AnaCredit validation checks

Definition geändert

−IF [Financial. Next interest rate reset date] <> ‘Non-applicable’ AND [Instrument.Legal final maturity date] <> ‘Non-applicable’ 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 [Financial.Default status of the instrument] IN {'Default because more than 90/180 days past due', 'Default because both unlikely to pay and more than 90/180 days past due'}

+IF [Financial.Default status of the instrument] IN {'Default because more than 90/180 days past due', 'Default because both unlikely to pay and more than 90/180 days past due'} THEN [Financial.Arrears for the instrument] > 0

Definition geändert

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

+Let T be the reference date, IF [Financial.Default status of the instrument] (T)

Definition geändert

−IF [Financial.Default status of the instrument] NOT IN {'Not in default', 'Nonapplicable’} 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

−[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

−[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.Institutional sector] IN {Central Bank, Credit institutions, Deposit-taking corporations other than credit institutions, Money Market funds, Non- MMF investment funds, Financial vehicle corporations (FVCs) engaged in securitisation transactions, Other financial intermediaries, except insurance corporations, pension funds and financial vehicle corporations engaged in securitisation transactions, Financial auxiliaries, Captive financial institutions and

+IF [Counterparty reference.Institutional sector] IN {Central Bank, Credit institutions, Deposit-taking corporations other than credit institutions, Money Market funds, NonMMF investment funds, Financial vehicle corporations (FVCs) engaged in securitisation transactions, Other financial intermediaries, except insurance corporations, pension funds and financial vehicle corporations engaged in securitisation transactions, Financial auxiliaries, Captive financial institutions and money lenders, Insurance corporations, Pension funds} THEN [Counterparty reference.Economic activity] IN {‘64,65,66’}

Definition geändert

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

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

Definition geändert

−Let A = {[Counterparty-instrument.Counterparty role]} for ([Counterpartyinstrument.Observed agent identifier],[Counterparty-instrument.Contract identifier],[Counterparty-instrument.Instrument identifier],[Counterpartyinstrument.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]) = ([Counterpartyinstrument.Observed agent identifier],[Counterparty-instrument.Contract identifier],[Counterparty-instrument.Instrument identifier]) AND [Counterpartyinstrument.Counterparty role] = ‘Creditor’ }

Definition geändert

−IF [Counterparty default.Date of the default status of the counterparty] <> ‘Nonapplicable’ 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) <>

Definition geändert

−IF [Financial.Outstanding nominal amount] = 0 THEN ([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

−IF [Accounting.Balance sheet recognition] <> ‘Entirely derecognised’ THEN [Accounting.Carrying amount] <> ‘Non-applicable’ AND [Accounting.Carrying amount] >= 0

+IF [Accounting.Balance sheet recognition] <> ‘Entirely derecognised’ THEN [Accounting.Carrying amount] <> ‘Non-applicable’ AND [Accounting.Carrying amount] > = MIN {[Financial.Accrued interest], 0}

Definition geändert

−[Accounting.Provisions associated to off-balance-sheet exposures] = 'Nonapplicable' IF AND ONLY IF [Financial.Off-balance-sheet amount] = 'Non-applicable'

+[Accounting.Provisions associated to off-balance-sheet exposures] = 'Non- applicable' IF AND ONLY IF [Financial.Off-balance-sheet amount] = 'Non-applicable'

Definition geändert

−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'

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

Definition geändert

−IF [Accounting.Accumulated changes in fair value due to credit risk] = 'Nonapplicable' AND [Accounting.Balance sheet recognition] = 'Entirely recognised' AND {[Counterparty reference.Address: country] <> 'DE' of the [Counterparty reference.Counterparty identifier] HAVING [Counterparty-instrument.Counterparty role] = 'Creditor' AND [Counterparty reference.Accounting standard] = 'National GAAP not consistent with IFRS'} THEN [Accounting.Accumulated impairment amount] <> 'Non-applicable'

+IF[Accounting.Accumulated changes in fair value due to credit risk] = 'Non applicable' AND [Accounting.Balance sheet recognition] = 'Entirely recognized' THEN {IF ({ [Counterparty reference.Address: country] <> 'DE' OR ([Counterparty reference.Address: country] = 'DE' AND [Counterparty reference.Accounting standard] <> 'National GAAP not consistent with IFRS '])} of the [Counterparty reference.Counterparty identifier] FOR each counterparty HAVING [Counterparty-instrument.Counterparty role] = 'Creditor ') THEN [Accounting.Accumulated impairment amount] <> 'Non-applicable'}

Definition geändert

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

+IF [Instrument.Interest rate type] = 'Fixed'

Definition geändert

−FOR each [Counterparty-reference.Counterparty identifier] WHERE [Counterparty- instrument.Counterparty role] IN {‘Creditor’, ‘Debtor’} IF {[Counterparty reference.Head office undertaking identifier] for ‘Creditor’ = [Counterparty reference.Head office undertaking identifier] for ‘Debtor’ OR [Counterparty reference.Head office undertaking identifier] for ‘Creditor’ = [Counterparty-reference.Counterparty identifier] of ‘Debtor’ OR [Counterparty reference.Head office undertaking identifier] for ‘Debtor’ = [Counterparty-reference.Counterparty identifier] of ‘Creditor’}

+FOR each [Counterparty-reference.Counterparty identifier] WHERE [Counterparty- instrument.Counterparty role] IN {‘Creditor’, ‘Debtor’} IF {[Counterparty reference.Head office undertaking identifier] for ‘Creditor’ = [Counterparty reference.Head office undertaking identifier] for ‘Debtor’ OR [Counterparty reference.Head office undertaking identifier] for ‘Creditor’ = [Counterparty-reference.Counterparty identifier] of ‘Debtor’ OR [Counterparty reference.Head office undertaking identifier] for ‘Debtor’ = [Counterparty-reference.Counterparty identifier] of ‘Creditor’} AND [Accounting. Balance sheet recognition] = 'Entirely derecognised' THEN [Financial.Default status of the instrument] = '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] <> 'Nonapplicable' THEN [Accounting.Provisions associated to off-balance sheet exposures] < = [Financial.Off-balance sheet amount]