AnaCredit validation checks

• Question ID: 2018/0024
• Date of publication: 24/01/2018
• Subject matter: AnaCredit validation checks
• AnaCredit Manual: Validation checks

Question

A number of issues need to be clarified with regard to the AnaCredit Validation Checks document:

- Table C and Table D in the “Completeness – counterparty reference dataset” section of that document need to be clarified with regard to Part II of the Manual (page 244, Table 131) and subsequent parts of Section 12 of the Manual.

- Consistency check CN0650 needs to be clarified with regard to Section 9.4.2 of Part II of the Manual (page 185).

- Consistency checks CN0802 and CN0808 need to be clarified with regard to unauthorised debit balances.

- Consistency checks CN0812 and CN0813 need to be clarified as regards redeemed newly established instruments.

- Clarification regarding referential integrity checks RI0200 and RI0191 which (in the published AnaCredit Validation Checks document) are defined in a similar manner, despite having differing descriptions.

Answer

Section 4.2.1 of the AnaCredit Validation Checks document (under the heading “Completeness – counterparty reference dataset”) includes checks CC0100 and CC0110 for Table C and Table D, which relate to special funds. Since specific checks are relevant only for reporting and observed agents under the AnaCredit framework, the corresponding completeness requirements are indicated purely for the sake of uniformity with the structure set out in Tables 2 and 3 in Annex III to the AnaCredit Regulation.

It is hereby clarified that only counterparties referred to in Article 1(8) and (9) of the AnaCredit Regulation are regarded as reporting agents and observed agents respectively.

Section 4.3 of the AnaCredit Validation Checks document (under the heading “Consistency checks”) defines check CN0650 as:

[Protection received.Maturity date of the protection] >= [Instrument.Inception date]

However, since, according to the specific provisions of Part II of the AnaCredit Manual, the maturity date of the protection can in some cases be “non- applicable” (see Section 9.4.2, page 185), the relevant provisions of Part II of the AnaCredit Manual should be borne in mind when applying validation checks.

With this in mind, the validation check has been amended as follows (italics denote new text):

IF [Protection received.Maturity date of the protection] NOT IN {‘Non-applicable’ OR ‘Not required’} THEN [Protection received.Maturity date of the protection] >= [Instrument.Inception date]

Consistency checks CN0802 and CN0808 as published in the AnaCredit Validation Checks document do not take account of the multiple unauthorised debit balances that can occur over time.

Consequently, the existing checks have been modified as follows in order to exclude such cases, in accordance with Section 3.4.1 of Part II of the AnaCredit Reporting Manual (italics denote new text):

• CN0802

“Let T be the reference date:

For all instruments NOT IN {[Instrument.Type of instrument] = 'Overdraft' AND [Financial.Off- balance sheet amount] = 'Non applicable'} THEN

[Instrument.Inception date] (T) = Instrument.Inception date] (T-1)”

• CN0808

“Let T be the reference date:

For all instruments NOT IN {[Instrument.Type of instrument] = 'Overdraft' AND [Financial.Off- balance sheet amount] = 'Non applicable'} THEN

{[Instrument.Settlement date](T) <> 'Non-applicable' AND [Instrument.Settlement date](T) = [Instrument.Settlement date](T-1)} IF AND ONLY IF [Instrument.Settlement date](T-1) <> 'Non-applicable'”

Consistency checks CN0812 and CN0813 as published in the AnaCredit Validation Checks document do not take account of cases where a protection item ceases to be reported owing to a loan being redeemed but is then reported again (under the same identifier) when protecting a new instrument.

Consequently, the existing checks have been modified as follows in order to exclude such cases, in accordance with Section 9.4.9 of Part II of the AnaCredit Reporting Manual (italics denote new text):

• CN0812

“Let T be the reference date:

IF [Instrument-protection received.Instrument ID] (T) IN [Instrument-protection received.Instrument ID] (T-1) THEN

[Protection received.Original protection value] (T) = [Protection received.Original protection value] (T-1)”

• CN0813

“Let T be the reference date:

IF [Instrument-protection received.Instrument ID] (T) IN [Instrument-protection received.Instrument ID] (T-1) THEN

[Protection received.Date of original protection value] (T) = [Protection received.Date of original protection value] (T-1)”

Referential integrity checks RI0191 and RI0200 in the AnaCredit Validation Checks document seem to be defined in a similar manner, despite having differing descriptions. In particular, the definition and the description for referential integrity check RI0200 do not match.

Referential integrity check RI0200 in the published AnaCredit Validation Checks document is therefore amended as follows:

It should also be noted that the reporting instructions provided in relation to the Q&A here do not conflict with referential integrity validations. The relevant conventions seek to ensure that a financial record which is reported for a written-off instrument has a corresponding record in the instrument and counterparty-instrument datasets. However, as those datasets are static, a relevant record is retained from the previous period.