EligibleCollateralCriteria
Type CDM 7.2.0Represents a set of criteria used to specify eligible collateral.
Attributes
1 declared on EligibleCollateralCriteria, 4 inherited. Cardinality in amber is required.
| Name | Type | Card. | Description | From |
|---|---|---|---|---|
| collateralCriteria | CollateralCriteria | 0..1 | The specific criteria that applies. It can be created using AND, OR and NOT logic, and both asset and issuer characteristics. | CollateralCriteriaBase |
| appliesTo | CounterpartyRoleEnum | 0..2 | Specifies which of the two counterparties the criteria applies to (either one or both counterparties). This attribute is optional, in case the applicable party is already specified elsewhere within a party election. | CollateralCriteriaBase |
| restrictTo | CollateralMarginTypeEnum | 0..1 | Restrict the criteria to only apply to a specific type of margin, ie IM or VM. | CollateralCriteriaBase |
| ratingPriorityResolution | RatingPriorityResolutionEnum | 0..1 | Denotes which Criteria has priority if more than one agency rating applies. | CollateralCriteriaBase |
| treatment | CollateralTreatment | 1..1 | Identifies the treatment of specified collateral, e.g., haircuts,holding limits or exclusions. | — |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
ConcentrationLimitTypeIssueOSAmountDebtOnly Condition
Specifies a condition that concentration limit type 'IssueOutstandingAmount' is restricted to be used only if the asset type is described as 'Security' and 'Debt'.
if treatment -> concentrationLimit -> concentrationLimitCriteria -> concentrationLimitType only-element = ConcentrationLimitTypeEnum -> IssueOutstandingAmount
then CriteriaMatchesSecurityType(collateralCriteria, Debt)
or (treatment -> concentrationLimit
extract
CriteriaMatchesSecurityType(
item -> concentrationLimitCriteria -> collateralCriteria,
Debt
)) all = True ConcentrationLimitTypeMarketCapEquityOnly Condition
Specifies a condition that concentration limit type 'MarketCapitalisation' is restricted to be used only if the asset type is described as 'Security' and 'Equity'.
if treatment -> concentrationLimit -> concentrationLimitCriteria -> concentrationLimitType only-element = ConcentrationLimitTypeEnum -> MarketCapitalisation
then CriteriaMatchesSecurityType(collateralCriteria, Equity)
or (treatment -> concentrationLimit
extract
CriteriaMatchesSecurityType(
item -> concentrationLimitCriteria -> collateralCriteria,
Equity
)) all = True AverageTradingVolumeEquityOnly Condition
Specifies a condition that concentration limit 'AverageTradingVolume' is restricted to be used only if the asset type is described as 'Security' and 'Equity'.
if treatment -> concentrationLimit -> concentrationLimitCriteria -> averageTradingVolume exists
then CriteriaMatchesSecurityType(collateralCriteria, Equity)
or (treatment -> concentrationLimit
extract
CriteriaMatchesSecurityType(
item -> concentrationLimitCriteria -> collateralCriteria,
Equity
)) all = TrueReferenced by
5 types hold an EligibleCollateralCriteria as an attribute.
CheckEligibilityResultCollateralProvisionsEligibleCollateralSpecificationMarginCallIssuancePostingObligationsElection
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