G_GRP_INFRMTN

Extract:
– a subset of the cube [simple_tooltip content='GRP; It includes the components of the group which the reporting institution belongs to.']Group[/simple_tooltip]

Connect:
– the subset of the cube [simple_tooltip content='GRP; It includes the components of the group which the reporting institution belongs to.']Group[/simple_tooltip] with the dataset Security master data
– join the relevant datasets in order to identify intra group securities

Identify:
– intra group securities

Add variables:
– [simple_tooltip content='INTRA_GROUP_PRUD_SCOPE; Issuer is part of the Group (prudential scope)']Issuer is part of the Group (prudential scope)[/simple_tooltip]
– [simple_tooltip content='INTRA_GROUP_ACC_SCOPE; Issuer is part of the Group (accounting scope)']Issuer is part of the Group (accounting scope)[/simple_tooltip]
– [simple_tooltip content='PRFRMNG_STTS; Performing status in accordance with Implementing Regulation (EU) No 680/2014.']Performing status[/simple_tooltip]
– [simple_tooltip content='DFLT_STTS_ISSR; Default status of the issuer']Default status of the issuer[/simple_tooltip]
– [simple_tooltip content='DT_PRFRMNG_STTS; The date on which the performing status is considered to have been established or changed.']Date of performing status[/simple_tooltip]
– [simple_tooltip content='DT_DFLT_STTS_ISSR; Date of the default status of the issuer']Date of the default status of the issuer[/simple_tooltip]
– [simple_tooltip content='DFLT_STTS_INSTRMNT; Default status of the instrument']Default status of the instrument[/simple_tooltip]
– [simple_tooltip content='DT_DFLT_STTS_INSTRMNT; Date of the default status of the instrument']Date of the default status of the instrument[/simple_tooltip]
– [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]

Scheme dependencies:

Transformation Scheme ID

G_GRP_INFRMTN

Description

Setup of the dataset Group information

Classification

Phase Type Subtype Related entity
Generation Generation SHS

Natural language

Extract:
– a subset of the cube Group

Connect:
– the subset of the cube Group with the dataset Security master data
– join the relevant datasets in order to identify intra group securities

Identify:
– intra group securities

Add variables:
Issuer is part of the Group (prudential scope)
Issuer is part of the Group (accounting scope)
Performing status
Default status of the issuer
Date of performing status
Date of the default status of the issuer
Default status of the instrument
Date of the default status of the instrument
Probability of default

Scheme dependencies:

VTL Syntax

0 GRP_SUB := GRP_E [keep (GRP_ID, LGL_ENTTY_ID, CNSLDTN_SCP)];
1 GRP_INFRMTN := [inner GRP_SUB as "A", SCRTY_MSTR_DT as "B" on A.LGL_ENTTY_ID = B.OWNR_INTRNL_ID] {keep (A.GRP_ID, A.CNSLDTN_SCP, B.ALL_VARIABLES)};
2 GRP_SUB := GRP_SUB [keep (LGL_ENTTY_ID)];
3 GRP_SUB := GRP_SUB [calc "T" as "CNNCTD"];
4 GRP_INFRMTN := [left GRP_INFRMTN as "A", GRP_SUB as "B" on A.ISSUER_ID = B.LGL_ENTTY_ID] {keep (A.ALL_VARIABLES, B.CNNCTD)};
5 GRP_INFRMTN := GRP_INFRMTN [calc (
if not isnull (CNNCTD) then "T"
else "F"
) as "IS_INTRGRP_SCRTY"];
6 GRP_INFRMTN := GRP_INFRMTN [calc "1" as "APPRCH_CRDT_QLTY_STTS"];
7 GRP_INFRMTN := GRP_INFRMTN [calc (G_INTRA_GROUP_PRUD_SCOPE (IS_INTRGRP_SCRTY, CNSLDTN_SCP)) as "INTRA_GROUP_PRUD_SCOPE"];
8 GRP_INFRMTN := GRP_INFRMTN [calc (G_INTRA_GROUP_ACC_SCOPE (IS_INTRGRP_SCRTY, CNSLDTN_SCP)) as "INTRA_GROUP_ACC_SCOPE"];
9 GRP_INFRMTN := GRP_INFRMTN [calc (G_PRFRMNG_STTS1 (IS_INTRGRP_SCRTY, IS_SHRT_PSTN, CRDT_QLTY_STTS)) as "PRFRMNG_STTS"];
10 GRP_INFRMTN := GRP_INFRMTN [calc (G_DFLT_STTS_CNTRPRTY1 (APPRCH_CRDT_QLTY_STTS, CRDT_QLTY_STTS, IS_INTRGRP_SCRTY, IS_SHRT_PSTN)) as "DFLT_STTS_ISSR"];
11 GRP_INFRMTN := GRP_INFRMTN [calc (G_DT_PRFRMNG_STTS (IS_INTRGRP_SCRTY, IS_SHRT_PSTN, DT_ISS, DT_PRFRMNG_STTS)) as "DT_PRFRMNG_STTS"];
12 GRP_INFRMTN := GRP_INFRMTN [calc (G_DT_DFLT_STTS_CNTRPRTY1 (APPRCH_CRDT_QLTY_STTS, DT_DFLT_STTS, IS_INTRGRP_SCRTY, IS_SHRT_PSTN)) as "DT_DFLT_STTS_ISSR"];
13 GRP_INFRMTN := GRP_INFRMTN [calc (G_DFLT_STTS1 (APPRCH_CRDT_QLTY_STTS, CRDT_QLTY_STTS, IS_INTRGRP_SCRTY, IS_SHRT_PSTN)) as "DFLT_STTS_INSTRMNT"];
14 GRP_INFRMTN := GRP_INFRMTN [calc (G_DT_DFLT_STTS_INSTRMNT1 (IS_INTRGRP_SCRTY, IS_SHRT_PSTN, DT_DFLT_STTS)) as "DT_DFLT_STTS_INSTRMNT"];
15 GRP_INFRMTN := GRP_INFRMTN [calc (G_PD1 (IS_INTRGRP_SCRTY, IS_SHRT_PSTN, PD)) as "PD_SHS"];
16 GRP_INFRMTN := GRP_INFRMTN [calc (G_LGD_DWNTRNS1 (IS_INTRGRP_SCRTY, IS_SHRT_PSTN, LGD_DWNTRNS)) as "LGD_DWNTRNS_SHS"];
17 GRP_INFRMTN := GRP_INFRMTN [calc (G_LGD_NRML1 (IS_INTRGRP_SCRTY, IS_SHRT_PSTN, LGD_NRML)) as "LGD_NRML_SHS"];
18 GRP_INFRMTN := GRP_INFRMTN [keep (GRP_ID as "GROUP_ID" role Identifier, INTRA_GROUP_PRUD_SCOPE, INTRA_GROUP_ACC_SCOPE, FRBRNC_STTS, DT_FBRNC_STTS, PRFRMNG_STTS, DT_PRFRMNG_STTS, DFLT_STTS_ISSR, DT_DFLT_STTS_ISSR, DFLT_STTS_INSTRMNT, DT_DFLT_STTS_INSTRMNT, PD_SHS as "PD", LGD_DWNTRNS_SHS as "LGD_DWNTRNS", LGD_NRML_SHS as "LGD_NRML", OWNR_INTRNL_ID, SCRTY_ID role Identifier, ISIN, INSTR_CLASS, ISSUE_DATE, MAT_DATE, NOM_CURR, PRIMARY_ASSET_CLASS, SENIORITY_TYPE, ASSET_SECURITISATION_TYPE, SECURITY_STATUS, SECURITY_STATUS_DATE, ARREARS, ARREARS_DATE, COLLATERAL_AREA, GUARANTOR_ID, ISSUER_ID, ISSUER_LEI, ISSUER_NAME, ISSUER_COUNTRY, ISSUER_SECTOR, ISSUER_NACE_SECTOR, ENTITY_STATUS, ENTITY_STATUS_DATE, CRDT_QLTY_STTS, IS_SHRT_PSTN)];