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• check-eligibility-4y-eu-security-debt-input.json

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cdm-sample-files.functions.eligible-collateral.check-eligibility-4y-eu-security-debt-input.json Maven / Gradle / Ivy

{
  "specification": {
    "criteria": [
      {
        "asset": [
          {
            "assetCountryOfOrigin": ["FR"],
            "collateralAssetType": [
              {
                "assetType": "SECURITY",
                "securityType": "DEBT"
              }
            ],
            "maturityRange": {
              "lowerBound": {
                "period": {
                  "period": "Y",
                  "periodMultiplier": 1
                }
              },
              "upperBound": {
                "period": {
                  "period": "Y",
                  "periodMultiplier": 5
                }
              }
            }
          }
        ],
        "issuer": [
          {
            "issuerType": [
              {
                "issuerType": "SOVEREIGN_CENTRAL_BANK"
              }
            ]
          }
        ],
        "treatment": {
          "isIncluded": true,
          "valuationTreatment": {
            "haircutPercentage": 0.02
          }
        }
      },
      {
        "asset": [
          {
            "assetCountryOfOrigin": ["FR"],
            "collateralAssetType": [
              {
                "assetType": "SECURITY",
                "securityType": "DEBT"
              }
            ],
            "maturityRange": {
              "lowerBound": {
                "period": {
                  "period": "Y",
                  "periodMultiplier": 1
                }
              },
              "upperBound": {
                "period": {
                  "period": "Y",
                  "periodMultiplier": 5
                }
              }
            }
          }
        ],
        "issuer": [
          {
            "issuerType": [
              {
                "issuerType": "CORPORATE"
              }
            ]
          }
        ],
        "treatment": {
          "isIncluded": true,
          "valuationTreatment": {
            "haircutPercentage": 0.15
          }
        }
      },
      {
        "asset": [
          {
            "assetCountryOfOrigin": ["US"],
            "collateralAssetType": [
              {
                "assetType": "SECURITY",
                "securityType": "DEBT"
              }
            ],
            "maturityRange": {
              "lowerBound": {
                "period": {
                  "period": "Y",
                  "periodMultiplier": 1
                }
              },
              "upperBound": {
                "period": {
                  "period": "Y",
                  "periodMultiplier": 5
                }
              }
            }
          }
        ],
        "issuer": [
          {
            "issuerType": [
              {
                "issuerType": "SOVEREIGN_CENTRAL_BANK"
              }
            ]
          }
        ],
        "treatment": {
          "isIncluded": true,
          "valuationTreatment": {
            "haircutPercentage": 0.02
          }
        }
      },
      {
        "asset": [
          {
            "assetCountryOfOrigin": ["US"],
            "collateralAssetType": [
              {
                "assetType": "SECURITY",
                "securityType": "DEBT"
              }
            ],
            "maturityRange": {
              "lowerBound": {
                "period": {
                  "period": "Y",
                  "periodMultiplier": 1
                }
              },
              "upperBound": {
                "period": {
                  "period": "Y",
                  "periodMultiplier": 5
                }
              }
            }
          }
        ],
        "issuer": [
          {
            "issuerType": [
              {
                "issuerType": "CORPORATE"
              }
            ]
          }
        ],
        "treatment": {
          "isIncluded": true,
          "valuationTreatment": {
            "haircutPercentage": 0.04
          }
        }
      },
      {
        "asset": [
          {
            "assetCountryOfOrigin": ["US"],
            "collateralAssetType": [
              {
                "assetType": "SECURITY",
                "securityType": "DEBT"
              }
            ],
            "maturityRange": {
              "lowerBound": {
                "period": {
                  "period": "Y",
                  "periodMultiplier": 1
                }
              },
              "upperBound": {
                "period": {
                  "period": "Y",
                  "periodMultiplier": 5
                }
              }
            }
          }
        ],
        "issuer": [
          {
            "issuerType": [
              {
                "issuerType": "SOVEREIGN_CENTRAL_BANK"
              }
            ]
          }
        ],
        "treatment": {
          "isIncluded": true,
          "valuationTreatment": {
            "haircutPercentage": 0.04
          }
        }
      },
      {
        "asset": [
          {
            "assetCountryOfOrigin": ["US"],
            "collateralAssetType": [
              {
                "assetType": "SECURITY",
                "securityType": "DEBT"
              }
            ],
            "maturityRange": {
              "lowerBound": {
                "period": {
                  "period": "Y",
                  "periodMultiplier": 1
                }
              },
              "upperBound": {
                "period": {
                  "period": "Y",
                  "periodMultiplier": 5
                }
              }
            }
          }
        ],
        "issuer": [
          {
            "issuerType": [
              {
                "issuerType": "SOVEREIGN_CENTRAL_BANK"
              }
            ]
          }
        ],
        "treatment": {
          "isIncluded": true,
          "valuationTreatment": {
            "haircutPercentage": 0.1
          }
        }
      },
      {
        "asset": [
          {
            "collateralAssetType": [
              {
                "assetType": "CASH"
              }
            ],
            "denominatedCurrency": ["USD"]
          }
        ],
        "treatment": {
          "isIncluded": true,
          "valuationTreatment": {
            "haircutPercentage": 0
          }
        }
      },
      {
        "asset": [
          {
            "agencyRating": [
              {
                "creditNotation": [
                  {
                    "notation": {
                      "value": "AAA"
                    }
                  }
                ],
                "qualifier": "ANY",
                "referenceAgency": "FITCH"
              }
            ],
            "assetCountryOfOrigin": ["LU"],
            "collateralAssetType": [
              {
                "assetType": "SECURITY",
                "debtType": {
                  "debtClass": "VANILLA"
                }
              }
            ],
            "denominatedCurrency": ["EUR"],
            "maturityRange": {
              "lowerBound": {
                "inclusive": true,
                "period": {
                  "period": "Y",
                  "periodMultiplier": 10
                }
              }
            }
          }
        ],
        "issuer": [
          {
            "issuerAgencyRating": [
              {
                "creditNotation": [
                  {
                    "notation": {
                      "value": "AAA"
                    }
                  }
                ],
                "qualifier": "ANY",
                "referenceAgency": "FITCH"
              }
            ],
            "issuerName": [
              {
                "name": {
                  "value": "EUREX"
                }
              }
            ]
          }
        ],
        "treatment": {
          "isIncluded": true
        }
      }
    ]
  },
  "query": {
    "maturity": 4,
    "assetCountryOfOrigin": "FR",
    "collateralAssetType": {
      "assetType": "SECURITY",
      "securityType": "DEBT"
    },
    "issuerType": {
      "issuerType": "SOVEREIGN_CENTRAL_BANK"
    },
    "issuerName": {
      "name": {
        "value": "UK"
      }
    },
    "denominatedCurrency": "EUR",
    "agencyRating": {
      "creditNotation": [
        {
          "notation": {
            "value": "Aaa"
          }
        }
      ],
      "qualifier": "ANY",
      "referenceAgency": "Moodys"
    }
  }
}