MarginCallExposure
Type CDM 7.2.0Represents attributes required for mark to market value or IM calculation value of the trade portfolio as recorded by the principle (in base currency).
Attributes
3 declared on MarginCallExposure, 14 inherited. Cardinality in amber is required.
| Name | Type | Card. | Description | From |
|---|---|---|---|---|
| instructionType | MarginCallInstructionType | 1..1 | Identifies the enumeration values to specify the call notification type, direction, specific action type. | MarginCallBase |
| party | Party | 0..* | 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. | MarginCallBase |
| partyRole | PartyRole | 0..* | Represents the role each specified party takes in the margin call. further to the principal roles, payer and receiver. | MarginCallBase |
| clearingBroker | Party | 0..1 | Indicates the name of the Clearing Broker FCM/DCM. | MarginCallBase |
| callIdentifier | Identifier | 0..1 | Represents a unique Identifier for a margin call message, that can be referenced throughout all points of the process. | MarginCallBase |
| callAgreementType | AgreementName | 1..1 | Specifies the legal agreement type the margin call is generated from and governed by. | MarginCallBase |
| agreementMinimumTransferAmount | Money | 0..1 | Specifies the collateral legal agreement minimum transfer amount in base currency. | MarginCallBase |
| agreementThreshold | Money | 0..1 | Specifies the collateral legal agreement threshold amount in base currency. | MarginCallBase |
| agreementRounding | Money | 0..1 | Specifies the collateral legal agreement rounding in base currency. | MarginCallBase |
| regMarginType | RegMarginTypeEnum | 1..1 | Identifies margin type and if related regulatory mandate | MarginCallBase |
| regIMRole | RegIMRoleEnum | 0..1 | Indicates the role of the party in an regulatory initial margin call instruction (i.e Pledgor party or Secured party). | MarginCallBase |
| baseCurrencyExposure | MarginCallExposure | 0..1 | 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. | MarginCallBase |
| collateralPortfolio | CollateralPortfolio | 0..1 | 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. | MarginCallBase |
| independentAmountBalance | CollateralBalance | 0..1 | Represents additional credit support amount over and above mark to market value. | MarginCallBase |
| overallExposure | Exposure | 1..1 | Represents the whole overall mark to market value or IM calculation value of the trade portfolio as recorded by the principle (in base currency). | — |
| simmIMExposure | Exposure | 0..1 | Represents Initial Margin (IM) exposure derived from ISDA SIMM calculation. | — |
| scheduleGridIMExposure | Exposure | 0..1 | Represents Initial Margin (IM) exposure derived from schedule or Grid calculation. | — |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
OverallExposureSumOfSimmAndScheduleIM Condition
Represents a condition to ensure that if Simm IM exposure and Schedule/Grid IM exposure are specified the sum value must equate to overall exposure amount.
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) ExposureSimmAndScheduleIMOnly Condition
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).
if simmIMExposure exists and scheduleGridIMExposure exists
then regMarginType = RegMarginTypeEnum -> RegIMReferenced by
1 type holds a MarginCallExposure as an attribute.
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