Class: CalculationAndTimingCollateralTransferAgreement

Specification of the Calculation, Valuation and Timing terms specific to the Initial Margin Credit Support Annex.

URI: common_domain_model:CalculationAndTimingCollateralTransferAgreement

 classDiagram
    class CalculationAndTimingCollateralTransferAgreement
    click CalculationAndTimingCollateralTransferAgreement href "../CalculationAndTimingCollateralTransferAgreement/"
      CalculationAndTimingBase <|-- CalculationAndTimingCollateralTransferAgreement
        click CalculationAndTimingBase href "../CalculationAndTimingBase/"

      CalculationAndTimingCollateralTransferAgreement : bespokeCalculationDate





        CalculationAndTimingCollateralTransferAgreement --> "0..1" BespokeCalculationDate : bespokeCalculationDate
        click BespokeCalculationDate href "../BespokeCalculationDate/"



      CalculationAndTimingCollateralTransferAgreement : bespokeCalculationTime





        CalculationAndTimingCollateralTransferAgreement --> "0..1" BespokeCalculationTime : bespokeCalculationTime
        click BespokeCalculationTime href "../BespokeCalculationTime/"



      CalculationAndTimingCollateralTransferAgreement : calculationAgentTerms





        CalculationAndTimingCollateralTransferAgreement --> "0..1" CalculationAgentTerms : calculationAgentTerms
        click CalculationAgentTerms href "../CalculationAgentTerms/"



      CalculationAndTimingCollateralTransferAgreement : calculationDateLocation





        CalculationAndTimingCollateralTransferAgreement --> "0..1" ValuationCalculationDateLocation : calculationDateLocation
        click ValuationCalculationDateLocation href "../ValuationCalculationDateLocation/"



      CalculationAndTimingCollateralTransferAgreement : cashSettlementDay

      CalculationAndTimingCollateralTransferAgreement : notificationTime





        CalculationAndTimingCollateralTransferAgreement --> "1" NotificationTime : notificationTime
        click NotificationTime href "../NotificationTime/"



      CalculationAndTimingCollateralTransferAgreement : securitiesSettlementDay

Inheritance

CalculationAndTimingBase
- CalculationAndTimingCollateralTransferAgreement

Slots

Name	Cardinality and Range	Description	Inheritance
calculationAgentTerms	0..1 CalculationAgentTerms	Details of the party calculating the value of collateral to be delivered or r...	direct
bespokeCalculationDate	0..1 BespokeCalculationDate	The specification of bespoke Calculation Date terms for the purposes of Initi...	direct
bespokeCalculationTime	0..1 BespokeCalculationTime	Bespoke terms to describe the time as of which such party (or the Calculation...	direct
calculationDateLocation	0..1 ValuationCalculationDateLocation	The specified location where the credit exposure will be calculated by the re...	direct
cashSettlementDay	0..1 string		direct
securitiesSettlementDay	0..1 string		direct
notificationTime	1 NotificationTime	The time by which a demand for the Transfer of Eligible Credit Support (IM) o...	CalculationAndTimingBase

Usages

used by	used in	type	used
CollateralTransferAgreementElections	calculationAndTiming	range	CalculationAndTimingCollateralTransferAgreement

In Subsets

CdmLegaldocumentationCsa

Identifier and Mapping Information

Schema Source

from schema: https://w3id.org/lmodel/common-domain-model

Mappings

Mapping Type	Mapped Value
self	common_domain_model:CalculationAndTimingCollateralTransferAgreement
native	common_domain_model:CalculationAndTimingCollateralTransferAgreement
close	fpml_5_10:CalculationAndTimingCollateralTransferAgreement

LinkML Source

Direct

name: CalculationAndTimingCollateralTransferAgreement
description: Specification of the Calculation, Valuation and Timing terms specific
  to the Initial Margin Credit Support Annex.
in_subset:
- cdm_legaldocumentation_csa
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:CalculationAndTimingCollateralTransferAgreement
is_a: CalculationAndTimingBase
slots:
- calculationAgentTerms
- bespokeCalculationDate
- bespokeCalculationTime
- calculationDateLocation
- cashSettlementDay
- securitiesSettlementDay
slot_usage:
  calculationAgentTerms:
    name: calculationAgentTerms
    required: false
  calculationDateLocation:
    name: calculationDateLocation
    required: false

Induced

name: CalculationAndTimingCollateralTransferAgreement
description: Specification of the Calculation, Valuation and Timing terms specific
  to the Initial Margin Credit Support Annex.
in_subset:
- cdm_legaldocumentation_csa
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:CalculationAndTimingCollateralTransferAgreement
is_a: CalculationAndTimingBase
slot_usage:
  calculationAgentTerms:
    name: calculationAgentTerms
    required: false
  calculationDateLocation:
    name: calculationDateLocation
    required: false
attributes:
  calculationAgentTerms:
    name: calculationAgentTerms
    description: Details of the party calculating the value of collateral to be delivered
      or returned.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculationAndTimingInitialMargin.calculationAgentTerms
    rank: 1000
    owner: CalculationAndTimingCollateralTransferAgreement
    domain_of:
    - CalculationAndTimingInitialMargin
    - CalculationAndTimingCollateralTransferAgreement
    range: CalculationAgentTerms
    required: false
  bespokeCalculationDate:
    name: bespokeCalculationDate
    description: The specification of bespoke Calculation Date terms for the purposes
      of Initial or Variation Margin by the parties to the agreement.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculationAndTimingInitialMargin.bespokeCalculationDate
    rank: 1000
    owner: CalculationAndTimingCollateralTransferAgreement
    domain_of:
    - CalculationAndTimingInitialMargin
    - CalculationAndTimingCollateralTransferAgreement
    range: BespokeCalculationDate
  bespokeCalculationTime:
    name: bespokeCalculationTime
    description: Bespoke terms to describe the time as of which such party (or the
      Calculation Agent (IM) (if applicale)) computes its end of day valuations of
      derivatives transactions.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculationAndTimingInitialMargin.bespokeCalculationTime
    rank: 1000
    owner: CalculationAndTimingCollateralTransferAgreement
    domain_of:
    - CalculationAndTimingInitialMargin
    - CalculationAndTimingCollateralTransferAgreement
    range: BespokeCalculationTime
  calculationDateLocation:
    name: calculationDateLocation
    description: The specified location where the credit exposure will be calculated
      by the respective parties.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculationAndTimingInitialMargin.calculationDateLocation
    rank: 1000
    owner: CalculationAndTimingCollateralTransferAgreement
    domain_of:
    - CalculationAndTimingInitialMargin
    - CalculationAndTimingCollateralTransferAgreement
    range: ValuationCalculationDateLocation
    required: false
  cashSettlementDay:
    name: cashSettlementDay
    notes:
    - ISDA CSA_IM_Japanese_2016 paragraph "4" clause "(b)(i)"
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculationAndTimingInitialMargin.cashSettlementDay
    rank: 1000
    owner: CalculationAndTimingCollateralTransferAgreement
    domain_of:
    - CalculationAndTimingInitialMargin
    - CalculationAndTimingCollateralTransferAgreement
    range: string
  securitiesSettlementDay:
    name: securitiesSettlementDay
    notes:
    - ISDA CSA_IM_Japanese_2016 paragraph "12"
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculationAndTimingInitialMargin.securitiesSettlementDay
    rank: 1000
    owner: CalculationAndTimingCollateralTransferAgreement
    domain_of:
    - CalculationAndTimingInitialMargin
    - CalculationAndTimingCollateralTransferAgreement
    range: string
  notificationTime:
    name: notificationTime
    description: The time by which a demand for the Transfer of Eligible Credit Support
      (IM) or Posted Credit Support (IM) needs to be made in order for the transfer
      to take place in accordance with the Transfer Timing provisions.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CalculationAndTimingCollateralTransferAgreement
    domain_of:
    - CalculationAndTimingBase
    - NotificationTimeElection
    - CollateralSpecification
    - CollateralInterestNotification
    - RecallProvision
    range: NotificationTime
    required: true