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common-domain-model

Class: MarginCallExposure

Represents attributes required for mark to market value or IM calculation value of the trade portfolio as recorded by the principle (in base currency).

URI: common_domain_model:MarginCallExposure

 classDiagram
    class MarginCallExposure
    click MarginCallExposure href "../MarginCallExposure/"
      MarginCallBase <|-- MarginCallExposure
        click MarginCallBase href "../MarginCallBase/"
      
      MarginCallExposure : agreementMinimumTransferAmount
        
          
    
        
        
        MarginCallExposure --> "0..1" Money : agreementMinimumTransferAmount
        click Money href "../Money/"
    

        
      MarginCallExposure : agreementRounding
        
          
    
        
        
        MarginCallExposure --> "0..1" Money : agreementRounding
        click Money href "../Money/"
    

        
      MarginCallExposure : agreementThreshold
        
          
    
        
        
        MarginCallExposure --> "0..1" Money : agreementThreshold
        click Money href "../Money/"
    

        
      MarginCallExposure : baseCurrencyExposure
        
          
    
        
        
        MarginCallExposure --> "0..1" MarginCallExposure : baseCurrencyExposure
        click MarginCallExposure href "../MarginCallExposure/"
    

        
      MarginCallExposure : callAgreementType
        
          
    
        
        
        MarginCallExposure --> "1" AgreementName : callAgreementType
        click AgreementName href "../AgreementName/"
    

        
      MarginCallExposure : callIdentifier
        
          
    
        
        
        MarginCallExposure --> "0..1" Identifier : callIdentifier
        click Identifier href "../Identifier/"
    

        
      MarginCallExposure : clearingBroker
        
          
    
        
        
        MarginCallExposure --> "0..1" Party : clearingBroker
        click Party href "../Party/"
    

        
      MarginCallExposure : collateralPortfolio
        
          
    
        
        
        MarginCallExposure --> "0..1" CollateralPortfolio : collateralPortfolio
        click CollateralPortfolio href "../CollateralPortfolio/"
    

        
      MarginCallExposure : independentAmountBalance
        
          
    
        
        
        MarginCallExposure --> "0..1" CollateralBalance : independentAmountBalance
        click CollateralBalance href "../CollateralBalance/"
    

        
      MarginCallExposure : instructionType
        
          
    
        
        
        MarginCallExposure --> "1" MarginCallInstructionType : instructionType
        click MarginCallInstructionType href "../MarginCallInstructionType/"
    

        
      MarginCallExposure : overallExposure
        
          
    
        
        
        MarginCallExposure --> "1" Exposure : overallExposure
        click Exposure href "../Exposure/"
    

        
      MarginCallExposure : party
        
          
    
        
        
        MarginCallExposure --> "*" Party : party
        click Party href "../Party/"
    

        
      MarginCallExposure : partyRole
        
          
    
        
        
        MarginCallExposure --> "*" PartyRole : partyRole
        click PartyRole href "../PartyRole/"
    

        
      MarginCallExposure : regIMRole
        
          
    
        
        
        MarginCallExposure --> "0..1" RegIMRoleEnum : regIMRole
        click RegIMRoleEnum href "../RegIMRoleEnum/"
    

        
      MarginCallExposure : regMarginType
        
          
    
        
        
        MarginCallExposure --> "1" RegMarginTypeEnum : regMarginType
        click RegMarginTypeEnum href "../RegMarginTypeEnum/"
    

        
      MarginCallExposure : scheduleGridIMExposure
        
          
    
        
        
        MarginCallExposure --> "0..1" Exposure : scheduleGridIMExposure
        click Exposure href "../Exposure/"
    

        
      MarginCallExposure : simmIMExposure
        
          
    
        
        
        MarginCallExposure --> "0..1" Exposure : simmIMExposure
        click Exposure href "../Exposure/"

Inheritance

Section titled “Inheritance”

Slots

Section titled “Slots”
Name Cardinality and Range Description Inheritance
overallExposure 1
Exposure		 Represents the whole overall mark to market value or IM calculation value of … direct
simmIMExposure 0..1
Exposure		 Represents Initial Margin (IM) exposure derived from ISDA SIMM calculation direct
scheduleGridIMExposure 0..1
Exposure		 Represents Initial Margin (IM) exposure derived from schedule or Grid calcula… direct
instructionType 1
MarginCallInstructionType		 Identifies the enumeration values to specify the call notification type, dire… MarginCallBase
party *
Party		 Represents the parties to the margin call MarginCallBase
partyRole *
PartyRole		 Represents the role each specified party takes in the margin call MarginCallBase
clearingBroker 0..1
Party		 Indicates the name of the Clearing Broker FCM/DCM MarginCallBase
callIdentifier 0..1
Identifier		 Represents a unique Identifier for a margin call message, that can be referen… MarginCallBase
callAgreementType 1
AgreementName		 Specifies the legal agreement type the margin call is generated from and gove… MarginCallBase
agreementMinimumTransferAmount 0..1
Money		 Specifies the collateral legal agreement minimum transfer amount in base curr… MarginCallBase
agreementThreshold 0..1
Money		 Specifies the collateral legal agreement threshold amount in base currency MarginCallBase
agreementRounding 0..1
Money		 Specifies the collateral legal agreement rounding in base currency MarginCallBase
regMarginType 1
RegMarginTypeEnum		 Identifies margin type and if related regulatory mandate MarginCallBase
regIMRole 0..1
RegIMRoleEnum		 Indicates the role of the party in an regulatory initial margin call instruct… MarginCallBase
baseCurrencyExposure 0..1
MarginCallExposure		 Represents the current mark to market value or IM calculation value of the tr… MarginCallBase
collateralPortfolio 0..1
CollateralPortfolio		 Represents attributes to define the details of collateral assets within a col… MarginCallBase
independentAmountBalance 0..1
CollateralBalance		 Represents additional credit support amount over and above mark to market val… MarginCallBase

Usages

Section titled “Usages”
used by used in type used
MarginCallBase baseCurrencyExposure range MarginCallExposure
MarginCallExposure baseCurrencyExposure range MarginCallExposure
MarginCallIssuance baseCurrencyExposure range MarginCallExposure
MarginCallResponse baseCurrencyExposure range MarginCallExposure

Rules

Section titled “Rules”

Rule Applied Preconditions Postconditions Elseconditions
slot_conditions {'simmIMExposure': {'value_presence': 'PRESENT'}, 'scheduleGridIMExposure': {'value_presence': 'PRESENT'}} {'regMarginType': {'equals_string': 'RegIM'}}

Comments

Section titled “Comments”
  • Rosetta condition OverallExposureSumOfSimmAndScheduleIM is not stated in LinkML: if simmIMExposure exists and scheduleGridIMExposure exists then (overallExposure -> aggregateValue -> value = simmIMExposure -> aggregateValue -> value + scheduleGridIMExposure -> aggregateValue -> value) and (overallExposure -> aggregateValue -> unit -> currency = simmIMExposure -> aggregateValue -> unit -> currency) and (overallExposure -> aggregateValue -> unit -> currency = scheduleGridIMExposure -> aggregateValue -> unit -> currency)

Identifier and Mapping Information

Section titled “Identifier and Mapping Information”

Schema Source

Section titled “Schema Source”

Mappings

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

LinkML Source

Section titled “LinkML Source”

Direct

Section titled “Direct”
name: MarginCallExposure
description: Represents attributes required for mark to market value or IM calculation
  value of the trade portfolio as recorded by the principle (in base currency).
comments:
- 'Rosetta condition OverallExposureSumOfSimmAndScheduleIM is not stated in LinkML:
  if simmIMExposure exists and scheduleGridIMExposure exists then (overallExposure
  -> aggregateValue -> value = simmIMExposure -> aggregateValue -> value + scheduleGridIMExposure
  -> aggregateValue -> value) and (overallExposure -> aggregateValue -> unit -> currency
  = simmIMExposure -> aggregateValue -> unit -> currency) and (overallExposure ->
  aggregateValue -> unit -> currency = scheduleGridIMExposure -> aggregateValue ->
  unit -> currency)'
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: MarginCallBase
attributes:
  overallExposure:
    name: overallExposure
    description: Represents the whole overall mark to market value or IM calculation
      value of the trade portfolio as recorded by the principle (in base currency).
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    domain_of:
    - MarginCallExposure
    range: Exposure
    required: true
  simmIMExposure:
    name: simmIMExposure
    description: Represents Initial Margin (IM) exposure derived from ISDA SIMM calculation.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    domain_of:
    - MarginCallExposure
    range: Exposure
  scheduleGridIMExposure:
    name: scheduleGridIMExposure
    description: Represents Initial Margin (IM) exposure derived from schedule or
      Grid calculation.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    domain_of:
    - MarginCallExposure
    range: Exposure
rules:
- preconditions:
    slot_conditions:
      simmIMExposure:
        name: simmIMExposure
        value_presence: PRESENT
      scheduleGridIMExposure:
        name: scheduleGridIMExposure
        value_presence: PRESENT
  postconditions:
    slot_conditions:
      regMarginType:
        name: regMarginType
        equals_string: RegIM
  description: 'ExposureSimmAndScheduleIMOnly: Specifies a condition to ensure that
    if margin exposure is defined as Simm IM and Schedule/Grid IM Exposure this is
    only applicable if the Reg margin type is defined as RegIM (Regulatory Initial
    Margin).'

Induced

Section titled “Induced”
name: MarginCallExposure
description: Represents attributes required for mark to market value or IM calculation
  value of the trade portfolio as recorded by the principle (in base currency).
comments:
- 'Rosetta condition OverallExposureSumOfSimmAndScheduleIM is not stated in LinkML:
  if simmIMExposure exists and scheduleGridIMExposure exists then (overallExposure
  -> aggregateValue -> value = simmIMExposure -> aggregateValue -> value + scheduleGridIMExposure
  -> aggregateValue -> value) and (overallExposure -> aggregateValue -> unit -> currency
  = simmIMExposure -> aggregateValue -> unit -> currency) and (overallExposure ->
  aggregateValue -> unit -> currency = scheduleGridIMExposure -> aggregateValue ->
  unit -> currency)'
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: MarginCallBase
attributes:
  overallExposure:
    name: overallExposure
    description: Represents the whole overall mark to market value or IM calculation
      value of the trade portfolio as recorded by the principle (in base currency).
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: MarginCallExposure
    domain_of:
    - MarginCallExposure
    range: Exposure
    required: true
  simmIMExposure:
    name: simmIMExposure
    description: Represents Initial Margin (IM) exposure derived from ISDA SIMM calculation.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: MarginCallExposure
    domain_of:
    - MarginCallExposure
    range: Exposure
  scheduleGridIMExposure:
    name: scheduleGridIMExposure
    description: Represents Initial Margin (IM) exposure derived from schedule or
      Grid calculation.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: MarginCallExposure
    domain_of:
    - MarginCallExposure
    range: Exposure
  instructionType:
    name: instructionType
    description: Identifies the enumeration values to specify the call notification
      type, direction, specific action type.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: MarginCallExposure
    domain_of:
    - MarginCallBase
    range: MarginCallInstructionType
    required: true
  party:
    name: party
    description: Represents the parties to the margin call. The cardinality is optional
      to address the case where both parties of the event are specified and a third
      party if applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    owner: MarginCallExposure
    domain_of:
    - AssetBase
    - DebtRedemption
    - MarginCallBase
    - Trade
    - UmbrellaAgreementParty
    - UmbrellaAgreementSet
    - AggregationParameters
    - AvailableInventory
    - CounterpartyPosition
    - WorkflowStep
    - WorkflowStepApproval
    - AdditionalObligations
    - AdditionalRepresentationElection
    - CalculationAgentTerms
    - CalculationCurrencyElection
    - CollateralManagementAgreementElection
    - ControlAgreementElections
    - ControlAgreementNecEventElection
    - CreditSupportDocumentElection
    - CreditSupportProviderElection
    - CustodianElection
    - CustodianRiskElection
    - ElectiveAmountElection
    - FrenchLawAddendumElection
    - HoldingAndUsingPostedCollateralElection
    - LegacyExposureScopeElection
    - LegacyIndependentAmountParty
    - MinimumTransferAmountElection
    - NotificationTimeElection
    - PledgeeRepresentativeRider
    - PostingObligationsElection
    - RecalculationOfValueElection
    - RegimeTerms
    - SecuredPartyRightsEventElection
    - SecurityInterestForObligations
    - SecurityProviderRightsEventElection
    - SensitivityMethodologiesPartyElection
    - SinglePostingParty
    - SpecifiedOrAccessConditionPartyElection
    - SubstitutedRegimeElection
    - SubstitutionPartyElection
    - TerminationCurrencyElection
    - ThresholdElection
    - ValuationAgent
    - ValuationCalculationDateLocationElection
    - AdditionalTerminationEventElection
    - AutomaticEarlyTerminationElection
    - CreditEventUponMergerElection
    - PartyTerminationCurrencySelection
    - SpecifiedEntity
    - EventsOfDefaultElection
    - EligibleCollateralSpecification
    range: Party
    multivalued: true
  partyRole:
    name: partyRole
    description: Represents the role each specified party takes in the margin call.
      further to the principal roles, payer and receiver.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    owner: MarginCallExposure
    domain_of:
    - AssetBase
    - MarginCallBase
    - PartyChangeInstruction
    - Trade
    - UmbrellaAgreementParty
    - AvailableInventory
    - AvailableInventoryRecord
    - CounterpartyPosition
    - EligibleCollateralSpecification
    range: PartyRole
    multivalued: true
  clearingBroker:
    name: clearingBroker
    description: Indicates the name of the Clearing Broker FCM/DCM.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: MarginCallExposure
    domain_of:
    - MarginCallBase
    range: Party
  callIdentifier:
    name: callIdentifier
    description: Represents a unique Identifier for a margin call message, that can
      be referenced throughout all points of the process.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: MarginCallExposure
    domain_of:
    - MarginCallBase
    range: Identifier
  callAgreementType:
    name: callAgreementType
    description: Specifies the legal agreement type the margin call is generated from
      and governed by.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: MarginCallExposure
    domain_of:
    - MarginCallBase
    range: AgreementName
    required: true
  agreementMinimumTransferAmount:
    name: agreementMinimumTransferAmount
    description: Specifies the collateral legal agreement minimum transfer amount
      in base currency.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: MarginCallExposure
    domain_of:
    - MarginCallBase
    range: Money
  agreementThreshold:
    name: agreementThreshold
    description: Specifies the collateral legal agreement threshold amount in base
      currency.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: MarginCallExposure
    domain_of:
    - MarginCallBase
    range: Money
  agreementRounding:
    name: agreementRounding
    description: Specifies the collateral legal agreement rounding in base currency.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: MarginCallExposure
    domain_of:
    - MarginCallBase
    range: Money
  regMarginType:
    name: regMarginType
    description: Identifies margin type and if related regulatory mandate
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: MarginCallExposure
    domain_of:
    - MarginCallBase
    range: RegMarginTypeEnum
    required: true
  regIMRole:
    name: regIMRole
    description: Indicates the role of the party in an regulatory initial margin call
      instruction (i.e Pledgor party or Secured party).
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: MarginCallExposure
    domain_of:
    - MarginCallBase
    range: RegIMRoleEnum
  baseCurrencyExposure:
    name: baseCurrencyExposure
    description: Represents the current mark to market value or IM calculation value
      of the trade portfolio as recorded by the principle (in base currency), to be
      referenced in a margin call.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: MarginCallExposure
    domain_of:
    - MarginCallBase
    range: MarginCallExposure
  collateralPortfolio:
    name: collateralPortfolio
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: reference
    description: Represents attributes to define the details of collateral assets
      within a collateral portfolio to be used in margin call messaging and contribute
      to collateral balances e.g securities in a collateral account recorded by the
      principal as held or posted.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: MarginCallExposure
    domain_of:
    - MarginCallBase
    - Collateral
    range: CollateralPortfolio
  independentAmountBalance:
    name: independentAmountBalance
    description: Represents additional credit support amount over and above mark to
      market value.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: MarginCallExposure
    domain_of:
    - MarginCallBase
    range: CollateralBalance
rules:
- preconditions:
    slot_conditions:
      simmIMExposure:
        name: simmIMExposure
        value_presence: PRESENT
      scheduleGridIMExposure:
        name: scheduleGridIMExposure
        value_presence: PRESENT
  postconditions:
    slot_conditions:
      regMarginType:
        name: regMarginType
        equals_string: RegIM
  description: 'ExposureSimmAndScheduleIMOnly: Specifies a condition to ensure that
    if margin exposure is defined as Simm IM and Schedule/Grid IM Exposure this is
    only applicable if the Reg margin type is defined as RegIM (Regulatory Initial
    Margin).'