Model Dutch RMBS

[yellowbean]

Missing part:

• swap structure
• revolving pools
• loan by loan headers
  it seems that Dutch RMBS loan by loan data was disclosed at Loan by Loan. but I don't have access to. Anyone who can access that ,it would be great to have the header/fields list available

Reference:

• Loan by Loan
• 20190301 Dutch RMBS a primer.pdf
• The+Danish+Mortgage+Bond+Market_UK.pdf
• den-klassiske-realkreditmodel_uk_2021_final.pdf

#32

[yellowbean]

Let's use this deal as sample
Hypenn VII - prospectus 11 June 2020.pdf
Dutch Property Finance 2023-1 B.V..pdf

[yellowbean]

loan by loan headers

Nope , EuroABS applies a strict rule which only allow stake holders to view the loan level data

[yellowbean]

PEARL Mortgage Backed Securities 3 B.V. shall be a good start
Fitch-report-Pearl-3.pdf

[lucaborella89]

Hi @yellowbean we have started publishing data templates and ETL pipelines relevant for some dutch RMBS https://github.com/Algoritmica-ai/deeploans/tree/main/ETL-Pipelines/ECB-Loan-level-data-templates%20/Residential-Mortgages-ETL-Pipeline

[yellowbean]

Thanks @lucaborella89 thanks very helpful . While could you advise whether the header file (RMBS Taxonomy v28) is public ? it it is accessible to anyone I'm happy to build helper function to convert loan tape into absbox friendly loan level input

[lucaborella89]

The RMBS Taxonomy V28 is public (see here) but not current anymore. We are going to work on the new template/header here Algoritmica-ai/deeploans#1 @samgriek fyi

[yellowbean]

Close as complete at : https://absbox-doc.readthedocs.io/en/latest/nbsample/EDML_BLUE_2024.html

Engine changes:

• refactor on swap accrual and reference balance
• refactor on PDL
• new subordination interest via adding a new bond type which has two interest index