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

Expressions & Logic

All Of

The class must satisfy all of:

• AnonymousClassExpression({ ‘description’: (’HaircutPercentageOrMarginPercentage: Choice rule requiring that either a ’ ‘haircut percentage or margin percentage is specified.’), ‘exactly_one_of’: [AnonymousClassExpression({ ‘slot_conditions’: {‘haircutPercentage’: SlotDefinition({‘name’: ‘haircutPercentage’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘marginPercentage’: SlotDefinition({‘name’: ‘marginPercentage’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} })] })

Usages

used by	used in	type	used
CollateralTreatment	valuationTreatment	range	CollateralValuationTreatment

Rules

Rule Applied	Preconditions	Postconditions	Elseconditions
slot_conditions	{'marginPercentage': {'value_presence': 'PRESENT'}}	{'marginPercentage': {'minimum_value': 1, 'value_presence': 'PRESENT'}}

Comments

• Rosetta condition HaircutPercentage is not stated in LinkML: if haircutPercentage exists then haircutPercentage >= 0 and haircutPercentage < 1
• Rosetta condition FxHaircutPercentage is not stated in LinkML: if fxHaircutPercentage exists then fxHaircutPercentage > 0 and fxHaircutPercentage < 1
• Rosetta condition AdditionalHaircutPercentage is not stated in LinkML: if additionalHaircutPercentage exists then additionalHaircutPercentage > 0 and additionalHaircutPercentage < 1

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: CollateralValuationTreatment
description: Specification of the valuation treatment for the specified collateral.
comments:
- 'Rosetta condition HaircutPercentage is not stated in LinkML: if haircutPercentage
  exists then haircutPercentage >= 0 and haircutPercentage < 1'
- 'Rosetta condition FxHaircutPercentage is not stated in LinkML: if fxHaircutPercentage
  exists then fxHaircutPercentage > 0 and fxHaircutPercentage < 1'
- 'Rosetta condition AdditionalHaircutPercentage is not stated in LinkML: if additionalHaircutPercentage
  exists then additionalHaircutPercentage > 0 and additionalHaircutPercentage < 1'
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  haircutPercentage:
    name: haircutPercentage
    annotations:
      doc_reference:
        tag: doc_reference
        value: ICMA GMRA namingConvention Haircut | ICMA ERCCBestPractice namingConvention
          Haircut
    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/cdm_product_collateral
    domain_of:
    - PostedCreditSupportItem
    - CollateralValuationTreatment
    range: decimal
  marginPercentage:
    name: marginPercentage
    annotations:
      doc_reference:
        tag: doc_reference
        value: ICMA GMRA namingConvention Margin Ratio | ICMA ERCCBestPractice namingConvention
          Margin Ratio
    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/cdm_product_collateral
    rank: 1000
    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/cdm_product_collateral
    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/cdm_product_collateral
    domain_of:
    - PostedCreditSupportItem
    - CollateralValuationTreatment
    range: decimal
rules:
- preconditions:
    slot_conditions:
      marginPercentage:
        name: marginPercentage
        value_presence: PRESENT
  postconditions:
    slot_conditions:
      marginPercentage:
        name: marginPercentage
        minimum_value: 1
        value_presence: PRESENT
  description: 'MarginPercentage: A data rule to validate that if a Margin Percentage
    is specified it should be greater than 1.'
all_of:
- description: 'HaircutPercentageOrMarginPercentage: Choice rule requiring that either
    a haircut percentage or margin percentage is specified.'
  exactly_one_of:
  - slot_conditions:
      haircutPercentage:
        name: haircutPercentage
        value_presence: PRESENT
  - slot_conditions:
      marginPercentage:
        name: marginPercentage
        value_presence: PRESENT

Induced

name: CollateralValuationTreatment
description: Specification of the valuation treatment for the specified collateral.
comments:
- 'Rosetta condition HaircutPercentage is not stated in LinkML: if haircutPercentage
  exists then haircutPercentage >= 0 and haircutPercentage < 1'
- 'Rosetta condition FxHaircutPercentage is not stated in LinkML: if fxHaircutPercentage
  exists then fxHaircutPercentage > 0 and fxHaircutPercentage < 1'
- 'Rosetta condition AdditionalHaircutPercentage is not stated in LinkML: if additionalHaircutPercentage
  exists then additionalHaircutPercentage > 0 and additionalHaircutPercentage < 1'
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  haircutPercentage:
    name: haircutPercentage
    annotations:
      doc_reference:
        tag: doc_reference
        value: ICMA GMRA namingConvention Haircut | ICMA ERCCBestPractice namingConvention
          Haircut
    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/cdm_product_collateral
    owner: CollateralValuationTreatment
    domain_of:
    - PostedCreditSupportItem
    - CollateralValuationTreatment
    range: decimal
  marginPercentage:
    name: marginPercentage
    annotations:
      doc_reference:
        tag: doc_reference
        value: ICMA GMRA namingConvention Margin Ratio | ICMA ERCCBestPractice namingConvention
          Margin Ratio
    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/cdm_product_collateral
    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/cdm_product_collateral
    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/cdm_product_collateral
    owner: CollateralValuationTreatment
    domain_of:
    - PostedCreditSupportItem
    - CollateralValuationTreatment
    range: decimal
rules:
- preconditions:
    slot_conditions:
      marginPercentage:
        name: marginPercentage
        value_presence: PRESENT
  postconditions:
    slot_conditions:
      marginPercentage:
        name: marginPercentage
        minimum_value: 1
        value_presence: PRESENT
  description: 'MarginPercentage: A data rule to validate that if a Margin Percentage
    is specified it should be greater than 1.'
all_of:
- description: 'HaircutPercentageOrMarginPercentage: Choice rule requiring that either
    a haircut percentage or margin percentage is specified.'
  exactly_one_of:
  - slot_conditions:
      haircutPercentage:
        name: haircutPercentage
        value_presence: PRESENT
  - slot_conditions:
      marginPercentage:
        name: marginPercentage
        value_presence: PRESENT