Merge branch 'master' into 14796-zd-7753-3rd-line-impl-clo-mapping-re…

…quirements
SuadeLabs · Dec 6, 2023 · c0d6ebf · c0d6ebf
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diff --git a/documentation/properties/accrued_interest_balance.md b/documentation/properties/accrued_interest_balance.md
@@ -0,0 +1,13 @@
+---
+layout:     property
+title:      "accrued_interest_balance"
+schemas:    [loan]
+---
+
+# accrued_interest_balance
+
+---
+
+The **accrued interest balance** is the accrued interest due at the next payment date. 
+
+Monetary type represented as a naturally positive integer number of cents/pence.
diff --git a/documentation/properties/behavioral_curve_id.md b/documentation/properties/behavioral_curve_id.md
@@ -0,0 +1,11 @@
+---
+layout:     property
+title:      "behavioral_curve_id"
+schemas:    [account, loan]
+---
+
+# behavioral_curve_id
+
+---
+
+The **behavioral curve id** is the unique identifier for the behavioral curve used by the financial institution.
diff --git a/documentation/properties/ccf.md b/documentation/properties/ccf.md
@@ -0,0 +1,16 @@
+---
+layout:     property
+title:      "ccf"
+schemas:    [account, loan, security]
+---
+
+# ccf
+
+---
+
+The **credit conversion factor** estimates the exposure at default of off-balance sheet items. The credit conversion factors are regulator defined and are the estimated size and likely occurrence of the credit exposure, as well as the relative degree of credit risk.
+
+See [here][EBA] for the clasification of off-balance sheet adjustments and [here][EBA2] for the exposure values for different risk categories.
+
+[EBA]: https://www.eba.europa.eu/regulation-and-policy/single-rulebook/interactive-single-rulebook/109163
+[EBA2]: https://www.eba.europa.eu/regulation-and-policy/single-rulebook/interactive-single-rulebook/108427
diff --git a/documentation/properties/cqs_standardised.md b/documentation/properties/cqs_standardised.md
@@ -8,7 +8,21 @@ schemas:    [entity, security]
 
 ---
 
-The credit quality step for standardised approach, measured as part of a credit quality assessment scale. Represented as a naturally positive integer number between 1 and 6 inclusive.
+The credit quality step for standardised approach, measured as part of a credit quality assessment scale by an approved [External Credit Assessment Institution](https://www.eba.europa.eu/regulation-and-policy/external-credit-assessment-institutions-ecai). Most CQS scales range from 1 to 6 however, CQS for securitisations can be more granular, ranging from 1 to 17.
 
+For example, the securitisation scale converts as follows (for S&P LT ratings):
 
-To view the Bank of England Standardised Approach click [here](http://www.bankofengland.co.uk/pra/Documents/publications/ss/2013/ss1013.pdf). To view the FCA ECAIs Standardised Approach click [here](https://www.fca.org.uk/publication/archive/fsa-ecais-standardised.pdf). To view the Committee of European Banking Supervisors' (CEBS) Standardised Approach click [here](https://www.eba.europa.eu/documents/10180/16166/4+Ausust+2006_Mapping.pdf).
+```bash
+1 = 1 to 4
+2 = 5 to 7
+3 = 8 to 10
+4 = 11 to 13
+5 = 14 to 16
+6 = 17
+```
+
+[EBA CQS Guidance on Standardised Approach](https://www.eba.europa.eu/regulation-and-policy/external-credit-assessment-institutions-ecai/draft-implementing-technical-standards-on-the-mapping-of-ecais-credit-assessments)
+
+[EBA CQS Guidance on Securitisation Positions](https://www.eba.europa.eu/regulation-and-policy/external-credit-assessment-institutions-ecai/its-on-the-mapping-of-ecais-credit-assessments-for-securitisation-positions)
+
+[BoE Guidance on CQS](https://www.bankofengland.co.uk/prudential-regulation/publication/2013/credit-risk-standardised-approach-ss)
diff --git a/documentation/properties/cr_approach.md b/documentation/properties/cr_approach.md
@@ -29,6 +29,24 @@ Securitisation Standardised Approach - Look-through Approach
 For securitisation calculations, when the financial institution has full knowledge of the composition of the underlying exposures of pool at all time, the institution can apply the "look-through" approach to senior securitization exposures.  
 See [OSFI Chapter 7, P134 or Basel Framework, CRE 40.50](https://www.osfi-bsif.gc.ca/Eng/fi-if/rg-ro/gdn-ort/gl-ld/Pages/CAR22_chpt6.aspx#ToC6.6.5)
 
+### eif_lt
+Equity Investments in Funds - Look-through Approach
+The LTA requires a bank to risk weight the underlying exposures of a fund as if the exposures were held directly by the bank. This is the most granular and risk-sensitive approach. It must be used when:
+(1) there is sufficient and frequent information provided to the bank regarding the underlying exposures of the fund; and
+(2) such information is verified by an independent third party.
+See [Basel CRE60 Equity Investments in Funds, CRE 60.2](https://www.bis.org/basel_framework/chapter/CRE/60.htm)
+
+### eif_mba
+Equity Investments in Funds - Mandate-based Approach
+The second approach, the MBA, provides a method for calculating regulatory capital that can be used when the conditions for applying the LTA are not met.
+Under the MBA banks may use the information contained in a fund's mandate or in the national regulations governing such investment funds.
+See [Basel CRE60 Equity Investments in Funds, CRE 60.6](https://www.bis.org/basel_framework/chapter/CRE/60.htm)
+
+### eif_fb
+Equity Investmnets in Funds - Fall-back Approach
+Where neither the LTA nor the MBA is feasible, banks are required to apply the FBA. The FBA applies a 1250% risk weight to the bank’s equity investment in the fund.
+See [Basel CRE60 Equity investments in funds, CRE 60.8](https://www.bis.org/basel_framework/chapter/CRE/60.htm)
+
 ### sec_erba
 Securitisation External-Ratings-Based Approach
 See [Basel CRE42 Securitisation: External-Ratings-Based Approach (SEC_ERBA)](https://www.bis.org/basel_framework/chapter/CRE/42.htm)
diff --git a/documentation/properties/customers.md b/documentation/properties/customers.md
@@ -0,0 +1,21 @@
+---
+layout:     property
+title:      "customers"
+schemas:    [loan]
+---
+
+# customers
+
+---
+
+The list of customers for this loan.
+
+It is a composition of id and income_amount providing a information about each customer.
+
+## id
+The unique identifier for the customer/s within the financial institution.
+
+## income_amount
+The reference income used for the customer(s) for this loan. Monetary type represented as an integer number of cents/pence.
+
+
diff --git a/documentation/properties/encumbrance_end_date.md b/documentation/properties/encumbrance_end_date.md
@@ -0,0 +1,13 @@
+---
+layout:     property
+title:      "encumbrance_end_date"
+schemas:    [loan]
+---
+
+# encumbrance_end_date
+
+---
+
+The **encumbrance end date** is the date when encumbrance amount goes to zero. 
+
+It is in date-time format in accordance with the ISO 8601 standard (YYYY-MM-DDTHH:MM:SSZ).
diff --git a/documentation/properties/facility_currency_code.md b/documentation/properties/facility_currency_code.md
@@ -0,0 +1,11 @@
+---
+layout:     property
+title:      "facility_currency_code"
+schemas:    [loan]
+---
+
+# facility_currency_code
+
+---
+
+The **facility currency code** is the currency of the credit facility when it is not the same as "currency_code" of the loan.
diff --git a/documentation/properties/guarantee_scheme.md b/documentation/properties/guarantee_scheme.md
@@ -56,6 +56,9 @@ German Brokerage companies: Entschädigungseinrichtung der Wertpapierhandelsunte
 ### gr_dgs
 Greece: DGS
 
+### hk_dps
+Hong Kong: Deposit Protection Scheme (DPS)
+
 ### hu_ndif
 Hungary: National Deposit Insurance Fund (NDIF)
 

diff --git a/documentation/properties/guarantor_id.md b/documentation/properties/guarantor_id.md
@@ -0,0 +1,11 @@
+---
+layout:     property
+title:      "guarantor_id"
+schemas:    [loan, account, agreement]
+---
+
+# guarantor_id
+
+---
+
+The **guarantor id** is the unique identifier for the guarantor within the financial institution.
diff --git a/documentation/properties/intra_group.md b/documentation/properties/intra_group.md
@@ -0,0 +1,11 @@
+---
+layout:     property
+title:      "intra_group"
+schemas:    [entity]
+---
+
+# intra_group
+
+---
+
+The **intra group** is a flag to indicate that the entity should be considered an intra-group.
diff --git a/documentation/properties/issuer_id.md b/documentation/properties/issuer_id.md
@@ -0,0 +1,12 @@
+---
+layout:     property
+title:      "issuer_id"
+schemas:    [loan, derivative, security]
+---
+
+# issuer_id
+
+---
+
+The **issuer id** is a unique identifier used by the financial institution to identify the underlying reference issuer for this product.
+
diff --git a/documentation/properties/ledger_code.md b/documentation/properties/ledger_code.md
@@ -0,0 +1,11 @@
+---
+layout:     property
+title:      "ledger_code"
+schemas:    [loan, account, derivative, security]
+---
+
+# ledger_code
+
+---
+
+The **ledger code** is an internal ledger code or line item name.
diff --git a/documentation/properties/legal_entity_name.md b/documentation/properties/legal_entity_name.md
@@ -0,0 +1,11 @@
+---
+layout:     property
+title:      "legal_entity_name"
+schemas:    [entity]
+---
+
+# legal_entity_name
+
+---
+
+The **legal entity name** is the official legal name of the entity.
diff --git a/documentation/properties/national_reporting_code.md b/documentation/properties/national_reporting_code.md
@@ -0,0 +1,11 @@
+---
+layout:     property
+title:      "national_reporting_code"
+schemas:    [entity]
+---
+
+# national_reporting_code
+
+---
+
+The **national reporting code** is the unique identifier established by the national reporting system.
diff --git a/documentation/properties/next_repricing_date.md b/documentation/properties/next_repricing_date.md
@@ -0,0 +1,14 @@
+---
+layout:     property
+title:      "next_repricing_date"
+schemas:    [loan, account, security]
+---
+
+# next_repricing_date
+
+---
+
+The **next repricing date** is the date on which the interest rate of the security will be re-calculated. 
+
+It is in date-time format in accordance with the ISO 8601 standard (YYYY-MM-DDTHH:MM:SSZ).
+
diff --git a/documentation/properties/purpose.md b/documentation/properties/purpose.md
@@ -644,7 +644,8 @@ refer to interest cashflows only, and do not include any principal flows
 │   ├── buy_to_let_remortgage
 │   ├── buy_to_let_further_advance
 │   ├── buy_to_let_other
-│   └── buy_to_let_construct
+│   ├── buy_to_let_construct
+│   └── consumer_buy_to_let
 ├── ips
 ├── lifetime_mortgage
 ├── operational
@@ -653,7 +654,6 @@ refer to interest cashflows only, and do not include any principal flows
 ├── remortgage
 ├── remortgage_other
 ├── speculative_property
-├── consumer_buy_to_let
 ├── further_advance
 ├── non_b20
 ├── agriculture

diff --git a/documentation/properties/vol_adj.md b/documentation/properties/vol_adj.md
@@ -0,0 +1,13 @@
+---
+layout:     property
+title:      "vol_adj"
+schemas:    [loan, collateral]
+---
+
+# vol_adj
+
+---
+
+The **volatility adjustment** is an adjustment to the basic risk-free rate that reflects a proportion of the additional return that an insurer may expect to earn from investing in government and corporate bonds, rather than risk-free equivalents.
+
+[volatility adjustment]:https://www.bankofengland.co.uk/prudential-regulation/key-initiatives/solvency-ii/technical-information
diff --git a/tests/test_docs.py b/tests/test_docs.py
@@ -17,38 +17,25 @@ def test_property_has_docs(self):
         """
         exceptions = [
             "account_ids",
-            "accrued_interest_balance",
-            "behavioral_curve_id",
             "cb_haircut",
-            "ccf",
             "col",
             "comment",
             "contribution_amount",
             "contribution_text",
-            "customers",
             "data",
             "delta",
             "derivative_id",
-            "encumbrance_end_date",
-            "facility_currency_code",
             "forward_rate",
             "gamma",
-            "guarantor_id",
             "insolvency_rank",
-            "intra_group",
-            "issuer_id",
-            "ledger_code",
             "leg",
-            "legal_entity_name",
             "links",
             "loan_id",
             "loan_ids",
-            "national_reporting_code",
             "next_exercise_date",
             "next_payment_amount",
             "next_receive_amount",
             "next_receive_date",
-            "next_repricing_date",
             "next_reset_date",
             "page",
             "payment_date",
@@ -66,7 +53,6 @@ def test_property_has_docs(self):
             "underlying_strike",
             "values",
             "vega",
-            "vol_adj",
             "vol_adj_fx",
         ]
 

diff --git a/v1-dev/account.json b/v1-dev/account.json
@@ -181,6 +181,7 @@
         "fr_fdg",
         "gb_fscs",
         "gr_dgs",
+        "hk_dps",
         "hr_di",
         "hu_ndif",
         "ie_dgs",

diff --git a/v1-dev/common.json b/v1-dev/common.json
@@ -390,6 +390,9 @@
     "type": "string",
     "enum": [
       "airb",
+      "eif_fb",
+      "eif_lt",
+      "eif_mba",
       "firb",
       "sec_erba",
       "sec_sa",

diff --git a/v1-dev/entity.json b/v1-dev/entity.json
@@ -44,7 +44,7 @@
       "description": "The credit quality step for standardised approach.",
       "type": "integer",
       "minimum": 1,
-      "maximum": 6
+      "maximum": 17
     },
     "credit_impaired": {
       "description": "Flag to determine if the entity credit quality is impaired.",

diff --git a/v1-dev/security.json b/v1-dev/security.json
@@ -97,6 +97,9 @@
       "minimum": 0.0,
       "maximum": 1.0
     },
+    "ccf": {
+      "$ref": "https://raw.githubusercontent.com/SuadeLabs/fire/master/v1-dev/common.json#/ccf"
+    },
     "cost_center_code": {
       "description": "The organizational unit or sub-unit to which costs/profits are booked.",
       "type": "string"
@@ -108,7 +111,8 @@
     "cover_pool_balance": {
       "description": "The balance of the assets that are held in the cover pool",
       "type": "integer",
-      "minimum": 0
+      "minimum": 0,
+      "monetary": true
     },
     "cqs_irb": {
       "description": "The credit quality step for internal ratings based approach.",
@@ -120,7 +124,7 @@
       "description": "The credit quality step for standardised approach.",
       "type": "integer",
       "minimum": 1,
-      "maximum": 6
+      "maximum": 17
     },
     "cr_approach": {
       "description": "Specifies the approved credit risk rwa calculation approach to be applied to the exposure.",