D_ASSGN_CRDT_QLTY_STP_BIRD

This function assigns the [simple_tooltip content='CRDT_QLTY_STP_BIRD; Credit quality step defined in the BIRD process to calculate risk weight.']Credit quality step in BIRD process[/simple_tooltip] taking into account [simple_tooltip content='ACCMLTD_IMPRMNT; The amount of loss allowances that are held against or are allocated to the instrument on the reporting reference date. This data attribute applies to instruments subject to impairment under the applied accounting standard. Under IFRS, the accumulated impairment relates to the following

amounts:

(i) loss allowance at an amount equal to 12-month expected

credit losses;

(ii) loss allowance at an amount equal to lifetime expected

credit losses.

Under GAAP, the accumulated impairment relates to the following

amounts:

(i) loss allowance at an amount equal to general allowances;

(ii) loss allowance at an amount equal to specific allowances.
']Accumulated impairment[/simple_tooltip], [simple_tooltip content='CRRNCY; Currency.']Currency[/simple_tooltip] of the owner’s (residence) country, [simple_tooltip content='CRDT_QLTY_STP; For ECAI it is the credit quality step used in the standardised approach to capital requirements for credit risk (Part three, Title II, Chapter 2 of CRR). A value from 1 to 6 has to be provided, in accordance with Commission Implementing Regulation (EU) 2016/1799.

For ECA it is the minimum export insurance premium that the OECD agreed methodology establishes (see Article 137 of CRR). A value from 0 to 7 has to be provided.
']Credit quality step[/simple_tooltip], [simple_tooltip content='CRDT_QLTY_STP; For ECAI it is the credit quality step used in the standardised approach to capital requirements for credit risk (Part three, Title II, Chapter 2 of CRR). A value from 1 to 6 has to be provided, in accordance with Commission Implementing Regulation (EU) 2016/1799.

For ECA it is the minimum export insurance premium that the OECD agreed methodology establishes (see Article 137 of CRR). A value from 0 to 7 has to be provided.
']Credit quality step[/simple_tooltip] of the owner’s (residence) country, [simple_tooltip content='CRRNCY_DNMNTN; Currency denomination of instruments, in accordance with the ISO’s 4217 standard']Currency denomination of instruments[/simple_tooltip], [simple_tooltip content='CRRNCY; Currency.']Currency[/simple_tooltip] of the issuer’s (residence) country, [simple_tooltip content='CRRNCY; Currency.']Currency[/simple_tooltip] of the issuer’s (residence) country, [simple_tooltip content='DT_ISS; The date on which the securities are delivered to the underwriter by the issuer against payment. This is the date when the securities are available for delivery to investors for the first time. Note: For a strip this column indicates the date on which the coupon/principla is stripped']Issue date[/simple_tooltip], [simple_tooltip content='DT_MTRTY; Date on which the debt instrument is actually redeemed']Maturity date[/simple_tooltip], [simple_tooltip content='DT_RFRNC; Date to which the information in the record is referred.']Reference date[/simple_tooltip], [simple_tooltip content='ECAI_ECA; It distinguishes external credit assessments given by an ECAI, as defined by the CRR (Article 4(1)(98)), from those given by an Export Credit Agency (ECA).']ECAI/ECA[/simple_tooltip], [simple_tooltip content='ECAI_ECA; It distinguishes external credit assessments given by an ECAI, as defined by the CRR (Article 4(1)(98)), from those given by an Export Credit Agency (ECA).']ECAI/ECA[/simple_tooltip], [simple_tooltip content='EXPSR_CLSS; Exposure class as defined in accordance with Regulation (EU) No 575/2013.']Exposure class[/simple_tooltip], [simple_tooltip content='EXPSR_VL; Exposure value after credit risk mitigation and credit conversion factors in accordance with Implementing Regulation (EU) No 680/2014']Exposure value[/simple_tooltip], [simple_tooltip content='EXTRNL_CRDT_ASSSSMNT; External credit assessment.']External credit assessment[/simple_tooltip], [simple_tooltip content='EXTRNL_CRDT_ASSSSMNT; External credit assessment.']External credit assessment[/simple_tooltip] of the country, [simple_tooltip content='IMPRMNT_STTS; Type of impairment.']Impairment status[/simple_tooltip], [simple_tooltip content='INTRNTNL_ORGNSTN; Pseudo-ISO code for international organisations of the Eurostat’s ‘Balance of Payments Vademecum’.']International organisations[/simple_tooltip], [simple_tooltip content='IS_CNTRL_GVRNMNT_TRTD_LG; It identifies regional governments and local authorities to be treated as central government (Article 115(2) of CRR).']Is regional government or local authority treated as central government[/simple_tooltip], [simple_tooltip content='IS_CNTRL_GVRNMNT_TRTD_PS; It identifies public sector entities to be treated as central government (Article 116(4) of CRR).']Is public sector entity treated as central government[/simple_tooltip], [simple_tooltip content='IS_EQTY_250_RSK_WGHT; It identifies investments in equity attracting a 250% risk weight under Article 48(4) of CRR.']Is equity with 250% risk weight[/simple_tooltip], [simple_tooltip content='IS_EQTY_HLD_370_RSK_WGHT; It identifies equity holdings in insurance undertakings, reinsurance undertakings and insurance holding companies risk weighted at 370% under Article 471 of CRR.']Is equity holding with 370% risk weight[/simple_tooltip], [simple_tooltip content='IS_LCL_GVRNMNT_TRTD_PS; It identifies public sector entities to be treated as regional government or local authority (Article 116(4) of CRR).']Is public sector entity treated as regional government or local authority[/simple_tooltip], [simple_tooltip content='IS_MMBR_STT; For the definition see EBA Single Rulebook Q&A 2013_233.']Is Member State[/simple_tooltip], [simple_tooltip content='IS_MMBR_STT; For the definition see EBA Single Rulebook Q&A 2013_233.']Is Member State[/simple_tooltip] of the owner, [simple_tooltip content='IS_QLFY_HLD_1250_RSK_WGHT; It identifies qualifying holdings for which a 1250% risk weight is applied under Article 89(3) of CRR.']Is qualifying holding with 1250% risk weight[/simple_tooltip], [simple_tooltip content='IS_RSCRTSTN; It identifies re-securitisations according to Regulation No 575/2013, article 4.1(63).']Is re-securitisation[/simple_tooltip], [simple_tooltip content='IS_RSCRTSTN; It identifies re-securitisations according to Regulation No 575/2013, article 4.1(63).']Is re-securitisation[/simple_tooltip] of an original securitisation, [simple_tooltip content='IS_SHRT_TRM_CRDT_ASSSSMNT; It identifies short-term credit assessments under Article 140 of CRR.']Is short-term credit assessment[/simple_tooltip], [simple_tooltip content='IS_SM_PRTCTN_SCHM; It identifies the counterparties with which the institution has entered into an institutional protection scheme, as referred to in Article 113, Paragraph 7 of CRR.']Is same institutional protection scheme[/simple_tooltip], [simple_tooltip content='RLTNSHP_SCRTSTN_CRDT_TRNSFR; It defines the type of relationship between an instrument and a (possible) securitisation or credit transfer.']Relationship with securitisation or credit transfer[/simple_tooltip], [simple_tooltip content='SPCFC_RSK_WGHT; Specific risk weight.']Specific risk weight[/simple_tooltip].
For detailed information see tooltips in the formal description.

Function ID

D_ASSGN_CRDT_QLTY_STP_BIRD

Description

Assignment of the Credit quality step in BIRD process

Natural language

This function assigns the Credit quality step in BIRD process taking into account Accumulated impairment, Currency of the owner’s (residence) country, Credit quality step, Credit quality step of the owner’s (residence) country, Currency denomination of instruments, Currency of the issuer’s (residence) country, Currency of the issuer’s (residence) country, Issue date, Maturity date, Reference date, ECAI/ECA, ECAI/ECA, Exposure class, Exposure value, External credit assessment, External credit assessment of the country, Impairment status, International organisations, Is regional government or local authority treated as central government, Is public sector entity treated as central government, Is equity with 250% risk weight, Is equity holding with 370% risk weight, Is public sector entity treated as regional government or local authority, Is Member State, Is Member State of the owner, Is qualifying holding with 1250% risk weight, Is re-securitisation, Is re-securitisation of an original securitisation, Is short-term credit assessment, Is same institutional protection scheme, Relationship with securitisation or credit transfer, Specific risk weight.
For detailed information see tooltips in the formal description.

Expression

create function D_ASSGN_CRDT_QLTY_STP_BIRD (ACCMLTD_IMPRMNT, CNTRY_CRRNCY, CRDT_QLTY_STP, CRDT_QLTY_STP_CNTRY, CRRNCY_CNTRY, CRRNCY_DNMNTN, CRRNCY_ISSR, CRRNCY_OWNR, DT_ISS, DT_MTRTY, DT_RFRNC, ECAI_ECA, ECAI_ECA_CNTRY, EXPSR_CLSS, EXPSR_VL, EXTRNL_CRDT_ASSSSMNT, EXTRNL_CRDT_ASSSSMNT_CNTRY, IMPRMNT_STTS, INTRNTNL_ORGNSTN, IS_CNTRL_GVRNMNT_TRTD_LG, IS_CNTRL_GVRNMNT_TRTD_PS, IS_EQTY_250_RSK_WGHT, IS_EQTY_HLD_370_RSK_WGHT, IS_LCL_GVRNMNT_TRTD_PS, IS_MMBR_STT, IS_MMBR_STT_OWNR, IS_QLFY_HLD_1250_RSK_WGHT, IS_RSCRTSTN, IS_RSCRTSTN_ORGNL, IS_SHRT_TRM_CRDT_ASSSSMNT, IS_SM_PRTCTN_SCHM, RLTNSHP_SCRTSTN_CRDT_TRNSFR, SPCFC_RSK_WGHT) {

returns (

if EXPSR_CLSS = “6” then (

if INTRNTNL_ORGNSTN = “4F” then “81”
elseif IS_MMBR_STT = “T” and IS_MMBR_STT_OWNR = “T” and CRRNCY_DNMNTN = CRRNCY_ISSR and CRRNCY_DNMNTN = CRRNCY_OWNR then “81”
elseif not isnull (SPCFC_RSK_WGHT) then “99”
elseif not isnull (EXTRNL_CRDT_ASSSSMNT) and ECAI_ECA = “1” then CRDT_QLTY_STP
elseif not isnull (EXTRNL_CRDT_ASSSSMNT) and ECAI_ECA = “2” then CRDT_QLTY_STP + 10
elseif not isnull (EXTRNL_CRDT_ASSSSMNT_CNTRY) and ECAI_ECA_CNTRY = “1” then CRDT_QLTY_STP_CNTRY
elseif not isnull (EXTRNL_CRDT_ASSSSMNT_CNTRY) and ECAI_ECA_CNTRY = “2” then CRDT_QLTY_STP_CNTRY + 10
else “87”

)
elseif EXPSR_CLSS = “9” then (

if IS_EQTY_250_RSK_WGHT = “T” then “92”
elseif IS_SM_PRTCTN_SCHM = “T” then “81”
elseif not isnull (SPCFC_RSK_WGHT) then “99”
elseif (D_NMBR_DYS (DT_RFRNC, DT_MTRTY)) > 0 and (D_NMBR_DYS (DT_RFRNC, DT_MTRTY)) > 90 and CRRNCY_DNMNTN = CRRNCY_ISSR and CRRNCY_DNMNTN = CRRNCY_OWNR and IS_MMBR_STT = “T” and IS_MMBR_STT_OWNR = “T” then “83”
elseif not isnull (EXTRNL_CRDT_ASSSSMNT) then (

if (D_NMBR_DYS (DT_RFRNC, DT_MTRTY)) > 0 and (D_NMBR_DYS (DT_RFRNC, DT_MTRTY)) < 90 then CRDT_QLTY_STP + 10
else CRDT_QLTY_STP

)
elseif isnull (EXTRNL_CRDT_ASSSSMNT) and not isnull (EXTRNL_CRDT_ASSSSMNT_CNTRY) then (

if ECAI_ECA = “1” then CRDT_QLTY_STP_CNTRY + 20
else “87”

)
else null

)
elseif EXPSR_CLSS = “13” then (

if not isnull (SPCFC_RSK_WGHT) then “99”
elseif IS_CNTRL_GVRNMNT_TRTD_LG = “T” then (D_EXPSR_CNTR_GVRNMNTS1 (IS_MMBR_STT, CRRNCY_DNMNTN, CRRNCY_CNTRY, CRRNCY_OWNR, EXTRNL_CRDT_ASSSSMNT, ECAI_ECA, CRDT_QLTY_STP, EXTRNL_CRDT_ASSSSMNT_CNTRY, ECAI_ECA_CNTRY, CRDT_QLTY_STP_CNTRY))
elseif IS_MMBR_STT = “T” and IS_MMBR_STT_OWNR = “T” and CRRNCY_DNMNTN = CRRNCY_CNTRY and CRRNCY_DNMNTN = CRRNCY_OWNR then “83”
elseif not isnull (EXTRNL_CRDT_ASSSSMNT_CNTRY) then CRDT_QLTY_STP_CNTRY
elseif (D_NMBR_DYS (DT_ISS, DT_MTRTY)) <= 90 then “83”
elseif not isnull (EXTRNL_CRDT_ASSSSMNT) then CRDT_QLTY_STP + 20
else “87”

)
elseif EXPSR_CLSS = “12” then (

if not isnull (SPCFC_RSK_WGHT) then “99”
elseif IS_CNTRL_GVRNMNT_TRTD_PS = “T” then (D_EXPSR_CNTR_GVRNMNTS1 (IS_MMBR_STT, CRRNCY_DNMNTN, CRRNCY_CNTRY, CRRNCY_OWNR, EXTRNL_CRDT_ASSSSMNT, ECAI_ECA, CRDT_QLTY_STP, EXTRNL_CRDT_ASSSSMNT_CNTRY, ECAI_ECA_CNTRY, CRDT_QLTY_STP_CNTRY))
elseif (D_IS_LE_3MNTH (DT_RFRNC, DT_MTRTY)) then “83”
elseif IS_LCL_GVRNMNT_TRTD_PS = “T” then (

if IS_MMBR_STT = “T” and IS_MMBR_STT_OWNR = “T” and CRRNCY_DNMNTN = CRRNCY_OWNR and CRRNCY_DNMNTN = CRRNCY_CNTRY then “83”
elseif not isnull (EXTRNL_CRDT_ASSSSMNT_CNTRY) then CRDT_QLTY_STP_CNTRY + 40
elseif not isnull (EXTRNL_CRDT_ASSSSMNT) then CRDT_QLTY_STP + 50
else “87”

)
elseif not isnull (EXTRNL_CRDT_ASSSSMNT) then CRDT_QLTY_STP
elseif not isnull (EXTRNL_CRDT_ASSSSMNT_CNTRY) then CRDT_QLTY_STP_CNTRY + 20
else “87”

)
elseif EXPSR_CLSS = “11” then (

if INTRNTNL_ORGNSTN in (“1E”, “1M”, “5C”, “5E”, “5D”, “7E”, “5H”, “5L”, “5F”, “4C”, “4G”, “1N”, “7L”, “7B”) then “81”
elseif not isnull (EXTRNL_CRDT_ASSSSMNT) then CRDT_QLTY_STP
elseif not isnull (EXTRNL_CRDT_ASSSSMNT_CNTRY) then CRDT_QLTY_STP_CNTRY + 20
else “87”

)
elseif EXPSR_CLSS = “10” then “81”
elseif EXPSR_CLSS = “7” then (

if not isnull (EXTRNL_CRDT_ASSSSMNT) then CRDT_QLTY_STP
elseif not isnull (EXTRNL_CRDT_ASSSSMNT_CNTRY) and ECAI_ECA_CNTRY = “1” then (

if (D_CLCLTN_RSK_WGHTS (“7”, CRDT_QLTY_STP)) = 150 then “88”
else “87”

)
else “87”

)
elseif EXPSR_CLSS = “8” then (

if not isnull (EXTRNL_CRDT_ASSSSMNT) then CRDT_QLTY_STP
else null

)
elseif EXPSR_CLSS = “4” then (

if not isnull (SPCFC_RSK_WGHT) then “99”
elseif not isnull (EXTRNL_CRDT_ASSSSMNT) then CRDT_QLTY_STP
else “87”

)
elseif EXPSR_CLSS = “3” then (

if not isnull (EXTRNL_CRDT_ASSSSMNT) then CRDT_QLTY_STP
elseif not isnull (EXTRNL_CRDT_ASSSSMNT_CNTRY) then CRDT_QLTY_STP_CNTRY + 20
else “87”

)
elseif EXPSR_CLSS = “2” then (

if INPRMNT_STTS in (“25”, “26”) then (

if (D_X_OVER_X_PLUS_Y (ACCMLTD_IMPRMNT, EXPSR_VL)) * 100 < 20 then “88”
else “87”

)
else (

if (D_X_OVER_X_PLUS_Y (0, EXPSR_VL)) * 100 < 20 then “88”
else “87”

)

)
elseif EXPSR_CLSS = “14” then “88”
elseif EXPSR_CLSS = “1” then (

if IS_QLFY_HLD_1250_RSK_WGHT = “T” then “90”
elseif IS_EQTY_HLD_370_RSK_WGHT = “T” then 93
elseif IS_EQTY_250_RSK_WGHT = “T” then 92
else “87”

)
elseif EXPSR_CLSS = “15” then (

if RLTNSHP_SCRTSTN_CRDT_TRNSFR = “2” then (

if IS_RSCRTSTN <> “T” and not isnull (EXTRNL_CRDT_ASSSSMNT) then (

)
elseif IS_RSCRTSTN = “T” and not isnull (EXTRNL_CRDT_ASSSSMNT) then (

if IS_SHRT_TRM_CRDT_ASSSSMNT = “T” then CRDT_QLTY_STP + 30
else CRDT_QLTY_STP + 20

)
else “90”

)
elseif RLTNSHP_SCRTSTN_CRDT_TRNSFR = “4” then (

if IS_RSCRTSTN_ORGNL <> “T” and not isnull (EXTRNL_CRDT_ASSSSMNT) then (

)
elseif IS_RSCRTSTN_ORGNL = “T” and not isnull (EXTRNL_CRDT_ASSSSMNT) then (

if IS_SHRT_TRM_CRDT_ASSSSMNT = “T” then CRDT_QLTY_STP + 30
else CRDT_QLTY_STP + 20

)
else “90”

)
else “90”

)
elseif EXPSR_CLSS = “16” then “87”
else null

) as string

}