Entity instrument

Details of entity instrument

Name

instrument

Code

instrument

Parent

Logical Data Model 'CRE GLO per bank LDM'

Comment

'instrument' means any item specified in the data attribute 'type of instrument', as defined in Annex IV.

The level of granularity for the instrument data is the instrument. Each record is uniquely identified by the combination of the following data attributes: (a) reporting agent identifier; (b) observed agent identifier; (c) contract identifier; and (d) instrument identifier."

Parent Entity

<None>


List of attributes of the entity 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

reporting reference date

reporting_reference_date

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

Date

reporting reference date

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

 

type of instrument

typ_instrmnt

Classification of the instrument according to the type of contractual terms agreed between the parties.

Variable multibyte (255)

code

X

 

X

amortisation type

typ_amrtstn

Type of amortisation of the instrument including principal and interest.

Variable multibyte (255)

code

X

 

X

currency

crrncy_dnmntn

Currency denomination of instrument, in accordance with the ISO's 4217 standard.

Characters (3)

ISO 4217 Currency

X

 

X

interest rate reset frequency

intrst_rt_rst_frqncy

Frequency at which the interest rate is reset after the initial fixed-rate period, if any.

Variable multibyte (255)

code

X

 

X

interest rate type

typ_intrst_rt

Classification of credit exposures based on the base rate for establishing the interest rate for each payment period.

Variable multibyte (255)

code

X

 

X

legal final maturity date

dt_lgl_fnl_mtrty

The contractual maturity date of the instrument, taking into account any agreements amending initial contracts.

Defined as yyyy-mm-dd.

Date

date with exclusions

X

 

 

commitment amount at inception

cmmtmnt_incptn

Observed agent's maximum exposure to credit risk on the inception date of the instrument, without taking into account any protection held or other credit enhancements.

Total commitment amount on the inception date is established during the approval process and is intended to restrict an observed agent’s amount of credit risk to a given counterparty for the relevant instrument.

Amount in euro. Foreign currency amounts should be converted into euro at the respective ECB euro foreign exchange reference rates (i.e. the mid-rate) on the reporting reference date.

Commitment amount at inception is mandatory, except for instruments of type overdraft when applicable to current accounts with no credit limit.

Decimal (16,0)

euro amount (non-negative) with exclusions

X

 

 

payment frequency

pymnt_frqncy

Frequency of payments due, either of principal or interest, i.e. number of months between payments.

Variable multibyte (255)

code

X

 

X

project finance loan

prjct_fnnc_ln

Identification of project finance

Variable multibyte (255)

code

X

 

X

provision amount

provision_amount

The amount of specific loan loss provisions held for the instrument.

Decimal (16,0)

euro amount (non-negative)

X

 

 

corep class

corep_class

The COREP asset class of the instrument in accordance with reporting agents' own reported COREP estimates.

Variable multibyte (255)

code

X

 

X

interest rate at inception

intrst_rt_at_origin

Annualised agreed rate or narrowly defined interest rate in accordance with Regulation (EU) No 1072/2013 of the European Central Bank (ECB/2013/34) at the moment of inception of the instrument. Regulation (EU) No 1072/2013 of the European Central Bank of 24 September 2013 concerning statistics on interest rates applied by monetary financial institutions (ECB/2013/34) (OJ L 297, 7.11.2013, p. 51).

Decimal (12,0)

real number (positive or negative)

X

 

 

outstanding nominal amount at inception

outstanding_nominal_amount_at_inception

 

Decimal (16,0)

euro amount (non-negative)

 

 

 

special asset management

special_asset_management

Special asset management distinguishes whether or not an instrument has been placed under special asset management.

Variable multibyte (255)

code

X

 

X

recourse

recourse

Classification of instruments based on the creditor’s rights to seize assets other than any protection pledged to secure the instrument.

Variable multibyte (255)

code

X

 

X

loan to value

loan_to_value

Loan-to-value (LTV) at reporting reference date means the sum of all loans or loan tranches secured by the CRE property (L) at the reporting reference date relative to the value of CRE property (V) at the reporting reference date.

Decimal (12,0)

real number (non-negative) with exclusions

X

 

 

loan to value at inception

loan_to_value_at_inception

The loan to value at the moment of inception of the instrument calculated by the originator of the loan.

Decimal (12,0)

real number (non-negative) with exclusions

 

 

 

interest coverage ratio

interest_coverage_ratio

Interest coverage ratio (ICR) means the net annual rental income accruing from a the real estate collateral or set of real estate collaterals relative to the annual interest cost of the loan secured by the real estate collateral or set of real estate collaterals. The values to be used in the calculation are those valid at the latest reporting reference date as reported under the attribute Reporting reference date.

Decimal (12,0)

real number (non-negative) with exclusions

X

 

 

interest coverage ratio at inception

interest_coverage_ratio_at_inception

Interest coverage ratio (ICR) means the net annual rental income accruing from real estate collateral or set of real estate collaterals relative to the annual interest cost of the loan secured by the real estate collateral or set of real estate collaterals. The values used for the calculation are those that were valid at the inception date of the contract as reported under the attribute Inception date.

Decimal (12,0)

real number (non-negative)

 

 

 

debt service coverage ratio

debt_service_coverage_ratio

The debt service coverage ratio (DSCR) means the net annual rental income accruing from the real estate collateral or set of real estate collaterals relative to the annual debt service on the loan secured by the real estate collateral. The values to be used in the calculation are those valid at the latest reporting reference date as reported under the attribute Reporting reference date.

Decimal (12,0)

real number (non-negative) with exclusions

X

 

 

debt service coverage ratio at inception

debt_service_coverage_ratio_at_inception

The debt service coverage ratio (DSCR) means the net annual rental income accruing from real estate collateral or set of real estate collaterals relative to the annual debt service on the loan secured by the real estate collateral. The values to be used in the calculation are those valid at the inception date of the contract as reported under the attribute Inception date.

Decimal (12,0)

real number (non-negative)

 

 

 

interest-only indicator

interest_only_indicator

Interest-only indicator distinguishes instruments according to the fact that at the reporting reference date, the instrument is interest-only or not interest-only.

When the amortisation type is 'French' or 'Fixed amortisation schedule' then the interest-only indicator must be a "non-interest-only instrument".

Variable characters (50)

interest-only indicator

X

 

 

drawn instrument indicator

drawn_instrument_indicator

Drawn instrument indicator distinguishes financial data into those data relating to instruments where money has been drawn from and those where no money has (yet) been drawn from.

Variable characters (50)

drawn instrument indicator

X

 

 


List of child entities of the entity instrument

Child Entity

Inheritance

fixed interest instrument

interest rate type

non-fixed interest instrument

interest rate type

drawn instrument

drawn instrument indicator

undrawn instrument

drawn instrument indicator

interest-only instrument

interest-only indicator

non-interest-only instrument

interest-only indicator


List of relationships of the entity instrument

Name

Code

Generate

Entity 2

Entity 1

Dependent Role

Entity 1 -> Entity 2 Role Cardinality

Entity 2 -> Entity 1 Role Cardinality

classifies

interest_rate_reset_frequency_classifies_instrument

X

instrument

interest rate reset frequency

 

0,n

1,1

classifies

type_of_instrument_classifies_instrument

X

instrument

type of instrument

 

0,n

1,1

classifies

payment_frequency_classifies_instrument

X

instrument

payment frequency

 

0,n

1,1

classifies

recourse_indicator_classifies_instrument

X

instrument

recourse indicator

 

0,n

1,1

classifies

project_finance_loan_indicator_classifies_instrument

X

instrument

project finance loan indicator

 

0,n

1,1

classifies

interest_rate_type_classifies_instrument

X

instrument

interest rate type

 

0,n

1,1

classifies

amortisation_type_classifies_instrument

X

instrument

amortisation type

 

0,n

1,1

classifies

special_asset_management_classifies_instrument

X

instrument

special asset management

 

0,n

1,1

classifies

corep_class_classifies_instrument

X

instrument

corep class

 

0,n

1,1

contains

contract_contains_instrument

X

instrument

contract

instrument -> contract

0,n

1,1

has

instrument_has_lgd_model_instrument

X

LGD model instrument

instrument

LGD model instrument -> instrument

0,n

1,1

has

instrument_has_accounting_data

X

accounting data

instrument

accounting data -> instrument

1,1

1,1

has

instrument_has_financial_data

X

financial data

instrument

financial data -> instrument

1,1

1,1

has

instrument_has_instrument_protection_received_data

X

instrument-protection received data

instrument

instrument-protection received data -> instrument

0,n

1,1

has

instrument_has_ead_model_instrument

X

EAD model instrument

instrument

EAD model instrument -> instrument

0,n

1,1

has creditor via

instrument_has_creditor_via_creditor_instrument_data

X

instrument

creditor-instrument data

creditor-instrument data -> instrument

1,1

1,n

has debtor via

instrument_has_debtor_via_debtor_instrument_data

X

debtor-instrument data

instrument

debtor-instrument data -> instrument

1,n

1,1

has originator via

instrument_subject_to_securitisation_has_originator_via_originator_securitized_instrument_data

X

originator-securitized instrument data

instrument

originator-securitized instrument data -> instrument

0,n

1,1

has servicer via

instrument_has_servicer_via_servicer_instrument_data

X

instrument

servicer-instrument data

servicer-instrument data -> instrument

1,1

1,n

is denomination currency of

currency_is_denomination_currency_of_instrument

X

instrument

currency

 

0,n

1,1


List of child inheritances of the entity instrument

Name

Code

Mutually Exclusive

Inherit All

Generate Parent

Generate Children

drawn instrument indicator

drawn_instrument_indicator

X

 

X

X

interest rate type

interest_rate_type

X

 

X

X

interest-only indicator

interest_only_indicator

X

 

X

X


List of identifiers of the entity instrument

Name

Code

Parent

Primary Identifier

instrument PK

instrument_pk

Entity 'instrument'

X