Counterparty risk data - ECB Collection

The level of granularity for the counterparty risk data is the counterparty. Each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; (b) observed agent identifier; and (c) counterparty identifier.
The data allows the assessment of the counterparty’s’ credit risk.
This information is required only for debtors and protection providers.
In the case of natural persons being affiliated with instruments reported to AnaCredit, no record for the natural persons must be reported.
The records must be reported on a monthly basis. 9.6 The relevant NCB may decide to collect the counterparty risk data on a quarterly basis.

Cube ID

ANCRDT_ENTTY_RSK_C

Instructions

The level of granularity for the counterparty risk data is the counterparty. Each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; (b) observed agent identifier; and (c) counterparty identifier.
The data allows the assessment of the counterparty’s’ credit risk.
This information is required only for debtors and protection providers.
In the case of natural persons being affiliated with instruments reported to AnaCredit, no record for the natural persons must be reported.
The records must be reported on a monthly basis. 9.6 The relevant NCB may decide to collect the counterparty risk data on a quarterly basis.

Generated by transformation

G_ANCRDT_ENTTY_RSK_C

Cube Structure Items

Variable ID Role Subdomain
Observed agent identifier OBSRVD_AGNT_ID Dimension String up to 60 characters limited to letters (capital and low cases), numbers, dash and underscore
Reference date DT_RFRNC Dimension All last days of quarters
Entity ID ENTTY_ID Dimension String up to 60 characters limited to letters (capital and low cases), numbers, dash and underscore
Probability of default PD Observation Real numbers from 0 to 1 with 6 decimals

Legal references

  • Regulation (EU) No 2016/867 on the collection of granular credit and credit risk data (ECB/2016/13) Annex I, Template 2, 9. Counterparty risk data