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common-domain-model

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 : independentAmount
        
          
    
        
        
        CreditSupportObligationsVariationMargin --> "0..1" CSAIndependentAmount : independentAmount
        click CSAIndependentAmount href "../CSAIndependentAmount/"
    

        
      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

Section titled “Inheritance”

Slots

Section titled “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
independentAmount 0..1
CSAIndependentAmount		 Specifies the additional amount of collateral that is required to be delivere… 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

Section titled “Usages”
used by used in type used
CreditSupportAgreementVariationMarginElections creditSupportObligations range CreditSupportObligationsVariationMargin

Identifier and Mapping Information

Section titled “Identifier and Mapping Information”

Annotations

Section titled “Annotations”
property value
doc_reference ISDA CSA_VM_2016 paragraph 13 clause (c) name Credit Support Obligations

Schema Source

Section titled “Schema Source”

Mappings

Section titled “Mappings”
Mapping Type Mapped Value
self common_domain_model:CreditSupportObligationsVariationMargin
native common_domain_model:CreditSupportObligationsVariationMargin

LinkML Source

Section titled “LinkML Source”

Direct

Section titled “Direct”
name: CreditSupportObligationsVariationMargin
annotations:
  doc_reference:
    tag: doc_reference
    value: ISDA CSA_VM_2016 paragraph 13 clause (c)  name Credit Support Obligations
description: Specification of the Credit Support Obligations applicable to the Variation
  Margin Credit Support Annex.
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: CreditSupportObligationsBase
attributes:
  ineligibleCreditSupport:
    name: ineligibleCreditSupport
    annotations:
      doc_reference:
        tag: doc_reference
        value: ISDA CSA_VM_2016 paragraph 13  clause (c)(iii) name Legally Ineligible
          Credit Support (VM
    description: The parties to which the provisions of the Credit Support Annex for
      Variation Margin will apply to.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_legaldocumentation_csa
    rank: 1000
    domain_of:
    - CreditSupportObligationsVariationMargin
    range: IneligibleCreditSupport
  majorCurrency:
    name: majorCurrency
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: scheme
      doc_reference:
        tag: doc_reference
        value: ISDA CSA_VM_2016 paragraph 13 clause (c)(v)(B) name FX Haircut Percentage
    description: The additional currencies that are specified as Major Currency for
      the purpose of applying the FX Haircut Percentage.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_legaldocumentation_csa
    rank: 1000
    domain_of:
    - CreditSupportObligationsVariationMargin
    range: string
    multivalued: true
  fxHaircut:
    name: fxHaircut
    annotations:
      doc_reference:
        tag: doc_reference
        value: ISDA CSA_VM_2016 paragraph 13 clause (c)(v)(B) name FX Haircut Percentage
    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.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_legaldocumentation_csa
    rank: 1000
    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/cdm_legaldocumentation_csa
    domain_of:
    - RelativeTimeOffset
    - FloatingRateIndexDefinition
    - CreditSupportObligationsCollateralTransferAgreement
    - CreditSupportObligationsInitialMargin
    - CreditSupportObligationsLegacy
    - CreditSupportObligationsVariationMargin
    - FloatingRateProcessingParameters
    - CollateralInterestCalculationParameters
    - CommodityPriceReturnTerms
    range: CollateralRounding
    required: true
  eligibleCreditSupport:
    name: eligibleCreditSupport
    annotations:
      doc_reference:
        tag: doc_reference
        value: ISDA CSA_NewYork_1994 | ISDA CSA_English_1995 | ISDA CSD_English_1995
          | ISDA CSA_VM_English_2016 | ISDA CSA_VM_NewYork_2016
    description: Specification of the Eligible Collateral or Credit Support applicable
      to the Agreement.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_legaldocumentation_csa
    domain_of:
    - CreditSupportObligationsLegacy
    - CreditSupportObligationsVariationMargin
    range: EligibleCreditSupport
    required: true
  independentAmount:
    name: independentAmount
    description: Specifies the additional amount of collateral that is required to
      be delivered by a party irrespective of the mark-to-market exposure under the
      related Transactions. It may take the form of a fixed amount or may be determined
      using ratings.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_legaldocumentation_csa
    domain_of:
    - CreditSupportObligationsLegacy
    - CreditSupportObligationsVariationMargin
    - Collateral
    range: CSAIndependentAmount

Induced

Section titled “Induced”
name: CreditSupportObligationsVariationMargin
annotations:
  doc_reference:
    tag: doc_reference
    value: ISDA CSA_VM_2016 paragraph 13 clause (c)  name Credit Support Obligations
description: Specification of the Credit Support Obligations applicable to the Variation
  Margin Credit Support Annex.
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: CreditSupportObligationsBase
attributes:
  ineligibleCreditSupport:
    name: ineligibleCreditSupport
    annotations:
      doc_reference:
        tag: doc_reference
        value: ISDA CSA_VM_2016 paragraph 13  clause (c)(iii) name Legally Ineligible
          Credit Support (VM
    description: The parties to which the provisions of the Credit Support Annex for
      Variation Margin will apply to.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_legaldocumentation_csa
    rank: 1000
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CreditSupportObligationsVariationMargin
    range: IneligibleCreditSupport
  majorCurrency:
    name: majorCurrency
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: scheme
      doc_reference:
        tag: doc_reference
        value: ISDA CSA_VM_2016 paragraph 13 clause (c)(v)(B) name FX Haircut Percentage
    description: The additional currencies that are specified as Major Currency for
      the purpose of applying the FX Haircut Percentage.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_legaldocumentation_csa
    rank: 1000
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CreditSupportObligationsVariationMargin
    range: string
    multivalued: true
  fxHaircut:
    name: fxHaircut
    annotations:
      doc_reference:
        tag: doc_reference
        value: ISDA CSA_VM_2016 paragraph 13 clause (c)(v)(B) name FX Haircut Percentage
    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.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_legaldocumentation_csa
    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/cdm_legaldocumentation_csa
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - RelativeTimeOffset
    - FloatingRateIndexDefinition
    - CreditSupportObligationsCollateralTransferAgreement
    - CreditSupportObligationsInitialMargin
    - CreditSupportObligationsLegacy
    - CreditSupportObligationsVariationMargin
    - FloatingRateProcessingParameters
    - CollateralInterestCalculationParameters
    - CommodityPriceReturnTerms
    range: CollateralRounding
    required: true
  eligibleCreditSupport:
    name: eligibleCreditSupport
    annotations:
      doc_reference:
        tag: doc_reference
        value: ISDA CSA_NewYork_1994 | ISDA CSA_English_1995 | ISDA CSD_English_1995
          | ISDA CSA_VM_English_2016 | ISDA CSA_VM_NewYork_2016
    description: Specification of the Eligible Collateral or Credit Support applicable
      to the Agreement.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_legaldocumentation_csa
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CreditSupportObligationsLegacy
    - CreditSupportObligationsVariationMargin
    range: EligibleCreditSupport
    required: true
  independentAmount:
    name: independentAmount
    description: Specifies the additional amount of collateral that is required to
      be delivered by a party irrespective of the mark-to-market exposure under the
      related Transactions. It may take the form of a fixed amount or may be determined
      using ratings.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_legaldocumentation_csa
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CreditSupportObligationsLegacy
    - CreditSupportObligationsVariationMargin
    - Collateral
    range: CSAIndependentAmount
  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/cdm_legaldocumentation_csa
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CSADeliveryAmount
    - CollateralRounding
    - CreditSupportObligationsBase
    - InterestAmount
    - 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/cdm_legaldocumentation_csa
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CSAReturnAmount
    - CollateralRounding
    - CreditSupportObligationsBase
    - InterestAmount
    - InterestAmountApplication
    range: CSAReturnAmount
    required: true
  minimumTransferAmount:
    name: minimumTransferAmount
    annotations:
      doc_reference:
        tag: doc_reference
        value: 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
    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.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_legaldocumentation_csa
    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/cdm_legaldocumentation_csa
    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/cdm_legaldocumentation_csa
    rank: 1000
    owner: CreditSupportObligationsVariationMargin
    domain_of:
    - CreditSupportObligationsBase
    range: BespokeTransferTiming