7.0.0-dev.52

Legal Documentation - Valuation/Calculation Agent

Background

D2LT and ISDA are working to enhance the legal documentation aspect of CDM. D2LT has reviewed the Initial Margin / Variation Margin (IM/VM) and Legacy Credit Support documentation and is updating the model to accurately represent the clauses. This includes reducing duplication in the model where possible.

What is being released?

Calculation Agent:

• Changed the party type from CounterpartyRoleEnum to CalculationValuationAgentPartyEnum.
• Updated type and attribute descriptions.

Valuation Agent:

• Removed duplicate CollateralValuationAgent
• Renamed LegacyValuationDate/LegacyValuationTime/LegacyValuationDate to ValuationDate/ValuationTime/ValuationLocation.
• Updated type and attribute descriptions.

CalculationValuationAgentPartyEnum and ValuationCalculationDateLocation:

• Standardised types and enums used under both Valuation Agent and Calculation Agent.

Review Directions

Changes can be reviewed in PR: #4080

Infrastructure - Dependency Update

What is being released?

This release updates the DSL dependency.

Version updates include:

• DSL 9.68.0 Allow usage of the switch operator on types which exist in other namespaces. See DSL release notes: DSL 9.68.0

No expectations are updated as part of this release.

Review Directions

The changes can be reviewed in PR: #4134

Legal Documentation - Initial Margin and Variation Margin Clause Updates

Background

D2LT and ISDA are working to enhance the legal documentation aspect of CDM. D2LT has reviewed the Initial Margin / Variation Margin (IM/VM) and Legacy Credit Support documentation and is updating the model to accurately represent the clauses. This includes reducing duplication in the model where possible.

What is being released?

Dispute Resolution:

• Merged valueTerms and legacyValue.
• Merged resolutionTime and legacyResolutionTime.
• Renamed LegacyResolutionValue to ResolutionValue.

IneligibleCreditSupport:

• Changed specifiedParty type from Party to CounterpartyRoleEnum.
• Updated type and attribute descriptions.

SensitivityMethodologies:

• Added partyElection attribute with a type SensitivityMethodologiesPartyElection.
• Split SensitivityToEquity into sensitivityToIndices, sensitivityToFunds, and sensitivityToETFs.
• Updated type and attribute descriptions.

Substitution:

• Added partyElection attribute with a type SubstitutionPartyElection.

Covered Transactions:

• Merged exposure and legacyExposure.
• Updated type and attribute descriptions.

Review Directions

Changes can be reviewed in PR: #4081

Legal documentation - Updating the Legacy Threshold and Minimum Transfer Amount types

Background

D2LT and ISDA are working to enhance the legal documentation aspect of CDM. D2LT has reviewed the Initial Margin / Variation Margin (IM/VM) and Legacy Credit Support documentation and is updating the model to accurately represent the clauses. This includes reducing duplication in the model where possible.

What is being released?

The following updates were applied to Threshold and Minimum Transfer Amount (MTA) types:

Threshold

• Merged Legacy threshold and threshold types.
• Added party elections to specify the party to which the threshold applies.
• Changed infinity attribute to boolean.
• Added conditions for robustness.
• Change fixed amount type to money.
• Added Zero event to fixed amount.
• Updated descriptions of types and attributes.

Minimum Transfer Amount

• Merged Legacy MTA and MTA.
• Added party elections to specify the party to which the MTA applies.
• Added conditions for robustness.
• Change fixed amount type to money.
• Added Zero event to fixed amount.
• Updated descriptions of types and attributes.

Review Directions

Changes can be reviewed in PR: #4107