PTRR - Portfolio Rebalancing

For the EMIR jurisdiction, there are some reportable fields regarding PTRR (Post-Trade Risk Reduction) events. This release introduces support to allow the reporting for one of these PTRR events, specifically for the Portfolio Rebalancing, by adding its corresponding value to the intent enumeration and a specific qualification function for this event.

rosetta-source/src/main/rosetta/event-common-enum.rosetta

@@ -45,6 +45,7 @@ enum EventIntentEnum: <"The enumeration values to qualify the intent associated
     OptionExercise <"The intent is to Exercise a contract that is made of one or several option payout legs. For clarity, such intentEnum value shall not be used whenever an optional right is exercised in relation with a Trade which composition includes other types of payout legs e.g. right to call or to cancel before Termination Date as part of any kind of Early Termination terms other than genuine bermuda or american style features described in option payout. ">
 	OptionalExtension <"The intent is to extend the trade through exercise of an optional right as defined within the CDM OptionProvision data type.">
 	OptionalCancellation <"The intent is to cancel the trade through exercise of an optional right as defined within the CDM OptionProvision data type.">
+    PortfolioRebalancing <"The intent is to rebalance a portfolio, by inserting new derivatives transactions into portfolios of participants to reduce risks linked to those trades. These are offsetting trades that rebalance relationships between different counterparties when it comes to exposure of portfolios to certain types of risk, such as interest rate risk.">
 	PrincipalExchange <"The intent is to pay or to receive a cash transfer, in accordance with Principal Exchange features.">
 	Reallocation <"The intent is to reallocate one or more trades as part of an allocated block trade.">
 	Repurchase <"The intent is to close a repo transaction through repurchase.">

rosetta-source/src/main/rosetta/event-qualification-func.rosetta

@@ -115,6 +115,17 @@ func Qualify_Compression: <"The qualification of a compression event from the fa
     set is_event:
         businessEvent -> instruction -> primitiveInstruction -> execution count = 1 and businessEvent -> instruction -> primitiveInstruction -> quantityChange count > 1
 
+func Qualify_PortfolioRebalancing: <"The qualification of a portfolio rebalancing event from the fact that (i) the intent is PortfolioRebalancing, and (ii) the execution primitive exists">
+    [qualification BusinessEvent]
+    inputs:
+        businessEvent BusinessEvent (1..1)
+    output:
+        is_event boolean (1..1)
+    set is_event:
+        businessEvent -> intent = EventIntentEnum -> PortfolioRebalancing
+        and businessEvent -> instruction -> primitiveInstruction -> execution exists
+    //Pending to enhance the logic once portfolios are supported in the model
+
 func Qualify_Exercise: <"The qualification of an exercise event from the fact that (i) the only primitive is the exercise, and (ii) the remaining quantity = 0, and (iv) the closedState of the contract is Terminated.">
     [qualification BusinessEvent]
     inputs:
@@ -315,7 +326,8 @@ func Qualify_Execution: <"The qualification of an execution event from the fact
     alias primitiveInstruction:
         businessEvent -> instruction -> primitiveInstruction only-element
     set is_event:
-        (primitiveInstruction -> execution only exists
+        businessEvent -> intent is absent
+        and (primitiveInstruction -> execution only exists
             or (primitiveInstruction -> execution, primitiveInstruction -> transfer) only exists)
 
 func Qualify_ContractFormation: <"Qualifies a business event as a contract formation from the fact that the only component is a single Contract Formation Primitive.">