Name |
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Code |
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Parent |
Logical Data Model 'RRE DDA PER BANK LDM' |
Comment |
LGD model information on the level of the instrument. |
Parent Entity |
<None> |
Name |
Code |
Comment |
Data Type |
Domain |
Mandatory |
Primary Identifier |
Foreign Identifier |
Reporting agent identifier is a number, assigned by De Nederlandsche Bank, that uniquely identifies the reporting agent. |
Variable characters (60) |
X |
X |
X |
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Observed agent identifier is a number, assigned by De Nederlandsche Bank, that uniquely identifies the observed agent. |
Variable characters (60) |
X |
X |
X |
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An identifier applied by the reporting agent to uniquely identify each contract. Each contract must have one contract identifier. This value will not change over time and cannot be used as the contract identifier for any other contract. |
Variable characters (60) |
X |
X |
X |
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An identifier applied by the reporting agent to uniquely identify each instrument under a single contract. Each instrument must have one instrument identifier. This value will not change over time and cannot be used as the instrument identifier for any other instrument under the same contract. |
Variable characters (60) |
X |
X |
X |
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reporting reference date is a date that indicates the date the entity type delivery pertains to. |
Date |
X |
X |
X |
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The identifier or label of the model used to estimate the loss given default |
Variable multibyte (255) |
X |
X |
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Fill in the best estimate LGD (or Economic LGD) excluding downturn effects and conservatism, at the rating reference date, as a fraction of the exposure at default (EAD as specified in EAD at the reporting reference date). If your prediction aims to include downturn effects, but does not explicitly distinguish between the best estimate LGD and the downturn LGD, please leave the attribute empty and only fill in Downturn LGD. For exposures in default, please fill in the applicable BEEL estimate. |
Decimal (7,0) |
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If applicable, fill in the estimated probability that the counterparty/contract/instrument, given that it is in default, will result in a cure with zero loss. |
Decimal (7,0) |
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Fill in the estimate of the downturn loss given default (DLGD) calculated at the reporting reference date, excluding any margin of conservatism or conservative adjustments. For exposures in default, fill in the applicable in-default downturn LGD estimate. |
Decimal (7,0) |
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Fill in the estimate of the downturn loss given default (DLGD) used for capital requirement calculations at the reporting reference date. For exposures in default, fill in the applicable in-default downturn LGD estimate. |
Decimal (7,0) |
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Expected loss of the exposure, in accordance with the corresponding LGD and EAD estimates. |
Decimal (20,0) |
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The regulatory RWA amount of the instrument as determined by the internal model of the reporting agent in accordance with the reporting agent's own estimates of the RWA parameters. |
Decimal (20,0) |
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Name |
Code |
Generate |
Entity 2 |
Entity 1 |
Dependent Role |
Entity 1 -> Entity 2 Role Cardinality |
Entity 2 -> Entity 1 Role Cardinality |
X |
LGD model instrument -> instrument |
0,n |
1,1 |
Name |
Code |
Parent |
Primary Identifier |
X |
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