Name |
|
Code |
|
Parent |
Logical Data Model 'RRE DDA PER BANK LDM' |
Comment |
PD 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 |
|||
Observed agent identifier is a number, assigned by De Nederlandsche Bank, that uniquely identifies the observed agent. |
Variable characters (60) |
X |
X |
X |
|||
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 |
|||
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 |
|||
reporting reference date is a date that indicates the date the entity type delivery pertains to. |
Date |
X |
X |
X |
|||
The identifier or label of the model used to estimate the probability of default. |
Variable multibyte (255) |
X |
X |
|
|||
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) |
|
|
|
|||
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) |
|
|
|
|||
Expected loss of the exposure, in accordance with the corresponding LGD and EAD estimates. |
Decimal (20,0) |
|
|
|
|||
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) |
|
|
|
Name |
Code |
Generate |
Entity 2 |
Entity 1 |
Dependent Role |
Entity 1 -> Entity 2 Role Cardinality |
Entity 2 -> Entity 1 Role Cardinality |
X |
PD model instrument -> instrument |
0,n |
1,1 |
Name |
Code |
Parent |
Primary Identifier |
X |
|
|
|