CollateralValuationTreatment
Type CDM 7.2.0Specification of the valuation treatment for the specified collateral.
Extends —
Extended by —
Attributes 4
Namespace cdm.product.collateral
Attributes
All 4 declared on CollateralValuationTreatment. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| haircutPercentage | number | 0..1 | 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. |
| marginPercentage | number | 0..1 | 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. |
| fxHaircutPercentage | number | 0..1 | 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 | number | 0..1 | 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. |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
HaircutPercentage Condition
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.
if haircutPercentage exists
then haircutPercentage >= 0 and haircutPercentage < 1 MarginPercentage Condition
A data rule to validate that if a Margin Percentage is specified it should be greater than 1.
if marginPercentage exists then marginPercentage >= 1 FxHaircutPercentage Condition
A data rule to validate that if an FX Haircut Percentage is specified it should be between 0 and less than 1.
if fxHaircutPercentage exists
then fxHaircutPercentage > 0 and fxHaircutPercentage < 1 AdditionalHaircutPercentage Condition
A data rule to validate that if an FX Haircut Percentage is specified it should be between 0 and less than 1.
if additionalHaircutPercentage exists
then additionalHaircutPercentage > 0 and additionalHaircutPercentage < 1 HaircutPercentageOrMarginPercentage Condition
Choice rule requiring that either a haircut percentage or margin percentage is specified.
required choice haircutPercentage, marginPercentageReferenced by
1 type holds a CollateralValuationTreatment as an attribute.
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