Entity LGD model instrument

Details of entity LGD model instrument

Name

LGD model instrument

Code

lgd_model_instrument

Parent

Logical Data Model 'RRE DDA PER BANK LDM'

Comment

LGD model information on the level of the instrument.

Parent Entity

<None>


List of attributes of the entity LGD model instrument

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

instrument identifier

instrmnt_id

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.

Each instrument identifier must be unique for each contract, i.e. all instruments embedded in a single contract are to be assigned a different instrument identifier, and these must not be reused at any point in time to identify a different instrument within the contract. However, instruments associated with different contracts may use the same identifier.

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

LGD model identifier

lgd_model_id

The identifier or label of the model used to estimate the loss given default

Variable multibyte (255)

medium sized string

X

X

 

LGD best estimate

lgd_be

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)

real number from 0 to 1 with 6 decimals with exclusions

 

 

 

probability of cure

cure_probability

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)

real number from 0 to 1 with 6 decimals with exclusions

 

 

 

downturn LGD excluding add-ons

lgd_downturn

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)

real number from 0 to 1 with 6 decimals with exclusions

 

 

 

Regulatory downturn LGD

regulatory_downturn_lgd

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)

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 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)

real number of 20 numbers with 2 decimals with exclusions

 

 

 


List of relationships of the entity LGD model instrument

Name

Code

Generate

Entity 2

Entity 1

Dependent Role

Entity 1 -> Entity 2 Role Cardinality

Entity 2 -> Entity 1 Role Cardinality

has

instrument_has_lgd_model

X

LGD model instrument

instrument

LGD model instrument -> instrument

0,n

1,1


List of identifiers of the entity LGD model instrument

Name

Code

Parent

Primary Identifier

LGD model instrument PK

lgdmodel_pk

Entity 'LGD model instrument'

X