626 add securitisation attributes to the security schema

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

documentation/properties/securitisation_id.md

@@ -0,0 +1,13 @@
+---
+layout:		property
+title:		"securitisation_id"
+schemas:	[security]
+---
+
+# securitisation_id
+
+
+---
+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)
+
+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.

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

documentation/properties/securitisation_type.md

@@ -7,42 +7,62 @@ 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
 
-### 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).
+### 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. 
 
-### 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]
+### 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.
+
+### 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_abcp_programme
+### sts_abcp_transaction
 ### 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_traditional
 
-### 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 securitisations which qualify for a preferential ("differentiated") capital treatment under Art. 243 (ABCP and traditional securitisation) or art. 270 (synthetic securitisation).
+### sts_q_abcp_programme
+### sts_q_abcp_transaction
+### sts_q_synthetic
+### sts_q_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]
 
-### 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]
 
-### 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.
+```bash
+├── abcp_programme
+    └── sts_abcp_programme
+        └── sts_q_abcp_programme
+├── abcp_transaction
+    └── sts_abcp_transaction
+        └── sts_q_abcp_transaction
+├── npe
+    └── npe_qualifying
+├── sythetic
+    └── sts_synthetic
+       └── sts_q_synthetic
+├── traditional
+    └── sts_traditional
+       └── sts_q_traditional
+└── pass_through
+
+```
 
 ---
 [osfi-chapter-6]: https://www.osfi-bsif.gc.ca/en/guidance/guidance-library/capital-adequacy-requirements-car-2024-chapter-6-securitization

documentation/properties/srt_type.md

@@ -0,0 +1,45 @@
+---
+layout:		property
+title:		"srt_type"
+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.
+
+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):
+> 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):
+> 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):
+> 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):
+> 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):
+> 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):
+> 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):
+> 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):
+> the institution has adequate internal risk-management policies and methodologies to assess the transfer of risk;
+

documentation/properties/third_party_risk_transfer.md

@@ -0,0 +1,11 @@
+---
+layout:		property
+title:		"third_party_risk_transfer"
+schemas:	[security]
+---
+
+# third_party_risk_transfer
+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. 
+
+
+---

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_
 

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 +897,35 @@
       "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_q_abcp_program",
+        "sts_q_abcp_transaction",
+        "sts_q_synthetic",
+        "sts_q_traditional",
         "sts_synthetic",
         "sts_traditional",
         "synthetic",
@@ -998,6 +1030,20 @@
       "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 risk transfer has been achieved, if any.",
+      "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 +1078,10 @@
       "type": "number",
       "minimum": 0.0
     },
+    "third_party_risk_transfer":{
+      "description": "Attribute used for a securitisation transaction. Percentage of the securitised assets expected and unexpected losses transfered to 3rd parties.",
+      "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 +1167,12 @@
         "performance_sloc",
         "pibs",
         "pref_share",
+        "re_securitisation",
         "reit_pref",
         "rmbs",
         "rmbs_income",
         "rmbs_trans",
+        "securitisation",
         "share",
         "share_agg",
         "speculative_unlisted",