From 79f76bc4ba447d2c88c44d9196f73439d68da0e4 Mon Sep 17 00:00:00 2001 From: GGschwendtner <62640830+GGschwendtner@users.noreply.github.com> Date: Mon, 9 Mar 2026 16:04:58 +0000 Subject: [PATCH 01/11] Update security schema and create documentation files --- documentation/properties/bs_recognition.md | 19 +++++ documentation/properties/securitisation_id.md | 11 +++ .../properties/securitisation_role.md | 21 +++++ .../properties/securitisation_type.md | 77 +++++++++++++------ documentation/properties/srt_type.md | 32 ++++++++ .../properties/third_party_risk_transfer.md | 9 +++ documentation/properties/type.md | 9 +++ documentation/properties/unique_id.md | 13 ++++ schemas/security.json | 65 +++++++++++++++- 9 files changed, 232 insertions(+), 24 deletions(-) create mode 100644 documentation/properties/bs_recognition.md create mode 100644 documentation/properties/securitisation_id.md create mode 100644 documentation/properties/securitisation_role.md create mode 100644 documentation/properties/srt_type.md create mode 100644 documentation/properties/third_party_risk_transfer.md create mode 100644 documentation/properties/unique_id.md diff --git a/documentation/properties/bs_recognition.md b/documentation/properties/bs_recognition.md new file mode 100644 index 00000000..5986aa24 --- /dev/null +++ b/documentation/properties/bs_recognition.md @@ -0,0 +1,19 @@ +--- +layout: property +title: "bs_recognition" +schemas: [security] +--- + +# bs_recognition + +--- +'Indicates the extent in which a securitisation underlying exposures are derocognised from the originator's balance sheet + +### partially_removed +The securitised exposures are partially derecognised from the the balance sheet + +### totally_kept +The securitised exposures remain entirely recognised on the balance sheet + +### totally_removed +The securitised exposures are fully derecognised from the the balance sheet diff --git a/documentation/properties/securitisation_id.md b/documentation/properties/securitisation_id.md new file mode 100644 index 00000000..9fb31a88 --- /dev/null +++ b/documentation/properties/securitisation_id.md @@ -0,0 +1,11 @@ +--- +layout: property +title: "securitisation_id" +schemas: [security] +--- + +# securitisation_id + +--- + +Internally identifier of a securitisation transaction. Also used by all related securitisation tranches linked to the same transaction \ No newline at end of file diff --git a/documentation/properties/securitisation_role.md b/documentation/properties/securitisation_role.md new file mode 100644 index 00000000..c8f3c70e --- /dev/null +++ b/documentation/properties/securitisation_role.md @@ -0,0 +1,21 @@ +--- +layout: property +title: "securitisation_role" +schemas: [security] +--- + +# securitisation_role +--- + +Role of the reporting institution in a securitisation transaction +### investor +https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A02017R2402-20210409#art_8:~:text=(11)%C2%A0,%E2%80%98investor%E2%80%99 + +### original_lender +https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A02017R2402-20210409#art_8:~:text=(20)%C2%A0,%E2%80%98original%20lender%E2%80%99 + +### originator +https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A02017R2402-20210409#art_8:~:text=of%20the%20originator%3B-,(3)%C2%A0,%E2%80%98originator%E2%80%99,-means%20an%20entity + +### sponsor +https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A02017R2402-20210409#art_8:~:text=(5)%C2%A0,%E2%80%98sponsor%E2%80%99 \ No newline at end of file diff --git a/documentation/properties/securitisation_type.md b/documentation/properties/securitisation_type.md index 271f1d54..c6f03e93 100644 --- a/documentation/properties/securitisation_type.md +++ b/documentation/properties/securitisation_type.md @@ -7,42 +7,75 @@ schemas: [security] # securitisation_type --- +The type of securitisation with regards to common regulatory classifications. There are 5 main types of securitisations: +### traditional +‘traditional securitisation’: involves the transfer of the economic interest in the exposures being securitised through the transfer of ownership of those exposures from the originator to an SSPE or through sub-participation by an SSPE, where the securities issued do not represent payment obligations of the originator; the cash flow from the underlying pool of exposures is used to service at least two different stratified risk positions or tranches reflecting different degrees of credit risk. Payments to the investors depend upon the performance of the specified underlying exposures, as opposed to being derived from an obligation of the entity originating those exposures -The type of securitisation with regards to common regulatory classifications. +### synthetic +‘synthetic securitisation’ the transfer of risk is achieved by the use of credit derivatives or guarantees, and the exposures being securitised remain exposures of the originator; -```bash -├── sts -│ ├── sts_traditional -│ └── sts_synthetic -├── sythetic -├── traditional -└── pass_through +### abcp_programme +Asset-backed commercial paper programme: a programme of securitisations the securities issued by which predominantly take the form of asset-backed commercial paper with an original maturity of one year or less; -``` +### abcp_transaction +Asset-backed commercial paper transaction: a securitisation within an ABCP programme + +### npe +A traditionional securitisation backed by a pool of non-performing exposures the nominal value of which makes up not less than 90 % of the entire pool’s nominal value at the time of origination and at any later time where assets are added to or removed from the underlying pool due to replenishment, restructuring or any other relevant reason. + +### npe_qualifying +A traditional NPE securitisation where the non-refundable purchase price discount is at least 50 % of the outstanding amount of the underlying exposures at the time they were transferred to the SSPE. ### sts -**STS securitisation**, or ‘simple, transparent and standardised securitisation’ means a securitisation that meets the requirements set out in Article 18 of Regulation (EU) 2017/2402. See [definitions](https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A32013R0575) and [criteria for STS securitisations qualifying for differentiated capital treatment](https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A32013R0575). +Each type of securitisation can be eligible to the Simple, Transparent and Standardised status (STS) when meeting the requirements of Article 18 of Regulation (EU) 2017/2402. (https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A32013R0575) ### sts_traditional -**Traditional** securitization is a structure where the cash flow from an underlying pool of exposures is used to service at least two different stratified risk positions or tranches reflecting different degrees of credit risk. Payments to the investors depend upon the performance of the specified underlying exposures, as opposed to being derived from an obligation of the entity originating those exposures. -See [OSFI Chapter 6, P5][osfi-chapter-6] - ### sts_synthetic -**Synthetic** securitization is a structure with at least two different stratified risk positions or tranches that reflect different degrees of credit risk where credit risk of an underlying pool of exposures is transferred, in whole or in part, through the use of funded (e.g. credit-linked notes) or unfunded (e.g. credit default swaps) credit derivatives or guarantees that serve to hedge the credit risk of the portfolio. -See [OSFI Chapter 6, P6][osfi-chapter-6] +### sts_abcp_programme +### sts_abcp_transaction +### sts_npe +### sts_npe_qualifying -### traditional -**Non STS securitisation** means a securitisation that does not meet the requirements set out in Article 18 of Regulation (EU) 2017/2402. See [definitions](https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A32013R0575) and [criteria for STS securitisations qualifying for differentiated capital treatment](https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A32013R0575). +### sts_q +STS securitisations which qualify for a preferential ("differentiated") capital treatment under Art. 243 (ABCP and traditional securitisation) or art. 270 (synthetic securitisation). +### sts_q_traditional +### sts_q_synthetic +### sts_q_abcp_programme +### sts_q_abcp_transaction +### sts_q_npe +### sts_q_npe_qualifying -**Traditional** securitization is a structure where the cash flow from an underlying pool of exposures is used to service at least two different stratified risk positions or tranches reflecting different degrees of credit risk. Payments to the investors depend upon the performance of the specified underlying exposures, as opposed to being derived from an obligation of the entity originating those exposures. -See [OSFI Chapter 6, P5][osfi-chapter-6] -### synthetic -**Synthetic** (non-STS) securitization is a structure with at least two different stratified risk positions or tranches that reflect different degrees of credit risk where credit risk of an underlying pool of exposures is transferred, in whole or in part, through the use of funded (e.g. credit-linked notes) or unfunded (e.g. credit default swaps) credit derivatives or guarantees that serve to hedge the credit risk of the portfolio. -See [OSFI Chapter 6, P6][osfi-chapter-6] +```bash +├── abcp_programme +├── abcp_transaction +├── npe_non_qualifying +├── npe_qualifying +├── sythetic +├── traditional +├── pass_through +├── sts (sts_traditional) +│ ├── sts_abcp_programme +│ ├── sts_abcp_transaction +│ ├── sts_npe +│ ├── sts_npe_qualifying +│ ├── sts_traditional +│ └── sts_synthetic +├── sts_q (sts_q_traditional) + ├── sts_q_abcp_programme + ├── sts_q_abcp_transaction + ├── sts_q_npe + ├── sts_q_npe_qualifying + ├── sts_q_traditional + └── sts_q_synthetic + +``` +Remarks: **sts** and **sts_q** do not refer to any of the 5 basic securitisation types; they can therefore by used for **sts_traditional** and **sts_q_traditional** ### pass_through **Pass-through** security; a security created when one or more mortgage holders form a collection (pool) of mortgages and sells shares or participation certificates in the pool. The cash flow from the collateral pool is "passed through" to the security holder as monthly payments of principal, interest, and prepayments. +https://eur-lex.europa.eu/legal-content/en/TXT/?uri=CELEX%3A02013R0575-20260101#art_242:~:text=%E2%96%BCM13-,Article%20269a,-Treatment%20of%20non + --- [osfi-chapter-6]: https://www.osfi-bsif.gc.ca/en/guidance/guidance-library/capital-adequacy-requirements-car-2024-chapter-6-securitization diff --git a/documentation/properties/srt_type.md b/documentation/properties/srt_type.md new file mode 100644 index 00000000..d41d16a4 --- /dev/null +++ b/documentation/properties/srt_type.md @@ -0,0 +1,32 @@ +--- +layout: property +title: "srt_type" +schemas: [security] +--- + +# srt_type +--- + +### art_244_1b + +### art_244_2a + + +### art_244_2b + + +### art_244_3a + + +### art_245_1b + + +### art_245_2a + + +### art_245_2b + + +### art_245_3a + + diff --git a/documentation/properties/third_party_risk_transfer.md b/documentation/properties/third_party_risk_transfer.md new file mode 100644 index 00000000..52d94bbe --- /dev/null +++ b/documentation/properties/third_party_risk_transfer.md @@ -0,0 +1,9 @@ +--- +layout: property +title: "third_party_risk_transfer" +schemas: [security] +--- + +# third_party_risk_transfer + +--- diff --git a/documentation/properties/type.md b/documentation/properties/type.md index 279880d1..ba9d635e 100644 --- a/documentation/properties/type.md +++ b/documentation/properties/type.md @@ -869,6 +869,8 @@ Mortgages insured by the Department of Veterans Affairs. ├── cash ├── index ├── loan_pool +├── securitisation +│ └── re_securitisation └── other ``` @@ -1207,6 +1209,13 @@ Performance standby letter of credit ### performance_guarantee _Needs definition_ +### securitisation +Securitisation transaction (see https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A02017R2402-20210409#art_8:~:text=(1)%C2%A0,%E2%80%98securitisation%E2%80%99) + +### re_securitisation +Securitisation transaction where at least one of the securitised exposures is a securitisation position (sub-type of securitisation) +https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A02017R2402-20210409#art_8:~:text=(4)%C2%A0,%E2%80%98resecuritisation + ### share_agg _Needs definition_ diff --git a/documentation/properties/unique_id.md b/documentation/properties/unique_id.md new file mode 100644 index 00000000..1e1b81fc --- /dev/null +++ b/documentation/properties/unique_id.md @@ -0,0 +1,13 @@ +--- +layout: property +title: "unique_id" +schemas: [security] +--- + +# unique_id +--- + +Unique identifier of a securitisation transaction. +For securitisations issued on or after 1 January 2019, institutions shall report the unique identifier as defined in Article 11(1) of Commission Delegated Regulation (EU) 2020/1224. +The unique identifier shall be reported for both the originator/aponsor and investor positions and is not expected to change depending on the level of the reporting (consolidated vs. sub-groups). +See https://eur-lex.europa.eu/eli/reg_del/2020/1224/oj/eng#:~:text=Article%2011,Unique%20identifiers diff --git a/schemas/security.json b/schemas/security.json index 785689e5..7512413f 100644 --- a/schemas/security.json +++ b/schemas/security.json @@ -95,6 +95,15 @@ "format": "date-time" } }, + "bs_recognition": { + "description": "Attribute used for a securitisation transaction. Summarises the accounting treatment of the securitised assets", + "type": "string", + "enum": [ + "partially_removed", + "totally_kept", + "totally_removed" + ] + }, "call_dates": { "description": "Dates where this contract can be called (by the customer). Formatted as YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.", "type": "array", @@ -850,7 +859,7 @@ "type": "number" }, "retention_type": { - "description": "The repayment or amortisation mechanism of the security or securitisation.", + "description": "The type of retention of net economic interest applicable to a securitation transaction", "type": "string", "enum": [ "exempted", @@ -888,12 +897,40 @@ "description": "The standardised approach risk weight represented as a decimal/float such that 1.5% is 0.015.", "type": "number" }, + "securitisation_id": { + "description": "Attribute used for a securitisation transaction. Unique internal code used to identify the securitisation transaction and all related tranches", + "type": "string" + }, + "securitisation_role": { + "description": "Attribute used for a securitisation transaction. Role of the reporting entity in the transaction", + "type": "string", + "enum": [ + "investor", + "original_lender", + "originator", + "sponsor" + ] + }, "securitisation_type": { - "description": "The type of securitisation with regards to common regulatory classifications.", + "description": "Attribute used for a securitisation transaction. The type of securitisation with regards to common regulatory classifications.", "type": "string", "enum": [ + "abcp_program", + "abcp_transaction", + "npe", + "npe_qualifying", "pass_through", "sts", + "sts_abcp_program", + "sts_abcp_transaction", + "sts_npe", + "sts_npe_qualifying", + "sts_q_abcp_program", + "sts_q_abcp_transaction", + "sts_q_npe", + "sts_q_npe_qualifying", + "sts_q_synthetic", + "sts_q_traditional", "sts_synthetic", "sts_traditional", "synthetic", @@ -998,6 +1035,20 @@ "description": "The additional rate that is added to the relevant index for instruments with a coupon/dividend rate that is linked to the rate of a particular index (e.g., 1M LIBOR+50bps) at issuance. This is represented in basis points (bps).", "type": "integer" }, + "srt_type": { + "description": "Attribute used for a securitisation transaction. Indicates the CRR article under which a significant transfer has been achieved.", + "type": "string", + "enum": [ + "art_244_1b", + "art_244_2a", + "art_244_2b", + "art_244_3a", + "art_245_1b", + "art_245_2a", + "art_245_2b", + "art_245_3a" + ] + }, "start_date": { "description": "The timestamp that the trade or financial product commences. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.", "type": "string", @@ -1032,6 +1083,10 @@ "type": "number", "minimum": 0.0 }, + "third_party_risk_transfer":{ + "description": "Attribute used for a securitisation transaction. Percentage of securitised assets transfered to 3rd party investors", + "type": "number" + }, "trade_date": { "description": "The timestamp that the trade or financial product terms are agreed. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.", "type": "string", @@ -1117,10 +1172,12 @@ "performance_sloc", "pibs", "pref_share", + "re_securitisation", "reit_pref", "rmbs", "rmbs_income", "rmbs_trans", + "securitisation", "share", "share_agg", "speculative_unlisted", @@ -1141,6 +1198,10 @@ "minimum": 0, "monetary": true }, + "unique_id": { + "description": "Attribute used for a securitisation transaction. Unique identifer used for securitisations issued on or after 1 January 2019, as defined in Article 11(1) of Commission Delegated Regulation (EU) 2020/1224", + "type": "string" + }, "valuation_type": { "description": "Methodology used in the determination of the collateral value. Refer to AnaCredit Reporting Manual Part II, chapter 9.4.6 Protection valuation approach", "type": "string", From 4ff851be43b831acc903153b23007544cd5e0a51 Mon Sep 17 00:00:00 2001 From: GGschwendtner <62640830+GGschwendtner@users.noreply.github.com> Date: Mon, 9 Mar 2026 16:21:34 +0000 Subject: [PATCH 02/11] Add missing documentation --- documentation/properties/securitisation_id.md | 3 ++- documentation/properties/srt_type.md | 15 +++++++++------ .../properties/third_party_risk_transfer.md | 1 + 3 files changed, 12 insertions(+), 7 deletions(-) diff --git a/documentation/properties/securitisation_id.md b/documentation/properties/securitisation_id.md index 9fb31a88..65e4bb38 100644 --- a/documentation/properties/securitisation_id.md +++ b/documentation/properties/securitisation_id.md @@ -6,6 +6,7 @@ schemas: [security] # securitisation_id + --- -Internally identifier of a securitisation transaction. Also used by all related securitisation tranches linked to the same transaction \ No newline at end of file +Internal identifier of a securitisation transaction. Also used by all securitisation tranches linked to the same transaction \ No newline at end of file diff --git a/documentation/properties/srt_type.md b/documentation/properties/srt_type.md index d41d16a4..32e60a02 100644 --- a/documentation/properties/srt_type.md +++ b/documentation/properties/srt_type.md @@ -6,27 +6,30 @@ schemas: [security] # srt_type --- +Indicates whether a significant transfer has been achieved and, if so, under which CRR article. The achievement of SRT will determine the appropriate solvency treatment by the originator. ### art_244_1b +Applying a 1 250 % RW or deducting retained positions in accordance with Article 244(1), point (b) ### art_244_2a - +Achieved SRT under Article 244(2), point (a) ### art_244_2b - +Achieved SRT under Article 244(2), point (b) ### art_244_3a - +Achieved SRT under Article 244(3), point (a) ### art_245_1b - +Applying a 1 250 % RW or deducting retained positions in accordance with Article 245(1) point(b) ### art_245_2a - +Achieved SRT under Article 245(2), point (a) ### art_245_2b - +Achieved SRT under Article Article 245(2), point (b) ### art_245_3a +Achieved SRT under Article 245(3), point (a) diff --git a/documentation/properties/third_party_risk_transfer.md b/documentation/properties/third_party_risk_transfer.md index 52d94bbe..c1e54550 100644 --- a/documentation/properties/third_party_risk_transfer.md +++ b/documentation/properties/third_party_risk_transfer.md @@ -5,5 +5,6 @@ schemas: [security] --- # third_party_risk_transfer +Expected loss (EL) and unexpected loss (UL) of securitised assets transfered to third parties, expressed as a percentage of the total securitised assets EL + UL --- From f32b2d0020804d9f631443fe715cc80c2516a45a Mon Sep 17 00:00:00 2001 From: GGschwendtner <62640830+GGschwendtner@users.noreply.github.com> Date: Mon, 9 Mar 2026 16:26:23 +0000 Subject: [PATCH 03/11] Update descriptions in security schema --- schemas/security.json | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/schemas/security.json b/schemas/security.json index 7512413f..ef2b3fd1 100644 --- a/schemas/security.json +++ b/schemas/security.json @@ -1036,7 +1036,7 @@ "type": "integer" }, "srt_type": { - "description": "Attribute used for a securitisation transaction. Indicates the CRR article under which a significant transfer has been achieved.", + "description": "Attribute used for a securitisation transaction. Indicates the CRR article under which a significant risk transfer has been achieved, if any.", "type": "string", "enum": [ "art_244_1b", @@ -1084,7 +1084,7 @@ "minimum": 0.0 }, "third_party_risk_transfer":{ - "description": "Attribute used for a securitisation transaction. Percentage of securitised assets transfered to 3rd party investors", + "description": "Attribute used for a securitisation transaction. Percentage of the securitised assets expected and unexpected losses transfered to 3rd parties.", "type": "number" }, "trade_date": { From a22ba3e546de4a2aebece631df79d843c0944d48 Mon Sep 17 00:00:00 2001 From: GGschwendtner <62640830+GGschwendtner@users.noreply.github.com> Date: Thu, 12 Mar 2026 14:55:42 +0000 Subject: [PATCH 04/11] Update third_party_risk_transfer.md --- documentation/properties/third_party_risk_transfer.md | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/documentation/properties/third_party_risk_transfer.md b/documentation/properties/third_party_risk_transfer.md index c1e54550..c7af253c 100644 --- a/documentation/properties/third_party_risk_transfer.md +++ b/documentation/properties/third_party_risk_transfer.md @@ -5,6 +5,7 @@ schemas: [security] --- # third_party_risk_transfer -Expected loss (EL) and unexpected loss (UL) of securitised assets transfered to third parties, expressed as a percentage of the total securitised assets EL + UL +Risk transfer claimed by a securitisation Originator, measured as the Expected loss (EL) + the Unexpected loss (UL) of the underlying **securitised assets** transfered to third parties, expressed as a percentage of the EL + UL of the total **securitised assets**. For an originator reporting under SA, EL shall be the specific credit risk adjustment of the securitised assets and the UL shall be the capital requirement of the securitised assets. + --- From cf57645770db1aba51afc38e642d7b76793fc3df Mon Sep 17 00:00:00 2001 From: GGschwendtner <62640830+GGschwendtner@users.noreply.github.com> Date: Tue, 24 Mar 2026 16:49:45 +0000 Subject: [PATCH 05/11] Update securitisation_id.md --- documentation/properties/securitisation_id.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/documentation/properties/securitisation_id.md b/documentation/properties/securitisation_id.md index 65e4bb38..5317c54a 100644 --- a/documentation/properties/securitisation_id.md +++ b/documentation/properties/securitisation_id.md @@ -9,4 +9,4 @@ schemas: [security] --- -Internal identifier of a securitisation transaction. Also used by all securitisation tranches linked to the same transaction \ No newline at end of file +Code used for the legal registration of a securitisation transaction or, if not available, the name by which the securitisation transaction is known in the market, or within the institution in case of an internal or private securitisation. Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this attribute. Also used for all tranches linked to the same transaction From 8fe47ded16cb91ff4ba65ecab322803596ee94a7 Mon Sep 17 00:00:00 2001 From: GGschwendtner <62640830+GGschwendtner@users.noreply.github.com> Date: Tue, 24 Mar 2026 16:51:24 +0000 Subject: [PATCH 06/11] Delete documentation/properties/unique_id.md --- documentation/properties/unique_id.md | 13 ------------- 1 file changed, 13 deletions(-) delete mode 100644 documentation/properties/unique_id.md diff --git a/documentation/properties/unique_id.md b/documentation/properties/unique_id.md deleted file mode 100644 index 1e1b81fc..00000000 --- a/documentation/properties/unique_id.md +++ /dev/null @@ -1,13 +0,0 @@ ---- -layout: property -title: "unique_id" -schemas: [security] ---- - -# unique_id ---- - -Unique identifier of a securitisation transaction. -For securitisations issued on or after 1 January 2019, institutions shall report the unique identifier as defined in Article 11(1) of Commission Delegated Regulation (EU) 2020/1224. -The unique identifier shall be reported for both the originator/aponsor and investor positions and is not expected to change depending on the level of the reporting (consolidated vs. sub-groups). -See https://eur-lex.europa.eu/eli/reg_del/2020/1224/oj/eng#:~:text=Article%2011,Unique%20identifiers From 24ea874cafaa1d9d3eb7e80b09927a7b289934c2 Mon Sep 17 00:00:00 2001 From: GGschwendtner <62640830+GGschwendtner@users.noreply.github.com> Date: Tue, 24 Mar 2026 16:58:02 +0000 Subject: [PATCH 07/11] Update security.json Remove unique_id attribute --- schemas/security.json | 4 ---- 1 file changed, 4 deletions(-) diff --git a/schemas/security.json b/schemas/security.json index ef2b3fd1..42f4a0cc 100644 --- a/schemas/security.json +++ b/schemas/security.json @@ -1198,10 +1198,6 @@ "minimum": 0, "monetary": true }, - "unique_id": { - "description": "Attribute used for a securitisation transaction. Unique identifer used for securitisations issued on or after 1 January 2019, as defined in Article 11(1) of Commission Delegated Regulation (EU) 2020/1224", - "type": "string" - }, "valuation_type": { "description": "Methodology used in the determination of the collateral value. Refer to AnaCredit Reporting Manual Part II, chapter 9.4.6 Protection valuation approach", "type": "string", From 1023c8eb74d84a82cea6ff12a1a953b1e36feb68 Mon Sep 17 00:00:00 2001 From: GGschwendtner <62640830+GGschwendtner@users.noreply.github.com> Date: Tue, 24 Mar 2026 17:45:29 +0000 Subject: [PATCH 08/11] Update securitisation_type.md --- .../properties/securitisation_type.md | 55 +++++++------------ 1 file changed, 21 insertions(+), 34 deletions(-) diff --git a/documentation/properties/securitisation_type.md b/documentation/properties/securitisation_type.md index c6f03e93..d51f669a 100644 --- a/documentation/properties/securitisation_type.md +++ b/documentation/properties/securitisation_type.md @@ -26,56 +26,43 @@ A traditionional securitisation backed by a pool of non-performing exposures the ### npe_qualifying A traditional NPE securitisation where the non-refundable purchase price discount is at least 50 % of the outstanding amount of the underlying exposures at the time they were transferred to the SSPE. -### sts -Each type of securitisation can be eligible to the Simple, Transparent and Standardised status (STS) when meeting the requirements of Article 18 of Regulation (EU) 2017/2402. (https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A32013R0575) +### pass_through +**Pass-through** security; a security created when one or more mortgage holders form a collection (pool) of mortgages and sells shares or participation certificates in the pool. The cash flow from the collateral pool is "passed through" to the security holder as monthly payments of principal, interest, and prepayments. +https://eur-lex.europa.eu/legal-content/en/TXT/?uri=CELEX%3A02013R0575-20260101#art_242:~:text=%E2%96%BCM13-,Article%20269a,-Treatment%20of%20non + +Each type of securitisation can be eligible to the Simple, Transparent and Standardised status (STS) when meeting the requirements of Article 18 of Regulation (EU) 2017/2402. (https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A32013R0575). -### sts_traditional -### sts_synthetic ### sts_abcp_programme ### sts_abcp_transaction -### sts_npe -### sts_npe_qualifying +### sts_synthetic +### sts_traditional -### sts_q STS securitisations which qualify for a preferential ("differentiated") capital treatment under Art. 243 (ABCP and traditional securitisation) or art. 270 (synthetic securitisation). -### sts_q_traditional -### sts_q_synthetic ### sts_q_abcp_programme ### sts_q_abcp_transaction -### sts_q_npe -### sts_q_npe_qualifying +### sts_q_synthetic +### sts_q_traditional + ```bash ├── abcp_programme + └── sts_abcp_programme + └── sts_q_abcp_programme ├── abcp_transaction -├── npe_non_qualifying -├── npe_qualifying + └── sts_abcp_transaction + └── sts_q_abcp_transaction +├── npe + └── npe_qualifying ├── sythetic + └── sts_synthetic + └── sts_q_synthetic ├── traditional -├── pass_through -├── sts (sts_traditional) -│ ├── sts_abcp_programme -│ ├── sts_abcp_transaction -│ ├── sts_npe -│ ├── sts_npe_qualifying -│ ├── sts_traditional -│ └── sts_synthetic -├── sts_q (sts_q_traditional) - ├── sts_q_abcp_programme - ├── sts_q_abcp_transaction - ├── sts_q_npe - ├── sts_q_npe_qualifying - ├── sts_q_traditional - └── sts_q_synthetic + └── sts_traditional + └── sts_q_traditional +└── pass_through ``` -Remarks: **sts** and **sts_q** do not refer to any of the 5 basic securitisation types; they can therefore by used for **sts_traditional** and **sts_q_traditional** - -### pass_through -**Pass-through** security; a security created when one or more mortgage holders form a collection (pool) of mortgages and sells shares or participation certificates in the pool. The cash flow from the collateral pool is "passed through" to the security holder as monthly payments of principal, interest, and prepayments. - -https://eur-lex.europa.eu/legal-content/en/TXT/?uri=CELEX%3A02013R0575-20260101#art_242:~:text=%E2%96%BCM13-,Article%20269a,-Treatment%20of%20non --- [osfi-chapter-6]: https://www.osfi-bsif.gc.ca/en/guidance/guidance-library/capital-adequacy-requirements-car-2024-chapter-6-securitization From fd1a22b5e971c8b36ef0308596b49d315a1b60a5 Mon Sep 17 00:00:00 2001 From: GGschwendtner <62640830+GGschwendtner@users.noreply.github.com> Date: Tue, 24 Mar 2026 17:46:22 +0000 Subject: [PATCH 09/11] Update security.json --- schemas/security.json | 5 ----- 1 file changed, 5 deletions(-) diff --git a/schemas/security.json b/schemas/security.json index 42f4a0cc..dcfc9429 100644 --- a/schemas/security.json +++ b/schemas/security.json @@ -920,15 +920,10 @@ "npe", "npe_qualifying", "pass_through", - "sts", "sts_abcp_program", "sts_abcp_transaction", - "sts_npe", - "sts_npe_qualifying", "sts_q_abcp_program", "sts_q_abcp_transaction", - "sts_q_npe", - "sts_q_npe_qualifying", "sts_q_synthetic", "sts_q_traditional", "sts_synthetic", From 8c3428fcaba7c33d72e9369c589c4feb78c66d9f Mon Sep 17 00:00:00 2001 From: muratabur Date: Fri, 27 Mar 2026 16:53:15 +0000 Subject: [PATCH 10/11] Update securitisation_id.md --- documentation/properties/securitisation_id.md | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/documentation/properties/securitisation_id.md b/documentation/properties/securitisation_id.md index 5317c54a..c1f97934 100644 --- a/documentation/properties/securitisation_id.md +++ b/documentation/properties/securitisation_id.md @@ -8,5 +8,6 @@ schemas: [security] --- +The Securitisation ID is a unique identifier relevant to the securitisation. Where possible it should follow the regulatory-prescribed format. e.g. [Article 11 of Commission Delegated Regulation (EU) 2020/1224](https://eur-lex.europa.eu/eli/reg_del/2020/1224/oj/eng#:~:text=Article%2011,Unique%20identifiers) -Code used for the legal registration of a securitisation transaction or, if not available, the name by which the securitisation transaction is known in the market, or within the institution in case of an internal or private securitisation. Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this attribute. Also used for all tranches linked to the same transaction +The code should be that used for the legal registration of a securitisation transaction or, if not available, the name by which the securitisation transaction is known in the market, or within the institution in case of an internal or private securitisation. Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this attribute. Also used for all tranches linked to the same transaction. From 2a6c2fff40433a1671a5b56f6ebab51a333ca9c7 Mon Sep 17 00:00:00 2001 From: muratabur Date: Fri, 27 Mar 2026 17:01:40 +0000 Subject: [PATCH 11/11] Update srt_type docs with references --- documentation/properties/srt_type.md | 28 +++++++++++++++++++--------- 1 file changed, 19 insertions(+), 9 deletions(-) diff --git a/documentation/properties/srt_type.md b/documentation/properties/srt_type.md index 32e60a02..8364d790 100644 --- a/documentation/properties/srt_type.md +++ b/documentation/properties/srt_type.md @@ -8,28 +8,38 @@ schemas: [security] --- Indicates whether a significant transfer has been achieved and, if so, under which CRR article. The achievement of SRT will determine the appropriate solvency treatment by the originator. +See: [Articles 244-245 of the CRR on Significant Risk Transfer](https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A02013R0575-20260101#:~:text=Article%20229(1).-,Section%202,Traditional%20securitisation,-1.%C2%A0%C2%A0%20The) + + ### art_244_1b -Applying a 1 250 % RW or deducting retained positions in accordance with Article 244(1), point (b) +Applying a 1 250 % RW or deducting retained positions in accordance with Article 244(1), point (b): +> the originator institution applies a 1 250 % risk weight to all securitisation positions it holds in the securitisation or deducts these securitisation positions from Common Equity Tier 1 items in accordance with point (k) of Article 36(1). ### art_244_2a -Achieved SRT under Article 244(2), point (a) +Achieved SRT under Article 244(2), point (a): +> the risk-weighted exposure amounts of the mezzanine securitisation positions held by the originator institution in the securitisation do not exceed 50 % of the risk-weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation; ### art_244_2b -Achieved SRT under Article 244(2), point (b) +Achieved SRT under Article 244(2), point (b): +> the originator institution does not hold more than 20 % of the exposure value of the first loss tranche in the securitisation, provided that both of the following conditions are met: ### art_244_3a -Achieved SRT under Article 244(3), point (a) +Achieved SRT under Article 244(3), point (a): +> the institution has adequate internal risk management policies and methodologies to assess the transfer of credit risk; ### art_245_1b -Applying a 1 250 % RW or deducting retained positions in accordance with Article 245(1) point(b) +Applying a 1 250 % RW or deducting retained positions in accordance with Article 245(1) point(b): +> the originator institution applies a 1 250 % risk weight to all securitisation positions that it retains in the securitisation or deducts these securitisation positions from Common Equity Tier 1 items in accordance with point (k) of Article 36(1). ### art_245_2a -Achieved SRT under Article 245(2), point (a) +Achieved SRT under Article 245(2), point (a): +> the risk-weighted exposure amounts of the mezzanine securitisation positions held by the originator institution in the securitisation do not exceed 50 % of the risk-weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation; ### art_245_2b -Achieved SRT under Article Article 245(2), point (b) +Achieved SRT under Article Article 245(2), point (b): +> the originator institution does not hold more than 20 % of the exposure value of the first loss tranche in the securitisation, provided that both of the following conditions are met: ### art_245_3a -Achieved SRT under Article 245(3), point (a) - +Achieved SRT under Article 245(3), point (a): +> the institution has adequate internal risk-management policies and methodologies to assess the transfer of risk;