G_ANCRDT_INSTRMNT_C

This transformation scheme generates the cube [simple_tooltip content='ANCRDT_INSTRMNT_C; The level of granularity for the instrument data is the instrument. Each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; (b) observed agent identifier; (c) contract identifier; and (d) instrument identifier.



Each contract identifier must be unique for each contract that generates credit risk for the same observed agent. This identifier must not be reused at any point in time to identify a different contract with the same observed agent. Each instrument identifier must be unique for each contract, i.e. all instruments embedded in a single contract are to be assigned a different instrument identifier, and these must not be reused at any point in time to identify a different instrument within the contract.



The instrument data registers any instrument that exists under a contract between the observed agent and the counterparties, including all instruments between institutional units within the same legal entity.



The instrument data describes the features of the instrument, which rarely change over time.



The records must be reported no later than the monthly transmission of credit data relevant for the reporting reference date on which the instrument is registered in AnaCredit. If a change takes place, the records must be updated no later than the monthly transmission of credit data for the reporting reference date on or before which the change came into effect.
']Instrument data – ECB Collection[/simple_tooltip].
Starting from a derivation of the enriched input layer for [simple_tooltip content='LN_E']Loan – Enriched[/simple_tooltip] we connect these instruments with their credit facilities in order to add specific information which is needed to generate the information required by AnaCredit (i.e. [simple_tooltip content='DT_INCPTN; The date on which the current contractual relationship originated, i.e. the date on which the contract agreement became binding for all parties.']Inception date[/simple_tooltip] of the credit facility, [simple_tooltip content='DT_LGL_FNL_MTRTY; The contractual maturity date of the instrument, taking into account any agreements amending initial contracts.']Legal final maturity date[/simple_tooltip] of the credit facility, [simple_tooltip content='CMMTMNT_INCPTN; Observed agents maximum exposure to credit risk on the inception date of the instrument, without taking into account any protection held or other credit enhancements. Total commitment amount on the inception date is established during the approval process and is intended to restrict an observed agents amount of credit risk to a given counterparty for the relevant instrument.']Commitment amount at inception[/simple_tooltip] of the credit facility) for each instrument. After the enrichment of instruments with this (credit facility related) information we generate the information required by AnaCredit by applying functions and finally reduce the variables of the dataset to match the variables of the cube [simple_tooltip content='ANCRDT_INSTRMNT_C; The level of granularity for the instrument data is the instrument. Each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; (b) observed agent identifier; (c) contract identifier; and (d) instrument identifier.



Each contract identifier must be unique for each contract that generates credit risk for the same observed agent. This identifier must not be reused at any point in time to identify a different contract with the same observed agent. Each instrument identifier must be unique for each contract, i.e. all instruments embedded in a single contract are to be assigned a different instrument identifier, and these must not be reused at any point in time to identify a different instrument within the contract.



The instrument data registers any instrument that exists under a contract between the observed agent and the counterparties, including all instruments between institutional units within the same legal entity.



The instrument data describes the features of the instrument, which rarely change over time.



The records must be reported no later than the monthly transmission of credit data relevant for the reporting reference date on which the instrument is registered in AnaCredit. If a change takes place, the records must be updated no later than the monthly transmission of credit data for the reporting reference date on or before which the change came into effect.
']Instrument data – ECB Collection[/simple_tooltip].
Please note that in case an instrument is related to more than one credit facility this transformation scheme takes into account only the credit facility which has the lowest value in the variable [simple_tooltip content='DT_INCPTN; The date on which the current contractual relationship originated, i.e. the date on which the contract agreement became binding for all parties.']Inception date[/simple_tooltip].

Scheme dependencies:

Transformation Scheme ID

G_ANCRDT_INSTRMNT_C

Description

Generation of the output cube “Instrument data – ECB Collection (ANCRDT_INSTRMNT_C)”

Classification

Phase Type Subtype Related entity
Generation Generation AnaCredit

Natural language

This transformation scheme generates the cube Instrument data – ECB Collection.
Starting from a derivation of the enriched input layer for Loan – Enriched we connect these instruments with their credit facilities in order to add specific information which is needed to generate the information required by AnaCredit (i.e. Inception date of the credit facility, Legal final maturity date of the credit facility, Commitment amount at inception of the credit facility) for each instrument. After the enrichment of instruments with this (credit facility related) information we generate the information required by AnaCredit by applying functions and finally reduce the variables of the dataset to match the variables of the cube Instrument data – ECB Collection.
Please note that in case an instrument is related to more than one credit facility this transformation scheme takes into account only the credit facility which has the lowest value in the variable Inception date.

Scheme dependencies:

VTL Syntax

0 ANCRDT_INSTRMNT_C := LN_AC;
1 ANCRDT_INSTRMNT_C := [inner UNQ_CRDT_FCLTS_INSTRMNTS as "A", ANCRDT_INSTRMNT_C as "B" on A.INSTRMNT_UNQ_ID = B.INSTRMNT_UNQ_ID] {keep (B.ALL_VARIABLES, A.TYP_FCLTY as "TYP_FCLTY", A.DT_LGL_FNL_MTRTY as "DT_LGL_FNL_MTRTY_CF", A.CMMTMNT_INCPTN as "CMMTMNT_INCPTN_CF", A.DT_INCPTN as "DT_INCPTN_CF")};
2 ANCRDT_INSTRMNT_C := ANCRDT_INSTRMNT_C [calc (G_DT_LGL_FNL_MTRTY1 (TYP_FCLTY, DT_LGL_FNL_MTRTY, DT_LGL_FNL_MTRTY_CF)) as "DT_LGL_FNL_MTRTY_AC"];
3 ANCRDT_INSTRMNT_C := ANCRDT_INSTRMNT_C [calc (G_CMMTMNT_INCPTN1 (CMMTMNT_INCPTN, CMMTMNT_INCPTN_CF)) as "CMMTMNT_INCPTN_AC"];
4 ANCRDT_INSTRMNT_C := ANCRDT_INSTRMNT_C [calc (G_PRPS1 (TYP_INSTRMNT, IS_DBT_FNNCNG, PRPS)) as "PRPS_AC"];
5 ANCRDT_INSTRMNT_C := ANCRDT_INSTRMNT_C [calc (G_DT_INCPTN1 (DT_INCPTN, DT_INCPTN_CF)) as "DT_INCPTN_AC"];
6 ANCRDT_INSTRMNT_C := ANCRDT_INSTRMNT_C [calc (G_TYP_INSTRMNT1 (TYP_INSTRMNT, IS_RVLVNG_LN, IS_CRDT_LN_OTHR_RV_CRDT)) as "TYP_INSTRMNT_AC"];
7 ANCRDT_INSTRMNT_C := ANCRDT_INSTRMNT_C [keep (CMMTMNT_INCPTN, CNTRCT_ID role Identifier, CRRNCY_DNMNTN, DT_END_INTRST_ONLY, DT_INCPTN_AC as "DT_INCPTN", DT_LGL_FNL_MTRTY, DT_RFRNC role Identifier, DT_STTLMNT, FDCRY, FV_CHNG_CR_BFR_PRCHS, INSTRMNT_ID role Identifier, INTRST_RT_CP, INTRST_RT_FLR, INTRST_RT_RST_FRQNCY, INTRST_RT_SPRD, OBSRVD_AGNT_ID role Identifier, PRJCT_FNNC_LN, PRPS_AC as "PRPS", PYMNT_FRQNCY, RCRS, RFRNC_RT, RPYMNT_RGHTS, SBRDNTD_DBT, SYNDCTD_CNTRCT_ID, TYP_AMRTSTN, TYP_INSTRMNT_AC as "TYP_INSTRMNT", TYP_INTRST_RT)];