D_ASSGN_EXPSR_CLSS1

This function assigns the [simple_tooltip content='EXPSR_CLSS; Exposure class as defined in accordance with Regulation (EU) No 575/2013.']Exposure class[/simple_tooltip] taking into account Is exposure class applicable, [simple_tooltip content='EXPSR_CLSS; Exposure class as defined in accordance with Regulation (EU) No 575/2013.']Exposure class[/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='TYP_RSK_TRNSFR; It defines the type of risk transfer.']Type of risk transfer[/simple_tooltip], [simple_tooltip content='TYP_RSK_TRNSFR; It defines the type of risk transfer.']Type of risk transfer[/simple_tooltip] original, [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='INSTTTNL_SCTR; Institutional sectors in accordance with Regulation (EU) No 549/2013, Regulation (EU) No 575/2013 and Regulation (EU) No 1075/2013 of the European Central Bank (ECB/2013/40)(1).']Institutional sector[/simple_tooltip], [simple_tooltip content='CHRCTRSTCS_CRDT_RSK; Characteristics for credit risk.']Characteristics for credit risk[/simple_tooltip], [simple_tooltip content='IS_PRTCLR_HGH_RSK; It identifies items associated with particular high risk under Article 128 of CRR.']Is particular high risk[/simple_tooltip], [simple_tooltip content='TYP_INSTRMNT; Classification of the instrument according to the type of contractual terms agreed between the parties.']Type of instrument[/simple_tooltip], [simple_tooltip content='SCRTY_RNK_LVL; It defines the security ‘rank level’ how the instrument ranks in case of liquidation relatively compared to other instruments issued by the same issuer.']Security rank level[/simple_tooltip], [simple_tooltip content='CRDT_QLTY_STTS; It contains information on the credit quality status of an item (counterparty or instrument) related to the definitions of non-persorming and default.']Credit quality 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='LEI; Reference code in line with the International Organization for Standardization’s (ISO) 17442 standard']LEI code[/simple_tooltip], [simple_tooltip content='IS_CVRD_BND; It identifies covered bonds under Article 129 of CRR.']Is covered bond[/simple_tooltip], [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].
For detailed information see tooltips in the formal description.

Function ID

D_ASSGN_EXPSR_CLSS1

Description

Assignment of Exposure class

Natural language

This function assigns the Exposure class taking into account Is exposure class applicable, Exposure class, Relationship with securitisation or credit transfer, Type of risk transfer, Type of risk transfer original, Is equity with 250% risk weight, Institutional sector, Characteristics for credit risk, Is particular high risk, Type of instrument, Security rank level, Credit quality status, International organisations, LEI code, Is covered bond, Is short-term credit assessment.
For detailed information see tooltips in the formal description.

Expression

create function D_ASSGN_EXPSR_CLSS1 (IS_EXPSR_CLSS_APPLCBL, EXPSR_CLSS, RLTNSHP_SCRTSTN_CRDT_TRNSFR, TYP_RSK_TRNSFR, TYP_RSK_TRNSFR_ORGNL, IS_EQTY_250_RSK_WGHT, INSTTTNL_SCTR, CHRCTRSTCS_CRDT_RSK, IS_PRTCLR_HGH_RSK, TYP_INSTRMNT, SCRTY_RNK_LVL, CRDT_QLTY_STTS, INTRNTNL_ORGNSTN, LEI, IS_CVRD_BND, IS_SHRT_TRM_CRDT_ASSSSMNT) {

returns (

if IS_EXPRSR_CLSS_APPLCBL = “T” then (

if APPRCH_PRDNTL_PRPSS not in (“66”, “67”) then EXPSR_CLSS
elseif RLTNSHP_SCRTSTN_CRDT_TRNSFR = “2” and TYP_RSK_TRNSFR in (“1”, “2”) then “15”
elseif RLTNSHP_SCRTSTN_CRDT_TRNSFR = “4” and TYP_RSK_TRNSFR_ORGNL in (“1”, “2”) then “15”
elseif IS_EQTY_250_RSK_WGHT = “T” and INSTTTNL_SCTR in (“S122_A”, “S122_B1”, “S122_B2”, “S125_B”, “S125_C”, “S125_D”, “S125_E”, “S125_I”, “S126”, “S127”) and CHRCTRSTCS_CRDT_RSK = “1” then “9”
elseif IS_PRTCLR_HGH_RSK = “T” then “14”
elseif TYP_INSTRMNT in (“220”, “230”) or TYP_INSTRMNT = “210” and SCRTY_RNK_LVL in (“1”, “2”, “3”, “5”, “6”) then “1”
elseif CRDT_QLTY_STTS in (“18”, “19”, “20”) then “2”
elseif INTRNTNL_ORGNSTN in (“1C”, “5B”, “4S”, “4D”, “4J1”, “4J2”, “4J3”, “4J4”, “4J5”, “4J6”, “4J7”, “4J8”) or LEI = “222100OW6UHQXNHKN143” then “10”
elseif INTRNTNL_ORGNSTN in (“5G”, “7G”, “5T”, “5U”, “1E”, “1M”, “5C”, “5E”, “5D”, “7E”, “5H”, “5L”, “5F”, “4C”, “4G”, “1N”, “7L”, “7B”) then “11”
elseif INSTTTNL_SCTR = “S121” or INSTTTNL_SCTR = “S1311” and CHRCTRSTCS_CRDT_RSK = “0” then “6”
elseif INSTTTNL_SCTR in (“S1312”, “S1313”) and CHRCTRSTCS_CRDT_RSK = “0” then “13”
elseif INSTTTNL_SCTR = “S1314” or INSTTTNL_SCTR in (“S122_A”, “S1311”, “S1312”, “S1313”) and CHRCTRSTCS_CRDT_RSK = “2” then “12”
elseif INSTTTNL_SCTR = “S122_A” and CHRCTRSTCS_CRDT_RSK = “1” then (

if IS_CVRD_BND = “T” then “3”
elseif IS_SHRT_TRM_CRDT_ASSSSMNT = “T” then “8”
else “9”

)
elseif INSTTTNL_SCTR in (“S122_B1”, “S122_B2”, “S125_B”, “S125_C”, “S125_D”, “S125_E”, “S125_I”, “S126”, “S127”) then (

if not isnull (EXTRNL_CRDT_ASSSSMNT) and IS_SHRT_TRM_CRDT_ASSSSMNT = “T” then “8”
else “9”

)
elseif INSTTTNL_SCTR in (“S11”, “S125_A”, “S128”, “S129”, “S14_A”, “S14_B”, “S15”) or INSTTTNL_SCTR in (“S122_A”, “S122_B1”, “S122_B2”, “S125_B”, “S125_C”, “S125_D”, “S125_E”, “S125_I”, “S126”, “S127”) and CHRCTRSTCS_CRDT_RSK = “0” or INSTTTNL_SCTR in (“S1311”, “S1312”, “S1313”) and CHRCTRSTCS_CRDT_RSK = “3” then (

if not isnull (EXTRNL_CRDT_ASSSSMNT) and IS_SHRT_TRM_CRDT_ASSSSMNT = “T” then “8”
else “7”

)
elseif INSTTTNL_SCTR in (“S123”, “S124”) then “4”
else “16”

)
else “0”

) as string

}