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@regnosys-ops regnosys-ops released this 16 Nov 13:48
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5.0.0
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CDM Version 5.0

CDM 5.0, a production release, is the culmination of Common Domain Model (CDM) development releases from the second and third quarter of 2023 since CDM was made an open-source project at FINOS. There are also several technical changes since version 4.0 related to bug fixes, dependencies and synonym mappings.

What is being released

Below are some of the high-level contributions that CDM 5.0 includes, more detail and additional contribution release notes can be found in the releases section of the CDM documentation:

  • CDM Distribution - Excel Code Generation
  • Infrastructure
    • Dependency updates
    • The order of JSON attributes now follows the order of the Rosetta model.
    • Enum values in JSON expectations now respect the naming convention of the Rosetta model.
  • Product Model
    • Refactoring of Extraordinary Events and Substitution Provisions
    • Qualification - Bond Forwards
    • Commodity Payout - Commodity classification and Delivery features for Forwards and Options
    • Exchange Traded Derivatives – Extended SecurityTypeEnum and ForwardPayout
    • Price Components
    • Reference Index Information
    • Tri-party Agent Enumeration
    • Commodity Classification
    • Floating Rate Index Reference Data model – Extended FloatingRateIndexDefinition
  • Event Model
    • Representation of trade valuations
    • Enhancements for Party Role Enum - Service Provider
    • Trade Date Time
    • Exchange Traded Derivatives - Position model
    • Additional repo lifecycle functions for partial delivery, repricing, adjustment and substitution
  • Legal Documentation & Collateral
    • Modelling of Master Agreements (GMSLA covering securities lending transaction)
    • Lender Availability and Borrower Locates for securities lending
    • Functional model for assessing collateral eligibility

Backward-incompatible changes

Below is a list of changes that have a backwards incompatible impact and therefore need to be taken into account when migrating from the previous major version of CDM.

Commodity Reference Framework

Motivation For Change

  • This change upgrades the ProductTaxonomy type to accommodate a more generic representation of commodity classifications compatible with any classification systems.
  • The productTaxonomy attribute inherited from the ProductBase type with the Commodity type was deemed adequate to document the classification rather than duplicate the information within the referenceFramework of the commodityProductDefinition attribute.

Pull Request

Backward-Incompatible Changes

  • Removed commodityBase and subCommodity attributes from the type CommodityReferenceFramework.
  • Instead, that information is meant to be mapped to the className and value attributes under productTaxonomy->value->classification, with an optional ordinal attribute to specify the classification level.

Sample Impact

There are no samples that cover this change. Contributors can view the type CommodityReferenceFramework in the cdm.base.staticdata.asset.common namespace to see where the attributes have been removed, and inspect the TaxonomyClassification type in the cdm.base.staticdata.asset.common namespace to see where the information should be mapped.

Price Refactoring

Motivation For Change

A price that consists of two additive components (e.g. clean + accrued) is represented in different ways depending on the use case. This change introduces a single pattern intended to simplify the model and facilitate re-usability and extensibility.

Pull Requests

Backward-Incompatible Changes

  • Removed the enumeration value MultiplierOfIndexValue from PriceTypeEnum
  • Removed the following enumerations
    • GrossOrNetEnum:
    • CleanOrDirtyPriceEnum
    • CapFloorEnum
    • SpreadTypeEnum
  • Removed the type PriceExpression
  • Removed the field grossOrNet from type CashflowType

Sample Impact

  • eqs-ex01-single-underlyer-execution-long-form.json: NET has been removed from the asset price and ArithmeticOperator -> Add is used instead of spreadType -> Spread in the interest rate price

From:

"priceQuantity" : [ {
    "price" : [ {
        "value" : 37.44,
        "priceExpression" : {
            "grossOrNet" : "NET",
            "priceType" : "ASSET_PRICE"
        }
        ...
    } ]
    ...
} ],
"priceQuantity" : [ {
    "price" : [ {
        "value" : 0.0020,
        "priceExpression" : {
            "priceType" : "INTEREST_RATE",
            "spreadType" : "SPREAD"
        }
        ...
    } ]
    ...
} ]

To this:

"priceQuantity" : [ {
    "price" : [ {
        "value" : 37.44,
        "priceType" : "ASSET_PRICE"
        ...
    } ]
    ...
} ],
"priceQuantity" : [ {
    "price" : [ {
        "value" : 0.0020,
        "arithmeticOperator" : "ADD",
        "priceType" : "INTEREST_RATE"
        ...
    } ]
    ...
} ]
  • ird-ex22-cap.json: uses ArithmeticOperator -> Min instead of CapFloor -> Cap

From:

"price" : [ {
    "value" : 0.06
    "priceExpression" : {
        "capFloor" : "CAP",
        "priceType" : "INTEREST_RATE"
        }
    ...
} ]

To this:

"price" : [ {
    "value" : 0.06,
    "arithmeticOperator" : "MIN",
    "priceType" : "INTEREST_RATE"
    ...
} ]
  • ird-ex27-inverse-floater.json: there are now 2 price objects, that use respectively ArithmeticOperator -> Add instead of SpreadType -> Spread and ArithmeticOperator -> Multiply instead of PriceType -> MultiplierOfIndexValue

From:

"tradableProduct" : {
    "product" : {
        "contractualProduct" : {
            "economicTerms" : {
                "payout" : {
                    "interestRatePayout" : [ {
                        "rateSpecification" : {
                            "floatingRate" : {
                                ...
                                "floatingRateMultiplierSchedule" : {
                                    "price" : {
                                        "address" : {
                                        "scope" : "DOCUMENT",
                                        "value" : "price-1"
                                        }
                                    }
                                }
                            }
                        }
                    } ]
                }
            }
        }
    }
},
"tradeLot" : [ {
    "priceQuantity" : [ {
        "price" : [ {
            "location" : [ {
                "scope" : "DOCUMENT",
                "value" : "price-1"
            } ],
            "value" : {
                "unit" : {
                    "currency" : {
                        "value" : "USD"
                    }
                },
                "value" : -1.0,
                "priceExpression" : {
                    "spreadType" : "SPREAD",
                    "priceType" : "MULTIPLIER_OF_INDEX_VALUE"
                }
            }
        } ]
    } ]
} ]

To this:

"tradableProduct" : {
    "product" : {
        "contractualProduct" : {
            "economicTerms" : {
                "payout" : {
                    "interestRatePayout" : [ {
                        "rateSpecification" : {
                            "floatingRate" : {
                                ...
                                "spreadSchedule" : {
                                    "price" : {
                                        "address" : {
                                            "scope" : "DOCUMENT",
                                            "value" : "price-1"
                                        }
                                    }
                                },
                                "floatingRateMultiplierSchedule" : {
                                    "price" : {
                                        "address" : {
                                            "scope" : "DOCUMENT",
                                            "value" : "price-2"
                                        }
                                    }
                                }
                            }
                        }
                    } ]
                }
            }
        }
    }
},
"tradeLot" : [ {
    "priceQuantity" : [ {
        "price" : [ {
            "location" : [ {
                "scope" : "DOCUMENT",
                "value" : "price-1"
            } ],
            "value" : {
                "unit" : {
                    "currency" : {
                        "value" : "USD"
                    }
                },
                "value" : 0.085,
                "arithmeticOperator" : "ADD",
                "perUnitOf" : {
                    "currency" : {
                        "value" : "USD"
                    }
                },
                "priceType" : "INTEREST_RATE"
            }
        }, {
            "location" : [ {
                "scope" : "DOCUMENT",
                "value" : "price-2"
            } ],
            "value" : {
                "unit" : {
                    "currency" : {
                        "value" : "USD"
                    }
                },
                "value" : -1.0,
                "arithmeticOperator" : "MULTIPLY",
                "perUnitOf" : {
                    "currency" : {
                        "value" : "USD"
                    }
                },
                "priceType" : "INTEREST_RATE"
            }
        } ]
    } ]
} ]
  • fx-ex03-fx-fwd.json: uses the new PriceComposite component with ArithmeticOperator -> Add, OperandType -> ForwardPoint and the baseValue and operand attributes for the values previously associated with SpreadType -> Base and SpreadType -> Spread, respectively.

From:

"price" : [ {
    "unit" : {
        "currency" : {
            "value" : "USD"
        }
    },
    "value" : 0.9175,
    "perUnitOf" : {
        "currency" : {
            "value" : "EUR"
        }
    },
    "priceExpression" : {
        "priceType" : "EXCHANGE_RATE"
    }
}, {
    "unit" : {
        "currency" : {
            "value" : "USD"
        }
    },
    "value" : 0.9130,
    "perUnitOf" : {
        "currency" : {
            "value" : "EUR"
        }
    },
    "priceExpression" : {
        "priceType" : "EXCHANGE_RATE",
        "spreadType" : "BASE"
    }
}, {
    "unit" : {
        "currency" : {
            "value" : "USD"
        }
    },
    "value" : 0.0045,
    "perUnitOf" : {
        "currency" : {
            "value" : "EUR"
        }
    },
    "priceExpression" : {
        "priceType" : "EXCHANGE_RATE",
        "spreadType" : "SPREAD"
    }
} ]

To this:

"price" : [ {
    "unit" : {
        "currency" : {
            "value" : "USD"
        }
    },
    "value" : 0.9175,
    "composite" : {
        "arithmeticOperator" : "ADD",
        "baseValue" : 0.9130,
        "operand" : 0.0045,
        "operandType" : "FORWARD_POINT"
    },
    "perUnitOf" : {
        "currency" : {
            "value" : "EUR"
        }
    },
    "priceType" : "EXCHANGE_RATE"
} ]

Extraordinary Events

Motivation For Change

The description and determination of extraordinary events and substitution provisions do not pertain to economic terms of financial products. They should be positioned within the legal agreement that conditions the performance of the transaction.

Pull Requests

Backward-Incompatible Changes

  • Removed enumeration NationalizationOrInsolvencyOrDelistingEventEnum
  • Removed the following types:
    • AdditionalDisruptionEvents
    • ExtraordinaryEvents
    • IndexAdjustmentEvents
    • EquityCorporateEvents
    • Representations

Sample Impact

  • eqs-ex01-single-underlyer-execution-long-form-other-party: see impact on the economicTerms attribute .

From:

"economicTerms" : {
    "effectiveDate" : {...},
    "terminationDate" : {...},
    "payout" : {...},
    "extraordinaryEvents" : {
        "mergerEvents" : {
            "shareForShare" : "ModifiedCalculationAgent",
            "shareForOther" : "ModifiedCalculationAgent",
            "shareForCombined" : "ModifiedCalculationAgent"
        },
        "tenderOfferEvents" : {
            "shareForShare" : "ModifiedCalculationAgent",
            "shareForOther" : "ModifiedCalculationAgent",
            "shareForCombined" : "ModifiedCalculationAgent"
        },
        "compositionOfCombinedConsideration" : true,
        "additionalDisruptionEvents" : {
            "changeInLaw" : true,
            "failureToDeliver" : true,
            "insolvencyFiling" : false,
            "hedgingDisruption" : true,
            "increasedCostOfHedging" : false,
            "lossOfStockBorrow" : true,
            "increasedCostOfStockBorrow" : false,
            "determiningParty" : "DisruptionEventsDeterminingParty"
        },
        "representations" : {
            "nonReliance" : true,
            "agreementsRegardingHedging" : true,
            "additionalAcknowledgements" : true
        },
        "nationalizationOrInsolvency" : "CancellationAndPayment"
        },
    "calculationAgent" : {
        "calculationAgentParty" : "CalculationAgentIndependent"
    }
}

"ancillaryParty" : [ {
    "role" : "DisruptionEventsDeterminingParty",
    "partyReference" : [ {
        "globalReference" : "33f59569",
        "externalReference" : "party3"
        } ]
    }, {
    "role" : "ExtraordinaryDividendsParty",
    "partyReference" : [ {
        "globalReference" : "33f59569",
        "externalReference" : "party3"
    } ]
    }, {
    "role" : "CalculationAgentIndependent",
    "partyReference" : [ {
        "globalReference" : "33f59569",
        "externalReference" : "party3"
    } ]
} ]

To this:

"economicTerms" : {
    "effectiveDate" : {...},
    "terminationDate" : {...},
    "payout" : {...},
    "calculationAgent" : {
        "calculationAgentParty" : "CalculationAgentIndependent"
    }
}

"ancillaryParty" : [ {
    "role" : "ExtraordinaryDividendsParty",
    "partyReference" : [ {
        "globalReference" : "33f59569",
        "externalReference" : "party3"
    } ]
    }, {
    "role" : "CalculationAgentIndependent",
    "partyReference" : [ {
        "globalReference" : "33f59569",
        "externalReference" : "party3"
    } ]
} ]

Miscellaneous: Type Renaming

The following types were renamed:

  • FloatingRateIndexIndentification to FloatingRateIndexIdentification (fixing a typo)
  • IndexReferenceInformation to CreditIndexReferenceInformation, while CreditIndexReferenceInformation extends the non-credit specific IndexReferenceInformation
  • Valuation to ValuationTerms

Miscellaneous: Attribute Type or Cardinality Change

The following attributes had their type or cardinality values changed:

  • For type AggregationParameters the attribute productQualifier productType (0..*) was changed to productQualifier string (0..*)
  • For type CollateralProvisions the attribute eligibleCollateral EligibleCollateralSpecification (0..*) was changed to eligibleCollateral EligibleCollateralCriteria (0..*)

Miscellaneous: Enum Value Name Change

  • All enumerated values use the model's native naming convention when serialised into JSON (using the displayName when it exists). For instance, the CounterpartyRoleEnum value Party1 is serialised as "Party1" instead of "PARTY_1". See Pull Request #2430
  • The following list of enumerations had values that were changed:
    • All of the enumeration values for ContractualDefinitionsEnum were renamed, for example ISDA1999Credit was renamed to ISDA1999CreditDerivatives

Changing the following condition from:

if contractDetails -> documentation -> legalAgreementIdentification -> agreementName
    -> contractualDefinitionsType any = ContractualDefinitionsEnum -> ISDA1999Credit

To this:

if contractDetails -> documentation -> legalAgreementIdentification -> agreementName
    -> contractualDefinitionsType any = ContractualDefinitionsEnum -> ISDA1999CreditDerivatives

Function Removal

Several creation functions were removed as they were no longer required after support for instance creation was added natively to the Rosetta DSL.

Pull Requests

The list of removed functions is as follows:

  • Create_NonNegativeQuantity
  • Create_NonNegativeQuantitySchedule
  • Create_UnitType
  • Create_Counterparty
  • Create_PartyRole
  • Create_PayerReceiver
  • Create_ExecutionInstruction
  • Create_QuantityChangeInstruction
  • Create_CashflowType
  • Create_ClosedState
  • Create_PrimitiveInstruction
  • Create_LegalAgreementWithPartyReference
  • Create_Price
  • Create_PriceSchedule
  • Create_PriceQuantity
  • Create_ResolvablePriceQuantity
  • Create_TradeLot
  • Create_TradableProduct
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