From 5fa308ef00c1a3f7666cec6a05c197f932f5ddd9 Mon Sep 17 00:00:00 2001 From: samir Date: Thu, 30 Mar 2023 14:28:58 +0100 Subject: [PATCH 1/3] add-risk-weight-to-security --- v1-dev/security.json | 8 ++++++++ 1 file changed, 8 insertions(+) diff --git a/v1-dev/security.json b/v1-dev/security.json index e325ebaf..7d668991 100644 --- a/v1-dev/security.json +++ b/v1-dev/security.json @@ -508,6 +508,14 @@ "minimum": 1, "maximum": 10 }, + "risk_weight_irb": { + "description": "The internal risk weight represented as a decimal/float such that 1.5% is 0.015.", + "type": "number" + }, + "risk_weight_std": { + "description": "The standardised approach risk weight represented as a decimal/float such that 1.5% is 0.015.", + "type": "number" + }, "securitisation_type": { "description": "The type of securitisation with regards to common regulatory classifications.", "type": "string", From fa7b6b8780de330055aa8b23d6eb135453b5b25f Mon Sep 17 00:00:00 2001 From: samir Date: Thu, 6 Apr 2023 10:48:15 +0100 Subject: [PATCH 2/3] add-securitisation-attributes --- documentation/properties/delinquency_ratio.md | 13 ++++++ .../properties/ead_subpool_w_known.md | 13 ++++++ .../properties/ead_subpool_w_unknown.md | 12 ++++++ documentation/properties/k_sa.md | 17 ++++++++ .../properties/securitisation_method.md | 24 +++++++++++ .../properties/underlying_delinquent_exp.md | 13 ++++++ .../properties/underlying_total_exp_pool.md | 17 ++++++++ v1-dev/security.json | 43 +++++++++++++++++++ 8 files changed, 152 insertions(+) create mode 100644 documentation/properties/delinquency_ratio.md create mode 100644 documentation/properties/ead_subpool_w_known.md create mode 100644 documentation/properties/ead_subpool_w_unknown.md create mode 100644 documentation/properties/k_sa.md create mode 100644 documentation/properties/securitisation_method.md create mode 100644 documentation/properties/underlying_delinquent_exp.md create mode 100644 documentation/properties/underlying_total_exp_pool.md diff --git a/documentation/properties/delinquency_ratio.md b/documentation/properties/delinquency_ratio.md new file mode 100644 index 00000000..61b69504 --- /dev/null +++ b/documentation/properties/delinquency_ratio.md @@ -0,0 +1,13 @@ +--- +layout: property +title: "delinquency_ratio" +schemas: [security] +--- + +# delinquency_ratio + +--- + +For securitisation standardized approach (sec-sa), **delinquency_ratio** is the percentage of exposures that are in default within the securitised pool. Provided when underlying exposures in securitised pool is not attached to securitised exposure or not known and cannot be calculated. Used to calculate Ka under the SEC_SA approach for securitisation. + +See [Basel Framework, CRE 41.9](https://www.bis.org/basel_framework/chapter/CRE/41.htm?inforce=20191215&published=20191215#:~:text=In%20case%20a%20bank%20does%20not%20know%20the%20delinquency%20status%2C%20as%20defined%20above%2C%20for%20no%20more%20than%205%25%20of%20underlying%20exposures%20in%20the%20pool%2C%20the%20bank%20may%20still%20use%20the%20SEC%2DSA%20by%20adjusting%20its%20calculation%20of%20KA%20as%20follows%3A). diff --git a/documentation/properties/ead_subpool_w_known.md b/documentation/properties/ead_subpool_w_known.md new file mode 100644 index 00000000..4dcef46b --- /dev/null +++ b/documentation/properties/ead_subpool_w_known.md @@ -0,0 +1,13 @@ +--- +layout: property +title: "ead_subpool_w_known" +schemas: [security] +--- + +# ead_subpool_w_known + +--- + +For securitisation standardized approach (sec-sa), **ead_subpool_w_known** is the total exposure within the secritised pool where delinquency is known. Provided when underlying exposures in securitised pool is not attached to securitised exposure or not known and cannot be calculated. Used to calculate Ka under the SEC_SA approach for securitisation. + +See [Basel Framework, CRE 41.9](https://www.bis.org/basel_framework/chapter/CRE/41.htm?inforce=20191215&published=20191215#:~:text=In%20case%20a%20bank%20does%20not%20know%20the%20delinquency%20status%2C%20as%20defined%20above%2C%20for%20no%20more%20than%205%25%20of%20underlying%20exposures%20in%20the%20pool%2C%20the%20bank%20may%20still%20use%20the%20SEC%2DSA%20by%20adjusting%20its%20calculation%20of%20KA%20as%20follows%3A). diff --git a/documentation/properties/ead_subpool_w_unknown.md b/documentation/properties/ead_subpool_w_unknown.md new file mode 100644 index 00000000..5b718614 --- /dev/null +++ b/documentation/properties/ead_subpool_w_unknown.md @@ -0,0 +1,12 @@ +layout: property +title: "ead_subpool_w_unknown" +schemas: [security] +--- + +# ead_subpool_w_unknown + +--- + +For securitisation standardized approach (sec-sa), **ead_subpool_w_unknown** is the total exposure within the secritised pool where delinquency is not known. Provided when underlying exposures in securitised pool is not attached to securitised exposure or not known and cannot be calculated. Used to calculate Ka under the SEC_SA approach for securitisation. + +See [Basel Framework, CRE 41.9](https://www.bis.org/basel_framework/chapter/CRE/41.htm?inforce=20191215&published=20191215#:~:text=In%20case%20a%20bank%20does%20not%20know%20the%20delinquency%20status%2C%20as%20defined%20above%2C%20for%20no%20more%20than%205%25%20of%20underlying%20exposures%20in%20the%20pool%2C%20the%20bank%20may%20still%20use%20the%20SEC%2DSA%20by%20adjusting%20its%20calculation%20of%20KA%20as%20follows%3A). diff --git a/documentation/properties/k_sa.md b/documentation/properties/k_sa.md new file mode 100644 index 00000000..b6a93c7a --- /dev/null +++ b/documentation/properties/k_sa.md @@ -0,0 +1,17 @@ +--- +layout: property +title: "k_sa" +schemas: [security] +--- + +# k_sa + +--- + +For securitisation standardized approach (sec-sa), **k_sa** is the hypothetical capital charge under the Standardised Approach that the underlying exposures would have had, had they not been securitised. **k_sa** is used as input for the calculation of Ka in sec-sa methodology. Input required to calculate ksa if underlying pool data is not provided. + +See [Basel Framework, CRE 41.2](https://www.bis.org/basel_framework/chapter/CRE/41.htm?inforce=20191215&published=20191215#:~:text=KSA%20is%20defined,would%20equal%200.08). + + + + diff --git a/documentation/properties/securitisation_method.md b/documentation/properties/securitisation_method.md new file mode 100644 index 00000000..910ab63f --- /dev/null +++ b/documentation/properties/securitisation_method.md @@ -0,0 +1,24 @@ +--- +layout: property +title: "securitisation_method" +schemas: [security] +--- + +# securitisation_method + +--- + +Identify the securitisation methodology applied to the securitised pool to derive the ead and risk weight". + + +### sec_sa +**Standardised Approach**. See [Basel Framework, CRE 41](https://www.bis.org/basel_framework/chapter/CRE/41.htm). + +### sec_erba +**External Ratings-Based Approach**. See [Basel Framework, CRE 42](https://www.bis.org/basel_framework/chapter/CRE/42.htm?inforce=20230101&published=20230101). + +### sec_iaa +**Internal Assessment Approach**. See [Basel Framework, CRE 43](https://www.bis.org/basel_framework/chapter/CRE/43.htm?inforce=20191215&published=20191215). + +### sec_irba +**Internal Ratings-Based Approach**. See [Basel Framework, CRE 44](https://www.bis.org/basel_framework/chapter/CRE/44.htm?inforce=20230101&published=20200327). \ No newline at end of file diff --git a/documentation/properties/underlying_delinquent_exp.md b/documentation/properties/underlying_delinquent_exp.md new file mode 100644 index 00000000..2caae6c5 --- /dev/null +++ b/documentation/properties/underlying_delinquent_exp.md @@ -0,0 +1,13 @@ +--- +layout: property +title: "underlying_delinquent_exp" +schemas: [security] +--- + +# underlying_delinquent_exp + +--- + +For securitisation standardized approach (sec-sa), **underlying_delinquent_exp** is the total exposure amount from the underlying pool that belongs to exposures that are 90 days past due or in default status. Amount is provided for calculation of w_ratio, which is input to Ka for Ksec_sa when underlying pool data is not provided. + +See [Basel Framework, CRE 41.7](https://www.bis.org/basel_framework/chapter/CRE/41.htm#:~:text=Delinquent%20underlying%20exposures%20are%20underlying%20exposures%20that%20are%2090%20days%20or%20more%20past%20due%2C%20subject%20to%20bankruptcy%20or%20insolvency%20proceedings%2C%20in%20the%20process%20of%20foreclosure%2C%20held%20as%20real%20estate%20owned%2C%20or%20in%20default%2C%20where%20default%20is%20defined%20within%20the%20securitisation%20deal%20documents.). diff --git a/documentation/properties/underlying_total_exp_pool.md b/documentation/properties/underlying_total_exp_pool.md new file mode 100644 index 00000000..5ca876a5 --- /dev/null +++ b/documentation/properties/underlying_total_exp_pool.md @@ -0,0 +1,17 @@ +--- +layout: property +title: "underlying_deliquent_exp" +schemas: [security] +--- + +# underlying_total_exp_pool + +--- + +For securitisation standardized approach (sec-sa), **underlying_total_exp_pool** is the total exposure of the securitised pool. Amount is provided for calculation of w_ratio, which is input to Ka for Ksec_sa when underlying pool data is not provided. + +See [Basel Framework, CRE 41.6](https://www.bis.org/basel_framework/chapter/CRE/41.htm#:~:text=The%20variable%20W%20equals%20the%20ratio%20of%20the%20sum%20of%20the%20nominal%20amount%20of%20delinquent%20underlying%20exposures%20(as%20defined%20in%20CRE41.7)%20to%20the%20nominal%20amount%20of%20underlying%20exposures.). + + + + diff --git a/v1-dev/security.json b/v1-dev/security.json index 7d668991..06fef407 100644 --- a/v1-dev/security.json +++ b/v1-dev/security.json @@ -151,12 +151,28 @@ "description": "The unique identifier used by the financial institution to identify the deal for this product that links it to other products of the same or different type.", "type": "string" }, + "delinquency_ratio": { + "description": "For securitisation Standardised Approach, the percentage of exposures that are in default within the securitised pool.", + "type": "number", + "minimum": 0.0, + "maximum": 1.0 + }, "detachment_point": { "description": "The threshold at which losses within the pool of underlying exposures would result in a complete loss of principal for the tranche containing the relevant securitisation position.", "type": "number", "minimum": 0.0, "maximum": 1.0 }, + "ead_subpool_w_known": { + "description": "For securitisation Standardised Approach, the total exposure within the securitised pool where delinquency is known.", + "type": "integer", + "monetary": true + }, + "ead_subpool_w_unknown": { + "description": "For securitisation Standardised Approach, the total exposure within the securitised pool where delinquency is unknown.", + "type": "integer", + "monetary": true + }, "encumbrance_amount": { "description": "The amount of the security that is encumbered by potential future commitments or legal liabilities such as within a repo pool. Monetary type represented as a naturally positive integer number of cents/pence.", "type": "integer", @@ -346,6 +362,12 @@ "type":"string", "enum": ["k1_plus", "k1", "k2", "k3", "b", "c", "d"] }, + "k_sa": { + "description": "For securitisation standardised approach (sec-sa), ksa is the SA capital charge had the underlying exposures not been securitised", + "type": "number", + "minimum": 0.0, + "maximum": 1.0 + }, "last_payment_date": { "description": "The final payment date for interest payments, often coincides with end_date or the maturity date", "type": "string", @@ -516,6 +538,16 @@ "description": "The standardised approach risk weight represented as a decimal/float such that 1.5% is 0.015.", "type": "number" }, + "securitisation_method": { + "description": " Identify the securitisation methodology applied to the securitised pool to derive the ead and risk weight", + "type": "string", + "enum": [ + "sec_sa", + "sec_erba", + "sec_iaa", + "sec_irba" + ] + }, "securitisation_type": { "description": "The type of securitisation with regards to common regulatory classifications.", "type": "string", @@ -678,6 +710,17 @@ "warranty" ] }, + "underlying_delinquent_exp": { + "description": "For securitisation Standardised Approach, the total exposure amount from the underlying pool that belongs to exposures in default status.", + "type": "integer", + "monetary": true + }, + "underlying_total_exp_pool": { + "description": "For securitisation Standardised Approach, tthe total exposure of the securitised pool.", + "type": "integer", + "monetary": true + }, + "value_date": { "description": "The timestamp that the trade or financial product was valued. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.", "type": "string", From 898c133aff5360049c75de61074bf202e1e48407 Mon Sep 17 00:00:00 2001 From: samir Date: Thu, 6 Apr 2023 11:03:32 +0100 Subject: [PATCH 3/3] reordering security attributes to fix failing test --- v1-dev/security.json | 16 ++++++++-------- 1 file changed, 8 insertions(+), 8 deletions(-) diff --git a/v1-dev/security.json b/v1-dev/security.json index 06fef407..21a8baa9 100644 --- a/v1-dev/security.json +++ b/v1-dev/security.json @@ -352,6 +352,12 @@ "description": "The unique identifier for the issuer within the financial institution.", "type": "string" }, + "k_sa": { + "description": "For securitisation standardised approach (sec-sa), ksa is the SA capital charge had the underlying exposures not been securitised", + "type": "number", + "minimum": 0.0, + "maximum": 1.0 + }, "kbra_lt": { "description": "KBRA long term credit ratings", "type":"string", @@ -362,12 +368,6 @@ "type":"string", "enum": ["k1_plus", "k1", "k2", "k3", "b", "c", "d"] }, - "k_sa": { - "description": "For securitisation standardised approach (sec-sa), ksa is the SA capital charge had the underlying exposures not been securitised", - "type": "number", - "minimum": 0.0, - "maximum": 1.0 - }, "last_payment_date": { "description": "The final payment date for interest payments, often coincides with end_date or the maturity date", "type": "string", @@ -542,10 +542,10 @@ "description": " Identify the securitisation methodology applied to the securitised pool to derive the ead and risk weight", "type": "string", "enum": [ - "sec_sa", "sec_erba", "sec_iaa", - "sec_irba" + "sec_irba", + "sec_sa" ] }, "securitisation_type": {