D_EXPSR_CLSS_AND_RSK_WGHT

Extract and enrich relevant subsets of cubes:
– [simple_tooltip content='OWND_SCRTY; It contains the information on securities that are hold by the observed agent']Owned securities[/simple_tooltip]
– [simple_tooltip content='CNTRPRTS; It contains all counterparties that are relevant for reporting purposes. It includes the institution that processes the data and the components (head office, foreign branches) of the legal entity to which it belongs. The institution shall ensure that in the input layer each counterparty is uniquely identified by its counterparty identifier (variable “CNTRPRTY_ID”).']Counterparties[/simple_tooltip]
– [simple_tooltip content='GRP; It includes the components of the group which the reporting institution belongs to.']Group[/simple_tooltip]

Join:
– the relevant datasets in order to identify intra group securities

Add:
– [simple_tooltip content='TRTMNT_TRNSFRRD_ASSTS_BLNC_SHT; It defines the treatment of transferred assets in the balance sheet.']Treatment of securitised/transferred assets in balance sheet[/simple_tooltip]
– [simple_tooltip content='SGNFCNT_RSK_TRNSFR; It identifies securitisations where the originator has transferred significant credit risk (Part three, Title II, Chapter 5 of CRR) and it has decided to apply paragraph 1 of article 245.']Significant risk transfer[/simple_tooltip]
– [simple_tooltip content='SGNFCNT_RSK_TRNSFR; It identifies securitisations where the originator has transferred significant credit risk (Part three, Title II, Chapter 5 of CRR) and it has decided to apply paragraph 1 of article 245.']Significant risk transfer[/simple_tooltip] original (if applicable)
– Is exposure class applicable
– variables from the cube [simple_tooltip content='CNTRPRTS; It contains all counterparties that are relevant for reporting purposes. It includes the institution that processes the data and the components (head office, foreign branches) of the legal entity to which it belongs. The institution shall ensure that in the input layer each counterparty is uniquely identified by its counterparty identifier (variable “CNTRPRTY_ID”).']Counterparties[/simple_tooltip] related to [simple_tooltip content='ISSR_ID; The counterparty identifier of the issuer of the security.']Issuer identifier[/simple_tooltip]
– [simple_tooltip content='EXTRNL_CRDT_ASSSSMNT; External credit assessment.']External credit assessment[/simple_tooltip]
– [simple_tooltip content='EXPSR_CLSS; Exposure class as defined in accordance with Regulation (EU) No 575/2013.']Exposure class[/simple_tooltip]
– information about issuer and owner.

Extract:
– a set having the structure [simple_tooltip content='OWND_SCRTY_ID; An identifier to uniquely identify each record in the OWND_SCRTY table (Unique combination of SCRTY_ID, OWNR_INTRNL_ID, ACCNTNG_CLSSFCTN, APPRCH_PRDNTL_PRPSS, EXPSR_CLSS, IMPRMNT_STTS, PRDNTL_PRTFL, SRC_ENCMBRNC)']Owned Security identifier[/simple_tooltip], [simple_tooltip content='RSK_WGHT; Risk-weights associated with the exposure, in accordance with the Regulation (EU) No 575/2013.']Risk weight[/simple_tooltip], [simple_tooltip content='EXPSR_CLSS; Exposure class as defined in accordance with Regulation (EU) No 575/2013.']Exposure class[/simple_tooltip]

This transformation scheme describes the calculation of the variables [simple_tooltip content='EXPSR_CLSS; Exposure class as defined in accordance with Regulation (EU) No 575/2013.']Exposure class[/simple_tooltip] and [simple_tooltip content='RSK_WGHT; Risk-weights associated with the exposure, in accordance with the Regulation (EU) No 575/2013.']Risk weight[/simple_tooltip]. The scheme is designed to be applied to the exposures for which the bank follows the standardised approach (SA) to calculate the risk-wighted exposure amounts, in accordance with Part three, Title II, Chapter 2 of Regulation (EU) No 575/2013 (hereinafter CRR). When the internal ratings based (IRB) approach is followed, the bank has to feed the information on the [simple_tooltip content='EXPSR_CLSS; Exposure class as defined in accordance with Regulation (EU) No 575/2013.']Exposure class[/simple_tooltip] and [simple_tooltip content='RSK_WGHT; Risk-weights associated with the exposure, in accordance with the Regulation (EU) No 575/2013.']Risk weight[/simple_tooltip] directly in the input layer. This transformation scheme is desifned to satisfy SHS requirements.
At this stage the transformation scheme does not cover the following cases:
– possible changes of [simple_tooltip content='EXPSR_CLSS; Exposure class as defined in accordance with Regulation (EU) No 575/2013.']Exposure class[/simple_tooltip] and [simple_tooltip content='RSK_WGHT; Risk-weights associated with the exposure, in accordance with the Regulation (EU) No 575/2013.']Risk weight[/simple_tooltip] due to credit risk mitigation (Part three, Title II, Chapter 4 of CRR)
– possible changes of [simple_tooltip content='EXPSR_CLSS; Exposure class as defined in accordance with Regulation (EU) No 575/2013.']Exposure class[/simple_tooltip] and [simple_tooltip content='RSK_WGHT; Risk-weights associated with the exposure, in accordance with the Regulation (EU) No 575/2013.']Risk weight[/simple_tooltip] due to mortgages on immovable property (Part three, Title II, Chapter 2, Section 2, Articles 124 to 126)
– the treatment of synthetic securitisations (Part three, Title II, Chapter 5, Section 3, Sub-section 2 of CRR)
– specific treatments of securitisation positions (Part three, Title II, Chapter 5, Section 3, Sub-section 3, Articles 253 and 254 of CRR), for which some information should be calculated from securitised exposures

In case [simple_tooltip content='IS_EXPSR_CLSS_DRVD; Specifies whether the derivation rule for exposure class and risk weight applies']Is exposure class derived[/simple_tooltip] equals FALSE (F) the input [simple_tooltip content='EXPSR_CLSS; Exposure class as defined in accordance with Regulation (EU) No 575/2013.']Exposure class[/simple_tooltip] and [simple_tooltip content='RSK_WGHT; Risk-weights associated with the exposure, in accordance with the Regulation (EU) No 575/2013.']Risk weight[/simple_tooltip] are provided in the resulting dataset.

Scheme dependencies:

Transformation Scheme ID

D_EXPSR_CLSS_AND_RSK_WGHT

Description

Preparation of dataset containing Risk weight and Exposure class

Classification

Phase Type Subtype Related entity
Enrichment Derivation Business OWND_SCRTY

Natural language

Extract and enrich relevant subsets of cubes:
Owned securities
Counterparties
Group

Join:
– the relevant datasets in order to identify intra group securities

Add:
Treatment of securitised/transferred assets in balance sheet
Significant risk transfer
Significant risk transfer original (if applicable)
– Is exposure class applicable
– variables from the cube Counterparties related to Issuer identifier
External credit assessment
Exposure class
– information about issuer and owner.

Extract:
– a set having the structure Owned Security identifier, Risk weight, Exposure class

This transformation scheme describes the calculation of the variables Exposure class and Risk weight. The scheme is designed to be applied to the exposures for which the bank follows the standardised approach (SA) to calculate the risk-wighted exposure amounts, in accordance with Part three, Title II, Chapter 2 of Regulation (EU) No 575/2013 (hereinafter CRR). When the internal ratings based (IRB) approach is followed, the bank has to feed the information on the Exposure class and Risk weight directly in the input layer. This transformation scheme is desifned to satisfy SHS requirements.
At this stage the transformation scheme does not cover the following cases:
– possible changes of Exposure class and Risk weight due to credit risk mitigation (Part three, Title II, Chapter 4 of CRR)
– possible changes of Exposure class and Risk weight due to mortgages on immovable property (Part three, Title II, Chapter 2, Section 2, Articles 124 to 126)
– the treatment of synthetic securitisations (Part three, Title II, Chapter 5, Section 3, Sub-section 2 of CRR)
– specific treatments of securitisation positions (Part three, Title II, Chapter 5, Section 3, Sub-section 3, Articles 253 and 254 of CRR), for which some information should be calculated from securitised exposures

In case Is exposure class derived equals FALSE (F) the input Exposure class and Risk weight are provided in the resulting dataset.

Scheme dependencies:

VTL Syntax

0 OWND_SCRTY_SUB := OWND_SCRTY_E [filter (PRSPCTV = "1")];
1 CNTRPRTS_ENHNCD := [left CNTRPRTS_E as "A", CNTRY_E as "B" on A.CNTRY = B.CNTRY] {keep (A.ALL_VARIABLES, B.CRRNCY as "CRRNCY_CNTRY", B.EXTRNL_CRDT_ASSSSMNT as "EXTRNL_CRDT_ASSSSMNT_CNTRY", B.IS_MMBR_STT as "IS_MMBR_STT_CNTRY", B.CRDT_QLTY_STP as "CRDT_QLTY_STP_CNTRY", B.ECAI_ECA as "ECAI_ECA_CNTRY", B.IS_SHRT_TRM_CRDT_ASSSSMNT as "IS_SHRT_TRM_CRDT_ASSSSMNT_CNTRY")};
2 D_EXPSR_CLSS := [left OWND_SCRTY_SUB as "A", RGSTRY_TBL_SCRTS_E as "B" on A.SCRTY_ID = B.SCRTY_ID] {keep (A.OWND_SCRTY_ID, A.ACCNTNG_CLSSFCTN, A.APPRCH_PRDNTL_PRPSS, A.EXPSR_CLSS, A.IMPRMNT_STTS, A.OWNR_INTRNL_ID, A.PRDNTL_PRTFL, A.SCRTY_ID, A.SRC_ENCMBRNC, A.ACCMLTD_CHNGS_FV_CR, A.ACCMLTD_IMPRMNT, A.ACCRD_INTRST, A.ARRRS, A.CMLTV_RCVRS_SNC_DFLT, A.CRRYNG_AMNT, A.DT_FRBRNC_STTS, A.DT_PST_D, A.EXPSR_VL, A.FRBRNC_STTS, A.FV_CHNG_HDG_ACCNTNG, A.GRSS_CRRYNG_AMNT_E_INTRST, A.IMPRMNT_ASSSSMNT_MTHD, A.IS_EQTY_250_RSK_WGHT, A.IS_EQTY_HLD_370_RSK_WGHT, A.IS_QLFY_HLD_1250_RSK_WGHT, A.IS_SHRT_PSTN, A.LGD_DWNTRNS, A.LGD_NRML, A.MRKT_VL, A.NMNL_VL, A.ORGNL_SCRTSTN_ID, A.PRSPCTV, A.RLTNSHP_SCRTSTN_CRDT_TRNSFR, A.RSK_WGHT, A.SCRTSTN_TRNSFR_ID, A.SPCFC_RSK_WGHT, B.CLLTRL_LCTN, B.CRDT_QLTY_STP, B.CRRNCY_DNMNTN, B.DT_ISS, B.DT_MTRTY, B.DT_SCRTY_STTS, B.ECAI_ECA, B.EXTRNL_CRDT_ASSSSMNT, B.GRNTR_ID, B.IS_CVRD_BND, B.IS_LSTD, B.IS_PRTCLR_HGH_RSK, B.IS_SHRT_TRM_CRDT_ASSSSMNT, B.ISIN, B.ISSR_ID, B.PRMRY_ASST_CLSSFCTN, B.SCRTY_GRNT_LVL, B.SCRTY_LVL, B.SCRTY_RNK_LVL, B.SCRTY_STTS, B.TYP_ASST_SCRTSTN, B.TYP_INSTRMNT, B.UNT_MSR_NV)};
3 GRP_SUB := GRP [keep (LGL_ENTTY_ID, CNSLDTN_SCP)];
4 GRP_SUB := GRP_SUB [calc "T" as "CNNCTD"];
5 D_EXPSR_CLSS := [left D_EXPSR_CLSS as "A", GRP_SUB as "B" on A.ISSR_ID = B.LGL_ENTTY_ID] {keep (A.ALL_VARIABLES, B.CNNCTD)};
6 D_EXPSR_CLSS := D_EXPSR_CLSS [calc (
if not isnull (CNNCTD) then "T"
else "F"
) as "IS_INTRGRP_SCRTY"];
7 D_EXPSR_CLSS := D_EXPSR_CLSS [calc (G_INTRA_GROUP_PRUD_SCOPE (IS_INTRGRP_SCRTY, CNSLDTN_SCP)) as "INTRA_GROUP_PRUD_SCOPE"];
8 D_EXPSR_CLSS := [left D_EXPSR_CLSS as "A", SCRTSTNS_OTHR_CRDT_TRNSFRS_E as "B" on A.SCRTSTN_TRNSFR_ID = B.SCRTSTN_TRNSFR_ID] {keep (A.ALL_VARIABLES, B.TRTMNT_TRNSFRRD_ASSTS_BLNC_SHT, B.SGNFCNT_RSK_TRNSFR, B.TYP_RSK_TRNSFR)};
9 D_EXPSR_CLSS := [left D_EXPSR_CLSS as "A", SCRTSTNS_OTHR_CRDT_TRNSFRS_E as "B" on A.ORGNL_SCRTSTN_ID = B.SCRTSTN_TRNSFR_ID] {keep (A.ALL_VARIABLES, B.TRTMNT_TRNSFRRD_ASSTS_BLNC_SHT as "TRTMNT_TRNSFRRD_ASSTS_BLNC_SHT_ORGNL", B.SGNFCNT_RSK_TRNSFR as "SGNFCNT_RSK_TRNSFR_ORGNL", B.TYP_RSK_TRNSFR as "TYP_RSK_TRNSFR_ORGNL")};
10 D_EXPSR_CLSS := D_EXPSR_CLSS [calc (D_IS_EXPSR_CLSS_APPLCBL1 (APPRCH_PRDNTL_PRPSS, EXPSR_CLSS, PRDNTL_PRTFL, CNSTNT_DRGTN_SMLL_TRDNG_BK_BSNSS, IS_SHRT_PSTN, INTRA_GROUP_PRUD_SCOPE, RLTNSHP_SCRTSTN_CRDT_TRNSFR, TRTMNT_TRNSFRRD_ASSTS_BLNC_SHT, SGNFCNT_RSK_TRNSFR, TRTMNT_TRNSFRRD_ASSTS_BLNC_SHT_ORGNL, SGNFCNT_RSK_TRNSFR_ORGNL)) as "IS_EXPSR_CLSS_APPLCBL"];
11 D_EXPSR_CLSS := [left D_EXPSR_CLSS as "A", CNTRPRTS_E as "B" on A.ISSR_ID = B.CNTRPRTY_ID] {keep (A.ALL_VARIABLES, B.INSTTTNL_SCTR, B.CRDT_QLTY_STTS, B.INTRNTNL_ORGNSTN, B.LEI)};
12 D_EXPSR_CLSS := D_EXPSR_CLSS [calc (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)) as "EXPSR_CLSS_CLCLTD"];
13 D_EXPSR_CLSS := [left D_EXPSR_CLSS as "A", CNTRPRTS_ENHNCD as "B" on A.ISSR_ID = B.CNTRPRTY_ID] {keep (A.ALL_VARIABLES, B.EXTRNL_CRDT_ASSSSMNT as "EXTRNL_CRDT_ASSSSMNT_ISSR", B.CRDT_QLTY_STP as "CRDT_QLTY_STP_ISSR", B.IS_SHRT_TRM_CRDT_ASSSSMNT as "IS_SHRT_TRM_CRDT_ASSSSMNT_ISSR", B.CNTRY_CRRNCY as "CRRNCY_ISSR", B.CRDT_QLTY_STP_CNTRY, B.EXTRNL_CRDT_ASSSSMNT_CNTRY, B.ECAI_ECA_CNTRY, B.IS_MMBR_STT_CNTRY)};
14 D_EXPSR_CLSS := [left D_EXPSR_CLSS as "A", CNTRPRTS_ENHNCD as "B" on A.OWNR_INTRNL_ID = B.CNTRPRTY_ID] {keep (A.ALL_VARIABLES, B.CRRNCY_CNTRY as "CRRNCY_OWNR", B.IS_MMBR_STT_CNTRY as "IS_MMBR_STT_OWNR")};
15 D_EXPSR_CLSS := D_EXPSR_CLSS [calc (D_ASSGN_CRDT_QLTY_STP_BIRD (ACCMLTD_IMPRMNT, CNTRY_CRRNCY, CRDT_QLTY_STP_ISSR, CRDT_QLTY_STP_CNTRY, CRRNCY_CNTRY, CRRNCY_DNMNTN, CRRNCY_ISSR, CRRNCY_OWNR, DT_ISS, DT_MTRTY, DT_RFRNC, ECAI_ECA_ISSR, ECAI_ECA_CNTRY, EXPSR_CLSS, EXPSR_VL, EXTRNL_CRDT_ASSSSMNT_ISSR, 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_ISSR, IS_SM_PRTCTN_SCHM, RLTNSHP_SCRTSTN_CRDT_TRNSFR, SPCFC_RSK_WGHT)) as "CRDT_QLTY_STP_BIRD"];
16 D_EXPSR_CLSS := D_EXPSR_CLSS [calc (D_CLCLT_RSK_WGHT (EXPSR_CLSS_CLCLTD, CRDT_QLTY_STP_BIRD)) as "RSK_WGHT_CLCLTD"];
17 D_EXPSR_CLSS := D_EXPSR_CLSS [calc (
if CNSTNT_IS_EXPSR_CLSS_DRVD = "T" then EXPSR_CLSS_CLCLTD
else EXPSR_CLSS
) as "EXPSR_CLSS_OTPT"];
18 D_EXPSR_CLSS := D_EXPSR_CLSS [calc (
if CNSTNT_IS_EXPSR_CLSS_DRVD = "T" then RSK_WGHT_CLCLTD
else RSK_WGHT
) as "RSK_WGHT_OTPT"];
19 D_RSK_WGHT := D_EXPSR_CLSS [keep (OWND_SCRTY_ID, RSK_WGHT_OTPT as "RSK_WGHT")];
20 D_EXPSR_CLSS := D_EXPSR_CLSS [keep (OWND_SCRTY_ID, EXPSR_CLSS_OTPT as "EXPSR_CLSS")];