v25.01

What's Changed

New year, new updates! One small but breaking change is to the name of the schemas directory (see below for more details). Other than that, some small additions for credit risk modelling for loans and accounts and inclusion of useful properties for auto loans. General beginning of year testing and versioning housekeeping as well for the pipeline. Enjoy!

Renaming schemas directory

Last year we made major change to how we update and publish new releases by moving to a quarterly, date.month versioning system (e.g. v25.01 is version Jan 2025). So now we are beginning to deprecate the old "v1-dev" schemas directory in favor of just calling the directory "schemas." Simple enough, but it could break any hardcoded links, so we have decided to keep the old dir in sync, and receiving updates for the next 6 months. Following the July release (25.07) the old "v1-dev" will stop receiving updates and in 12 months, will be deleted entirely. Hopefully, that is enough time to change references to "v1-dev" to "schemas" in any hardcoded links. New tests have been added to ensure this backwards compatibility. Note that refs within all schemas will point to the new "schemas" locations.

Schema Updates

Account Schema

• Addition of economic_loss and fraud_loss for better credit risk modelling.
• Addition of "pending" as an enum under account `status' to identify account monies in limbo/transition between firms.
• Addition of

Agreement schema

• Addition of "no_right_to_offset" as an enum for the netting_restriction property.

Collateral schema

• Addition of "auto" as a collateral type for those. Note also the recent addition of "new_auto" and "used_auto" loan types for greater granularity.

Common schema

• Addition of US states as sub-types within the country_code enums. (e.g. US-NY, US-TX)

Loan Schema

• Addition of economic_loss and fraud_loss for better credit risk modelling.
• Addition of credit_process enum to indicate how a loan was assessed during underwriting.
• The income_assessment property gets two more detailed subtypes for "single_not_evidenced" and "joint_not_evidenced" for cases where you just don't have all the proof.
• Two new loan types have been added for "used_auto" and "new_auto" (see also corresponding "auto" collateral type)
• New loan type for cd. This exists in the security schema already, but as a loan this refers to non-negotiable certificates of deposit rather than the tradable kind (see documentation).

Other Updates

Updates to several documentation pages and updates to the testing pipeline to include more recent versions of python and testing with Ubuntu 24.04 LTS.

Thank you to all our contributors!
@AdarshChugani
@kamilxdomo
@MorganP0204
@emburkino

Full Changelog: v24.10...v25.01

v24.10

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!

• @joellecenedra
• @AdarshChugani
• @samir-dahmani
• @charlenechin
• @suadkw
• @kamilxdomo

v24.07

What's Changed

This quarter has seen some minor additions to the schemas, taking into consideration some edge cases and cleaning up of some parameters. This update will likely have little impact with the exception of anyone using aggregated data for accounts/loans and leveraging the minimum_balance_eur parameter which will be superseded by the minimum_balance parameter which is essentially the same, just without the need to convert it to EUR.

Schema updates

All Schemas

• Addition of "held_for_sale" enum to the accounting_treatment property.

Account Schema

• Addition of minimum_balance property which is relevant for aggregated data where multiple accounts were being squashed in to a single record (and this granular information was otherwise lost). This is intended to replace the usage of the minimum_balance_eur property which never imagined brexit and therefore having to apply the EBA taxonomy in other currencies. Now the minimum_balance will be in relation to the existing currency_code property just like all other monetary fields. This is more flexible and future-proof.
• Addition of the "accruals" and "prepayments" enums to Account type as a sub-category of non-product account types.

Loan Schema

• Addition of minimum_balance property just like in the Account Schema - see above.
• Addition of cum_write_offs property to maintain a cumulative total since start of the amount of loan written off. Particularly useful for loans where balance, limits and notionals might have changed over time and so the current values don't reflect original values or where a loan has been involved in multiple impairment/write off evaluations over its lifetime.

Security Schema

• Addition of "ineligible_non_op" as an enum value for hqla_class to account for that unique little classification edge case that could crop up.
• Addition of "main_index_equity" enum to the Security type as a sub-category of equity to more narrowly define equities that are not just listed (there is mic_code for that), but are listed in the main index which might be a discretionary judgement call as per CRR Article 224.

Other updates

• Update to the test suite to use httpx instead of grequests for a 10x performance boost when checking for those broken regulator links!
• Update to the "cash_ratio_deposit" documentation for more detail.

Thank you to all the contributors!

• @charlenechin
• @AdarshChugani
• @emburkino
• @gabriella-martin

v24.01

What's changed?

The FIRE project is moving to a quarterly release cycle (as opposed to a continuous release). Quarterly releases will appear the month after the quarter end, so months 1, 4, 7 and 10. Releases will be semantically versioned in the following format: {vyy.mm.p} where "yy" is the 2-digit year number, "mm" is the 2-digit month and "p" is the patch number in the event that an interim release is necessary. So for example the release for July 2024 will have the version number v24.07. Releases will be accompanied with fairly comprehensive release notes introduced with a high level summary of changes.

v24.04

What's changed?

This quarter saw many enhancements included regarding securitisations and some North America specific inclusions such as NAICS codes and the Canadian deposit guarantee scheme. The documentation quality received a big boost with the addition of a copmrehensive scanning and testing of URLs (links) appearing in the documentation (and subsequent fixes to ensure all links work). This was triggered in part due to the EBA breaking many existing bookmarks and links when they updated their website this quarter. This is also the first release in the new format so please comment below if you have any comments or suggestions!

Schema updates

Account Schema

• Addition of Canadian ("ca_cdic") deposit guarantee scheme to guarantee_scheme enum.
• Addition of "audited" and "unadited" enum values to the status enum to identify audited or unaudited P&L statements.

Agreement Schema

• Addition of the following agreement types in the type enum: "afb", "drv", "ema", "fbf", "gmra", "gmsla".

Derivative Schema

• Addition of ccr_approach property to allow specification of counterparty credit risk approaches at a trade by trade level. Enum values are "imm", "oem", "sa", "ssa".
• Addition of "free_deliveries" to the status enum as subtype of "unsetled" to distinguish between DVP and non-DVP trades.
• Addition of "24m", "60m", "120m" and "360m" to underlying_index_tenor enum.

Security Schema

• Addition of "free_deliveries" value to the status enum to further distinguish between unsettled trades.
• Addition of call_type enum with values "clean_up", "clean_up_reg", "other" to provide more information regarding securitisations.
• Addition of excess_spread_type enum with values "fixed", "fixed_trapped", "none", "variable", "variable_trapped" to provide more information regarding securitisations.
• Addition of originator_id property to provide more information regarding securitisations.
• Addition of repayment_type enum with values "other", "pr2s", "pr2s_abcp", "pr2s_non_abcp", "pro_rata", "sequential" to provide more information regarding the amortisation mechanism for securitisations.
• Addition of retention_pct as a number (0.1=10%) to give more information regarding securitisations.
• Addition of retention_type enum with values "exempted", "first_loss", "on_bs", "revolving", "vertical_nominal", "vertical_risk" to give more information regarding the retention mechanism for securitisations.
• Addition of reversion_rate and reversion_date to provide more reversion rate information for securities.
• Addition of "first_loss_secured" value to the seniority enum, mainly used in securitisations.
• Addition of "abs_cc", "abs_corp", "abs_lease", "abs_sme_corp", "abs_sme_retail", "abs_trade_rec", "abs_wholesale" values to the type enum.

Entity

• Addition of naics_code (North American Industry Classification System) property as an integer. Min=10, Max=999999.

Other Updates

• Updated links in 50+ documentation files and enhanced testing to try to ensure links in documentation are still active. Thank you EBA for completely breaking all links when you redesigned your website!
• Added more examples for bond futures and fx options.