cdm-sample-files.functions.eligible-collateral.merge-criteria-func-input.json Maven / Gradle / Ivy

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{
  "common" : {
    "issuer" : [ {
      "issuerType" : [ {
        "issuerType" : "SovereignCentralBank"
      } ],
      "issuerCountryOfOrigin" : [ "GB" ]
    } ],
    "asset" : [ {
      "collateralAssetType" : [ {
        "assetType" : "Security",
        "securityType" : "Debt"
      } ]
    } ]
  },
  "variable" : [ {
    "asset" : [ {
      "maturityType" : "RemainingMaturity",
      "maturityRange" : {
        "lowerBound" : {
          "period" : {
            "periodMultiplier" : 0,
            "period" : "Y"
          },
          "inclusive" : true
        },
        "upperBound" : {
          "period" : {
            "periodMultiplier" : 1,
            "period" : "Y"
          },
          "inclusive" : false
        }
      }
    } ],
    "treatment" : {
      "valuationTreatment" : {
        "haircutPercentage" : 0.97
      },
      "isIncluded" : true
    }
  }, {
    "asset" : [ {
      "maturityType" : "RemainingMaturity",
      "maturityRange" : {
        "lowerBound" : {
          "period" : {
            "periodMultiplier" : 1,
            "period" : "Y"
          },
          "inclusive" : true
        },
        "upperBound" : {
          "period" : {
            "periodMultiplier" : 5,
            "period" : "Y"
          },
          "inclusive" : false
        }
      }
    } ],
    "treatment" : {
      "valuationTreatment" : {
        "haircutPercentage" : 0.96
      },
      "isIncluded" : true
    }
  }, {
    "asset" : [ {
      "maturityType" : "RemainingMaturity",
      "maturityRange" : {
        "lowerBound" : {
          "period" : {
            "periodMultiplier" : 5,
            "period" : "Y"
          },
          "inclusive" : true
        },
        "upperBound" : {
          "period" : {
            "periodMultiplier" : 10,
            "period" : "Y"
          },
          "inclusive" : false
        }
      }
    } ],
    "treatment" : {
      "valuationTreatment" : {
        "haircutPercentage" : 0.95
      },
      "isIncluded" : true
    }
  }, {
    "asset" : [ {
      "maturityType" : "RemainingMaturity",
      "maturityRange" : {
        "lowerBound" : {
          "period" : {
            "periodMultiplier" : 10,
            "period" : "Y"
          },
          "inclusive" : true
        },
        "upperBound" : {
          "period" : {
            "periodMultiplier" : 30,
            "period" : "Y"
          },
          "inclusive" : false
        }
      }
    } ],
    "treatment" : {
      "valuationTreatment" : {
        "haircutPercentage" : 0.93
      },
      "isIncluded" : true
    }
  }, {
    "asset" : [ {
      "maturityType" : "RemainingMaturity",
      "maturityRange" : {
        "lowerBound" : {
          "period" : {
            "periodMultiplier" : 30,
            "period" : "Y"
          },
          "inclusive" : true
        }
      }
    } ],
    "treatment" : {
      "valuationTreatment" : {
        "haircutPercentage" : 0.9
      },
      "isIncluded" : true
    }
  } ]
}