RRE GLO Logical Data Model

List of associated business rules of the model RRE DDA PER BANK LDM

Name

Code

Rule Type

each entity type omc0019 row count check

omc0019

Constraint


Release Notes

Version 1.1.2

Changed the severity of business rule 'natural person dmc0039 the minimum age of granting instruments to natural persons is 18 years' from blocking to signaling.

 

Updated the description of the following business rules. Their description now mentions the logical model term attribute instead of the physical model term column.

  • 'financial data dmc0002 non-applicable check for mandatory bouwdepot amount'

  • 'financial data dmc0004 non-applicable check for mandatory interest rate'

  • 'financial data dmc0007 non-applicable check for mandatory next interest rate reset date'

  • 'instrument dmc0005 non-applicable check for mandatory legal final maturity date'

  • 'non-fixed interest instrument dmc0003 non-applicable check for mandatory interest rate spread/margin'

  • 'protection received dmc0006 non-applicable check for mandatory cumulative additional premiums/deposits'

 

Added the following business rules that aid the interpretation of the validation report. These validation rules check that for the mandatory attributes where the tekst ""Non-applicable"" is allowed, either a value or ""Non-applicable"" is filled in. Please note that is is a technical implementation of the logical domain of those attributes.

  • 'debtor past due dmc0022 arrears for the debtor mandatory or Non-applicable'

  • 'debtor-instrument data dmc0023 other debts at inception mandatory or non-applicable'

  • 'instrument dmc0024 household income at inception mandatory or non-applicable'

  • 'instrument dmc0025 commitment amount at inception mandatory or non-applicable'

  • 'financial data dmc0026 accrued interest mandatory or non-applicable'

  • 'accounting data dmc0027 cumulative recoveries since default mandatory or non-applicable'

  • 'accounting data dmc0028 cumulative unsecured recoveries since default mandatory or non-applicable'

  • 'LGD model-protection received dmc0029 estimated recovery amount mandatory or non-applicable'

  • 'drawn instrument dmc0030 settlement date mandatory or non-applicable'

  • 'drawn instrument dmc0031 transferred amount mandatory or non-applicable'

  • 'recognised instrument dmc0032 final loss amount mandatory or non-applicable'

  • 'off-balance sheet amount dmc0033 off balance sheet amount mandatory or non-applicable'

  • 'credit lines other than revolving credit instrument dmc0034 off-balance sheet amount mandatory or non-applicable'

  • 'other loans instrument dmc0035 off-balance sheet amount mandatory or non-applicable'

  • 'revolving credit other than overdrafts and credit card debt instrument dmc0036 off-balance sheet amount mandatory or non-applicable'

  • 'current account instrument with credit limit dmc0037 off-balance sheet amount mandatory or non-applicable'

  • 'LGD model-protection received dmc0038 estimated downturn recovery amount mandatory or non-applicable'

 

Renamed business rule 'debtor-instrument data omc0101 regulatory EAD of the EAD model must be reported at least at one level' to 'EAD model instrument/contract/debtor omc0101 regulatory EAD of the EAD model must be reported at least at one level'. It is now attached to 'EAD model debtor'.'Regulatory EAD', 'EAD model contract'.'Regulatory EAD', 'EAD model instrument'.'Regulatory EAD'

 

Renamed business rule 'debtor-instrument data omc0102 regulatory RWA of the EAD model must be reported at least at one level' to 'EAD model instrument/contract/debtor omc0102 regulatory RWA of the EAD model must be reported at least at one level'. It is now attached to 'EAD model debtor'.'Regulatory RWA', 'EAD model contract'.'Regulatory RWA', 'EAD model instrument'.'Regulatory RWA'

 

Renamed business rule 'debtor-instrument data omc0103 probability of cure of the LGD model must be reported at least at one level' to 'LGD model instrument/contract/debtor omc0103 probability of cure of the LGD model must be reported at least at one level'. It is now attached to 'LGD model debtor'.'probability of cure', 'LGD model contract'.'probability of cure', 'LGD model instrument'.'probability of cure'.

 

Renamed business rule 'debtor-instrument data omc0104 regulatory downturn LGD of the LGD model must be reported at least at one level' to 'LGD model instrument/contract/debtor omc0104 regulatory downturn LGD of the LGD model must be reported at least at one level'. It is now attached to 'LGD model debtor'.'regulatory downturn LGD', 'LGD model contract'.'regulatory downturn LGD', 'LGD model instrument'.'regulatory downturn LGD'.

 

Renamed business rule 'debtor-instrument data omc0105 regulatory RWA of the LGD model must be reported at least at one level' to 'LGD model instrument/contract/debtor omc0105 regulatory RWA of the LGD model must be reported at least at one level'. It is now attached to 'LGD model debtor'.'regulatory RWA', 'LGD model contract'.'regulatory RWA', 'LGD model instrument'.'regulatory RWA'.

 

Renamed business rule 'debtor-instrument data omc0106 regulatory EL of the EAD model must be reported at least at one level' to 'EAD model instrument/contract/debtor omc0106 regulatory EL of the EAD model must be reported at least at one level'. It is now attached to 'EAD model debtor'.'regulatory EL', 'EAD model contract'.'regulatory EL', 'EAD model instrument'.'regulatory EL'.

 

Renamed business rule 'debtor-instrument data omc0107 regulatory EL of the LGD model must be reported at least at one level' to 'LGD model instrument/contract/debtor omc0107 regulatory EL of the LGD model must be reported at least at one level'. It is now attached to 'LGD model debtor'.'regulatory EL', 'LGD model contract'.'regulatory EL', 'LGD model instrument'.'regulatory EL'.

 

Renamed business rule 'debtor-instrument data omc0108 downturn LGD excluding add-ons of the LGD model must be reported at least at one level' to 'LGD model instrument/contract/debtor omc0108 downturn LGD excluding add-ons of the LGD model must be reported at least at one level'. It is now attached to 'LGD model debtor'.'downturn LGD excluding add-ons', 'LGD model contract'.'downturn LGD excluding add-ons', 'LGD model instrument'.'downturn LGD excluding add-ons'.

 

Renamed business rule 'debtor-instrument data omc0109 regulatory EL of the PD model must be reported at least at one level' to 'PD model instrument/contract/debtor omc0109 regulatory EL of the PD model must be reported at least at one level'. It is now attached to 'PD model debtor'.'regulatory EL', 'PD model contract'.'regulatory EL', 'PD model instrument'.'regulatory EL'.

 

Renamed business rule 'debtor-instrument data omc0110 LGD best estimate of the LGD model must be reported at least at one level' to 'LGD model instrument/contract/debtor omc0110 LGD best estimate of the LGD model must be reported at least at one level'. It is now attached to 'LGD model debtor'.'LGD best estimate', 'LGD model contract'.'LGD best estimate', 'LGD model instrument'.'LGD best estimate'.

 

Renamed business rule 'debtor-instrument data omc0111 regulatory RWA of the PD model must be reported at least at one level' to 'PD model instrument/contract/debtor omc0111 regulatory RWA of the PD model must be reported at least at one level'. It is now attached to 'PD model debtor'.'regulatory RWA', 'PD model contract'.'regulatory RWA', 'PD model instrument'.'regulatory RWA'.

 

Updated the description of business rule 'PD model instrument/contract/debtor omc0111 regulatory RWA of the PD model must be reported at least at one level' from "regulatory EL of the PD model must be reported at least at one level; debtor, contract or instrument." to "Regulatory RWA of the PD model must be reported at least at one level; debtor, contract or instrument."

 

Renamed business rule 'debtor-instrument data omc0112 regulatory PD of the PD model must be reported at least at one level' to 'PD model instrument/contract/debtor omc0112 regulatory PD of the PD model must be reported at least at one level'. It is now attached to 'PD model debtor'.'regulatory PD', 'PD model contract'.'regulatory PD', 'PD model instrument'.'regulatory PD'.

 

Renamed business rule 'debtor-instrument data omc0113 initial PD of the PD model must be reported at least at one level' to 'PD model instrument/contract/debtor omc0113 initial PD of the PD model must be reported at least at one level'. It is now attached to 'PD model debtor'.'initial PD', 'PD model contract'.'initial PD', 'PD model instrument'.'initial PD'.

 

Business rule 'reporting reference date dmc0001 last day of the quarter' is now only checked against the attribute type 'reporting reference date' of entity type 'delivery'. Previously, it was checked against all instances of the attribute type 'reporting reference date'. And since this attribute type is directly or indirectly the foreign key of all other instances of 'reporting reference date', the check is still the same.

 

Renamed business rule 'reporting reference date dmc0001 last day of the quarter' to 'delivery dmc0001 reporting reference date last day of the quarter'. The name now reflects the entity type it is attached to.

 

Reclassified business rule 'household etc0020 household type indicator cannot change over time' from "other model constraint" to "entity type constraint". It is now classified correctly.

 

Reclassified business rule 'accounting data tpc0015 cumulative unsecured recoveries since default not larger than cumulative recoveries since default' from "other model constraint" to "tuple constraint". It is now classified correctly.

 

Renamed business rule 'off-balance sheet amount dmc0033 off balance sheet amount mandatory or non-applicable' to 'credit card debt instrument dmc0033 off balance sheet amount mandatory or non-applicable'. The name now reflects the entity type it is attached to.

 

Renamed business rule 'financial data omc0041 transferred amount cannot exceed outstanding nominal amount' to 'drawn instrument omc0041 transferred amount cannot exceed outstanding nominal amount'. The name now reflects the entity type it is attached to.

 

Moved business rule 'observed agent omc0114 observed agent identifier must be present in the list of the reporting population' from attribute type 'reporting agent identifier' of entity type 'observed agent', to attribute type 'observed agent identifier' of entity type 'observed agent'.

 

Reclassified business rule 'natural person omc0048 the minimum age of granting instruments to natural persons is 18 years' from "other model constraint" to "domain constraint". It validates the value of a single attribute and thus constraints the domain of that attribute.

 

Renamed business rule 'contract omc0048 the minimum age of granting instruments to natural persons is 18 years' to 'natural person dmc0039 the minimum age of granting instruments to natural persons is 18 years'. The name now reflects the entity type it is attached to and its classification.

 

Changed the code of business rule 'natural person dmc0039 the minimum age of granting instruments to natural persons is 18 years' from "omc0048" to "dmc0039". The code now reflects both the name and the classification of the business rule.

 

Updated the business rule scope of business rule 'accounting data omc0068 date of the forbearance and renegotiation status is at least inception date' from "<None>" to "Checked within the data delivery".

 

Updated the business rule scope of business rule 'accounting data tpc0019 date of the forbearance and renegotiation status is at least reporting reference date' from "<None>" to "Checked within the data delivery".

 

Renamed business rule 'financial data omc0115 interest rate reset date cannot be more than 50 years' to 'financial data omc0115 next interest rate reset date cannot be more than 50 years'. The name now reflects the attribute type it acts upon.

 

Renamed business rule 'financial data omc0037 next interest reset date no earlier than inception date' to 'financial data omc0037 next interest rate reset date no earlier than inception date'. The name now reflects the attribute type it acts upon.

 

Renamed business rule 'financial data omc0036 next interest reset date no earlier than settlement date' to 'financial data omc0036 next interest rate reset date no earlier than settlement date'. The name now reflects the attribute type it acts upon.

 

Renamed business rule 'financial data omc0002 interest rate reset frequency "non-applicable" when next interest reset date "non-applicable"' to 'financial data omc0002 interest rate reset frequency "non-applicable" when next interest rate reset date "non-applicable"'. The name now reflects the attribute type it acts upon.

 

Detached business rule 'debtor-instrument data etc0005 other debts at inception cannot change over time' from attribute type 'date of the forbearance and renegotiation status' of entity type 'accounting data' because this link was in error. It remains correctly attached to attribute type 'other debts at inception' of entity type 'debtor-instrument data'.

 

Fixed a typo in the name of business rule 'reporting agent omc0017 reporting agent identifer must match dnbmetadata.xml'. Changed "identifer" to "identifier". The new name is 'reporting agent omc0017 reporting agent identifier must match dnbmetadata.xml'.

 

Reverted the change in code for the attributes 'cumulative recoveries since default' and 'cumulative unsecured recoveries since default' of entity type 'accounting data'. The codes are now reverted back to:

  • cumulative_recoveries_since_default

  • cumulative_unsecured_recoveries_since_default

We never communicated the change to the more abbreviated code in the DDA.

 

Attachted business rule 'instrument tpc0020 difference between legal final maturity date and inception date of the instrument cannot be more than 50 years' to 'instrument'.'legal final maturity date'.

 

Removed the following business rules. They were copied over from AnaCredit but they refer to attribute types that are not present in the logical data model of RRE:

  • accounting data omc0082 date of the forbearance and renegotiation status vs fiduciary instrument

  • accounting data omc0083 date of the forbearance and renegotiation status vs project finance loan

  • accounting data omc0084 date of the forbearance and renegotiation status vs purpose

  • accounting data omc0085 date of the forbearance and renegotiation status vs recourse

  • accounting data omc0086 date of the forbearance and renegotiation status vs repayment rights

 

Renamed business rule 'drawn instrument omc0046 outstanding nominal amount at undrawn instrument is zero' to 'financial instrument omc0046 outstanding nominal amount at undrawn instrument is zero' and moved it from 'drawn instrument'.'settlement date' naar 'financial data'.'outstanding nominal amount'. Its postition and name now better match its purpose.

 

Version 1.1.1

Updated debtor & instrument tables. Moved entities from instrument to debtor for:

current_toetsinkomen, date_of_current_toetsinkomen, total_assets, date_of_total_assets, total_liabilities, date_of_total_liabilities,current_debtor_s_employment_status, date_of_current_debtor_s_employment_status

 

All attributes having a domain 'basis point' (data type: long integer) have changed to domain 'real number (positive or negative)' (data type decimal(12,0)) to make it less confusing how to report numeric attributes. Exclusions are not allowed in these cases. Something similar is done in AnaCredit as well:

‘non-fixed interest instrument’.’interest rate spread/margin’

'instrument'.'interest rate at inception'

 

Version 1.1.0

Moved attribute 'credit conversion factor' from 'undrawn instrument' to 'instrument'

 

Included a new attribute 'date of the forbearance and renegotiation status' in entity 'accounting data' which is already in AnaCredit

 

Changed the code of attribute 'status of the forbearance and renegotiation' (now: frbrnc_stts), 'cumulative recoveries since default' (now: cmltv_rcvrs_snc_dflt), 'inception date' (now: dt_incptn), 'off-balance sheet amount' (now: off_blnc_sht_amnt), 'settlement date' (now: dt_sttlmnt) en 'transferred amount' (now: trnsfrrd_amnt) to make it consistent with AnaCredit

 

Deleted rules which have been deleted in AnaCredit as well due to changes in the regulation of the ECB: omc0044, etc0027, omc0032, etc0011

 

Changed domain of attribute 'accrued interest' in enitity 'financial data' to euro amount (non-negative) with exclusions

 

Renamed recognized instrument spc0001 impairment assessment method to recognised instrument spc0001 impairment assessment method, So change a 'z' into an 's'

 

Added business rule "financial data etc0038 once a bouwdepot amount is reported, it can never be changed to value "Non-applicable""

 

Added a business rule tpc0020 to identify records having a bigger gap between maturity date and origination date than 50 years

 

Implemented business rules omc0101 till omc0113 concerning the EAD/LGD/PD model entities to make sure that the attributes are at least reported at one of the following levels: debtor/contract/instrument

 

For the correct submission it's crucial that reporting agents report the correct observed agent identifier(s) in the RRE report. A signalling rule omc0114 is added that reporting agents do not report observed agent identifiers which are related to another reporting agent.

 

The stage 2 attributes are now made mandatory: 'arrears for the debtor', 'other debts at inception', 'household income at inception', 'product name', 'product label', 'interest rate at inception', 'currency', 'payment frequency', 'interest rate type', 'commitment amount at inception', 'outstanding nominal amount at inception', 'type of instrument', 'corep class', 'bsi class', 'buy-to-let', 'credit conversion factor', 'accrued interest', 'date of protection value', 'protection valuation approach', 'immovable property type', 'protection valuation type', 'debtor's employment status at inception', 'income at inception', 'date of income at inception', 'name', 'national identifier', 'default status of the counterparty', 'joint liability amount', 'name of pool/transaction', 'date of securitisation', 'type of securitisation', 'status of forbearance and renegotiation', 'cumulative recoveries since default', 'cumulative unsecured recoveries since default', 'accumulated impairment amount', 'protection valuation approach at inception', 'protection allocated value', 'estimated recovery amount', 'estimated downturn recovery amount', 'settlement date', 'transferred amount', 'final loss amount', 'off-balance sheet amount'

 

Added signalling business rule omc0115 to identify records with a reset for more than 50 years

 

Added 8 new attributes 'current toetsinkomen', 'date of current toetsinkomen', 'total assets', 'date of total assets', 'total liabilities', 'date of total liabilities', 'current debtor's employement status', and 'date of current debtor's employment status' in entity 'instrument'

 

Deleted business rule omc0014 mandatory commitment amount because it has been deleted in AnaCredit as well.

 

Version 1.0.8

'accrued interest' and 'accumulated impairment' are made optional since these attributes belong to stage 2 as is mentioned in the manual

 

omc0019 is made a signalling validation rule instead of a blocking rule

 

Changed the domain of 'joint liability amount' from 'euro amount (non-negative) with exclusions' to 'euro amount (non-negative)' since exclusions are not allowed for this attribute

 

Changed the server expression of omc0027 because joint liability amount can be equal to or smaller than outstanding nominal amount. Before it said joint liability amount could only be smaller than outstanding nominal amount.

 

Added a minimum value of '0' to the domains 'euro amount (non-negative) with exclusions', 'real number (non-negative)' and 'real number (non-negative) with exclusions'

 

Deleted tpc0011 because it was redundant looking at tpc0005

 

Business rules spc0003, spc0004, spc0011 and spc0016 are made blocking since rules arising from the model itself should be blocking instead of signalling.

 

Added the check in spc0018 that if 'type of instrument' is null (because 'type of instrument' is stage 2) then the instrument cannot be found in any of the subtypes.

 

Updated the server expression of business rule 'drawn instrument omc0042 transfered amount vs outstanding nominal amount'. It now compares the outstanding nominal amount to the transfered amount.

 

Updated the server expression of business rule 'instrument spc0017 interest rate type'. When the interest rate type is "Mixed" then either of the subtypes can be selected.

 

Deleted tpc0003 because of the subtyping to fixed interest vs. non-fixed interest instrument maturity value cannot be filled with value "Non-applicable".

 

Corrected the expression of spc0013. Because 'corep class' was mentioned twice and 'currency' had to be deleted.

 

Deleted omc0021

 

Made attribute 'name of pool/transaction' optional because it's a stage 2 attribute

 

Changed the values of securitisation indicator according to the business terms

 

Changed the wording of "non-applicable" to "Non-applicable" in business rules. Because reporting of this value is case sensitive.

 

Implemented dmc0002 till dmc0007 which check the mandatory attributes which allow 'Non-applicable'

 

Made the following domains varchar instead of char: "Dutch legal entity indicator", "Dutch natural person indicator", "household type indicator", "identifier domain", "legal entity indicator", "string with strictly 20 characters" and "string with strictly 20 characters with exclusions"

 

Created a new attribute 'inception date of the instrument' and added it to entity 'instrument' because it is an important attribute. 'inception date' of entity 'contract' was not sufficient enough

 

Version 1.0.7

Made attribute 'national identifier' in 'Dutch natural person' optional instead of mandatory.

 

Corrected the expression of tpc0010. Operator >= was used, while it should be <=.

 

Version 1.0.6

For the legal entity identifier the wrong domain was used. It is no longer possible to fill in 'Non-applicable' for this attribute.

 

Deleted the possibility for exclusions for attributes 'outstanding nominal amount' and 'outstanding nominal amount at inception'. The domain now calls 'euro amount (non-negative)'

 

Changed the code of attribute 'default status of the instrument' from 'default_status_of_the_instrument' to 'dflt_stts' so that it's the same as in AnaCredit

 

Updated the name of business rule 'instrument past due tpc0016 date of past due for the instrument no earlier than reporting reference date' to 'instrument past due tpc0016 reporting reference date no earlier than date of past due for the instrument'. The check itself is unchanged

 

Made the attributes 'interest rate reset frequency at inception', 'loan to value at inception', 'legal final maturity date at inception' and 'income at inception' optional as is discussed in the meeting with the banks on 8 march 2018

 

Improved the expression of spc0013 because some enumeration codes were missing.

 

Implemented a new business rule omc0053 which states that 'interest rate reset frequency at inception', 'legal final maturity date at inception' and 'loan to value at inception' are mandatory when 'inception date' is earlier than 2011-12-31. This has been discussed in the meeting on 8 march 2018 with the banks.

 

Added the mandatory pattern to the identifier domain. This impacts all identifiers:

- counterparty identifier

- protection identifier

- contract identifier

- instrument identifier

 

Added a new business rule: debtor-instrument data omc0054 household type indicator must be the same as household type-instrument data indicator

 

Changed the expression of omc0009 because it wrongly contains a table named 'debtor data' instead of 'debtor default data'. It also contained an attribute named 'default status' instead 'default status of the counterparty'

 

Changed the expression of spc0014 because it wrongly contained the identifier 'household identifier' instead of 'reporting agent identifier'

 

Changed the expression of spc0016 because it contained the typo 'reporting reference data'

 

Changed the expression of spc0018 because 'type of instrument' belongs to 'instrument' instead of 'financial data'

 

Version 1.0.5

Changed the attribute codes belonging to 'reference rate_maturity value' en 'reference rate_reference rate value' so that they are equal to the ones in AnaCredit

 

 

Version 1.0.4

Transfered attribute 'credit conversion factor' from 'financial data' to 'undrawn instrument'

 

Changed the data type of domain 'real number from 0 to 1 with 6 decimals' from decimal(7,6) to decimal(7,0) because we don't want to load decimal numbers into the system because this might cause errors.

 

Changed the data type of domain 'credit conversion factor' from decimal(8,2) to decimal(8,0) because we don't want to load decimal numbers into the system because this might cause errors.

 

Changed the data type of domain 'real number of 20 numbers with 2 decimals with exclusions' from decimal(20,2) to decimal(20,0) because we don't want to load decimal numbers into the system because this might cause errors.

 

Added a star behind immovable property indicator because it's derived from the values of type of protection

 

Version 1.0.3

Made attribute 'checksum' mandatory in entity 'attribute combination delivery'

 

Deleted business rules etc0031 and etc0034 since 'type of securitisation' and 'date of securitisation' may change when there is a return or a purchase within a transaction. Thanks to hypoport for spotting this.

 

Version 1.0.2

Changed the codes of attributes 'logical data model_code' and 'entity type code' of entity 'attribute combination'

 

Changed the codes of attribute 'logical data model_code' and 'attribute code' of entity 'attribute delivery'

 

Changed the codes of attribute 'logical data model_code' and 'attribute combination type code' of entity 'attribute combination type'

 

Added a description to the counterparty identifiers of 'dutch natural person' and 'foreign natural person'

 

Added a description to country in 'immovable property'

 

Added a description to 'drawn instrument indicator'

 

Added a description to 'instrument identifier' in 'impaired instrument' and 'originator-securitized instrument data'

 

Added a description to 'reporting agent identifier' in 'dutch natural person'

 

Added a description to 'reporting reference date' in 'impaired instrument' and 'dutch natural person'

 

Added a description to 'bouwdepot amount' in 'financial data'

 

Changed the domain of the attribute LGD model identifier in the entities 'LGD model ...', 'EAD model ...', 'PD model ...' and 'lgd model-protection received' from large sized string (varchar(1024)) to medium sized string (varchar(255))

 

Added a new domain to the LDM: real number from 0 to 1 with 6 decimals with exclusions

 

Changed the domain of the attribute 'LGD best estimate' in all 3 LGD model entities to 'real number from 0 to 1 with 6 decimals with exclusions' which means it now has the data type decimal(7,6)

 

Changed the domain of the attribute 'downturn LGD excluding add-ons' in all 3 LGD model entities to 'real number from 0 to 1 with 6 decimals with exclusions' which means it now has the data type decimal(7,6)

 

Changed the domain of the attribute 'regulatory downturn LGD' in all 3 LGD model entities to 'real number from 0 to 1 with 6 decimals with exclusions' which means it now has the data type decimal(7,6)

 

Added a new domain to the LDM: real number from 0 to 18 with 2 decimals with exclusions

 

Changed the domain of the attribute 'regulatory EL' in all 9 EAD, LGD and PD model entities to 'real number from 0 to 18 with 2 decimals with exclusions' which means it now has the data type decimal(20,2)

 

Changed the domain of the attribute 'regulatory RWA' in all 9 EAD, LGD and PD model entities to 'real number from 0 to 18 with 2 decimals with exclusions' which means it now has the data type decimal(20,2)

 

Changed the domain of the attribute 'regulatory EAD' in all 3 EAD model entities to 'real number from 0 to 18 with 2 decimals with exclusions' which means it now has the data type decimal(20,2)

 

Changed the domain of the attributes 'estimated recovery amount' and 'estimated downturn recovery amount' in the entity 'LGD model-protection received' to 'real number from 0 to 18 with 2 decimals with exclusions' which means they now have the data type decimal(20,2)

 

Changed the business rule omc0042 in such way that it now belongs to transferred amount in 'drawn instrument' which means a name change from 'financial data omc0042 outstanding nominal amount vs transferred amount' to 'drawn instrument omc0042 outstanding nominal amount vs transferred amount' so that it corresponds with omc0081 in AnaCredit.

 

Renamed business rule 'protection received omc0038 type of protection for synthetic securitisation' to 'instrument subject to securitisation omc0038 type of protection for synthetic securitisation' and moved business rule from entity type 'protection received' to 'instrument subject to securitisation' as is done in AnaCredit.

 

Removed Business rules omc0013 and omc0018, because the hashes are no longer required to be delivered.

 

Changed the domain of attribute 'probability of cure' in the 3 LGD model entities so that exclusions are allowed which is according to the manual. The data type of decimal(7,6) stays the same.

 

Changed the domain of attributes 'initial PD' and 'regulatory PD' in the 3 PD model entities so that exclusions are allowed which is according to the manual. The data type of decimal(7,6) stays the same.

 

Changed the data type of attributes product label and product name to variable multibyte 255 in stead of 1024

 

Version 1.0.1

To be less strict in the amount of mandatory attributes, it's decided to move some attributes from stage 1 to stage 2. Which means that the following attributes are not mandatory anymore: 'date of protection value', 'inception date of first instrument for investing in RRE', 'interest rate at inception', 'joint liability amount', 'national identifier' (in 'dutch legal entity'), 'outstanding nominal amount at inception' and 'protection allocated value'

 

Changed the code belonging to attribute 'logical data model_code' of 'entity type delivery' back to 'logical_data_model_code'. So that it is consistent with AnaCredit and previous versions of RRE.

 

Changed the domain value of the attribute 'interest rate' from basis point (long integer) to real number (positive or negative) with exclusions (decimal (12,0)) so that it is consistent with AnaCredit.

 

Changed the domain value of the attribute 'accrued interest' from basis point (long integer) to euro amount (non-negative) (decimal (12,0)) so that it is consistent with AnaCredit.

 

Version 1.0

Changed the codes belonging to the entities 'impairment assessment method', 'amortisation type', 'counterparty role', 'interest rate reset frequency', 'interest rate type', 'payment frequency', 'protection valuation approach', 'status of forbearance and renegotiation', 'type of instrument', 'type of protection', 'type of protection value' and 'type of securitisation'. These codes are in line with the AnaCredit ECB collection of the Banks' Integrated Reporting Dictionary.

 

Added the sentence 'Parties are free to use DNB's logical data model'

 

Changed the wording of "not applicable" to "non-applicable" in business rule etc0003

 

Changed the domain type of 'inception date of first instrument for investing in RRE' from 'date' to 'date with exlusions'

 

Corrected some mistakes in the possible values and labels of attribute 'Payment frequency'

 

Corrected the domain type of 'outstanding nominal amount' from 'euro amount (non-negative)' to 'euro amount (non-negative) with exclusions since non-applicables may be reported for this attribute

 

Changed the comment belonging to 'default status of the instrument' since it did not make any sense.

 

Changed the expression belonging to spc0001 since there was a value mentioned which is not stated in the manual

 

Added a new attribute 'buy-to-let' to the entity 'instrument'

 

Created a new domain 'buy-to-let' with 2 possible values 'buy-to-let' and 'no buy-to-let'

 

Incorporated the new buy-to-let reference data to business rule spc0013 enumeration type

 

Deleted shortcuts in the LDM referencing to the AnaCredit model

 

Deleted unused target models referencing to AnaCredit cdm and glossary

 

Changed tpc0001; it is now about attribute 'interest rate reset frequency' instead of 'interest rate reset frequency at inception'

 

Changed tpc0006; it is now about attribute 'interest rate reset frequency' instead of 'interest rate reset frequency at inception'. Entered an expression for this business rule as well.

 

Made the attributes 'reference rate_reference rate value' and 'reference rate_maturity value' mandatory because these belong to phase 1 according to the manual

 

Deleted business rule omc0043 because an instrument can be reported multiple times within a quarter while it can be completely redeemed (outstanding nominal amount is "0") and having an off-balance sheet amount or accumulated write-off of "0" at the same time

 

Changed the domain of 'periodic repayment due' 'euro amount(non-negative) with exclusions' to 'euro amount(non-negative)' because exclusions are not allowed for this attribute

 

Changed the domain of 'periodic interest payment due' 'euro amount(non-negative) with exclusions' to 'euro amount(non-negative)' because exclusions are not allowed for this attribute

 

Changed the domain of 'cumulative repayments' 'euro amount(non-negative) with exclusions' to 'euro amount(non-negative)' because exclusions are not allowed for this attribute

 

Changed the domain of 'cumulative prepayments' 'euro amount(non-negative) with exclusions' to 'euro amount(non-negative)' because exclusions are not allowed for this attribute

 

Added business rule tpc0016 which states that 'bouwdepot amount' cannot exceed 'outstanding nominal amount'

 

Added business rule tpc0017 which states that protection valuation approach must be "other type of valuation" if type of valuation is "notional amount"

 

Added business rule etc0033 which states that immovable property indicator cannot change over time

 

Added business rule omc0049 which states that immovable property type can only be detached or semi-detached house when type of protection is residential real estate collateral

 

Added business rule omc0050 which states that immovable property type can only be flat or apartment when type of protection is residential real estate collateral

 

Added business rule omc0051 which states that immovable property type can only be terraced house when type of protection is residential real estate collateral

 

Added business rule omc0052 which states that immovable property type can only be full commercial use when type of protection is either offices and commercial premises or commercial real estate collateral

 

Changed the domain of 'income at inception' 'euro amount(non-negative) with exclusions' to 'euro amount(non-negative)' because exclusions are not allowed for this attribute

 

Changed the domain of 'inception date' 'date with exclusions' to 'date' because exclusions are not allowed for this attribute

 

Added business rule etc0034 which states that type of securitisation cannot change over time

 

Changed the domain of 'date of past due for the instrument' 'date with exclusions' to 'date' because exclusions are not allowed for this attribute

 

Improved business omc0021 since it only took default status of instrument in account, while it also needs to check default status of the counterparty

 

Added business rule tpc0018 which states that cumulative unsecured recoveries since default must be non-applicable when cumulative recoveries since default is non-applicable

 

Changed the domain of 'accumulated write-offs' 'euro amount(non-negative) with exclusions' to 'euro amount(non-negative)' because exclusions are not allowed for this attribute

 

Changed the domain value 'mark-to-market valuation' of 'protection valuation approach' to 'mark-to-market'

 

Changed the domain values of 'reference rate maturity value' having the labels ten, eleven and twelve. Used letters instead of numbers

 

Deleted the non-applicable domain value for reference rate_reference rate value

 

Changed the comment of attribute 'code' in entity 'logical data model'. The text "For RRE the code is "DNB_STAT_RRE_GLO"" is added. The standard checks now contains the values "DNB_STAT_RRE_GLO" for minimum, maximum and default.

 

In entity 'entity type delivery' the attribute rowcount is made mandatory and checksum optional. This is according to the GLO.

 

The attribute 'delivery control type' is made mandatory in entity 'attribute'

 

Deleted list of values for all attributes which aren't indicators used for subtyping: 'amortisation type', 'bsi class', 'corep class', 'default status of the counterparty', 'default status of the instrument', 'delivery control type', 'employment status', 'exit status', 'immovable property type', 'interest rate reset frequency', 'interest rate reset frequency at inception', 'interest rate type', 'payment frequency', 'protection valuation approach', 'proteciton valuation approach at inception', 'protection valuation type', 'reference rate maturity type', 'reference rate value type', 'status of forbearance and renegotiation', 'type of protection', 'type of protection value' and 'type of securitisation'. The bussiness terms list has to be used to know which codes are used for which values.

 

Changed the code belonging to value 'non-applicable' of 'impairment assessment method' to 'imprm_ases_mth_na'

 

The attribute 'rank' is made mandatory in entity 'attribute'

 

Changed domain 'securitized instrument indicator' to 'securitisation indicator' as is done in AnaCredit

 

Changed the domain of 'accumulated impairment amount' 'euro amount(non-negative) with exclusions' to 'euro amount(non-negative)' because exclusions are not allowed for this attribute

 

Added business rule etc0035 which states that protection valuation approach at inception cannot change over time

 

Changed the domain of 'protection allocated value' 'euro amount(non-negative) with exclusions' to 'euro amount(non-negative)' because exclusions are not allowed for this attribute

 

Deleted business rule tpc0002 because attribute 'reference rate_reference rate value' belongs to entity 'non-fixed interest instrument' the value "non-applicable" cannot be reported for fixed interest instruments

 

Added business rule etc0036 which states that buy-to-let cannot change over time

 

Exceptions are allowed for domain 'real number from 0 to 1 with 6 decimals' which is applicable for attributes 'initial pd', 'regulatory pd' and 'probability of cure'

 

Changed the domain for the attribute regulatory EL which resides in 9 entities from 'euro amount (non-negative)' to 'euro amount(non-negative) with exclusions' because exclusions are allowed according to the manual

 

Since 'regulatory EL' belongs to phase 2 the attribute is made optional instead of mandatory in 9 entities in which it resides.

 

Changed the domain for the attribute 'regulatory RWA' which resides in 9 entities from 'euro amount (non-negative)' to 'euro amount(non-negative) with exclusions' because exclusions are allowed according to the manual

 

Changed the domain for the attribute 'regulatory EAD' which resides in 3 entities from 'euro amount (non-negative)' to 'euro amount(non-negative) with exclusions' because exclusions are allowed according to the manual

 

Changed the domain for the attribute 'lgd best estimate' which resides in 3 entities from 'euro amount (non-negative)' to 'euro amount(non-negative) with exclusions' because exclusions are allowed according to the manual

 

Changed the domain for the attribute 'downturn LGD excluding add-ons' which resides in 3 entities from 'euro amount (non-negative)' to 'euro amount(non-negative) with exclusions' because exclusions are allowed according to the manual

 

Since 'downturn LGD excluding add-ons' belongs to phase 2 the attribute is made optional instead of mandatory in 3 entities in which it resides.

 

Changed the domain for the attribute 'regulatory downturn LGD' which resides in 3 entities from 'euro amount (non-negative)' to 'euro amount(non-negative) with exclusions' because exclusions are allowed according to the manual

 

Since 'regulatory downturn LGD' belongs to phase 2 the attribute is made optional instead of mandatory in 3 entities in which it resides.

 

Since 'regulatory RWA' belongs to phase 2 the attribute is made optional instead of mandatory in 9 entities in which it resides.

 

Since 'regulatory EAD' belongs to phase 2 the attribute is made optional instead of mandatory in 3 entities in which it resides.

 

Changed the domain for the attribute 'estimated recovery amount' from 'euro amount (non-negative)' to 'euro amount(non-negative) with exclusions' because exclusions are allowed according to the manual

 

Since 'estimated recovery amount' belongs to phase 2 the attribute is made optional instead of mandatory

 

Changed the domain for the attribute 'estimated downturn recovery amount' from 'euro amount (non-negative)' to 'euro amount(non-negative) with exclusions' because exclusions are allowed according to the manual

 

Moved attribute 'protection valuation type' from 'protection received' to 'immovable property' because this attribute can only contain a value when type of protection has one of the following values: “residential real estate collateral”, “offices and commercial premises” en “commercial real estate collateral”

 

Changed omc0030 to etc0037 because it is not an other model constraint but an entity type constraint

 

Deleted business rule omc0020 because omc0038 covers this business rule as well but less strict which is probably more realistic

 

Deleted business rule omc0028 because it is redundant looking at omc0023

 

Version 0.9

Corrected the name of attribute 'default status of the instrument' because this was accidently changed in previous version

 

Copied the reference table 'default status' to avoid lines crossing allover the model

 

Changed the attribute name 'off balance sheet amount' to 'off-balance sheet amount' as is spelled in the manual

 

Changed the position of the relationship line between 'originator-securitized instrument data' and 'instrument subject to securitisation', and 'counterparty' and 'reporting agent delivery'

 

Added disclaimer to the model as is done in the AnaCredit LDM

 

Changed attribute name 'household type-instrument indicator' to 'household type-instrument data indicator'

 

Created business rules etc0003 till etc0028 to check static attributes

 

Deleted the logical diagram part belonging to the presentation which was given in june

 

Deleted specific AnaCredit names and notes in the report template of the LDM

 

Added a legend item which shows which entities belong to the 'estimation model' category

 

Created business rule omc0030 to check that attribute interest rate type is static if the value is "mixed"

 

Created business rule tpc0001 if interest rate tye is "Mixed" then interest rate reset frequency at inception should be "other frequency"

 

Created business rule tpc0002 if interest rate tye is "Fixed" then reference rate value is "Non-applicable"

 

Created business rule tpc0003 if interest rate tye is "Fixed" then maturity vaue is "Non-applicable"

 

Created business rule tpc0004 transferred amount cannot exceed outstanding nominal amount

 

Changed the domain code for attribute 'cumulative additional premiums/deposits' to euro amount (non-negative) with exclusions

 

Added the text: 'Includes the value "Non-applicable".' to domain code 'string with strictly 20 characters with exclusions'

 

Added reference entity 'protection valution type' as enumeration type

 

Created business rule omc0001 off-balance sheet amount "Non-applicable" for reverse repurchase agreements

 

Created business rule omc0002 'next interest reset date' should be reported as "Non-applicable" when 'interest rate reset frequency' is reported as "Non-applicable"

 

Created business rule tpc0005 next interest rate reset data should not be earlier than reporting reference rate

 

Created business rule omc0003 interest rate type "Non-applicable" when interest rate "Non-applicable"

 

Created business rule omc0004 off-balance sheet amount EUR 0 when outstanding nominal amount exceeds commitment amount at inception

 

Created business rule omc0005 off-balance sheet amount "Non-applicable" for certain types of instruments

 

Created business rule omc0006 influence of amortisation type bullet on the value of cumulative repayments

 

Changed almost all business rule numbers since there were no clear rules on what numbers to use for new business rules. Currently the numbers are orderly increased by 1 whenever there is a new business rule in place

 

Added domain values to the attributes of 'Dutch natural person', 'impaired instrument' and 'originator securitized instrument data' since these were missing

 

Changed incorrect codes in 'originator securitized instrument data', 'lgd model instrument', 'ead model instrument', 'pd model instrument', 'ead model debtor', 'lgd model contract', 'ead model contract', 'pd model contract'

 

Deleted omc0029 because it seems to be redundant having the country indicator

 

Changed entity name 'type of interest rate' to 'interest rate type'

 

Added labels and values to the domains of 'debtor past due indicator', 'dutch legal entity indicator', 'dutch natural person indicator' and 'household type indicator'

 

Removed domain 'immovable property location indicator' since this belongs to AnaCredit

 

Changed the name of 'impairment indicator' domain to 'impairment assessment method' and the name of 'securitisation indicator' domain to 'securitized instrument indicator'

 

Changed the name of 'past due indicator' domain to 'past due instrument indicator'

Redefined labels and values of domain 'protection provider indicator'

 

Redefined the code of service-instrument data to 'servicer_instrument_data'

 

Made all the attributes belonging to phase 2 optional.

 

Changed the name of business rule spc0007 to 'past due instrument indicator' instead of 'instrument past due indicator'

 

Created new business rules which apply to AnaCredit as well (different numbers used though): omc0031 till omc0040, etc0001 and etc0002, tpc0009 till tpc0012

 

Created new subtype entities for 'instrument' named 'drawn instrument' and 'undrawn instrument' as is done in AnaCredit. Moved the attributes 'settlement date' and 'transferred amount' to new entity 'drawn instrument'

 

Created business rule spc0016 for the drawn instrument indicator

 

Created domain value drawn instrument indicator

 

Changed the name and expression of business rule omc0010 because settlement date has moved from 'instrument' to 'drawn instrument'

 

Changed the name of business rule etc0011 because settlement date has moved from 'instrument' to 'drawn instrument'

 

Changed business rule tpc0004 to omc0041 because 'transferred amount' is moved from 'instrument' to 'drawn instrument' and therefore isn't a tuple constraint anymore

 

Added the attribute drawn instrument indicator to entity 'instrument' and connected it to the new domain value 'drawn instrument indicator'

 

Created new subtype entities for 'instrument' named 'fixed interest instrument' and 'non-fixed interest instrument' as is done in AnaCredit. Moved the attributes 'interest rate spread/margin', 'reference rate_reference rate value' and 'reference rate_maturity value' to new entity 'non-fixed interest instrument'

 

Created business rule spc0017 for the interest rate type

 

Added business rule omc0044 (copied omc0056 from AnaCredit) which states when 'past due instrument indicator' must be "instrument past due"

 

Added business rule tpc0013 (copied tpc00 from AnaCredit) which checks whether the value reported for the 'default status of the instrument' attribute is consistent with the 'arrears for the instrument' attribute.

 

Added business rules etc0029 and etc0030 to instrument-protection received data (copied etc0015 and etc0016 from AnaCredit) to check whether attributes 'original protection value' and 'date of original protection value' are consistent over time

 

Added business rule omc0045 (copied omc0087 from AnaCredit) which ensures that the value reported for the 'settlement date' attribute is consistent with the 'off-balance-sheet amount' attribute

 

Subtyped the type of instruments under financial data as is done in AnaCredit. Except for 'deposits other than reverse repurchase agreements instrument' since type is not reported in RRE

 

Created new business rule spc0018 because of the new subtype type of instrument

 

Subtyped the overdraft instrument as is done in AnaCredit into 'current account instrument with credit limit' and 'current account instrument with no credit limit'

 

Created new business rule spc0019 because of the new subtypes for overdraft instrument

 

Moved 'off-balance sheet amount' from 'financial data' to 'current account instrument with credit limit', 'credit card debt instrument', 'revolving credit other than overdrafts and credit card debt limit', 'credit lines other than revolving credit instrument', 'and 'other loans instrument'

 

Changed the code 'pd_initial' and 'initial_pd'

 

Changed the data type belonging to the domain value 'real number from 0 to 1 with 6 decimals'; it was incorrectly set to (7,0) instead of (7,6)

 

Corrected the code belonging to 'contract identifier' for entity 'creditor-instrument data'

 

Corrected the codes belonging to 'observed agent identifier' and 'contract identifier' for entity 'debtor-instrument data'

 

Corrected the codes belonging to 'observed agent identifier' and 'contract identifier' for entity 'instrument-protection received data'

 

Corrected the codes belonging to 'observed agent identifier' and 'contract identifier' for entity 'joint liability'

 

Corrected the codes belonging to 'observed agent identifier' and 'contract identifier' for entity 'natural person-instrument data'

 

Corrected the codes belonging to 'observed agent identifier' and 'contract identifier' for entity 'servicer-instrument data'

 

Renamed the entity 'address' to 'postal code region' because the key of this entity differs with the key of the entity 'address' in AnaCredit. So it's not completely the same and therefore needs a different name.

 

Attribute name 'iso_3166_1_alpha_2_cd2' in entity 'domestic immovable property' changed to 'iso_3166_1_alpha_2_cd'

 

Added attribute 'bouwdepot amount' to 'financial data'

 

Removed business rule omc0014 and omc0015, since it was based on an incorrect interpretation of the reporting manual. It is now no longer checked that the default status is reported either at instrument level or debtor / protection provider level

 

Added business rule omc0046 outstanding nominal amount at undrawn instrument is zero

 

Updated business rule 'protection received omc0007 protection value shall not exceed the sum of allocated protection values' to keep the content consistent with omc0013 of AnaCredit

 

Added business rule etc0031 which states that date of securitisation cannot change over time

 

Added business rule etc0032 which states that final loss amount cannot be increased once it is reported

 

Added business rule tpc0014 cumulative unsecured recoveries since default cannot be non-applicable if cumulative recoveries since default is larger than zero

 

Changed omc0022 to tpc0015 since it is a tuple constraint not a other model constraint

 

Added business rule omc0047 which states that if attribute 'type of securitisation' = "traditional"

then the instrument belongs to subtype "fully derecognised instrument being serviced"

 

Added domain values to attribute 'delivery control type' corresponding to the business terms list

 

Added domain values to attribute 'default status of the instrument' corresponding to the business terms list

 

Changed the comment belonging to 'employment status' since it mentioned more possible values then are mentioned by the manual and overview of attributes

 

Added comments to household type indicator and household type-instrument data indicator because these were missing

 

Aligned the value domain list of immovable property type with the manual (deleted a bunch of domain values)

 

Added domain values to 'interest rate reset frequency at inception' as according to the manual

 

Added two new domain values to immovable property type: "Partly commercial use" and "Full commercial use"

 

Implemented abbreviations for all codes of indicators and domain tables

 

To accomodate the fact that 'interest rate type' can be "Non-applicable", the following changes were made to the LDM:

* The inheritance 'interest rate type' is not marked as "complete" anymore.

* The business rule 'instrument spc0017 interest rate type' has extra text stating how to deal with subtypeing instrument when the interest rate type = "Non-applicable" (no subtypes required).

 

Version 0.8

identifier 'interest rate type PK' of entity type 'type of interest rate' is renamed to 'type of interest rate PK'.It now matches the name of its entity type.

 

identifier 'logical datamodel PK' of entity type 'logical data model' is renamed to 'logical data model PK'.It now matches the name of its entity type.

 

identifier 'protection provider protection received PK' of entity type 'protection provider-protection received' is renamed to 'protection provider-protection received PK'.It now matches the name of its entity type.

 

identifier 'natrural person PK' of entity type 'natural person' is renamed to 'natural person PK'.It now matches the name of its entity type.

 

identifier 'type of valuation PK' of entity type 'protection valuation aproach' is renamed to 'protection valuation aproach PK'.It now matches the name of its entity type.

 

identifier 'servicer-instrument data' of entity type 'servicer-instrument data' is renamed to 'servicer-instrument data PK'.It now matches the name of its entity type.

 

identifier 'individualy or collectively assessed impaired instrument PK' of entity type 'individually or collectively assessed impaired instrument' is renamed to 'individually or collectively assessed impaired

instrument PK'.It now matches the name of its entity type.

 

identifier 'type of instrument in bsi PK' of entity type 'bsi class' is renamed to 'bsi class PK'.It now matches the name of its entity type.

 

identifier 'type of instrument in finrep PK' of entity type 'type of instrument' is renamed to 'type of instrument PK'.It now matches the name of its entity type.

 

identifier 'resident immovable property PK' of entity type 'domestic immovable property' is renamed to 'domestic immovable property PK'.It now matches the name of its entity type.

 

identifier 'lgdmodel PK' of entity type 'LGD model' is renamed to 'LGD model PK'.It now matches the name of its entity type.

 

identifier 'eadmodel PK' of entity type 'EAD model' is renamed to 'EAD model PK'.It now matches the name of its entity type.

 

identifier 'LGDmodel-protection PK' of entity type 'LGD model-protection received' is renamed to 'LGD model-protection received PK'.It now matches the name of its entity type.

 

identifier 'PDmodel PK' of entity type 'PD model' is renamed to 'PD model PK'.It now matches the name of its entity type.

 

identifier 'debtor default data PK' of entity type 'debtor past due' is renamed to 'debtor past due PK'.It now matches the name of its entity type.

 

identifier 'debtor default data PK' of entity type 'debtor not past due' is renamed to 'debtor not past due PK'.It now matches the name of its entity type.

 

Changed the name of the entity type 'originator-instrument subject to securitisation data' to 'originator-securitized instrument data'. It turned out that the name was too long for our technical implementation.

It also is now again in line with the name used in AnaCredit.

 

Changed name of entity type 'individually or collectively assessed impaired instrument' to 'impaired instrument'. It turned out that the name was too long for our technical implementation.

This change triggerd the change of the server expression in the business rule 'recognized instrument spc0001 impairment assessment method'. It also is now again in line with the name used in AnaCredit.

 

identifier 'originator-instrument subject to securitisation data PK' of entity type 'originator-securitized instrument data' is renamed to 'originator-securitized instrument data PK'.It now matches the name of its entity type.

 

identifier 'individually or collectively assessed impaired instrument PK' of entity type 'impaired instrument' is renamed to 'impaired instrument PK'.It now matches the name of its entity type.

 

Renamed business rule 'recognised instrument spc0023 impairment assessment method' to 'recognised instrument spc0001 impairment assessment method'. It now corresponds to the code spc0001.

 

Inheritance 'fully derecognised instrument being serviced indicator' is marked "complete". This indicates that one of the subtypes is always present.

 

Inheritance 'impairement assessment method' is marked "complete". This indicates that one of the subtypes is always present.

 

Entity 'delivery' has been connected to 'observed agent delivery'

 

Changed the name of attribute 'instrument past due indicator' to 'past due instrument indicator'

The following attributes (of stage 1) are marked as "mandatory": 'exit status', 'impairment assessment method' en 'debtor past due indicator'

 

Created new entity above the current entity 'natural person' named 'household'. Household is subtyped into the already existing entity natural person and a new entity called 'partnership'.

 

Changed the attribute name of 'Borrower's employment status at inception' to 'Debtor's employment status at inception'

 

Changed the attribute name of 'Inception date of first mortgage' to 'Inception date of first instrument for investing in RRE'

 

Changed business rule spc0002 in such way that it refers to the correct subtypes (legal entity and households)

 

Created new business rule spc0014 for the indicator concerning household type; whether it's a natural person or partnership

 

Deleted reference dataset 'reporting membership type'

 

Created new business rule ssmc0001 which states that a debtor is always a household

Inheritance 'resident legal entity' is marked "complete". This indicates that one of the subtypes is always present.

 

Inheritance 'immovable property location indicator' is marked "complete". This indicates that one of the subtypes is always present.

 

Created new subtypes for debtor-instrument data; one for partnership-instrument data and one for natural-person instrument data

 

Changed the word depositing in the attribute Cumulative additional premiums/depositing to deposits

 

Changed severity of the business rules which do not affect the integrity of the model to "signalling"

 

Created new business rule omc0024 inception date of first instrument cannot be "Non-applicable" if bsi class is woninghypotheken. The attribute 'inception date of first instrument for investing in RRE' is now mandatory.

 

Deleted the following business rules: omc0003 and spc0026 because the attribute 'income verification at inception' does not exist anymore

 

Copied the following business rules from AnaCredit to RRE since these are legit for RRE as well: omc0009, omc0010, omc0011, omc0012, omc0020, omc0007, tpc0007 and omc0008 (other numbers in AnaCredit)

 

Deleted business rule omc0403 and omc0406 because of redundance looking at business rule omc0008. In this way the business rules regarding joint liability are consistent with the ldm of AnaCredit

 

Changed the typo 'aproach' to 'approach' in the reference table protection valuation approach

 

Created new business rule spc0015 for the household type-instrument indicator to correspond with the subtypes

 

Created new business rule tpc0006 which states that interest rate reset frequency at inception should be "Non-applicable" if interest rate type is "fixed"

 

Created new business rule omc0025 stating the influence of bullet instrument on the value of periodic repayment due

 

Created new business rule tpc0008 stating cumulative additional premiums/deposits must be "Non-applicable" in case instrument is of a certain type

 

Removed attribute 'country' from subtype 'foreign immovable property' because the attribute country is already present in supertype 'immovable property'

 

Changed cardinality between entities 'debtor' and 'debtor-instrument data' from 0,n to 1,n

 

Changed cardinality between entities 'contract' and 'instrument' from 0,n to 1,n

 

Replaced business rules omc0401 and omc0402 with omc0013 and omc0018 from AnaCredit because these business rules are more generic

 

Copied business rule omc0019 from AnaCredit (other number) because the row count check is required for RRE as well

 

Copied business rule omc0016 and omc0017 from AnaCredit (other number) because the check whether reference date and reporting agent match the rre.xml's is required for RRE as well

 

Attribute 'Debtor's employment status at inception' is made mandatory because of the subtyping

 

Attribute 'Income at inception' is made mandatory because of the subtyping

 

Attribute 'Other debts at inception' is made mandatory

 

Changed cardinality between instrument to accounting data from 0,1 to 1,1 because there is always a financial data entity and an accounting data entity for every instrument entity

 

Attribute 'household income at inception' is made mandatory

 

Attribute 'product name' is made mandatory

 

Attribute 'product label' is made mandatory

 

Changed cardinality between protection provider to protecton proivder-protection received from 0,n to 1,n

 

Changed cardinality between protection received to protection provider-protection received from 0,n to 1,n

 

Changed the business rule expression beneath immovable property locator looking at whether country code is "NL" or not

 

Created business rules omc0014 and omc0015 (copied from AnaCredit) in which I rephrased "Default status of the debtor" into “Default status of the counterparty in the debtor default data entity”

 

Made a lot of cardinalities dependent looking at the keys used within the entities

 

Deleted immovable property location indicator. Attribute 'country' now serves as an indictor for the subtypes beneath.

 

Attribute 'Inception date' moved from 'instrument' to 'contract' (as is the case in AnaCredit)

 

Added attribute 'rank' to entity 'attribute' because this attribute is introduced in AnaCredit as well

 

Rationalize the model. Keep spc0003 which indicates that counterparty role must correspond to the subtype that is used. Therefore the business rules dmc0002, dmc0003, dmc0004, dmc0005, dmc0006 are not needed anymore.

 

Deleted attribute 'mortgage inscription' in entity 'instrument'

 

Changed the term "resident" into "Dutch" in the entities Resident legal entity and Resident natural person as well as in the indicators and the accompanying business rules (spc0008 and spc0009)

 

Changed the typo 'propery' to 'property' in the reference table immovable property type

 

Created 3 business rules to describe the relationship between income at inception in case of joint liability and household income at inception: omc0023, omc0026 and omc0027

 

Created business rule omc0027 for the joint liability amount and outstanding nominal amount

 

Deleted business rule etc0001 because it is not needed next to omc0008

 

Updated the expression text of business rule spc0013

 

Adjusted domain values of protection provider indicator. One had the entity name in its label name which is incorrect.

 

Placed entity 'protection received' as an entity on the same height as entity 'counterparty'

 

Placed entity 'protection provider' and 'non-protection providing counterparty' as an entity on the same height as the counterparty role entities

 

Deleted the capital letters of the attribute name in business rules omc0021 and omc0022

 

Attributes 'credit conversion factor', 'off balance sheet amount', 'accrued interest' and 'transferred amount' are made mandatory in entity 'financial data'

 

Attributes 'status of forbearance and renegotiation', 'cumulative recoveries since default' and 'cumulative unsecured recoveries since default' are made mandatory in entity 'accounting data'

 

Attribute 'protection valuation approach at inception' is made mandatory in entity 'instrument-protection receieved data'

 

Attribute 'final loss amount' in entity 'recognised instrument' is made mandatory

 

Attributes 'name of pool/transaction', 'date of securitisation' and 'type of securitisation' are made mandatory in entity 'instrument subject to securitisation'

 

Attributes 'currency', 'payment frequency', 'interest rate type', 'settlement date', 'reference rate_reference rate value', 'reference rate_maturity value', 'commitment amount at inception' and 'corep class' are made mandatory in entity 'instrument'

 

Attributes 'estimated recovery amount' and 'estimated downturn recovery amount' are made mandatory in entity 'LGD model-protection received'

 

Deleted attributes 'encrypted property identifier' and 'encrypted object identifier' in entity 'immovable property'

 

Attribute 'protection valuation approach' is made mandatory and attribute 'protection valuation type' is made optional in entity 'protection receieved'

 

Attributes 'legal entity identifier' and 'name' in entity 'legal entity' are made mandatory

 

Attributes 'LGD best estimate', 'probability of cure', 'downturn LGD excluding add-ons', 'regulatory downturn LGD', 'Rgeulatory EL' and 'Regulatory RWA' are made mandatory in the LGD model entities

 

Attributes 'Regulatory EAD', 'Regulatory EL' and 'Regulatory RWA' are made mandatory in the EAD model entities

 

Attributes 'Initial PD', 'Regulatory PD', 'Rgeulatory EL' and 'Regulatory RWA' are made mandatory in the PD model entities

 

Created business rule omc0029 to make sure that country in domestic immovable property is always 'NL'

 

Created seperate LGD, EAD and PD model entities for the three different levels of model information; debtor, instrument, contract

 

Changed attribute name 'date of income' to 'date of income at inception'

 

Combined the two reference tables 'default status of the instrument' and 'default status of the counterparty' to one reference table named 'default status'