G_CSH_RSRV_FCTRNG

Extract:
– all [simple_tooltip content='INSTRMNT_UNQ_ID; An identifier applied by the reporting agent to uniquely identify each instrument.']Instrument unique identifier[/simple_tooltip] for which a cash reserve should be generated

Add:
– [simple_tooltip content='CNTRPRTY_ID; An identifier applied by the reporting agent to uniquely identify each counterparty. Each counterparty must have one counterparty identifier. This value will not change over time and cannot be used as the counterparty identifier for any other counterparty.']Counterparty identifier[/simple_tooltip] of the debtor (Debtor identifier)
– [simple_tooltip content='PRTCTN_ID; An identifier applied by the reporting agent to uniquely identify each protection (except for real estate protection) used to secure the instrument. Each protection must have one protection identifier. This value will not change over time and cannot be used as the protection identifier for any other protection.']Protection identifier[/simple_tooltip]
– [simple_tooltip content='DT_RFRNC; Date to which the information in the record is referred.']Reference date[/simple_tooltip]

Set by default:
– [simple_tooltip content='PRTCTN_ALLCTD_VL; The maximum amount of the protection value that can be considered as credit protection for the instrument. The amount of the existing third parties or observed agent priority claims against the protection must be excluded in the protection allocated value. For protections that is eligible under Regulation (EU) No 575/2013, this value should be reported in accordance with Part 2 of Annex V to Implementing Regulation (EU) No 680/2014.']Protection allocated value[/simple_tooltip] to 0
– [simple_tooltip content='THRD_PRTY_PRRTY_CLMS; The maximum amount of any existing higher ranked liens with respect to third parties other than the observed agent against the protection.']Third party priority claims against the protection [/simple_tooltip] to 0
– [simple_tooltip content='TYP_PRTCTN; Type of protection received, irrespective of its eligibility for credit risk mitigation.']Type of protection[/simple_tooltip] to [simple_tooltip content='Currency and deposits as defined in paragraph 5.74 of Annex A to Regulation (EU) No 549/2013.']Currency and deposits (15)[/simple_tooltip]
– [simple_tooltip content='TYP_PRTCTN_VL; Identification of the type of value provided in the data attribute ‘Protection value’.']Type of protection value[/simple_tooltip] to [simple_tooltip content='The nominal or face amount contractually agreed that is used to calculate payments in the event that the protection is executed.']Notional amount (4)[/simple_tooltip]
– [simple_tooltip content='RL_ESTT_CLLTRL_LCTN; Region or country where the collateral is located.']Real estate collateral location[/simple_tooltip] to Not applicable (0)
– [simple_tooltip content='PRTCTN_VLTN_APPRCH; Type of protection valuation; method used to determine the protection value.']Protection valuation approach[/simple_tooltip] to [simple_tooltip content='Other type of valuation not included in any other valuation categories.']Other type of valuation (4)[/simple_tooltip]

Add:
– [simple_tooltip content='OBSRVD_AGNT_ID; Counterparty identifier for the observed agent.']Observed agent identifier [/simple_tooltip]
– [simple_tooltip content='INSTRMNT_UNQ_ID; An identifier applied by the reporting agent to uniquely identify each instrument.']Instrument unique identifier[/simple_tooltip] of related invoices (indirect factoring)

Manipulate the dataset to obtain the correct [simple_tooltip content='INSTRMNT_UNQ_ID; An identifier applied by the reporting agent to uniquely identify each instrument.']Instrument unique identifier[/simple_tooltip]

Extract:
– structure of the cube [simple_tooltip content='ANCRDT_INSTRMNT_PRTCTN_RCVD_C; The level of granularity for the instrument-protection received data is the instrument-protection received combination. Each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; (b) observed agent identifier; (c) contract identifier; (d) instrument identifier; and (e) protection identifier.



These data describe all the protection received in relation to the instrument that the protection is securing.



The records must be reported on a monthly basis.
']Instrument-protection received data – ECB Collection[/simple_tooltip]
– structure of the cube [simple_tooltip content='ANCRDT_PRTCTN_RCVD_C; The level of granularity for the protection received data is the protection received. Each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; (b) observed agent identifier; and (c) protection identifier.



Reporting agents should report any protection received as security for the repayment of any instrument(s) reported in the instrument data regardless of the protections eligibility for credit risk mitigation in accordance with Regulation (EU) No 575/2013.



These data describe the protection received.



The records must be reported no later than the monthly transmission of credit data relevant for the reporting reference date on or before which the protection was received as security for the repayment of any instrument reported in AnaCredit. If a change takes place, the records must be updated no later than the quarterly transmission of credit data relevant for the reporting reference date on or before which the change came into effect.
']Protection received data – ECB Collection[/simple_tooltip]

Scheme dependencies:

Transformation Scheme ID

G_CSH_RSRV_FCTRNG

Description

Generation of cash reserve with respect to AnaCredit

Classification

Phase Type Subtype Related entity
Generation Generation AnaCredit

Natural language

Extract:
– all Instrument unique identifier for which a cash reserve should be generated

Add:
Counterparty identifier of the debtor (Debtor identifier)
Protection identifier
Reference date

Set by default:
Protection allocated value to 0
Third party priority claims against the protection  to 0
Type of protection to Currency and deposits (15)
Type of protection value to Notional amount (4)
Real estate collateral location to Not applicable (0)
Protection valuation approach to Other type of valuation (4)

Add:
Observed agent identifier
Instrument unique identifier of related invoices (indirect factoring)

Manipulate the dataset to obtain the correct Instrument unique identifier

Extract:
– structure of the cube Instrument-protection received data – ECB Collection
– structure of the cube Protection received data – ECB Collection

Scheme dependencies:

VTL Syntax

0 CSH_RSRV_AC := CSH_RSRV_E;
1 RLVNT_INSTRMNT_IDS := CSH_RSRV_AC [keep (INSTRMNT_UNQ_ID)];
2 TRNSCTNS_CNTRPRTS_INSTRMNT_RLS_SUB := [inner TRNSCTNS_CNTRPRTS_INSTRMNT_RLS_SUB as "A", RLVNT_INSTRMNT_IDS as "B" on A.INSTRMNT_UNQ_ID = B.INSTRMNT_UNQ_ID] {keep (A.INSTRMNT_UNQ_ID, A.DBTR_ID)};
3 CSH_RSRV_AC := [inner CSH_RSRV_AC as "A", TRNSCTNS_CNTRPRTS_INSTRMNT_RLS_SUB as "B" on A.INSTRMNT_UNQ_ID = B.INSTRMNT_UNQ_ID] {keep (A.ALL_VARIABLES, B.DBTR_ID)};
4 CSH_RSRV_AC := CSH_RSRV_AC [calc INSTRMNT_UNQ_ID || "CSH_RSRV_PRTCTN" as "PRTCTN_ID"];
5 CSH_RSRV_AC := CSH_RSRV_AC [calc 0 as "PRTCTN_ALLCTD_VL"];
6 CSH_RSRV_AC := CSH_RSRV_AC [calc 0 as "THRD_PRTY_PRRTY_CLMS"];
7 CSH_RSRV_AC := CSH_RSRV_AC [calc CNSTNT_DT_RFRNC as "DT_RFRNC"];
8 CSH_RSRV_AC := CSH_RSRV_AC [calc "15" as "TYP_PRTCTN"];
9 CSH_RSRV_AC := CSH_RSRV_AC [calc "4" as "TYP_PRTCTN_VL"];
10 CSH_RSRV_AC := CSH_RSRV_AC [calc "0" as "RL_ESTT_CLLTRL_LCTN"];
11 CSH_RSRV_AC := CSH_RSRV_AC [calc "4" as "PRTCTN_VLTN_APPRCH"];
12 CSH_RSRV_AC := CSH_RSRV_AC [calc (G_OBSRVD_AGNT_ID1 (CNSTNT_FRM_RFRNC, CNSTNT_INSTTTN_ID, OBSRVD_AGNT_INTRNL_ID)) as "OBSRVD_AGNT_ID"];
13 CSH_RSRV_AC := [left CSH_RSRV_AC as "A", FCTRNG_CNNCTN as "B" on A.INSTRMNT_UNQ_ID = B.CNNCTD_FCTRNG_ID] {keep (A.ALL_VARIABLES, B.INSTRMNT_UNQ_ID as "INDRCT_FCTRNG_ID")};
14 CHS_RSRV_RCRS_AC := CSH_RSRV_AC [filter (isnull (INDRCT_FCTRNG_ID))];
15 CHS_RSRV_RCRS_AC := CHS_RSRV_RCRS_AC [drop INDRCT_FCTRNG_ID];
16 CHS_RSRV_NN_RCRS_AC := CSH_RSRV_AC [filter (not isnull (INDRCT_FCTRNG_ID))];
17 CHS_RSRV_NN_RCRS_AC := CSH_RSRV_AC [rename (INDRCT_FCTRNG_ID as "INSTRMNT_UNQ_ID_TMP" role Identifier)];
18 CHS_RSRV_NN_RCRS_AC := CSH_RSRV_AC [drop INSTRMNT_UNQ_ID];
19 CHS_RSRV_NN_RCRS_AC := CSH_RSRV_AC [rename (INSTRMNT_UNQ_ID_TMP as "INSTRMNT_UNQ_ID")];
20 CSH_RSRV_AC := union (CHS_RSRV_RCRS_AC, CHS_RSRV_NN_RCRS_AC);
21 CSH_RSRV_FCTRNG_ANCRDT_INSTRMNT_PRTCTN_RCVD_C := CSH_RSRV_AC [keep (INSTRMNT_ID role Identifier, DT_RFRNC role Identifier, CNTRCT_ID role Identifier, OBSRVD_AGNT_ID role Identifier, PRTCTN_ALLCTD_VL role Measure, PRTCTN_ID role Identifier, THRD_PRTY_PRRTY_CLMS role Measure)];
22 CSH_RSRV_FCTRNG_ANCRDT_PRTCTN_RCVD_C := CSH_RSRV_AC [keep (PRTCTN_ID role Identifier, DT_RFRNC role Identifier, OBSRVD_AGNT_ID role Identifier, DT_MTRTY_CSH_RSRV as "DT_MTRTY_PRTCTN" role Measure, DT_ORGNL_CSH_RSRV_AMNT as "DT_ORGNL_PRTCTN_VL" role Measure, ORGNL_CSH_RSRV_AMNT as "ORGNL_PRTCTN_VL" role Measure, CSH_RSRV_AMNT as "PRTCTN_VL" role Measure, DBTR_ID as "PRTCTN_PRVDR_ID" role Measure, PRTCTN_VLTN_APPRCH role Measure, RL_ESTT_CLLTRL_LCTN role Measure, TYP_PRTCTN role Measure, TYP_PRTCTN_VL role Measure)];