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Class: CollateralValuationTreatment

Specification of the valuation treatment for the specified collateral.

URI: common_domain_model:CollateralValuationTreatment

 classDiagram
    class CollateralValuationTreatment
    click CollateralValuationTreatment href "../CollateralValuationTreatment/"
      CollateralValuationTreatment : additionalHaircutPercentage

      CollateralValuationTreatment : fxHaircutPercentage

      CollateralValuationTreatment : haircutPercentage

      CollateralValuationTreatment : marginPercentage

Slots

Name Cardinality and Range Description Inheritance
haircutPercentage 0..1
Decimal		 Specifies a haircut percentage to be applied to the value of asset and used a... direct
marginPercentage 0..1
Decimal		 Specifies a percentage value of transaction needing to be posted as collatera... direct
fxHaircutPercentage 0..1
Decimal		 Specifies an FX haircut applied to a specific asset which is agreed between t... direct
additionalHaircutPercentage 0..1
Decimal		 Specifies a percentage value of any additional haircut to be applied to a col... direct

Usages

used by used in type used
CollateralTreatment valuationTreatment range CollateralValuationTreatment

Rules

Rule Applied Preconditions Postconditions Elseconditions
slot_conditions {'haircutPercentage': {'required': True}} {'haircutPercentage': {'minimum_value': 0, 'maximum_value': 1}}

Rule Applied Preconditions Postconditions Elseconditions
slot_conditions {'marginPercentage': {'required': True}} {'marginPercentage': {'minimum_value': 1}}

Rule Applied Preconditions Postconditions Elseconditions
slot_conditions {'fxHaircutPercentage': {'required': True}} {'fxHaircutPercentage': {'minimum_value': 0, 'maximum_value': 1}}

Rule Applied Preconditions Postconditions Elseconditions
slot_conditions {'additionalHaircutPercentage': {'required': True}} {'additionalHaircutPercentage': {'minimum_value': 0, 'maximum_value': 1}}

Rule Applied Preconditions Postconditions Elseconditions

In Subsets

Comments

  • Rosetta condition: HaircutPercentage — if haircutPercentage exists then haircutPercentage >= 0 and haircutPercentage < 1
  • Rosetta condition: MarginPercentage — if marginPercentage exists then marginPercentage >= 1
  • Rosetta condition: FxHaircutPercentage — if fxHaircutPercentage exists then fxHaircutPercentage > 0 and fxHaircutPercentage < 1
  • Rosetta condition: AdditionalHaircutPercentage — if additionalHaircutPercentage exists then additionalHaircutPercentage > 0 and additionalHaircutPercentage < 1
  • Rosetta condition: HaircutPercentageOrMarginPercentage — required choice haircutPercentage, marginPercentage

Identifier and Mapping Information

Schema Source

Mappings

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

LinkML Source

Direct

name: CollateralValuationTreatment
description: Specification of the valuation treatment for the specified collateral.
comments:
- 'Rosetta condition: HaircutPercentage — if haircutPercentage exists then haircutPercentage
  >= 0 and haircutPercentage < 1'
- 'Rosetta condition: MarginPercentage — if marginPercentage exists then marginPercentage
  >= 1'
- 'Rosetta condition: FxHaircutPercentage — if fxHaircutPercentage exists then fxHaircutPercentage
  > 0 and fxHaircutPercentage < 1'
- 'Rosetta condition: AdditionalHaircutPercentage — if additionalHaircutPercentage
  exists then additionalHaircutPercentage > 0 and additionalHaircutPercentage < 1'
- 'Rosetta condition: HaircutPercentageOrMarginPercentage — required choice haircutPercentage,
  marginPercentage'
in_subset:
- cdm_product_collateral
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:CollateralValuationTreatment
slots:
- haircutPercentage
- marginPercentage
- fxHaircutPercentage
- additionalHaircutPercentage
slot_usage:
  haircutPercentage:
    name: haircutPercentage
    description: Specifies a haircut percentage to be applied to the value of asset
      and used as a discount factor to the value of the collateral asset,expressed
      as a percentage in decimal terms. As an example a 0.5% haircut would be represented
      as a decimal number 0.005.
    required: false
  fxHaircutPercentage:
    name: fxHaircutPercentage
    description: Specifies an FX haircut applied to a specific asset which is agreed
      between the parties (for example, if pledgor eligible collateral is not denominated
      in the termination currency or under other specified cases in collateral support
      documents both for initial margin and variation margin).The percentage value
      is expressed as the discount haircut to the value of the collateral- as an example
      an 8% FX haircut would be expressed as 0.08.
  additionalHaircutPercentage:
    name: additionalHaircutPercentage
    description: 'Specifies a percentage value of any additional haircut to be applied
      to a collateral asset,the percentage value is expressed as the discount haircut
      to the value of the collateral- as an example a 5% haircut would be expressed
      as 0.05. '
rules:
- preconditions:
    slot_conditions:
      haircutPercentage:
        name: haircutPercentage
        required: true
  postconditions:
    slot_conditions:
      haircutPercentage:
        name: haircutPercentage
        minimum_value: 0
        maximum_value: 1
  description: A data rule to validate that if a Valuation Percentage is specified
    it should be greater than or equal to 0 and less than 1.
- preconditions:
    slot_conditions:
      marginPercentage:
        name: marginPercentage
        required: true
  postconditions:
    slot_conditions:
      marginPercentage:
        name: marginPercentage
        minimum_value: 1
  description: A data rule to validate that if a Margin Percentage is specified it
    should be greater than 1.
- preconditions:
    slot_conditions:
      fxHaircutPercentage:
        name: fxHaircutPercentage
        required: true
  postconditions:
    slot_conditions:
      fxHaircutPercentage:
        name: fxHaircutPercentage
        minimum_value: 0
        maximum_value: 1
  description: A data rule to validate that if an FX Haircut Percentage is specified
    it should be between 0 and less than 1.
- preconditions:
    slot_conditions:
      additionalHaircutPercentage:
        name: additionalHaircutPercentage
        required: true
  postconditions:
    slot_conditions:
      additionalHaircutPercentage:
        name: additionalHaircutPercentage
        minimum_value: 0
        maximum_value: 1
  description: A data rule to validate that if an FX Haircut Percentage is specified
    it should be between 0 and  less than 1.
- postconditions:
    exactly_one_of:
    - slot_conditions:
        haircutPercentage:
          name: haircutPercentage
          required: true
    - slot_conditions:
        marginPercentage:
          name: marginPercentage
          required: true
  description: Choice rule requiring that either a haircut percentage or margin percentage
    is specified.

Induced

name: CollateralValuationTreatment
description: Specification of the valuation treatment for the specified collateral.
comments:
- 'Rosetta condition: HaircutPercentage — if haircutPercentage exists then haircutPercentage
  >= 0 and haircutPercentage < 1'
- 'Rosetta condition: MarginPercentage — if marginPercentage exists then marginPercentage
  >= 1'
- 'Rosetta condition: FxHaircutPercentage — if fxHaircutPercentage exists then fxHaircutPercentage
  > 0 and fxHaircutPercentage < 1'
- 'Rosetta condition: AdditionalHaircutPercentage — if additionalHaircutPercentage
  exists then additionalHaircutPercentage > 0 and additionalHaircutPercentage < 1'
- 'Rosetta condition: HaircutPercentageOrMarginPercentage — required choice haircutPercentage,
  marginPercentage'
in_subset:
- cdm_product_collateral
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:CollateralValuationTreatment
slot_usage:
  haircutPercentage:
    name: haircutPercentage
    description: Specifies a haircut percentage to be applied to the value of asset
      and used as a discount factor to the value of the collateral asset,expressed
      as a percentage in decimal terms. As an example a 0.5% haircut would be represented
      as a decimal number 0.005.
    required: false
  fxHaircutPercentage:
    name: fxHaircutPercentage
    description: Specifies an FX haircut applied to a specific asset which is agreed
      between the parties (for example, if pledgor eligible collateral is not denominated
      in the termination currency or under other specified cases in collateral support
      documents both for initial margin and variation margin).The percentage value
      is expressed as the discount haircut to the value of the collateral- as an example
      an 8% FX haircut would be expressed as 0.08.
  additionalHaircutPercentage:
    name: additionalHaircutPercentage
    description: 'Specifies a percentage value of any additional haircut to be applied
      to a collateral asset,the percentage value is expressed as the discount haircut
      to the value of the collateral- as an example a 5% haircut would be expressed
      as 0.05. '
attributes:
  haircutPercentage:
    name: haircutPercentage
    description: Specifies a haircut percentage to be applied to the value of asset
      and used as a discount factor to the value of the collateral asset,expressed
      as a percentage in decimal terms. As an example a 0.5% haircut would be represented
      as a decimal number 0.005.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CollateralValuationTreatment
    domain_of:
    - PostedCreditSupportItem
    - CollateralValuationTreatment
    range: decimal
    required: false
  marginPercentage:
    name: marginPercentage
    description: Specifies a percentage value of transaction needing to be posted
      as collateral expressed as a valuation. As an example a 104% requirement would
      be represented as a decimal number 1.04.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CollateralValuationTreatment.marginPercentage
    related_mappings:
    - icma:GMRA#Margin_Ratio
    - icma:ERCCBestPractice#Margin_Ratio
    rank: 1000
    owner: CollateralValuationTreatment
    domain_of:
    - CollateralValuationTreatment
    range: decimal
  fxHaircutPercentage:
    name: fxHaircutPercentage
    description: Specifies an FX haircut applied to a specific asset which is agreed
      between the parties (for example, if pledgor eligible collateral is not denominated
      in the termination currency or under other specified cases in collateral support
      documents both for initial margin and variation margin).The percentage value
      is expressed as the discount haircut to the value of the collateral- as an example
      an 8% FX haircut would be expressed as 0.08.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CollateralValuationTreatment
    domain_of:
    - PostedCreditSupportItem
    - CollateralValuationTreatment
    range: decimal
  additionalHaircutPercentage:
    name: additionalHaircutPercentage
    description: 'Specifies a percentage value of any additional haircut to be applied
      to a collateral asset,the percentage value is expressed as the discount haircut
      to the value of the collateral- as an example a 5% haircut would be expressed
      as 0.05. '
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CollateralValuationTreatment
    domain_of:
    - PostedCreditSupportItem
    - CollateralValuationTreatment
    range: decimal
rules:
- preconditions:
    slot_conditions:
      haircutPercentage:
        name: haircutPercentage
        required: true
  postconditions:
    slot_conditions:
      haircutPercentage:
        name: haircutPercentage
        minimum_value: 0
        maximum_value: 1
  description: A data rule to validate that if a Valuation Percentage is specified
    it should be greater than or equal to 0 and less than 1.
- preconditions:
    slot_conditions:
      marginPercentage:
        name: marginPercentage
        required: true
  postconditions:
    slot_conditions:
      marginPercentage:
        name: marginPercentage
        minimum_value: 1
  description: A data rule to validate that if a Margin Percentage is specified it
    should be greater than 1.
- preconditions:
    slot_conditions:
      fxHaircutPercentage:
        name: fxHaircutPercentage
        required: true
  postconditions:
    slot_conditions:
      fxHaircutPercentage:
        name: fxHaircutPercentage
        minimum_value: 0
        maximum_value: 1
  description: A data rule to validate that if an FX Haircut Percentage is specified
    it should be between 0 and less than 1.
- preconditions:
    slot_conditions:
      additionalHaircutPercentage:
        name: additionalHaircutPercentage
        required: true
  postconditions:
    slot_conditions:
      additionalHaircutPercentage:
        name: additionalHaircutPercentage
        minimum_value: 0
        maximum_value: 1
  description: A data rule to validate that if an FX Haircut Percentage is specified
    it should be between 0 and  less than 1.
- postconditions:
    exactly_one_of:
    - slot_conditions:
        haircutPercentage:
          name: haircutPercentage
          required: true
    - slot_conditions:
        marginPercentage:
          name: marginPercentage
          required: true
  description: Choice rule requiring that either a haircut percentage or margin percentage
    is specified.