Add securitisation attributes

[samir-dahmani]

No description provided.

[muratabur]

Hi @samir-dahmani,

These look like good additions to enhance the detail around securtisations within the regulatory framework. Some of these attributes are "de-normalised" in nature as they refer to the underlying exposure (loan). In the same way that underlying exposures or references are handled in the derivatives schemas, it would be good to include these attributes where required as properties of the loan, rather than properties of the security. The justification for this is due to the violation of principle 2, that data elements be atomic and not contain embedded logic (as is the case with denormalisation).

Securitisations can be linked to their underlying loans (pool) using a common deal_id. As with derivatives, an example would definitely be useful given this is on the more complex side of financial products.

I would propose these changes:

• delinquency_ratio: move to loan schema
• ead_subpool_w_known/unknown: EAD can be determined from other loan schema attributes
• k_sa: keep
• securitisation_method: keep
• underlying_delinquent_exp: would be determined from the underlying loan pool
• underlying_total_exp_pool: would be determined from the underlying loan pool

It may be the case that the underlying loan pool is not known and only these high level numbers are known. In that case synthetic record(s) can be generated to represent the information correctly.

Within the loan schema there is also a count property to describe the quantity of loans aggregated into a single record which would also be useful in this situation to describe the number of loans in the pool.