G_ANCRDT_ENTTY_RSK_C

This transformation scheme generates the cube [simple_tooltip content='ANCRDT_ENTTY_RSK_C; 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 counterpartys 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.
']Counterparty risk data – ECB Collection[/simple_tooltip]. Starting from the cube [simple_tooltip content='CNTRPRTS_E']Counterparties – Enriched[/simple_tooltip] we add the variables [simple_tooltip content='DT_RFRNC; Date to which the information in the record is referred.']Reference date[/simple_tooltip] (taken from the cube [simple_tooltip content='PRMTR; It contains some parameters used in the process.']Parameters[/simple_tooltip]), [simple_tooltip content='OBSRVD_AGNT_ID; Counterparty identifier for the observed agent.']Observed agent identifier [/simple_tooltip] and [simple_tooltip content='PD; The counterparty’s probability of default over one year determined in accordance with Articles 160, 163, 179 and 180 of Regulation (EU) No 575/2013.']Probability of default[/simple_tooltip] and reduce the structure to match the cube structure of [simple_tooltip content='ANCRDT_ENTTY_RSK_C; 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 counterpartys 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.
']Counterparty risk data – ECB Collection[/simple_tooltip].

Scheme dependencies:

Transformation Scheme ID

G_ANCRDT_ENTTY_RSK_C

Description

Generation of “Counterparty risk data – ECB Collection (ANCRDT_ENTTY_RSK_C)”

Classification

Phase Type Subtype Related entity
Generation Generation AnaCredit

Natural language

This transformation scheme generates the cube Counterparty risk data – ECB Collection. Starting from the cube Counterparties – Enriched we add the variables Reference date (taken from the cube Parameters), Observed agent identifier and Probability of default and reduce the structure to match the cube structure of Counterparty risk data – ECB Collection.

Scheme dependencies:

VTL Syntax

0 ANCRDT_ENTTY_RSK_C := CNTRPRTS_E;
1 ANCRDT_ENTTY_RSK_C := ANCRDT_ENTTY_RSK_C [calc (G_PD2 (APPRCH_PRDNTL_PRPSS, PD)) as "PD_AC"];
2 ANCRDT_ENTTY_RSK_C := ANCRDT_ENTTY_RSK_C [calc CNSTNT_DT_RFRNC as "DT_RFRNC" role Identifier];
3 ANCRDT_ENTTY_RSK_C := ANCRDT_ENTTY_RSK_C [calc (G_OBSRVD_AGNT_ID1 (CNSTNT_FRM_RFRNC, CNSTNT_INSTTTN_ID, OBSRVD_AGNT_INTRNL_ID)) as "OBSRVD_AGNT_ID"];
4 ANCRDT_ENTTY_RSK_C := ANCRDT_ENTTY_RSK_C [keep (OBSRVD_AGNT_ID role Identifier, DT_RFRNC role Identifier, CNTRPRTY_ID as "ENTTY_ID" role Identifier, PD_AC as "PD")];