Name |
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Code |
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Parent |
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Comment |
LGD model information on the level of the contract. |
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 |
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Observed agent identifier is a number, assigned by De Nederlandsche Bank, that uniquely identifies the observed agent. |
Variable characters (60) |
X |
X |
X |
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reporting reference date is a date that indicates the date the entity type delivery pertains to. |
Date |
X |
X |
X |
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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 |
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An identifier applied by the reporting agent to uniquely identify each LGD model. Each LGD model must have one LGD model identifier |
Variable multibyte (255) |
X |
X |
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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) |
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The LGD ratio of the amount that could be lost on the exposure during economic downturns due to a default over a one-year period to the amount that would be outstanding at default, in accordance with Article 181 of Regulation (EU) No 575/2013. |
Decimal (7,0) |
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Risk weighted exposure amount in accordance with Regulation (EU) No 575/2013. |
Decimal (20,0) |
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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) |
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Name |
Code |
Generate |
Entity 2 |
Entity 1 |
Dependent Role |
Entity 1 -> Entity 2 Role Cardinality |
Entity 2 -> Entity 1 Role Cardinality |
X |
LGD model contract -> contract |
0,n |
1,1 |
Name |
Code |
Parent |
Primary Identifier |
X |
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