cdm-sample-files.functions.eligible-collateral.check-eligibility-eurex-vanilla-security-output.json Maven / Gradle / Ivy
{
"isEligible" : true,
"matchingEligibleCriteria" : [ {
"issuer" : [ {
"issuerName" : [ {
"name" : {
"value" : "EUREX"
},
"meta" : {
"globalKey" : "3f435d5"
}
} ],
"issuerAgencyRating" : [ {
"qualifier" : "Any",
"creditNotation" : [ {
"notation" : {
"value" : "AAA"
}
} ],
"referenceAgency" : "Fitch"
} ]
} ],
"asset" : [ {
"collateralAssetType" : [ {
"assetType" : "Security",
"debtType" : {
"debtClass" : "Vanilla"
}
} ],
"assetCountryOfOrigin" : [ "LU" ],
"denominatedCurrency" : [ "EUR" ],
"agencyRating" : [ {
"qualifier" : "Any",
"creditNotation" : [ {
"notation" : {
"value" : "AAA"
}
} ],
"referenceAgency" : "Fitch"
} ],
"maturityRange" : {
"lowerBound" : {
"period" : {
"periodMultiplier" : 10,
"period" : "Y",
"meta" : {
"globalKey" : "18f"
}
},
"inclusive" : true
}
}
} ],
"treatment" : {
"isIncluded" : true
}
} ],
"eligibilityQuery" : {
"maturity" : 15,
"collateralAssetType" : {
"assetType" : "Security",
"debtType" : {
"debtClass" : "Vanilla"
}
},
"assetCountryOfOrigin" : "LU",
"denominatedCurrency" : "EUR",
"agencyRating" : {
"qualifier" : "Any",
"creditNotation" : [ {
"notation" : {
"value" : "AAA"
}
} ],
"referenceAgency" : "Fitch"
},
"issuerType" : {
"issuerType" : "SovereignCentralBank"
},
"issuerName" : {
"name" : {
"value" : "EUREX"
},
"meta" : {
"globalKey" : "3f435d5"
}
}
},
"specification" : {
"criteria" : [ {
"issuer" : [ {
"issuerType" : [ {
"issuerType" : "SovereignCentralBank"
} ]
} ],
"asset" : [ {
"collateralAssetType" : [ {
"assetType" : "Security",
"securityType" : "Debt"
} ],
"assetCountryOfOrigin" : [ "FR" ],
"maturityRange" : {
"lowerBound" : {
"period" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "78"
}
}
},
"upperBound" : {
"period" : {
"periodMultiplier" : 5,
"period" : "Y",
"meta" : {
"globalKey" : "f4"
}
}
}
}
} ],
"treatment" : {
"valuationTreatment" : {
"haircutPercentage" : 0.02
},
"isIncluded" : true
}
}, {
"issuer" : [ {
"issuerType" : [ {
"issuerType" : "Corporate"
} ]
} ],
"asset" : [ {
"collateralAssetType" : [ {
"assetType" : "Security",
"securityType" : "Debt"
} ],
"assetCountryOfOrigin" : [ "FR" ],
"maturityRange" : {
"lowerBound" : {
"period" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "78"
}
}
},
"upperBound" : {
"period" : {
"periodMultiplier" : 5,
"period" : "Y",
"meta" : {
"globalKey" : "f4"
}
}
}
}
} ],
"treatment" : {
"valuationTreatment" : {
"haircutPercentage" : 0.15
},
"isIncluded" : true
}
}, {
"issuer" : [ {
"issuerType" : [ {
"issuerType" : "SovereignCentralBank"
} ]
} ],
"asset" : [ {
"collateralAssetType" : [ {
"assetType" : "Security",
"securityType" : "Debt"
} ],
"assetCountryOfOrigin" : [ "US" ],
"maturityRange" : {
"lowerBound" : {
"period" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "78"
}
}
},
"upperBound" : {
"period" : {
"periodMultiplier" : 5,
"period" : "Y",
"meta" : {
"globalKey" : "f4"
}
}
}
}
} ],
"treatment" : {
"valuationTreatment" : {
"haircutPercentage" : 0.02
},
"isIncluded" : true
}
}, {
"issuer" : [ {
"issuerType" : [ {
"issuerType" : "Corporate"
} ]
} ],
"asset" : [ {
"collateralAssetType" : [ {
"assetType" : "Security",
"securityType" : "Debt"
} ],
"assetCountryOfOrigin" : [ "US" ],
"maturityRange" : {
"lowerBound" : {
"period" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "78"
}
}
},
"upperBound" : {
"period" : {
"periodMultiplier" : 5,
"period" : "Y",
"meta" : {
"globalKey" : "f4"
}
}
}
}
} ],
"treatment" : {
"valuationTreatment" : {
"haircutPercentage" : 0.04
},
"isIncluded" : true
}
}, {
"issuer" : [ {
"issuerType" : [ {
"issuerType" : "SovereignCentralBank"
} ]
} ],
"asset" : [ {
"collateralAssetType" : [ {
"assetType" : "Security",
"securityType" : "Debt"
} ],
"assetCountryOfOrigin" : [ "US" ],
"maturityRange" : {
"lowerBound" : {
"period" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "78"
}
}
},
"upperBound" : {
"period" : {
"periodMultiplier" : 5,
"period" : "Y",
"meta" : {
"globalKey" : "f4"
}
}
}
}
} ],
"treatment" : {
"valuationTreatment" : {
"haircutPercentage" : 0.04
},
"isIncluded" : true
}
}, {
"issuer" : [ {
"issuerType" : [ {
"issuerType" : "SovereignCentralBank"
} ]
} ],
"asset" : [ {
"collateralAssetType" : [ {
"assetType" : "Security",
"securityType" : "Debt"
} ],
"assetCountryOfOrigin" : [ "US" ],
"maturityRange" : {
"lowerBound" : {
"period" : {
"periodMultiplier" : 1,
"period" : "Y",
"meta" : {
"globalKey" : "78"
}
}
},
"upperBound" : {
"period" : {
"periodMultiplier" : 5,
"period" : "Y",
"meta" : {
"globalKey" : "f4"
}
}
}
}
} ],
"treatment" : {
"valuationTreatment" : {
"haircutPercentage" : 0.1
},
"isIncluded" : true
}
}, {
"asset" : [ {
"collateralAssetType" : [ {
"assetType" : "Cash"
} ],
"denominatedCurrency" : [ "USD" ]
} ],
"treatment" : {
"valuationTreatment" : {
"haircutPercentage" : 0
},
"isIncluded" : true
}
}, {
"issuer" : [ {
"issuerName" : [ {
"name" : {
"value" : "EUREX"
},
"meta" : {
"globalKey" : "3f435d5"
}
} ],
"issuerAgencyRating" : [ {
"qualifier" : "Any",
"creditNotation" : [ {
"notation" : {
"value" : "AAA"
}
} ],
"referenceAgency" : "Fitch"
} ]
} ],
"asset" : [ {
"collateralAssetType" : [ {
"assetType" : "Security",
"debtType" : {
"debtClass" : "Vanilla"
}
} ],
"assetCountryOfOrigin" : [ "LU" ],
"denominatedCurrency" : [ "EUR" ],
"agencyRating" : [ {
"qualifier" : "Any",
"creditNotation" : [ {
"notation" : {
"value" : "AAA"
}
} ],
"referenceAgency" : "Fitch"
} ],
"maturityRange" : {
"lowerBound" : {
"period" : {
"periodMultiplier" : 10,
"period" : "Y",
"meta" : {
"globalKey" : "18f"
}
},
"inclusive" : true
}
}
} ],
"treatment" : {
"isIncluded" : true
}
} ],
"meta" : {
"globalKey" : "6e06c44d"
}
}
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