From da0e914a2a857f5d81698e23484dcde437af3ee7 Mon Sep 17 00:00:00 2001 From: Elisa Kendall Date: Fri, 21 Jul 2023 10:21:45 -0700 Subject: [PATCH] SEC-188 #comment - move all tranche related concepts from MBS to CDOs Signed-off-by: Elisa Kendall --- .../PrivateLabelMBSIssuance.rdf | 36 ++- SEC/Debt/CollateralizedDebtObligations.rdf | 287 +++++++++++++++++- SEC/Debt/MortgageBackedSecurities.rdf | 260 ---------------- 3 files changed, 298 insertions(+), 285 deletions(-) diff --git a/BP/SecuritiesIssuance/PrivateLabelMBSIssuance.rdf b/BP/SecuritiesIssuance/PrivateLabelMBSIssuance.rdf index 34743c084..6d1bd0c44 100644 --- a/BP/SecuritiesIssuance/PrivateLabelMBSIssuance.rdf +++ b/BP/SecuritiesIssuance/PrivateLabelMBSIssuance.rdf @@ -15,6 +15,7 @@ + @@ -22,6 +23,7 @@ + @@ -47,6 +49,7 @@ xmlns:fibo-fnd-arr-doc="https://spec.edmcouncil.org/fibo/ontology/FND/Arrangements/Documents/" xmlns:fibo-fnd-arr-lif="https://spec.edmcouncil.org/fibo/ontology/FND/Arrangements/Lifecycles/" xmlns:fibo-fnd-arr-rep="https://spec.edmcouncil.org/fibo/ontology/FND/Arrangements/Reporting/" + xmlns:fibo-fnd-dt-fd="https://spec.edmcouncil.org/fibo/ontology/FND/DatesAndTimes/FinancialDates/" xmlns:fibo-fnd-pty-pty="https://spec.edmcouncil.org/fibo/ontology/FND/Parties/Parties/" xmlns:fibo-fnd-rel-rel="https://spec.edmcouncil.org/fibo/ontology/FND/Relations/Relations/" xmlns:fibo-fnd-txn-sec="https://spec.edmcouncil.org/fibo/ontology/FND/TransactionsExt/SecuritiesTransactions/" @@ -54,6 +57,7 @@ xmlns:fibo-loan-ln-ln="https://spec.edmcouncil.org/fibo/ontology/LOAN/LoansGeneral/Loans/" xmlns:fibo-loan-reln-mtg="https://spec.edmcouncil.org/fibo/ontology/LOAN/RealEstateLoans/MortgageLoans/" xmlns:fibo-sec-dbt-bnd="https://spec.edmcouncil.org/fibo/ontology/SEC/Debt/Bonds/" + xmlns:fibo-sec-dbt-cdo="https://spec.edmcouncil.org/fibo/ontology/SEC/Debt/CollateralizedDebtObligations/" xmlns:fibo-sec-dbt-mbs="https://spec.edmcouncil.org/fibo/ontology/SEC/Debt/MortgageBackedSecurities/" xmlns:fibo-sec-dbt-pbs="https://spec.edmcouncil.org/fibo/ontology/SEC/Debt/PoolBackedSecurities/" xmlns:fibo-sec-sec-iss="https://spec.edmcouncil.org/fibo/ontology/SEC/Securities/SecuritiesIssuance/" @@ -78,6 +82,7 @@ + @@ -86,6 +91,7 @@ + @@ -224,7 +230,7 @@ - + finalize prospectus @@ -333,13 +339,13 @@ - + - + make securities available in market @@ -429,7 +435,7 @@ - + pool trustee @@ -533,7 +539,7 @@ - + tranche notes parameters @@ -552,7 +558,7 @@ - + tranched draft prospectus @@ -718,7 +724,7 @@ has primary holder - + @@ -754,7 +760,7 @@ identifier issued by - + @@ -785,7 +791,7 @@ is issue of - + @@ -804,7 +810,7 @@ may become - + @@ -834,7 +840,7 @@ requires - + @@ -852,7 +858,7 @@ results in - + @@ -861,6 +867,9 @@ + + + @@ -869,8 +878,5 @@ - - - \ No newline at end of file diff --git a/SEC/Debt/CollateralizedDebtObligations.rdf b/SEC/Debt/CollateralizedDebtObligations.rdf index 0b5acf64e..6acce3357 100644 --- a/SEC/Debt/CollateralizedDebtObligations.rdf +++ b/SEC/Debt/CollateralizedDebtObligations.rdf @@ -5,7 +5,11 @@ + + + + @@ -34,7 +38,11 @@ xmlns:cmns-cxtdsg="https://www.omg.org/spec/Commons/ContextualDesignators/" xmlns:dct="http://purl.org/dc/terms/" xmlns:fibo-der-cr-cds="https://spec.edmcouncil.org/fibo/ontology/DER/CreditDerivatives/CreditDefaultSwaps/" + xmlns:fibo-fbc-dae-dbt="https://spec.edmcouncil.org/fibo/ontology/FBC/DebtAndEquities/Debt/" xmlns:fibo-fbc-fi-fi="https://spec.edmcouncil.org/fibo/ontology/FBC/FinancialInstruments/FinancialInstruments/" + xmlns:fibo-fnd-acc-cur="https://spec.edmcouncil.org/fibo/ontology/FND/Accounting/CurrencyAmount/" + xmlns:fibo-fnd-dt-bd="https://spec.edmcouncil.org/fibo/ontology/FND/DatesAndTimes/BusinessDates/" + xmlns:fibo-fnd-dt-fd="https://spec.edmcouncil.org/fibo/ontology/FND/DatesAndTimes/FinancialDates/" xmlns:fibo-fnd-gao-obj="https://spec.edmcouncil.org/fibo/ontology/FND/GoalsAndObjectives/Objectives/" xmlns:fibo-fnd-pty-pty="https://spec.edmcouncil.org/fibo/ontology/FND/Parties/Parties/" xmlns:fibo-fnd-pty-rl="https://spec.edmcouncil.org/fibo/ontology/FND/Parties/Roles/" @@ -63,9 +71,13 @@ https://opensource.org/licenses/MIT + + + + @@ -121,14 +133,14 @@ - - + + - - + + @@ -471,6 +483,19 @@ CLO offering + + + + + + + + + floater tranche + A floater tranche is a tranche that is keyed to an index and a spread. + For example, 3 month LIBOR +50 -- meaning that the coupon would be whatever the 3 month LIBOR is plus 50 basis points. This is not a continuously updated number, rather it resets at specified intervals. + + @@ -498,6 +523,13 @@ REVIEW: Is this a kind of IO Tranche. + + + inverse floater tranche + + + + jump z trigger event @@ -537,7 +569,7 @@ - + @@ -551,6 +583,13 @@ These may be held in different notes, with different denominations. Tranche slice in this sense is only relevant in the context of something like a CDO or analogous things such as CBO. + + + m b s tranche note + An individual note of a tranche. + A Tranche is made up of e.g. $500m in notes and so on. These may be in different notes, with different denominations. Analytics that would apply to the Tranche would by implication apply to each slice of the tranche. + + @@ -608,7 +647,7 @@ - + mezzanine c d o tranche @@ -616,6 +655,74 @@ If there are defaults or the CDO's collateral otherwise underperforms, scheduled payments to mezzanine tranches take precedence over those to subordinated/equity tranches. + + + + + + + + + mezzanine m b s tranche + Specific kinds of tranche are modeled for example and investigation only and have been removed from the diagrams. These will be removed from the final model. + + + + + non agency i o tranche + Interest Only tranche, meaning that this tranche will only pay interest. + + + + + + + + + + + non agency jump tranche + A tranche where if there is some sort of trigger event reached then the holders of the tranche will begin to receive payments. + + + + + + non agency jump z tranche + A Jump Z tranche is like a Z tranche but if there is some sort of trigger event reached then the holders of the Jump Z tranche will begin to receive payments. Regular non-Sticky Jump Z tranches maintain their changed status only while the trigger event is in effect, and revert to their old payment status once the trigger event has passed. + + + + + non agency p o tranche + Principal Only tranche. This tranche will only pay principal. + + + + + + + + + + + non agency regular jump z tranche + Regular non-Sticky Jump Z tranches maintain their changed status only while the trigger event is in effect, and revert to their old payment status once the trigger event has passed. + + + + + non agency sticky jump z tranche + "Sticky" Jump Z tranches maintain the payment priority of a Jump Z tranche until they are retired. + + + + + non agency z tranche + A tranche that does not receive payments while other tranches remain. + These tranches are credited for interest that would have been received and that interest is accrued to the Z tranche. Once all other tranches have been paid, the holders of the Z tranche receive payments. Types of Z Tranche: A Jump Z tranche is like a Z tranche but if there is some sort of trigger event reached then the holders of the Jump Z tranche will begin to receive payments. "Sticky" Jump Z tranches maintain this payment priority until they are retired, while regular, non-Sticky Jump Z tranches maintain their changed status only while the trigger event is in effect, and revert to their old payment status once the trigger event has passed. Review note: These are currently separate entries - they should be entries for types of Z Tranche. Add new list and move these to there. + + @@ -694,19 +801,45 @@ These tranches have priority over the other tranches in the deal, which are then referred to as the support or companion tranches. There are usually several PAC tranches created. PAC-1, PAC-2, PAC-3 -- this requires some more explanation. PAC-2 refers to a support tranche that is given a scheduled payment structure like a PAC bond. For example, let's say you have a deal with a PAC tranche and a support tranche (i.e., a tranche that is a support tranche and is therefore subordinate to the PAC tranche) that has a scheduled payment structure like you did with the PAC bond. That support bond then is called the PAC-2 bond. If you continue, and create another support tranche that also has scheduled payments, that would become the PAC-3 bond. Prospectus will cover each class. Prospectus is at the level of an issue. + + + regular floater tranche + + A floater tranche is a tranche that is keyed to an index and a spread. The spread is added to the index. + For example, 3 month LIBOR +50 -- meaning that the coupon would be whatever the 3 month LIBOR is plus 50 basis points. This is not a continuously updated number, rather it resets at specified intervals. + + + + + residual tranche + Unknown Further notes: Verify whether Residual Tranche and Support Tranche are meant to be in the same list of types as PAC etc. i.e. can a tranche not be PAC and Residual? this looks suspicioulsy like two semantics. + + - + senior c d o tranche The most senior tranche of the CDO issue. Typically rated A to AAA. If there are defaults or the CDO's collateral otherwise underperforms, scheduled payments to senior tranches take precedence over those of mezzanine tranches. + + + + + + + + + senior m b s tranche + Specific kinds of tranche are modeled for example and investigation only and have been removed from the diagrams. These will be removed from the final model. + + @@ -739,6 +872,17 @@ This is not a tranche of the debt in the CDO but an equity interest in the pool of underlying. There is a very bottom piece, not a tranche, but rather called the preferred shares (or just pref shares, or equity) that is the very bottom most layer in a CDO and is also referred to as the "first loss piece" since, like equity in a corporation, losses are incurred here before any of the actual bond holders take losses. This isn't a tranche + + + subordinated m b s tranche + Specific kinds of tranche are modeled for example and investigation only and have been removed from the diagrams. These will be removed from the final model. + + + + + super floater tranche + + super p o tranche @@ -765,7 +909,7 @@ - + @@ -782,6 +926,56 @@ t a c tranche amortization schedule + + tranche rating at issue + The rating at issue of a tranche of a security. Note this is under review + In the case of CDOs, senior and mezzanine tranches of a CDO issue are typically rated, with the former receiving ratings of A to AAA and the latter receiving ratings of B to BBB. The ratings reflect both the credit quality of underlying collateral as well as how much protection a given tranch is afforded by tranches that are subordinate to it. Review note: Remove this it's no different from an instrument. + + + + tranche type + the type of tranche in a tranched MBS security + + + + + + + + + + + tranched m b s deal + + + + + tranched m b s deal prospectus + + + + + + + + + + + + + + + + + + + + + + + tranched m b s instrument + + trigger event Any event where some value passes some threashold. Or some other type of business event. This is not restricted to "trigger" in the sense of a value passing a threshold. Can also be an seen such as a CDO manager going into bankruptcy. @@ -792,17 +986,43 @@ true p s objective + + cashflow precedence + + + + + confers ownership of + + denomination + + + The currency amount in which the Note is denominated, for example $500 notes. + + has c d o origination objective + + has tranche type + + + + + + is also + + + + is cash @@ -843,6 +1063,13 @@ + + + provides credit support to + + + + provides prepayment support @@ -860,13 +1087,19 @@ rated at issue - + rated at issue - + + + + + reverts + + @@ -875,6 +1108,16 @@ + + + senior to + + + + + Specific kinds of tranche are modeled for example and investigation only and have been removed from the diagrams. These will be removed from the final model. + + seniority @@ -927,7 +1170,9 @@ specifies trigger + + The event which, when it takes place, causes the Jump Z holders to begin receiving payments. @@ -963,5 +1208,27 @@ + + + + + + + + + + + + + + + + + + + + + + \ No newline at end of file diff --git a/SEC/Debt/MortgageBackedSecurities.rdf b/SEC/Debt/MortgageBackedSecurities.rdf index 1410b0695..edeed9daa 100644 --- a/SEC/Debt/MortgageBackedSecurities.rdf +++ b/SEC/Debt/MortgageBackedSecurities.rdf @@ -22,7 +22,6 @@ - @@ -58,7 +57,6 @@ xmlns:fibo-fnd-utl-av="https://spec.edmcouncil.org/fibo/ontology/FND/Utilities/AnnotationVocabulary/" xmlns:fibo-loan-reln-mtg="https://spec.edmcouncil.org/fibo/ontology/LOAN/RealEstateLoans/MortgageLoans/" xmlns:fibo-sec-dbt-abs="https://spec.edmcouncil.org/fibo/ontology/SEC/Debt/AssetBackedSecurities/" - xmlns:fibo-sec-dbt-cdo="https://spec.edmcouncil.org/fibo/ontology/SEC/Debt/CollateralizedDebtObligations/" xmlns:fibo-sec-dbt-dbti="https://spec.edmcouncil.org/fibo/ontology/SEC/Debt/DebtInstruments/" xmlns:fibo-sec-dbt-mbs="https://spec.edmcouncil.org/fibo/ontology/SEC/Debt/MortgageBackedSecurities/" xmlns:fibo-sec-dbt-pbs="https://spec.edmcouncil.org/fibo/ontology/SEC/Debt/PoolBackedSecurities/" @@ -93,7 +91,6 @@ - @@ -161,19 +158,6 @@ FNMA pool - - - - - - - - - floater tranche - A floater tranche is a tranche that is keyed to an index and a spread. - For example, 3 month LIBOR +50 -- meaning that the coupon would be whatever the 3 month LIBOR is plus 50 basis points. This is not a continuously updated number, rather it resets at specified intervals. - - GNMA-II pool @@ -203,13 +187,6 @@ These exist in the USA and may also exist now or in future in other countries. There are three such agencies in thr USA: FNMA, GNMA and FHLMC (Fannie Mae, Ginnie Mae and Freddie Mac respectively). - - - inverse floater tranche - - - - @@ -259,25 +236,6 @@ A pool investment consisting of a collection of MBS instruments. - - - m b s tranche note - An individual note of a tranche. - A Tranche is made up of e.g. $500m in notes and so on. These may be in different notes, with different denominations. Analytics that would apply to the Tranche would by implication apply to each slice of the tranche. - - - - - - - - - - - mezzanine m b s tranche - Specific kinds of tranche are modeled for example and investigation only and have been removed from the diagrams. These will be removed from the final model. - - @@ -338,31 +296,6 @@ As far as definitions:The simple definition is that each of these pool types rep Consensus:Review. - - - non agency i o tranche - Interest Only tranche, meaning that this tranche will only pay interest. - - - - - - - - - - - non agency jump tranche - A tranche where if there is some sort of trigger event reached then the holders of the tranche will begin to receive payments. - - - - - - non agency jump z tranche - A Jump Z tranche is like a Z tranche but if there is some sort of trigger event reached then the holders of the Jump Z tranche will begin to receive payments. Regular non-Sticky Jump Z tranches maintain their changed status only while the trigger event is in effect, and revert to their old payment status once the trigger event has passed. - - @@ -384,37 +317,6 @@ Consensus:Review. non agency mortgage pool - - - non agency p o tranche - Principal Only tranche. This tranche will only pay principal. - - - - - - - - - - - non agency regular jump z tranche - Regular non-Sticky Jump Z tranches maintain their changed status only while the trigger event is in effect, and revert to their old payment status once the trigger event has passed. - - - - - non agency sticky jump z tranche - "Sticky" Jump Z tranches maintain the payment priority of a Jump Z tranche until they are retired. - - - - - non agency z tranche - A tranche that does not receive payments while other tranches remain. - These tranches are credited for interest that would have been received and that interest is accrued to the Z tranche. Once all other tranches have been paid, the holders of the Z tranche receive payments. Types of Z Tranche: A Jump Z tranche is like a Z tranche but if there is some sort of trigger event reached then the holders of the Jump Z tranche will begin to receive payments. "Sticky" Jump Z tranches maintain this payment priority until they are retired, while regular, non-Sticky Jump Z tranches maintain their changed status only while the trigger event is in effect, and revert to their old payment status once the trigger event has passed. Review note: These are currently separate entries - they should be entries for types of Z Tranche. Add new list and move these to there. - - pass-through pool @@ -430,7 +332,6 @@ Consensus:Review. pass through m b s deal - An issue of Mortgage Backed Security instruments in which payments on the pool are passed through to investors The cashflows from interest and principal payments on the mortgages in the underlying pool are passed on to investors, usually with the deduction of fees in for them of a reduction in a mumber of percentage points or a monetary amount. Modeling note: Thinking about this further, and after more PoC reviews, it seems to me that we should simply define two kinds of Deal which are Tranched and Pass Thtrough, just below the level of Pool Backed Securities Deal. Investigaiton of various SMOs and REMICs and the like suggests that the original PoC term duality shown here (Tranched = Non Agency; Pass Through = Agency) is too simplistic. @@ -438,7 +339,6 @@ Consensus:Review. pass through m b s deal prospectus - The written prospectus for an agency, pass through issue of Mortgage Backed Securities @@ -451,7 +351,6 @@ Consensus:Review. pass through m b s instrument - A security in which the cash flows from the underlying asset pool are passed through to the investor by way of redemption payments. @@ -498,14 +397,6 @@ Consensus:Review. A real estate mortgage investment conduit may be organized as a partnership, a trust, a corporation, or an association and is exempt from federal taxes. - - - regular floater tranche - - A floater tranche is a tranche that is keyed to an index and a spread. The spread is added to the index. - For example, 3 month LIBOR +50 -- meaning that the coupon would be whatever the 3 month LIBOR is plus 50 basis points. This is not a continuously updated number, rather it resets at specified intervals. - - residential m b s @@ -513,30 +404,12 @@ Consensus:Review. Notes from CESR: They are issued by banks and backed by an underlying pool of residential mortgages. There can be some distinctions between prime RMBS and sub-prime/non-conforming RMBS although there is no consensus about what constitutes a sub-prime/non-conforming mortgage in Europe. - - - residual tranche - Unknown Further notes: Verify whether Residual Tranche and Support Tranche are meant to be in the same list of types as PAC etc. i.e. can a tranche not be PAC and Residual? this looks suspicioulsy like two semantics. - - SBA pool Unknown pool type, from Cutter SME reviews; other pool types listed under Agency are from or validated by AdeptAdvisory SME review. - - - - - - - - - senior m b s tranche - Specific kinds of tranche are modeled for example and investigation only and have been removed from the diagrams. These will be removed from the final model. - - specialist mortgage issuer @@ -544,87 +417,6 @@ Consensus:Review. Possibly add: Building Society. these exist in the UK (though almost extinct) but have not come up in US-based reviews of the model. Also known as Friendly Societies. There may be analogous organisations in other parts of the world, e.g. South America?? - - - subordinated m b s tranche - Specific kinds of tranche are modeled for example and investigation only and have been removed from the diagrams. These will be removed from the final model. - - - - - super floater tranche - - - - tranche rating at issue - The rating at issue of a tranche of a security. Note this is under review - In the case of CDOs, senior and mezzanine tranches of a CDO issue are typically rated, with the former receiving ratings of A to AAA and the latter receiving ratings of B to BBB. The ratings reflect both the credit quality of underlying collateral as well as how much protection a given tranch is afforded by tranches that are subordinate to it. Review note: Remove this it's no different from an instrument. - - - - tranche type - the type of tranche in a tranched MBS security - - - - - - - - - - - tranched m b s deal - - - - - tranched m b s deal prospectus - - - - - - - - - - - - - - - - - - - - - - - tranched m b s instrument - - - - - tranched m b s issue underwriter - The party which agrees to buy any certificates that are not bought by investors Term origin:MBS PoC Reviews - - - - cashflow precedence - - - - - - - denomination - - - The currency amount in which the Note is denominated, for example $500 notes. - - denomination @@ -639,24 +431,12 @@ Consensus:Review. - - has tranche type - - - - is also - - is also - - - - is slice of @@ -672,50 +452,10 @@ Consensus:Review. Whether the mortage pool is identified as Prime or not. - - - provides credit support to - - - - responsible for - - - reverts - - - - - - - senior to - - - - - Specific kinds of tranche are modeled for example and investigation only and have been removed from the diagrams. These will be removed from the final model. - - - - specifies trigger - - - The event which, when it takes place, causes the Jump Z holders to begin receiving payments. - - - - - - - - - - - \ No newline at end of file