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v24.10

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@muratabur muratabur released this 30 Oct 17:42
· 45 commits to master since this release
v24.10
430b2b4

What's Changed

This quarter saw some notable enhancements for credit risk purposes. As can be expected, these have mostly impacted the loan schema and IRB attributes like LGD and PD being incorporated into other schemas as well. Several new "orig_" fields have been added to give insights into the original values for many properties such as a loan's limit_amount, notional or a collateral's value at origination.

Schema Updates

Account Schema

  • Addition of lgd_floored, 'lgd_irb' and 'pd_irb' properties to support modelling for IRB credit risk inputs (these already existed in the Loan Schema).
  • Addition of orig_credit_score to record the original credit score (from a commercially available credit bureau) of a customer at origination. Particularly relevant for US overdrafts.

Collateral Schema

  • Addition of orig_value to accompany the existing value property to reflect the value of the collateral at origination. Together with the orig_notional in the Loan Schema, this will give an original LTV value.
  • Addition of more detailed choices for collateral type: "commercial_property_hr", "res_property_hr". The "hr" sub-types denote high-risk residential and commercial property (see CRR Articles 124, 126).

Derivative Schema

  • Addition of lgd_floored, 'lgd_irb' and 'pd_irb' properties to support modelling for IRB credit risk inputs (these already existed in the Loan Schema).

Entity Schema (parent schema of Customer, Issuer, Guarantor)

  • Addition of scra to accurately record the recently introduced Basel Standardised Credit Risk Assessment for entities without external ratings.

Loan Schema

  • Addition of deferred_fees for payments subject to prepayment risk.
  • Addition of orig_credit_score to record the original credit score (from a commercially available credit bureau) of a customer at origination. Particularly relevant for US consumer loans.
  • Addition of orig_limit_amount and orig_notional properties to reflect the origination values for the corresponding limit_amount and notional properties.
  • Addition of "object_finance_hq" enum to loan purpose to identify high quality object finance loans.
  • Addition of several construction-specific loan sub-purposes in the loan purpose enum tree. ("first_time_buyer_cstr", "further_advance_cstr", "house_purchase_cstr", "remortgage_construct", "remortgage_othr_cstr")
  • Addition of the servicing and servicing_currency_code properties to describe the source of funds the borrower intends to repay the loan with as well as the currency (if different from the currency of the loan).
  • Addition of two new loan status types: defaulted and revolving.
  • Addition of more detailed choices for loan type: "charge_card", "corporate_card", "education".

Loan Transaction Schema

  • Addition of two more enums in loan transaction type: acquisition and securitisation to denote loans moving on/off the balance sheet due to being acquired or securitised by the institution.

Security Schema

  • Addition of lgd_floored, 'lgd_irb' and 'pd_irb' properties to support modelling for IRB credit risk inputs (these already existed in the Loan Schema).

Other Updates

  • Updates to over 15 documentation pages.
  • Links updated for credit ratings documentation to point to wikipedia after S&P broke links to their webpage and removed ratings definitions from the public domain (at least we can't find them anymore on their site!).

Thank you to all the contributors!

Contributors

AdarshChugani, samir-dahmani, and 4 other contributors
Assets 2
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