Package cdm.product.collateral

Class CollateralValuationTreatment.CollateralValuationTreatmentImpl

java.lang.Object
cdm.product.collateral.CollateralValuationTreatment.CollateralValuationTreatmentImpl
All Implemented Interfaces:
CollateralValuationTreatment, com.rosetta.model.lib.RosettaModelObject
Enclosing interface:
CollateralValuationTreatment
public static class CollateralValuationTreatment.CollateralValuationTreatmentImpl extends Object implements CollateralValuationTreatment
Immutable Implementation of CollateralValuationTreatment

  • Constructor Details

  • Method Details

    • getHaircutPercentage

      @RosettaAttribute("haircutPercentage") @RuneAttribute("haircutPercentage") public BigDecimal getHaircutPercentage()
      Description copied from interface: CollateralValuationTreatment
      Specifies a haircut percentage to be applied to the value of asset and used as a discount factor to the value of the collateral asset,expressed as a percentage in decimal terms. As an example a 0.5% haircut would be represented as a decimal number 0.005. Body ICMA Corpus MasterAgreement GMRA Global Master Repurchase Agreement GMRA 2011 "The Global Master Repurchase Agreement (GMRA) is a model legal agreement designed for parties transacting repos and is published by the International Capital Market Association (ICMA)." namingConvention "Haircut" Provision As defined in GMRA paragraph 2(xx)(B). The haircut for the relevant Securities, if any, as agreed by the parties from time to time, being a discount from the Market Value of the Securities. Body ICMA Corpus Guidance ERCCBestPractice ERCC Guide to Best Practice in the European Repo Market ERCC Guide to Best Practice in the European Repo Market "The ERCC Guide to Best Practice in the European Repo Market is published by ICMAs European Repo and Collateral Council (ERCC). Its purpose is to help foster a fair and efficient European repo market by recommending practices which market experience suggests can help avoid uncertainty or disagreement about transactions, and consequent delay or disruption to repo trading and settlement. With the same purpose in mind, the Guide also codifies market conventions, where this has been thought to be helpful, usually in response to queries from market participants." namingConvention "Haircut" Provision ERCC Guide 3.1: Initial margins and Haircuts are alternative ways to risk-adjust the value of collateral sold in a repurchase transaction in order to try to anticipate the loss of value that may be experienced if the collateral has to be liquidated following an event of default by the counterparty. Both amounts are therefore used to fix the expected liquidation value of collateral. Annex II Glossary of repo terminology Haircut: An agreed percentage discount applied to the Market Value of collateral to fix the Purchase Price on the Purchase Date of a repo. A haircut is expressed as the percentage difference between the initial Market Value and the Purchase Price.
      Specified by:
      getHaircutPercentage in interface CollateralValuationTreatment

    • getMarginPercentage

      @RosettaAttribute("marginPercentage") @RuneAttribute("marginPercentage") public BigDecimal getMarginPercentage()
      Description copied from interface: CollateralValuationTreatment
      Specifies a percentage value of transaction needing to be posted as collateral expressed as a valuation. As an example a 104% requirement would be represented as a decimal number 1.04. Body ICMA Corpus MasterAgreement GMRA Global Master Repurchase Agreement GMRA 2011 "The Global Master Repurchase Agreement (GMRA) is a model legal agreement designed for parties transacting repos and is published by the International Capital Market Association (ICMA)." namingConvention "Margin Ratio" Provision As defined in GMRA paragraph 2(bb). Margin Ratio, with respect to a Transaction, the Market Value of the Purchased Securities at the time when the Transaction was entered into divided by the Purchase Price (and so that, where a Transaction relates to Securities of different descriptions and the Purchase Price is apportioned by the parties among Purchased Securities of each such description, a separate Margin Ratio shall apply in respect of Securities of each such description), or such other proportion as the parties may agree with respect to that Transaction; Body ICMA Corpus Guidance ERCCBestPractice ERCC Guide to Best Practice in the European Repo Market ERCC Guide to Best Practice in the European Repo Market "The ERCC Guide to Best Practice in the European Repo Market is published by ICMAs European Repo and Collateral Council (ERCC). Its purpose is to help foster a fair and efficient European repo market by recommending practices which market experience suggests can help avoid uncertainty or disagreement about transactions, and consequent delay or disruption to repo trading and settlement. With the same purpose in mind, the Guide also codifies market conventions, where this has been thought to be helpful, usually in response to queries from market participants." namingConvention "Margin Ratio" Provision ERCC Guide 3.1: Initial margins and Haircuts are alternative ways to risk-adjust the value of collateral sold in a repurchase transaction in order to try to anticipate the loss of value that may be experienced if the collateral has to be liquidated following an event of default by the counterparty. Both amounts are therefore used to fix the expected liquidation value of collateral. Annex II Glossary of repo terminology: Initial margin: An agreed premium applied to the Purchase Price of a repo to determine the required Market Value of the collateral to be delivered on the Purchase Date. It is also applied each day during the term of a repo, as part of the process of Margin Maintenance, to the Repurchase Price on that day to calculate the Market Value of collateral required subsequently in order to maintain adequate collateralisation. Under the GMRA, if there is a material difference between (1) the Repurchase Price of a repo plus any initial margin and (2) the current Market Value of collateral, that repo has a Transaction Exposure. This will go into the calculation of Net Exposure, which determines if either party has the right to call for Margin Maintenance. An initial margin can be expressed either as (1) the Market Value as a percentage of the Purchase Price or (2) a ratio of the two amounts. In the GMRA, an initial margin is called a Margin Ratio and is defined as a ratio but the market tends to quote a percentage. A percentage initial margin of 100% or ratio of one means there is no initial margin. See Guide 3.2
      Specified by:
      getMarginPercentage in interface CollateralValuationTreatment

    • getFxHaircutPercentage

      @RosettaAttribute("fxHaircutPercentage") @RuneAttribute("fxHaircutPercentage") public BigDecimal getFxHaircutPercentage()
      Description copied from interface: CollateralValuationTreatment
      Specifies an FX haircut applied to a specific asset which is agreed between the parties (for example, if pledgor eligible collateral is not denominated in the termination currency or under other specified cases in collateral support documents both for initial margin and variation margin).The percentage value is expressed as the discount haircut to the value of the collateral- as an example an 8% FX haircut would be expressed as 0.08.
      Specified by:
      getFxHaircutPercentage in interface CollateralValuationTreatment

    • getAdditionalHaircutPercentage

      @RosettaAttribute("additionalHaircutPercentage") @RuneAttribute("additionalHaircutPercentage") public BigDecimal getAdditionalHaircutPercentage()
      Description copied from interface: CollateralValuationTreatment
      Specifies a percentage value of any additional haircut to be applied to a collateral asset,the percentage value is expressed as the discount haircut to the value of the collateral- as an example a 5% haircut would be expressed as 0.05.
      Specified by:
      getAdditionalHaircutPercentage in interface CollateralValuationTreatment

    • build

      public CollateralValuationTreatment build()
      Description copied from interface: CollateralValuationTreatment
      Build Methods
      Specified by:
      build in interface CollateralValuationTreatment
      Specified by:
      build in interface com.rosetta.model.lib.RosettaModelObject

    • toBuilder

      public CollateralValuationTreatment.CollateralValuationTreatmentBuilder toBuilder()
      Specified by:
      toBuilder in interface CollateralValuationTreatment
      Specified by:
      toBuilder in interface com.rosetta.model.lib.RosettaModelObject

    • setBuilderFields

      protected void setBuilderFields(CollateralValuationTreatment.CollateralValuationTreatmentBuilder builder)

    • equals

      public boolean equals(Object o)
      Overrides:
      equals in class Object

    • hashCode

      public int hashCode()
      Overrides:
      hashCode in class Object

    • toString

      public String toString()
      Overrides:
      toString in class Object