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Class: CreditSupportObligationsVariationMargin

Specification of the Credit Support Obligations applicable to the Variation Margin Credit Support Annex.

URI: common_domain_model:CreditSupportObligationsVariationMargin

 classDiagram
    class CreditSupportObligationsVariationMargin
    click CreditSupportObligationsVariationMargin href "../CreditSupportObligationsVariationMargin/"
      CreditSupportObligationsBase <|-- CreditSupportObligationsVariationMargin
        click CreditSupportObligationsBase href "../CreditSupportObligationsBase/"

      CreditSupportObligationsVariationMargin : bespokeTransferTiming





        CreditSupportObligationsVariationMargin --> "0..1" BespokeTransferTiming : bespokeTransferTiming
        click BespokeTransferTiming href "../BespokeTransferTiming/"



      CreditSupportObligationsVariationMargin : collateralTransferTiming





        CreditSupportObligationsVariationMargin --> "0..1" CollateralTransferTiming : collateralTransferTiming
        click CollateralTransferTiming href "../CollateralTransferTiming/"



      CreditSupportObligationsVariationMargin : deliveryAmount





        CreditSupportObligationsVariationMargin --> "1" CSADeliveryAmount : deliveryAmount
        click CSADeliveryAmount href "../CSADeliveryAmount/"



      CreditSupportObligationsVariationMargin : eligibleCreditSupport





        CreditSupportObligationsVariationMargin --> "1" EligibleCreditSupport : eligibleCreditSupport
        click EligibleCreditSupport href "../EligibleCreditSupport/"



      CreditSupportObligationsVariationMargin : fxHaircut

      CreditSupportObligationsVariationMargin : ineligibleCreditSupport





        CreditSupportObligationsVariationMargin --> "0..1" IneligibleCreditSupport : ineligibleCreditSupport
        click IneligibleCreditSupport href "../IneligibleCreditSupport/"



      CreditSupportObligationsVariationMargin : majorCurrency

      CreditSupportObligationsVariationMargin : minimumTransferAmount





        CreditSupportObligationsVariationMargin --> "1" MinimumTransferAmount : minimumTransferAmount
        click MinimumTransferAmount href "../MinimumTransferAmount/"



      CreditSupportObligationsVariationMargin : returnAmount





        CreditSupportObligationsVariationMargin --> "1" CSAReturnAmount : returnAmount
        click CSAReturnAmount href "../CSAReturnAmount/"



      CreditSupportObligationsVariationMargin : rounding





        CreditSupportObligationsVariationMargin --> "1" CollateralRounding : rounding
        click CollateralRounding href "../CollateralRounding/"

Inheritance

Slots

Name Cardinality and Range Description Inheritance
ineligibleCreditSupport 0..1
IneligibleCreditSupport		 The parties to which the provisions of the Credit Support Annex for Variation... direct
majorCurrency *
string		 The additional currencies that are specified as Major Currency for the purpos... direct
fxHaircut 0..1
string		 The alternative definition for FX haircut percentage that applies to each par... direct
rounding 1
CollateralRounding		 The rounding methodology applicable to the Delivery Amount and the Return Amo... direct
eligibleCreditSupport 1
EligibleCreditSupport		 Specification of the Eligible Collateral or Credit Support applicable to the ... direct
deliveryAmount 1
CSADeliveryAmount		 In respect of a Valuation Date, the amount of collateral which a party is ent... CreditSupportObligationsBase
returnAmount 1
CSAReturnAmount		 In respect of a Valuation Date, the amount of collateral which a party is ent... CreditSupportObligationsBase
minimumTransferAmount 1
MinimumTransferAmount		 Represents the threshold specified in the agreement below which collateral ne... CreditSupportObligationsBase
collateralTransferTiming 0..1
CollateralTransferTiming		 Specification of transfer / settlement timing for cash and securities collate... CreditSupportObligationsBase
bespokeTransferTiming 0..1
BespokeTransferTiming		 The time by which the transfer of collateral must take place when different f... CreditSupportObligationsBase

Usages

used by used in type used
CreditSupportAgreementVariationMarginElections creditSupportObligations range CreditSupportObligationsVariationMargin

In Subsets

See Also

Notes

  • ISDA CSA_VM_2016 paragraph "13" clause "(c) " name "Credit Support Obligations"

Identifier and Mapping Information

Schema Source

Mappings

Mapping Type Mapped Value
self common_domain_model:CreditSupportObligationsVariationMargin
native common_domain_model:CreditSupportObligationsVariationMargin

LinkML Source

Direct

name: CreditSupportObligationsVariationMargin
description: Specification of the Credit Support Obligations applicable to the Variation
  Margin Credit Support Annex.
notes:
- ISDA CSA_VM_2016 paragraph "13" clause "(c) " name "Credit Support Obligations"
in_subset:
- cdm_legaldocumentation_csa
from_schema: https://w3id.org/lmodel/common-domain-model
see_also:
- isda:CSA_VM_2016
is_a: CreditSupportObligationsBase
slots:
- ineligibleCreditSupport
- majorCurrency
- fxHaircut
- rounding
- eligibleCreditSupport
slot_usage:
  rounding:
    name: rounding
    description: The rounding methodology applicable to the Delivery Amount and the
      Return Amount in terms of nearest integral multiple of Base Currency units.
    range: CollateralRounding
    required: true

Induced

name: CreditSupportObligationsVariationMargin
description: Specification of the Credit Support Obligations applicable to the Variation
  Margin Credit Support Annex.
notes:
- ISDA CSA_VM_2016 paragraph "13" clause "(c) " name "Credit Support Obligations"
in_subset:
- cdm_legaldocumentation_csa
from_schema: https://w3id.org/lmodel/common-domain-model
see_also:
- isda:CSA_VM_2016
is_a: CreditSupportObligationsBase
slot_usage:
  rounding:
    name: rounding
    description: The rounding methodology applicable to the Delivery Amount and the
      Return Amount in terms of nearest integral multiple of Base Currency units.
    range: CollateralRounding
    required: true
attributes:
  ineligibleCreditSupport:
    name: ineligibleCreditSupport
    description: The parties to which the provisions of the Credit Support Annex for
      Variation Margin will apply to.
    notes:
    - ISDA CSA_VM_2016 paragraph "13 " clause "(c)(iii)" name "Legally Ineligible
      Credit Support (VM"
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CreditSupportObligationsVariationMargin
    range: IneligibleCreditSupport
  majorCurrency:
    name: majorCurrency
    annotations:
      metadata_scheme:
        tag: metadata_scheme
        value: true
    description: The additional currencies that are specified as Major Currency for
      the purpose of applying the FX Haircut Percentage.
    notes:
    - ISDA CSA_VM_2016 paragraph "13" clause "(c)(v)(B)" name "FX Haircut Percentage"
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CreditSupportObligationsVariationMargin
    range: string
    multivalued: true
  fxHaircut:
    name: fxHaircut
    description: The alternative definition for FX haircut percentage that applies
      to each party and item of Eligible Collateral unless this item is denominated
      in a Major Currency or in the Base Currency.
    notes:
    - ISDA CSA_VM_2016 paragraph "13" clause "(c)(v)(B)" name "FX Haircut Percentage"
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CreditSupportObligationsVariationMargin
    range: string
  rounding:
    name: rounding
    description: The rounding methodology applicable to the Delivery Amount and the
      Return Amount in terms of nearest integral multiple of Base Currency units.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - RelativeTimeOffset
    - CreditSupportObligationsLegacy
    - CreditSupportObligationsInitialMargin
    - CreditSupportObligationsCollateralTransferAgreement
    - CreditSupportObligationsVariationMargin
    - FloatingRateProcessingParameters
    - CollateralInterestCalculationParameters
    - CommodityPriceReturnTerms
    range: CollateralRounding
    required: true
  eligibleCreditSupport:
    name: eligibleCreditSupport
    description: Specification of the Eligible Collateral or Credit Support applicable
      to the Agreement.
    notes:
    - ISDA CSA_NewYork_1994
    - ISDA CSA_English_1995
    - ISDA CSD_English_1995
    - ISDA CSA_VM_English_2016
    - ISDA CSA_VM_NewYork_2016
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CreditSupportObligationsLegacy
    - CreditSupportObligationsVariationMargin
    range: EligibleCreditSupport
    required: true
  deliveryAmount:
    name: deliveryAmount
    description: In respect of a Valuation Date, the amount of collateral which a
      party is entitled to demand to be transferred to it as a Delivery Amount.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CollateralRounding.deliveryAmount
    rank: 1000
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CollateralRounding
    - InterestAmount
    - CreditSupportObligationsBase
    - CSADeliveryAmount
    - InterestAmountApplication
    range: CSADeliveryAmount
    required: true
  returnAmount:
    name: returnAmount
    description: In respect of a Valuation Date, the amount of collateral which a
      party is entitled to demand to be recalled to it as a Return Amount.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CollateralRounding.returnAmount
    rank: 1000
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CollateralRounding
    - InterestAmount
    - CreditSupportObligationsBase
    - CSAReturnAmount
    - InterestAmountApplication
    range: CSAReturnAmount
    required: true
  minimumTransferAmount:
    name: minimumTransferAmount
    description: Represents the threshold specified in the agreement below which collateral
      need not be delivered, and represents the smallest incremental value of exposure
      that must be reached before the parties are obliged to transfer collateral.
    notes:
    - ISDA CSA_NewYork_1994
    - ISDA CSA_English_1995
    - ISDA CSD_English_1995
    - ISDA CSA_VM_English_2016
    - ISDA CSA_VM_NewYork_2016
    - ISDA CSD_IM_English_2016 paragraph "13 General Principles" clause "(c)(vi)(C)"
      name "Rounding"
    - ISDA CSA_IM_Japanese_2016 paragraph "13 General Principles" clause "(d)(vi)(C)"
      name "Rounding"
    - ISDA CSA_IM_NewYork_2016 paragraph "13 General Principles" clause "(c)(vi)(C)"
      name "Rounding"
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CreditSupportObligationsBase
    range: MinimumTransferAmount
    required: true
  collateralTransferTiming:
    name: collateralTransferTiming
    description: Specification of transfer / settlement timing for cash and securities
      collateral assuming that the notice is provided before the Notification Time
      (and with a 1LBD lag introduced if the notice is delivered after the Notification
      Time), and that securities allow for a further Local Business Day for transfer
      / settlement.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CreditSupportObligationsBase
    range: CollateralTransferTiming
  bespokeTransferTiming:
    name: bespokeTransferTiming
    description: The time by which the transfer of collateral must take place when
      different from the Regular Settlement Day as a result of parties' election.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CreditSupportObligationsBase
    range: BespokeTransferTiming