Entity PD model contract

Details of entity PD model contract

Name

PD model contract

Code

pd_model_contract

Parent

Logical Data Model 'RRE DDA PER BANK LDM'

Comment

PD model information on the level of either the contract.

Parent Entity

<None>


List of attributes of the entity PD model contract

Name

Code

Comment

Data Type

Domain

Mandatory

Primary Identifier

Foreign Identifier

reporting agent identifier

reporting_agent_identifier

Reporting agent identifier is a number, assigned by De Nederlandsche Bank, that uniquely identifies the reporting agent.

Variable characters (60)

identifier domain

X

X

X

observed agent identifier

obsrvd_agnt_cd

Observed agent identifier is a number, assigned by De Nederlandsche Bank, that uniquely identifies the observed agent.

Variable characters (60)

identifier domain

X

X

X

contract identifier

cntrct_id

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.
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.

Variable characters (60)

identifier domain

X

X

X

reporting reference date

reporting_reference_date

reporting reference date is a date that indicates the date the entity type delivery pertains to.

Defined as yyyy-mm-dd.

Date

reporting reference date

X

X

X

PD model identifier

pd_model_id

The identifier or label of the model used to estimate the probability of default.

Variable multibyte (255)

medium sized string

X

X

 

Initial PD

initial_pd

The model PD estimate excluding conservatism add-ons or overrides for the reporting month. This must be the PD estimate based on the most recent data available before the end of the reporting month. If your PD model produces a rating grade which is mapped to a PD using a master scale, use the master scale which is to be used at the intended date of implementation of the proposed model.

Decimal (7,0)

real number from 0 to 1 with 6 decimals with exclusions

 

 

 

Regulatory PD

regulatory_pd

The PD estimate used for the calculation of RWA using the Basel II formula. Include the conservatism add-ons specified in add-ons. Given the LGD, exposure type and, if applicable, effective maturity and size adjustment, the number filled in here should lead to the actual RWA used for calculating capital requirements using the regulatory formula. Do not include adjustments for maturities smaller than one year.

Decimal (7,0)

real number from 0 to 1 with 6 decimals with exclusions

 

 

 

Regulatory EL

regulatory_el

Expected loss of the exposure, in accordance with the corresponding LGD and EAD estimates.

Decimal (20,0)

real number of 20 numbers with 2 decimals with exclusions

 

 

 

Regulatory RWA

regulatory_rwa

The regulatory RWA amount corresponding to the PD value reported in attribute Regulatory PD, 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)

real number of 20 numbers with 2 decimals with exclusions

 

 

 


List of relationships of the entity PD model contract

Name

Code

Generate

Entity 2

Entity 1

Dependent Role

Entity 1 -> Entity 2 Role Cardinality

Entity 2 -> Entity 1 Role Cardinality

has

contract_has_pd_model

X

PD model contract

contract

PD model contract -> contract

0,n

1,1


List of identifiers of the entity PD model contract

Name

Code

Parent

Primary Identifier

PD model contract PK

pdmodel_pk

Entity 'PD model contract'

X