument] = ‘Deposits other than reverse repurchase agreements’ AND [Instrument.Legal final maturity date] = 'Non-applicable'}) THEN {[Instrument.Settlement date] (T) <> 'Non- applicable' AND [Instrument.Settlement date] (T) = [Instrument.Settlement date] (T-1)} IF AND ONLY IF [Instrument.Settlement date] (T-1) <> 'Non-applicable'

+Let T be the reference date: IF [Instrument] NOT IN ({[Instrument.Type of instrument] = “Overdraft” AND [Financial.Off-balance sheet amount] = “Non-applicable”} OR {[Instrument.Type of instrument] = “Deposits other than reverse repurchase agreements” AND [Instrument.Legal final maturity date] = “Non-applicable”}) THEN {[Instrument.Settlement date] (T) <> “Non-applicable” AND [Instrument.Settlement date] (T) = [Instrument.Settlement date] (T-1)} IF AND ONLY IF [Instrument.Settlement date] (T-1) <> “Non-applicable”

Definition geändert

−IF [Instrument.Type of instrument] = 'Reverse repurchase agreements' THEN [Accounting.Provisions associated to off-balance sheet exposures] = 'Non-applicable'

+IF [Instrument.Type of instrument] = “Reverse repurchase agreements” THEN [Accounting.Provisions associated to off-balance sheet exposures] = “Non-applicable”

Definition geändert

−IF [Instrument.Settlement date] <> ‘Non-applicable’ AND [Instrument.Inception date] < [Instrument.Settlement date] AND [Financial.Off-balance sheet amount] = 'Non- applicable' AND {[Instrument.Type of instrument] <> ‘Deposits other than reverse repurchase agreements’ AND {[Instrument.Type of instrument] <> ‘Trade receivables’ HAVING Recourse = ‘No recourse’} THEN [Instrument.Commitment amount at inception] <> 'Non- applicable'

+IF [Instrument.Settlement date] <> “Non-applicable” AND [Instrument.Inception date] < [Instrument.Settlement date] AND [Financial.Off-balance sheet amount] = “Non-applicable” AND {[Instrument.Type of instrument] <> “Deposits other than reverse repurchase agreements” AND {[Instrument.Type of instrument] <> “Trade receivables” HAVING Recourse = “No recourse”} THEN [Instrument.Commitment amount at inception] <> “Non-applicable”

Definition geändert

−([Financial.Observed agent identifier],[Financial.Contract identifier],[Financial.Instrument identifier]) EXISTS IN {([Counterparty-instrument.Observed agent identifier],[Counterparty- instrument.Contract identifier],[Counterparty- instrument.Instrument identifier])}, WHERE [Counterparty-instrument.Counterparty role]='Creditor'

+([Financial.Observed agent identifier],[Financial.Contract identifier],[Financial.Instrument identifier]) EXISTS IN {([Counterparty-instrument.Observed agent identifier],[Counterparty-instrument.Contract identifier],[Counterparty-instrument.Instrument identifier])}, WHERE [Counterparty-instrument.Counterparty role]=“Creditor”

Definition geändert

−([Financial.Observed agent identifier],[Financial.Contract identifier],[Financial.Instrument identifier]) EXISTS IN {([Counterparty-instrument.Observed agent identifier],[Counterpartyinstrument.Contract identifier],[Counterpartyinstrument.Instrument identifier])}, WHERE [Counterparty-instrument.Counterparty role]='Debtor'

+([Financial.Observed agent identifier],[Financial.Contract identifier],[Financial.Instrument identifier]) EXISTS IN {([Counterparty-instrument.Observed agent identifier],[Counterparty-instrument.Contract identifier],[Counterparty-instrument.Instrument identifier])}, WHERE [Counterparty-instrument.Counterparty role]= “Debtor”

Definition geändert

−([Financial.Observed agent identifier],[Financial.Contract identifier],[Financial.Instrument identifier]) EXISTS IN {([Counterparty-instrument.Observed agent identifier],[Counterparty- instrument.Contract identifier],[Counterparty- instrument.Instrument identifier])}, WHERE [Counterparty-instrument.Counterparty role]='Servicer'

+([Financial.Observed agent identifier],[Financial.Contract identifier],[Financial.Instrument identifier]) EXISTS IN {([Counterparty-instrument.Observed agent identifier],[Counterparty-instrument.Contract identifier],[Counterparty-instrument.Instrument identifier])}, WHERE [Counterparty-instrument.Counterparty role]= “Servicer”

Definition geändert

−([Instrument-protection received.Observed agent identifier],[Instrument-protection received.Contract identifier],[Instrument- protection received.Instrument identifier]) EXISTS IN {([Financial.Observed agent identifier],[Financial.Contract identifier],[Financial.Instrument identifier])}

+([Instrument-protection received.Observed agent identifier],[Instrument-protection received.Contract identifier],[Instrument-protection received.Instrument identifier]) EXISTS IN {([Financial.Observed agent identifier],[Financial.Contract identifier],[Financial.Instrument identifier])}

Definition geändert

−([Counterparty default.Observed agent identifier],[Counterparty default.Counterparty identifier]) EXISTS IN {(([Counterparty- instrument.Observed agent identifier],[Counterparty-instrument.Counterparty identifier]) | [Counterparty- instrument.Counterparty role]='Debtor')} UNION {([Protection received.Observed agent identifier],[Protection received.Protection provider identifier])}

+([Counterparty default.Observed agent identifier],[Counterparty default.Counterparty identifier]) EXISTS IN {(([Counterparty-instrument.Observed agent identifier],[Counterparty-instrument.Counterparty identifier]) | [Counterparty-instrument.Counterparty role]=“Debtor”)} UNION {([Protection received.Observed agent identifier],[Protection received.Protection provider identifier])}

Definition geändert

−([Counterparty risk.Observed agent identifier],[Counterparty risk.Counterparty identifier]) EXISTS IN {(([Counterparty- instrument.Observed agent identifier],[Counterparty-instrument.Counterparty identifier]) | [Counterparty- instrument.Counterparty role]='Debtor')} UNION {([Protection received.Observed agent identifier],[Protection received.Protection provider identifier])}

+([Counterparty risk.Observed agent identifier],[Counterparty risk.Counterparty identifier]) EXISTS IN {(([Counterparty-instrument.Observed agent identifier],[Counterparty-instrument.Counterparty identifier]) | [Counterparty-instrument.Counterparty role]=“Debtor”)} UNION {([Protection received.Observed agent identifier],[Protection received.Protection provider identifier])}

Definition geändert

−([Protection received.Protection provider identifier]) EXISTS IN {[Counterparty reference.Counterparty identifier]} WHERE [Protection received.Protection provider identifier]<> {}

+([Protection received.Protection provider identifier]) EXISTS IN {[Counterparty reference.Counterparty identifier]} WHERE [Protection received.Protection provider identifier] <> {}

Definition geändert

−([Protection received.Observed agent identifier],[Protection received.Protection identifier]) EXISTS IN {([Instrument-protection received.Observed agent identifier],[Instrument- protection received.Protection identifier])}

+([Protection received.Observed agent identifier],[Protection received.Protection identifier]) EXISTS IN {([Instrument-protection received.Observed agent identifier],[Instrument-protection received.Protection identifier])}

Definition geändert

−([Counterparty-instrument.Observed agent identifier],[Counterparty-instrument.Contract identifier],[Counterparty-instrument.Instrument identifier],[Counterparty-instrument.Counterparty identifier] WHERE (Count([Counterparty- instrument.Counterparty identifier] | [Counterparty-instrument.Counterparty role] = 'Debtor') > 1 AND [Counterparty- instrument.Counterparty identifier] | [Counterparty-instrument.Counterparty role] = 'Debtor') EXISTS IN {([Joint liabilities.Observed agent identifier],[Joint liabilities.Contract identifier],[Counterparty-instrument.Instrument identifier],[Joint liabilities.Counterparty identifier])}

+([Counterparty-instrument.Observed agent identifier],[Counterparty-instrument.Contract identifier],[Counterparty-instrument.Instrument identifier],[Counterparty-instrument.Counterparty identifier] WHERE (Count([Counterparty-instrument.Counterparty identifier] | [Counterparty-instrument.Counterparty role] = “Debtor”) > 1 AND [Counterparty-instrument.Counterparty identifier] | [Counterparty-instrument.Counterparty role] = “Debtor”) EXISTS IN {([Joint liabilities.Observed agent identifier],[Joint liabilities.Contract identifier],[Counterparty-instrument.Instrument identifier],[Joint liabilities.Counterparty identifier])}

Definition geändert

−([Joint liabilities.Observed agent identifier],[Joint liabilities.Contract identifier],[Joint liabilities.Instrument identifier],[Joint liabilities.Counterparty identifier]) EXISTS IN {([Counterparty-instrument.Observed agent identifier],[Counterparty-instrument.Contract identifier],[Counterparty-instrument.Instrument identifier],[Counterparty-instrument.Counterparty identifier])} WHERE [Counterpartyinstrument.Counterparty role] IN {'Debtor'}

+([Joint liabilities.Observed agent identifier],[Joint liabilities.Contract identifier],[Joint liabilities.Instrument identifier],[Joint liabilities.Counterparty identifier]) EXISTS IN {([Counterparty-instrument.Observed agent identifier],[Counterparty-instrument.Contract identifier],[Counterparty-instrument.Instrument identifier],[Counterparty-instrument.Counterparty identifier])} WHERE [Counterparty-instrument.Counterparty role] IN {“Debtor”}