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BUG-557 sec-lending qualification with updated Expectations (finos#2456)
* rename Qualify_RepurchaseAgreement Tactical solution to qualify both sec lending and repo trades as "SecuritiesFinance" given that they are indistinguishable from an economic terms perspective * TASK-6517 move AssetPayout to Collateral TASK-6517: Update sec lending samples to position `assetPayout` in the `collateral` object * Update full-return-settlement-workflow-func-input.json * TASK-6517 move AssetPayout to Collateral TASK-6517: Update sec lending samples to position `assetPayout` in the `collateral` object * TASK-6517 move AssetPayout to Collateral TASK-6517: Update sec lending samples to position `assetPayout` in the `collateral` object * TASK-6517 move AssetPayout to Collateral TASK-6517: Update sec lending samples to position `assetPayout` in the `collateral` object * TASK-6517 move AssetPayout to Collateral TASK-6517: Update sec lending samples to position `assetPayout` in the `collateral` object * TASK-6524: update expectations for sec-lending qualification * Update to SecuritiesFinance; delete unused func * TASK-6524: update expectations * Update RELEASE.md * TASK-6524: update expectations * Update reallocation-pre-settled-func-input.json changed product taxonomy to SecuritiesFinance * Update block-execution-instruction.json Updated productQualifier to "SecuritiesFinance" * Update allocation-sec-lending-func-input.json Updated productQualifier to "SecuritiesFinance" * TASK-6524: updated FIS Mapper * TASK-6524: update expectations * TASK-6524: update expectations * TASK-6524: update expectations * TASK-6524: update expectations * TASK-6524: update expectations * TASK-6524: update expectations * TASK-6524: update expectations * resolve merge conflicts * update expectations * update expectations * update expectations * update expectations * update expectations * update expectations * update expectations * update expectations * update expectations * revert removal of transfer history * revert removal of transfer history * update expectations * update expectations * update expectations * reinstated settlementOrigin and observable * updating functions to update the locations of assetpayout to new location * update Global keys * format release note * Update linked PR id * update expectations --------- Co-authored-by: Lionel Smith-Gordon <[email protected]> Co-authored-by: Oblongs <[email protected]> Co-authored-by: lolabeis <[email protected]> Co-authored-by: David Al-Kanani <[email protected]>
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| # *Exchange Traded Positions Model* | ||
| # *Rename product qualification for Securities Lending and Repo* | ||
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| _Background_ | ||
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| The CDM model does not currently support exchange traded positions within its framework. To that end, a collaborative effort has been made to model them within the framework of the CDM. This initiative has been a collective endeavor, drawing upon the expertise of SMEs. The primary objective has been to establish a representation of Exchange Traded Positions that aligns with the broader CDM. A working model has been reached which gathers consensus among member firms, and entails the creation of a root type `CounterpartyPositionState`, and a new type `CounterpartyPositionBusinessEvent` within the already existing `WorkflowStep` to document the state transition of a counterparty position in CDM. | ||
| The current product qualification rules do not distinguish between securities lending and repurchase agreement product types. A future enhancement will refactor how `product` works and also introduce additional capabilities to the qualification functions to use additional attributes to support finer grained qualification (see Issue #2365). | ||
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| In the meantime, the current qualification rule for repurchase agreements - which is invoked also for securities lending products - will be renamed to be "SecuritiesFinancing" to more loosely differentiate both sets of products. | ||
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| _What is being released?_ | ||
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| - Support for exchange traded positions to CDM Core. | ||
| - An updated product qualification rule: `Qualify_RepurchaseAgreement` is renamed to `Qualify_SecuritiesFinancing`. | ||
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| _Data types_ | ||
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| - Added new `CounterpartyPositionState` root type. | ||
| - `counterpartyPosition` attribute of type `CounterpartyPosition` added to `CounterpartyPositionState` type. | ||
| - `state` attribute of type `State` added to `CounterpartyPositionState` type. | ||
| - `observationHistory` attribute of type `ObservationEvent` added to `CounterpartyPositionState` type. | ||
| - `valuationHistory` attribute of type `Valuation` added to `CounterpartyPositionState` type. | ||
| - Added new `CounterpartyPositionBusinessEvent` type. | ||
| - `intent` attribute of type `PositionEventIntentEnum` added to `CounterpartyPositionBusinessEvent` type. | ||
| - `corporateActionIntent` attribute of type `CorporateActionTypeEnum` added to `CounterpartyPositionBusinessEvent` type. | ||
| - `eventDate` attribute of type `date` added to `CounterpartyPositionBusinessEvent` type. | ||
| - `effectiveDate` attribute of type `date` added to `CounterpartyPositionBusinessEvent` type. | ||
| - `packageInformation` attribute of type `IdentifiedList` added to `CounterpartyPositionBusinessEvent` type. | ||
| - `after` attribute of type `CounterpartyPositionState` added to `CounterpartyPositionBusinessEvent` type. | ||
| - Added new `PositionIdentifier` type. | ||
| - `identifierType` attribute of type `PositionIdentifierTypeEnum` added to `PositionIdentifier` type. | ||
| - `valuationTiming` attribute of type `PriceTimingEnum` added to `Valuation` type. | ||
| - `priceComponent` attribute of type `Price` added to `Valuation` type. | ||
| - `counterpartyPositionBusinessEvent` attribute of type `CounterpartyPositionBusinessEvent` added to `WorkflowStep` type. | ||
| - Added new `ContractBase` type. | ||
| - `contractDetails` attribute of type `ContractDetails` added to `ContractBase` type. | ||
| - `executionDetails` attribute of type `ExecutionDetails` added to `ContractBase` type. | ||
| - `collateral` attribute of type `Collateral` added to `ContractBase` type. | ||
| - Added new `CounterpartyPosition` type. | ||
| - `positionIdentifier` attribute of type `PositionIdentifier` added to `CounterpartyPosition` type. | ||
| - `openDateTime` attribute of type `dateTime` added to `CounterpartyPosition` type. | ||
| - `tradeReference` attribute of type `TradeState` added to `CounterpartyPosition` type. | ||
| - `party` attribute of type `Party` added to `CounterpartyPosition` type. | ||
| - `partyRole` attribute of type `PartyRole` added to `CounterpartyPosition` type. | ||
| - `positionBase` attribute of type `TradableProduct` added to `CounterpartyPosition` type. | ||
| - Added condition `CounterpartyPositionBusinessEventOrBusinessEventChoice` to `WorkflowStep` type. | ||
| - Added `[metadata key]` to `Collateral` type. | ||
| No changes. | ||
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| _Enumerations_ | ||
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| - Added new `PositionEventIntentEnum` enumeration. | ||
| - Added new `PriceTimingEnum` enumeration. | ||
| No changes. | ||
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| _Sample Files_ | ||
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| The following JSON sample files have been updated to reflect the current modeling of securities lending products which is to have the collateral information inside the `Collateral` data type rather than inside `AssetPayout`. | ||
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| - create-security-lending-invoice-func-input.json | ||
| - full-return-settlement-workflow-func-input.json | ||
| - new-settlement-workflow-func-input.json | ||
| - new-settlement-workflow-func-input.json | ||
| - allocation/allocation-sec-lending-func-input.json | ||
| - reallocation/reallocation-pre-settled-func-input.json | ||
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| _Review directions_ | ||
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| In the CDM Portal, select the Textual Browser and inspect each of the changes listed above. | ||
| In the CDM Portal, select the Textual Browser and inspect each of the changes identified above. | ||
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| Changes can be reviewed in PR: https://github.com/finos/common-domain-model/pull/2456 |
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2 changes: 1 addition & 1 deletion
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rosetta-source/src/main/resources/cdm-sample-files/fis/expectations.json
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| [ | ||
| {"fileName":"cdm-sample-files/fis/isla1.xml","excludedPaths":0,"externalPaths":120,"outstandingMappings":10,"validationFailures":37,"qualificationExpectation":{"success":false,"qualifyResults":[{"qualifiedName":"SecurityLendingAgreement","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecurityLendingAgreement","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecurityLendingAgreement","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecurityLendingAgreement","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecurityLendingAgreement","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecurityLendingAgreement","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":7}}] | ||
| {"fileName":"cdm-sample-files/fis/isla1.xml","excludedPaths":0,"externalPaths":120,"outstandingMappings":10,"validationFailures":37,"qualificationExpectation":{"success":false,"qualifyResults":[{"qualifiedName":"SecuritiesFinance","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecuritiesFinance","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecuritiesFinance","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecuritiesFinance","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecuritiesFinance","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecuritiesFinance","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":13}}] |
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