G_ANCRDT_ENTTY_DFLT_C

This transformation scheme generates the cube [simple_tooltip content='ANCRDT_ENTTY_DFLT_C; The level of granularity for the counterparty default 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.



These data allow the identification of counterparties in default without undue delay.



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.
']Counterparty default data – ECB Collection[/simple_tooltip].
Starting from the enriched input layer [simple_tooltip content='CNTRPRTS_E']Counterparties – Enriched[/simple_tooltip] we add variables needed for the derivation of the [simple_tooltip content='DFLT_STTS; Identification of the default status of the instrument or entity. Categories describing the situations in which an instrument or entity can be described as being at default in accordance with Article 178 of Regulation (EU) No 575/2013.']Default status[/simple_tooltip] and the [simple_tooltip content='DT_DFLT_STTS; The date on which the default status is considered to have arisen.']Date of default status[/simple_tooltip] and [simple_tooltip content='OBSRVD_AGNT_ID; Counterparty identifier for the observed agent.']Observed agent identifier [/simple_tooltip]. Additionally we add the variable [simple_tooltip content='DT_RFRNC; Date to which the information in the record is referred.']Reference date[/simple_tooltip]. Finally we reduce the variables of the dataset to match the variables of the cube [simple_tooltip content='ANCRDT_ENTTY_DFLT_C; The level of granularity for the counterparty default 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.



These data allow the identification of counterparties in default without undue delay.



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.
']Counterparty default data – ECB Collection[/simple_tooltip].

Scheme dependencies:

Transformation Scheme ID

G_ANCRDT_ENTTY_DFLT_C

Description

Generation of “Counterparty default data – ECB Collection (ANCRDT_ENTTY_DFLT_C)”

Classification

Phase Type Subtype Related entity
Generation Generation AnaCredit

Natural language

This transformation scheme generates the cube Counterparty default data – ECB Collection.
Starting from the enriched input layer Counterparties – Enriched we add variables needed for the derivation of the Default status and the Date of default status and Observed agent identifier . Additionally we add the variable Reference date. Finally we reduce the variables of the dataset to match the variables of the cube Counterparty default data – ECB Collection.

Scheme dependencies:

VTL Syntax

0 ANCRDT_ENTTY_DFLT_C := CNTRPRTS_E;
1 ANCRDT_ENTTY_DFLT_C := ANCRDT_ENTTY_DFLT_C [calc "F" as "IS_INTRGRP_SCRTY"];
2 ANCRDT_ENTTY_DFLT_C := ANCRDT_ENTTY_DFLT_C [calc "F" as "IS_SHRT_PSTN"];
3 ANCRDT_ENTTY_DFLT_C := ANCRDT_ENTTY_DFLT_C [calc (G_DFLT_STTS_CNTRPRTY1 (APPRCH_CRDT_QLTY_STTS, CRDT_QLTY_STTS, IS_INTRGRP_SCRTY, IS_SHRT_PSTN)) as "DFLT_STTS_AC"];
4 ANCRDT_ENTTY_DFLT_C := ANCRDT_ENTTY_DFLT_C [calc (G_DT_DFLT_STTS_CNTRPRTY1 (APPRCH_CRDT_QLTY_STTS, DT_DFLT_STTS, IS_INTRGRP_SCRTY, IS_SHRT_PSTN)) as "DT_DFLT_STTS_AC"];
5 ANCRDT_ENTTY_DFLT_C := ANCRDT_ENTTY_DFLT_C [calc CNSTNT_DT_RFRNC as "DT_RFRNC" role Identifier];
6 ANCRDT_ENTTY_DFLT_C := ANCRDT_ENTTY_DFLT_C [calc (G_OBSRVD_AGNT_ID1 (CNSTNT_FRM_RFRNC, CNSTNT_INSTTTN_ID, OBSRVD_AGNT_INTRNL_ID)) as "OBSRVD_AGNT_ID"];
7 ANCRDT_ENTTY_DFLT_C := ANCRDT_ENTTY_DFLT_C [keep (CNTRPRTY_ID as "ENTTY_ID" role Identifier, DT_RFRNC role Identifier, OBSRVD_AGNT_ID role Identifier, DFLT_STTS_AC as "DFLT_STTS", DT_DFLT_STTS_AC as "DT_DFLT_STTS")];