{ "$schema": "https://json-schema.org/draft/2020-12/schema", "$id": "urn:capstone:back-to-back-funding-book:exhibits:v1r2", "title": "Funding-book reference input case", "description": "One independent fictional case. Legal, market, cash/title, policy and event facts only. Derived exposure, reserves, capital, PnL and candidate reports are not admissible inputs.", "type": "object", "additionalProperties": false, "required": [ "schema_version", "episode_id", "branch", "parameters_file", "as_of", "base_currency", "fictional", "book", "documents", "bindings", "snapshots", "parties", "counterparty_constraints", "mandate", "accepted_positions", "calendars", "instruments", "curves", "price_quotes", "fx_quotes", "agreements", "opinions", "trades", "netting_sets", "collateral", "custody_accounts", "cash_accounts", "cash_events", "title_events", "pricing", "bank", "actions", "scenarios", "branch_event", "reporting_panels" ], "properties": { "schema_version": { "const": "back_to_back_funding_book.v1r2" }, "episode_id": { "type": "string", "enum": [ "W1_issued", "W1_contingent", "W2", "W3", "W4" ] }, "branch": { "type": "string", "enum": [ "W1_issued", "W1_contingent", "W2", "W3", "W4" ] }, "parameters_file": { "const": "fixtures/numerical-inputs.json" }, "as_of": { "$ref": "#/$defs/instant" }, "base_currency": { "$ref": "#/$defs/currency" }, "fictional": { "const": true }, "book": { "$ref": "#/$defs/book" }, "documents": { "type": "array", "items": { "$ref": "#/$defs/document" }, "minItems": 1 }, "bindings": { "type": "array", "items": { "$ref": "#/$defs/binding" }, "minItems": 1 }, "snapshots": { "type": "array", "items": { "$ref": "#/$defs/snapshot" }, "minItems": 1 }, "parties": { "type": "array", "items": { "$ref": "#/$defs/party" }, "minItems": 1 }, "counterparty_constraints": { "type": "array", "items": { "$ref": "#/$defs/counterparty_constraint" }, "minItems": 1 }, "mandate": { "$ref": "#/$defs/mandate" }, "accepted_positions": { "type": "array", "items": { "$ref": "#/$defs/accepted_position" }, "minItems": 0 }, "calendars": { "type": "array", "items": { "$ref": "#/$defs/calendar" }, "minItems": 1 }, "instruments": { "type": "array", "items": { "$ref": "#/$defs/instrument" }, "minItems": 1 }, "curves": { "type": "array", "items": { "$ref": "#/$defs/curve" }, "minItems": 9 }, "price_quotes": { "type": "array", "items": { "$ref": "#/$defs/price_quote" }, "minItems": 1 }, "fx_quotes": { "type": "array", "items": { "$ref": "#/$defs/fx_quote" }, "minItems": 1 }, "agreements": { "type": "array", "items": { "$ref": "#/$defs/agreement" }, "minItems": 1 }, "opinions": { "type": "array", "items": { "$ref": "#/$defs/opinion" }, "minItems": 1 }, "trades": { "type": "array", "items": { "$ref": "#/$defs/trade" }, "minItems": 1 }, "netting_sets": { "type": "array", "items": { "$ref": "#/$defs/netting_set" }, "minItems": 1 }, "collateral": { "type": "array", "items": { "$ref": "#/$defs/collateral" }, "minItems": 0 }, "custody_accounts": { "type": "array", "items": { "$ref": "#/$defs/custody_account" }, "minItems": 1 }, "cash_accounts": { "type": "array", "items": { "$ref": "#/$defs/cash_account" }, "minItems": 1 }, "cash_events": { "type": "array", "items": { "$ref": "#/$defs/cash_event" }, "minItems": 1 }, "title_events": { "type": "array", "items": { "$ref": "#/$defs/title_event" }, "minItems": 1 }, "pricing": { "$ref": "#/$defs/pricing" }, "bank": { "$ref": "#/$defs/bank" }, "actions": { "type": "array", "items": { "$ref": "#/$defs/action" }, "minItems": 6 }, "scenarios": { "type": "array", "items": { "$ref": "#/$defs/scenario" }, "minItems": 1 }, "branch_event": { "$ref": "#/$defs/branch_event" }, "reporting_panels": { "$ref": "#/$defs/reporting_panels" }, "snapshot": { "$ref": "#/$defs/desk_snapshot", "description": "Optional. Present only on a snapshot case built by src/desk_snapshot.py: the day-N desk path this case is frozen from. Requires a RECEIPT_LOG document." } }, "allOf": [ { "if": { "properties": { "branch": { "const": "W1_issued" } }, "required": [ "branch" ] }, "then": { "properties": { "episode_id": { "const": "W1_issued" }, "branch_event": { "$ref": "#/$defs/event_W1_issued" } } } }, { "if": { "properties": { "branch": { "const": "W1_contingent" } }, "required": [ "branch" ] }, "then": { "properties": { "episode_id": { "const": "W1_contingent" }, "branch_event": { "$ref": "#/$defs/event_W1_contingent" } } } }, { "if": { "properties": { "branch": { "const": "W2" } }, "required": [ "branch" ] }, "then": { "properties": { "episode_id": { "const": "W2" }, "branch_event": { "$ref": "#/$defs/event_W2" } } } }, { "if": { "properties": { "branch": { "const": "W3" } }, "required": [ "branch" ] }, "then": { "properties": { "episode_id": { "const": "W3" }, "branch_event": { "$ref": "#/$defs/event_W3" } } } }, { "if": { "properties": { "branch": { "const": "W4" } }, "required": [ "branch" ] }, "then": { "properties": { "episode_id": { "const": "W4" }, "branch_event": { "$ref": "#/$defs/event_W4" } } } } ], "$defs": { "text": { "type": "string", "minLength": 1 }, "id": { "type": "string", "pattern": "^[A-Za-z][A-Za-z0-9_.:-]*$" }, "decimal": { "type": "string", "pattern": "^-?(0|[1-9][0-9]*)(\\.[0-9]+)?(?![\\s\\S])" }, "nonnegative": { "type": "string", "pattern": "^(0|[1-9][0-9]*)(\\.[0-9]+)?(?![\\s\\S])" }, "positive": { "type": "string", "pattern": "^(?:[1-9][0-9]*(?:\\.[0-9]+)?|0\\.[0-9]*[1-9][0-9]*)(?![\\s\\S])" }, "ratio": { "type": "string", "pattern": "^(?:0(?:\\.[0-9]+)?|1(?:\\.0+)?)(?![\\s\\S])" }, "date": { "type": "string", "format": "date", "pattern": "^\\d{4}-\\d{2}-\\d{2}$" }, "instant": { "type": "string", "format": "date-time", "pattern": "^\\d{4}-\\d{2}-\\d{2}T\\d{2}:\\d{2}:\\d{2}Z$" }, "currency": { "const": "USD" }, "count": { "type": "integer", "minimum": 0 }, "flag": { "type": "boolean" }, "ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 0, "uniqueItems": true }, "texts": { "type": "array", "items": { "$ref": "#/$defs/text" }, "minItems": 0, "uniqueItems": true }, "pointer": { "type": "string", "pattern": "^/(?:[^~/]|~0|~1)+(?:/(?:[^~/]|~0|~1)+)*$" }, "parameter_ref": { "type": "object", "additionalProperties": false, "required": [ "file", "pointer" ], "properties": { "file": { "const": "fixtures/numerical-inputs.json" }, "pointer": { "$ref": "#/$defs/pointer" } } }, "evidence_ref": { "type": "object", "additionalProperties": false, "required": [ "document_id", "locator" ], "properties": { "document_id": { "$ref": "#/$defs/id" }, "locator": { "$ref": "#/$defs/text" } } }, "evidence_refs": { "type": "array", "items": { "$ref": "#/$defs/evidence_ref" }, "minItems": 1, "uniqueItems": true }, "capital_treatment": { "type": "object", "additionalProperties": false, "required": [ "exposure_class", "external_ratings_permitted", "zero_weight_eligible", "evidence" ], "properties": { "exposure_class": { "const": "other_mdb" }, "external_ratings_permitted": { "const": true }, "zero_weight_eligible": { "const": false }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "institutional_legal_form": { "type": "string", "enum": [ "issued_security_pledge", "contingent_issuance_promise", "payment_rights_assignment", "title_transfer_repo", "sale_funded_total_return_swap", "gold_pledge", "gold_equivalent_title", "gold_identical_title", "fiscal_advance" ] }, "institutional_action_kind": { "type": "string", "enum": [ "hold_capital", "execute_csa", "substitute_collateral", "reverse_substitution", "execute_offset", "consolidate_netting", "buy_protection", "designate_protection", "repo_allocate", "repay_repo", "sell_lot", "buy_equivalent", "return_collateral", "draw_facility", "repay_facility", "meet_margin_call", "settle_payable", "settle_claim", "liquidate_collateral", "reinvest", "fiscal_advance", "identical_title_financing", "execute_CSA", "buy_CDS", "release_substitution", "escalate", "decline" ] }, "situation_kind": { "description": "Closed set naming why the counterparty is at the desk; the free-text situation stays the narrative and cannot widen this set.", "type": "string", "enum": [ "liquidity_stress", "ratings_pressure", "regulatory_order", "fiscal_ceiling", "resolution", "sanctions_exposure", "none" ] }, "counterparty_constraint": { "type": "object", "additionalProperties": false, "required": [ "party_id", "situation", "situation_kind", "required_cash", "currency", "funding_deadline", "allowed_legal_forms", "prohibited_legal_forms", "classification_by_form", "required_return", "borrowing_ceiling", "maximum_spread", "required_approval_ids", "evidence" ], "properties": { "party_id": { "$ref": "#/$defs/id" }, "situation": { "type": "string", "minLength": 1, "pattern": "\\S" }, "situation_kind": { "$ref": "#/$defs/situation_kind" }, "required_cash": { "$ref": "#/$defs/nonnegative" }, "currency": { "$ref": "#/$defs/currency" }, "funding_deadline": { "$ref": "#/$defs/date" }, "allowed_legal_forms": { "type": "array", "items": { "$ref": "#/$defs/institutional_legal_form" }, "uniqueItems": true }, "prohibited_legal_forms": { "type": "array", "items": { "$ref": "#/$defs/institutional_legal_form" }, "uniqueItems": true }, "classification_by_form": { "type": "object", "additionalProperties": false, "properties": { "issued_security_pledge": { "$ref": "#/$defs/text" }, "contingent_issuance_promise": { "$ref": "#/$defs/text" }, "payment_rights_assignment": { "$ref": "#/$defs/text" }, "title_transfer_repo": { "$ref": "#/$defs/text" }, "sale_funded_total_return_swap": { "$ref": "#/$defs/text" }, "gold_pledge": { "$ref": "#/$defs/text" }, "gold_equivalent_title": { "$ref": "#/$defs/text" }, "gold_identical_title": { "$ref": "#/$defs/text" }, "fiscal_advance": { "$ref": "#/$defs/text" } } }, "required_return": { "type": "string", "enum": [ "identical", "equivalent", "none" ] }, "borrowing_ceiling": { "anyOf": [ { "$ref": "#/$defs/nonnegative" }, { "type": "null" } ] }, "maximum_spread": { "anyOf": [ { "$ref": "#/$defs/decimal" }, { "type": "null" } ] }, "required_approval_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "uniqueItems": true }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "mandate_rule": { "type": "object", "additionalProperties": false, "required": [ "rule_id", "action_kind", "subject_id", "tier", "maximum_amount", "approver_id", "approval_delay_days", "approval_outcome", "approval_valid_days", "reason_codes", "evidence" ], "properties": { "rule_id": { "$ref": "#/$defs/id" }, "action_kind": { "$ref": "#/$defs/institutional_action_kind" }, "subject_id": { "$ref": "#/$defs/id" }, "tier": { "type": "string", "enum": [ "permitted", "requires_approval", "prohibited" ] }, "maximum_amount": { "anyOf": [ { "$ref": "#/$defs/nonnegative" }, { "type": "null" } ] }, "approver_id": { "anyOf": [ { "$ref": "#/$defs/id" }, { "type": "null" } ] }, "approval_delay_days": { "type": "integer", "minimum": 0 }, "approval_outcome": { "enum": [ "approved", "declined", "pending", null ] }, "approval_valid_days": { "type": "integer", "minimum": 0 }, "reason_codes": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "evidence": { "$ref": "#/$defs/evidence_refs" } }, "if": { "properties": { "tier": { "const": "requires_approval" } }, "required": [ "tier" ] }, "then": { "properties": { "approver_id": { "$ref": "#/$defs/id" }, "approval_outcome": { "enum": [ "approved", "declined", "pending" ] }, "approval_valid_days": { "minimum": 1 } } }, "else": { "properties": { "approver_id": { "type": "null" }, "approval_delay_days": { "const": 0 }, "approval_outcome": { "type": "null" }, "approval_valid_days": { "const": 0 } } } }, "mandate": { "type": "object", "additionalProperties": false, "required": [ "mandate_id", "bank_id", "rules", "evidence" ], "properties": { "mandate_id": { "$ref": "#/$defs/id" }, "bank_id": { "$ref": "#/$defs/id" }, "rules": { "type": "array", "items": { "$ref": "#/$defs/mandate_rule" }, "minItems": 1 }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "premise": { "type": "object", "additionalProperties": false, "required": [ "source", "pointer", "relation", "value" ], "properties": { "source": { "enum": [ "case", "state", "book", "report" ] }, "pointer": { "type": "string", "pattern": "^(?:/(?:[^~/]|~[01])*)*(?![\\s\\S])" }, "relation": { "enum": [ "eq", "ne", "gte", "lte", "contains" ] }, "value": { "anyOf": [ { "type": [ "string", "integer", "boolean", "null" ] }, { "type": "array", "items": { "type": [ "string", "integer", "boolean", "null" ] } } ] } } }, "accepted_position": { "type": "object", "additionalProperties": false, "required": [ "position_id", "action_kind", "subject_id", "binding_constraint", "requirements", "rationale" ], "properties": { "position_id": { "$ref": "#/$defs/id" }, "action_kind": { "$ref": "#/$defs/institutional_action_kind" }, "subject_id": { "$ref": "#/$defs/id" }, "binding_constraint": { "type": "string", "minLength": 1, "pattern": "\\S" }, "requirements": { "type": "array", "items": { "$ref": "#/$defs/premise" }, "minItems": 1 }, "rationale": { "type": "string", "minLength": 1, "pattern": "\\S" } } }, "locator": { "type": "object", "additionalProperties": false, "required": [ "id", "quote", "sha256" ], "properties": { "id": { "$ref": "#/$defs/text" }, "quote": { "$ref": "#/$defs/text" }, "sha256": { "type": "string", "pattern": "^[0-9a-f]{64}$" } } }, "document": { "type": "object", "additionalProperties": false, "required": [ "document_id", "title", "source_kind", "fictional", "author", "published_at", "file", "source_uris", "source_version", "locators" ], "properties": { "document_id": { "$ref": "#/$defs/id" }, "title": { "$ref": "#/$defs/text" }, "source_kind": { "type": "string", "enum": [ "fictional_contract", "fictional_opinion", "fictional_market", "fictional_policy", "fictional_event", "official_rule_packet" ] }, "fictional": { "$ref": "#/$defs/flag" }, "author": { "$ref": "#/$defs/text" }, "published_at": { "$ref": "#/$defs/date" }, "file": { "type": "string", "pattern": "^(?:[A-Za-z0-9][A-Za-z0-9_.-]*/)+[A-Za-z0-9][A-Za-z0-9_.-]*\\.(md|json|txt)$" }, "source_uris": { "type": "array", "items": { "type": "string", "format": "uri" }, "minItems": 0 }, "source_version": { "$ref": "#/$defs/text" }, "locators": { "type": "array", "items": { "$ref": "#/$defs/locator" }, "minItems": 1 } } }, "rating": { "type": "object", "additionalProperties": false, "required": [ "status", "agency", "agency_eligible", "grade", "scope", "as_of", "implicit_support_excluded", "evidence" ], "properties": { "status": { "type": "string", "enum": [ "rated", "unrated" ] }, "agency": { "$ref": "#/$defs/text" }, "agency_eligible": { "$ref": "#/$defs/flag" }, "grade": { "type": "string", "enum": [ "AAA", "AA", "A", "BBB", "BB", "B", "CCC", "unrated" ] }, "scope": { "type": "string", "enum": [ "issue", "issuer" ] }, "as_of": { "$ref": "#/$defs/date" }, "implicit_support_excluded": { "$ref": "#/$defs/flag" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "party": { "type": "object", "additionalProperties": false, "required": [ "party_id", "legal_name", "kind", "incorporation_jurisdiction", "insolvency_jurisdiction", "resolution_jurisdiction", "ownership_group", "regulated_bank", "rating", "evidence" ], "properties": { "party_id": { "$ref": "#/$defs/id" }, "legal_name": { "$ref": "#/$defs/text" }, "kind": { "type": "string", "enum": [ "bank", "sovereign", "supranational", "corporate", "custodian", "law_firm", "public_authority", "internal_function" ] }, "role": { "type": "string", "enum": [ "credit_committee", "legal", "compliance", "desk_head" ] }, "incorporation_jurisdiction": { "$ref": "#/$defs/text" }, "insolvency_jurisdiction": { "$ref": "#/$defs/text" }, "resolution_jurisdiction": { "$ref": "#/$defs/text" }, "ownership_group": { "$ref": "#/$defs/text" }, "regulated_bank": { "$ref": "#/$defs/flag" }, "rating": { "$ref": "#/$defs/rating" }, "capital_treatment": { "$ref": "#/$defs/capital_treatment" }, "evidence": { "$ref": "#/$defs/evidence_refs" } }, "if": { "properties": { "kind": { "const": "internal_function" } } }, "then": { "required": ["role"] }, "else": { "not": { "required": ["role"] } } }, "calendar": { "type": "object", "additionalProperties": false, "required": [ "calendar_id", "timezone", "coverage_start", "coverage_end", "weekend_days", "holidays", "business_day_convention", "evidence" ], "properties": { "calendar_id": { "$ref": "#/$defs/id" }, "timezone": { "const": "UTC" }, "coverage_start": { "$ref": "#/$defs/date" }, "coverage_end": { "$ref": "#/$defs/date" }, "weekend_days": { "type": "array", "items": { "type": "integer", "minimum": 0, "maximum": 6 }, "minItems": 0, "uniqueItems": true }, "holidays": { "type": "array", "items": { "$ref": "#/$defs/date" }, "minItems": 0, "uniqueItems": true }, "business_day_convention": { "type": "string", "enum": [ "following", "unadjusted" ] }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "settlement_terms": { "type": "object", "additionalProperties": false, "required": [ "calendar_id", "lag_business_days", "cutoff_utc", "delivery_versus_payment", "currency", "evidence" ], "properties": { "calendar_id": { "$ref": "#/$defs/id" }, "lag_business_days": { "$ref": "#/$defs/count" }, "cutoff_utc": { "type": "string", "pattern": "^\\d{2}:\\d{2}:\\d{2}$" }, "delivery_versus_payment": { "$ref": "#/$defs/flag" }, "currency": { "$ref": "#/$defs/currency" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "period": { "type": "object", "additionalProperties": false, "required": [ "period", "start_date", "end_date", "settlement_date", "model_start_year", "model_end_year", "year_fraction", "evidence" ], "properties": { "period": { "type": "integer", "minimum": 1 }, "start_date": { "$ref": "#/$defs/date" }, "end_date": { "$ref": "#/$defs/date" }, "settlement_date": { "$ref": "#/$defs/date" }, "model_start_year": { "$ref": "#/$defs/nonnegative" }, "model_end_year": { "$ref": "#/$defs/positive" }, "year_fraction": { "$ref": "#/$defs/positive" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "instrument": { "type": "object", "additionalProperties": false, "required": [ "instrument_id", "status", "isin", "issuer_party_id", "issuer_kind", "issue_date", "maturity_date", "currency", "security_type", "ranking", "face_per_unit", "issued_quantity", "case_quantity", "initial_legal_owner", "governing_law", "payment_jurisdictions", "coupon_ois_linked", "coupon_spread", "redemption_per_unit", "embedded_options", "rating", "price_curve_id", "price_convention", "settlement", "evidence" ], "properties": { "instrument_id": { "$ref": "#/$defs/id" }, "status": { "const": "issued" }, "isin": { "type": "string", "pattern": "^[A-Z]{2}[A-Z0-9]{9}[0-9]$" }, "issuer_party_id": { "$ref": "#/$defs/id" }, "issuer_kind": { "type": "string", "enum": [ "sovereign", "bank", "corporate" ] }, "issue_date": { "$ref": "#/$defs/date" }, "maturity_date": { "$ref": "#/$defs/date" }, "currency": { "$ref": "#/$defs/currency" }, "security_type": { "type": "string", "enum": [ "floating_rate_note", "fixed_rate_bond", "main_index_equity" ] }, "ranking": { "type": "string", "enum": [ "senior_unsecured", "senior_secured", "equity" ] }, "face_per_unit": { "$ref": "#/$defs/positive" }, "issued_quantity": { "$ref": "#/$defs/positive" }, "case_quantity": { "$ref": "#/$defs/positive" }, "initial_legal_owner": { "$ref": "#/$defs/id" }, "governing_law": { "$ref": "#/$defs/text" }, "payment_jurisdictions": { "type": "array", "items": { "$ref": "#/$defs/text" }, "minItems": 1, "uniqueItems": true }, "coupon_ois_linked": { "$ref": "#/$defs/flag" }, "coupon_spread": { "$ref": "#/$defs/nonnegative" }, "redemption_per_unit": { "$ref": "#/$defs/nonnegative" }, "embedded_options": { "const": "none" }, "rating": { "$ref": "#/$defs/rating" }, "price_curve_id": { "$ref": "#/$defs/id" }, "price_convention": { "const": "currency_per_unit_ex_distribution" }, "settlement": { "$ref": "#/$defs/settlement_terms" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "curve_node": { "type": "object", "additionalProperties": false, "required": [ "tenor_years", "value" ], "properties": { "tenor_years": { "$ref": "#/$defs/nonnegative" }, "value": { "$ref": "#/$defs/decimal" } } }, "curve": { "type": "object", "additionalProperties": false, "required": [ "curve_id", "role", "currency", "as_of", "quote_units", "basis", "interpolation", "extrapolation", "nodes", "observable", "observability_reason", "numerical_source", "source_components", "evidence" ], "properties": { "curve_id": { "$ref": "#/$defs/id" }, "role": { "type": "string", "enum": [ "OIS_discount", "internal_AAA_mark", "own_unsecured_bond", "own_CDS", "provider_CDS", "reference_issuer_credit", "EM_deployment_credit", "hedge_provider_CDS", "eligible_collateral_credit" ] }, "currency": { "$ref": "#/$defs/currency" }, "as_of": { "$ref": "#/$defs/instant" }, "quote_units": { "type": "string", "enum": [ "annual_rate", "annual_spread" ] }, "basis": { "$ref": "#/$defs/text" }, "interpolation": { "const": "flat" }, "extrapolation": { "const": "forbidden" }, "nodes": { "type": "array", "items": { "$ref": "#/$defs/curve_node" }, "minItems": 2 }, "observable": { "$ref": "#/$defs/flag" }, "observability_reason": { "$ref": "#/$defs/text" }, "numerical_source": { "$ref": "#/$defs/parameter_ref" }, "source_components": { "type": "array", "items": { "type": "object", "additionalProperties": false, "required": [ "name", "level", "observable" ], "properties": { "name": { "$ref": "#/$defs/text" }, "level": { "$ref": "#/$defs/decimal" }, "observable": { "$ref": "#/$defs/flag" } } }, "minItems": 1 }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "curve_bindings": { "type": "object", "additionalProperties": false, "required": [ "OIS_discount", "internal_AAA_mark", "own_unsecured_bond", "own_CDS", "provider_CDS", "reference_issuer_credit", "EM_deployment_credit", "hedge_provider_CDS", "eligible_collateral_credit" ], "properties": { "OIS_discount": { "$ref": "#/$defs/id" }, "internal_AAA_mark": { "$ref": "#/$defs/id" }, "own_unsecured_bond": { "$ref": "#/$defs/id" }, "own_CDS": { "$ref": "#/$defs/id" }, "provider_CDS": { "$ref": "#/$defs/id" }, "reference_issuer_credit": { "$ref": "#/$defs/id" }, "EM_deployment_credit": { "$ref": "#/$defs/id" }, "hedge_provider_CDS": { "$ref": "#/$defs/id" }, "eligible_collateral_credit": { "$ref": "#/$defs/id" } } }, "price_quote": { "type": "object", "additionalProperties": false, "required": [ "quote_id", "instrument_id", "scenario_id", "quoted_at", "valid_until", "currency", "price_per_unit", "quantity_capacity", "executable", "settlement_at", "market_id", "quote_type", "evidence" ], "properties": { "quote_id": { "$ref": "#/$defs/id" }, "instrument_id": { "$ref": "#/$defs/id" }, "scenario_id": { "$ref": "#/$defs/id" }, "quoted_at": { "$ref": "#/$defs/instant" }, "valid_until": { "$ref": "#/$defs/instant" }, "currency": { "$ref": "#/$defs/currency" }, "price_per_unit": { "$ref": "#/$defs/nonnegative" }, "quantity_capacity": { "$ref": "#/$defs/nonnegative" }, "executable": { "$ref": "#/$defs/flag" }, "settlement_at": { "$ref": "#/$defs/instant" }, "market_id": { "$ref": "#/$defs/id" }, "quote_type": { "type": "string", "enum": [ "firm_bid", "indicative_mark" ] }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "fx_quote": { "type": "object", "additionalProperties": false, "required": [ "quote_id", "base_currency", "quote_currency", "rate", "as_of", "evidence" ], "properties": { "quote_id": { "$ref": "#/$defs/id" }, "base_currency": { "$ref": "#/$defs/currency" }, "quote_currency": { "$ref": "#/$defs/currency" }, "rate": { "const": "1" }, "as_of": { "$ref": "#/$defs/instant" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "condition": { "type": "object", "additionalProperties": false, "required": [ "condition_id", "description", "status", "assessed_at", "evidence" ], "properties": { "condition_id": { "$ref": "#/$defs/id" }, "description": { "$ref": "#/$defs/text" }, "status": { "type": "string", "enum": [ "satisfied", "pending", "failed" ] }, "assessed_at": { "$ref": "#/$defs/instant" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "execution": { "oneOf": [ { "type": "object", "additionalProperties": false, "required": [ "status", "executed_at", "signatory_party_ids", "authority_evidence" ], "properties": { "status": { "const": "executed" }, "executed_at": { "$ref": "#/$defs/instant" }, "signatory_party_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 2, "uniqueItems": true }, "authority_evidence": { "$ref": "#/$defs/evidence_refs" } } }, { "type": "object", "additionalProperties": false, "required": [ "status", "proposed_at", "required_party_ids", "evidence" ], "properties": { "status": { "const": "proposed" }, "proposed_at": { "$ref": "#/$defs/instant" }, "required_party_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 2, "uniqueItems": true }, "evidence": { "$ref": "#/$defs/evidence_refs" } } } ] }, "effectiveness": { "type": "object", "additionalProperties": false, "required": [ "status", "effective_at", "conditions" ], "properties": { "status": { "type": "string", "enum": [ "effective", "pending" ] }, "effective_at": { "$ref": "#/$defs/instant" }, "conditions": { "type": "array", "items": { "$ref": "#/$defs/condition" }, "minItems": 0 } } }, "termination": { "type": "object", "additionalProperties": false, "required": [ "final_maturity", "early_termination_events", "unilateral_extension", "full_settlement_required", "evidence" ], "properties": { "final_maturity": { "$ref": "#/$defs/date" }, "early_termination_events": { "type": "array", "items": { "type": "string", "enum": [ "default", "illegality", "nonpayment", "mutual_consent" ] }, "minItems": 1, "uniqueItems": true }, "unilateral_extension": { "const": false }, "full_settlement_required": { "const": true }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "closeout": { "type": "object", "additionalProperties": false, "required": [ "valuation_basis", "currency", "setoff", "stay_business_days", "dispute_process", "evidence" ], "properties": { "valuation_basis": { "type": "string", "enum": [ "replacement_value_full_remaining_terms", "secured_loan_acceleration", "principal_and_accrued_interest", "no_closeout_netting" ] }, "currency": { "$ref": "#/$defs/currency" }, "setoff": { "$ref": "#/$defs/flag" }, "stay_business_days": { "$ref": "#/$defs/count" }, "dispute_process": { "$ref": "#/$defs/text" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "reset": { "type": "object", "additionalProperties": false, "required": [ "reference_price_reset", "resets_full_trade_value_to_zero", "reset_frequency", "next_price_adjustment", "redemption_in_final_distribution", "post_redemption_price", "stub_paid_separately_once", "evidence" ], "properties": { "reference_price_reset": { "const": "last_actual_price_settlement" }, "resets_full_trade_value_to_zero": { "$ref": "#/$defs/flag" }, "reset_frequency": { "const": "quarterly" }, "next_price_adjustment": { "const": "quantity_times_current_less_last_settled_price_discounted_to_next_settlement" }, "redemption_in_final_distribution": { "const": true }, "post_redemption_price": { "const": "0" }, "stub_paid_separately_once": { "const": true }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "sale_terms": { "type": "object", "additionalProperties": false, "required": [ "kind", "instrument_id", "quantity", "sale_price_per_unit", "seller_id", "buyer_id", "cash_event_id", "title_event_id", "repurchase_obligation" ], "properties": { "kind": { "const": "asset_sale" }, "instrument_id": { "$ref": "#/$defs/id" }, "quantity": { "$ref": "#/$defs/positive" }, "sale_price_per_unit": { "$ref": "#/$defs/positive" }, "seller_id": { "$ref": "#/$defs/id" }, "buyer_id": { "$ref": "#/$defs/id" }, "cash_event_id": { "$ref": "#/$defs/id" }, "title_event_id": { "$ref": "#/$defs/id" }, "repurchase_obligation": { "const": "none" } } }, "trs_terms": { "type": "object", "additionalProperties": false, "required": [ "kind", "reference_instrument_id", "quantity", "notional", "total_return_receiver_id", "financing_payer_id", "counterparty_id", "principal_exchange", "locked_financing_spread", "financing_base_curve_id", "last_settled_reference_price", "reset", "replacement_quote", "same_quantity_notional_maturity_and_remaining_terms" ], "properties": { "kind": { "const": "funding_TRS" }, "reference_instrument_id": { "$ref": "#/$defs/id" }, "quantity": { "$ref": "#/$defs/positive" }, "notional": { "$ref": "#/$defs/positive" }, "total_return_receiver_id": { "$ref": "#/$defs/id" }, "financing_payer_id": { "$ref": "#/$defs/id" }, "counterparty_id": { "$ref": "#/$defs/id" }, "principal_exchange": { "const": "none" }, "locked_financing_spread": { "$ref": "#/$defs/decimal" }, "financing_base_curve_id": { "$ref": "#/$defs/id" }, "last_settled_reference_price": { "$ref": "#/$defs/positive" }, "reset": { "$ref": "#/$defs/reset" }, "replacement_quote": { "$ref": "#/$defs/parameter_ref" }, "same_quantity_notional_maturity_and_remaining_terms": { "const": true } } }, "loan_terms": { "type": "object", "additionalProperties": false, "required": [ "kind", "lender_id", "borrower_id", "principal", "coupon_base_curve_id", "coupon_spread", "funding_cash_event_id", "principal_repaid_at_maturity", "security_agreement_id", "year5_reinvestment" ], "properties": { "kind": { "const": "deployment_loan" }, "lender_id": { "$ref": "#/$defs/id" }, "borrower_id": { "$ref": "#/$defs/id" }, "principal": { "$ref": "#/$defs/positive" }, "coupon_base_curve_id": { "$ref": "#/$defs/id" }, "coupon_spread": { "$ref": "#/$defs/nonnegative" }, "funding_cash_event_id": { "$ref": "#/$defs/id" }, "principal_repaid_at_maturity": { "const": true }, "security_agreement_id": { "$ref": "#/$defs/id" }, "year5_reinvestment": { "const": "OIS_cash" } } }, "security_terms": { "type": "object", "additionalProperties": false, "required": [ "kind", "collateral_kind", "grantor_id", "secured_party_id", "asset_id", "permitted_by_contract", "perfection_status", "priority", "reuse_right", "reuse_conditions", "withdrawal_right", "enforcement_business_days" ], "properties": { "kind": { "const": "security" }, "collateral_kind": { "type": "string", "enum": [ "issued_security", "future_payment_rights", "contingent_issuance" ] }, "grantor_id": { "$ref": "#/$defs/id" }, "secured_party_id": { "$ref": "#/$defs/id" }, "asset_id": { "$ref": "#/$defs/id" }, "permitted_by_contract": { "$ref": "#/$defs/flag" }, "perfection_status": { "type": "string", "enum": [ "perfected", "not_possible_preissue", "unperfected" ] }, "priority": { "type": "string", "enum": [ "first_ranking", "unsecured_promise" ] }, "reuse_right": { "type": "string", "enum": [ "permitted", "prohibited", "conditional" ] }, "reuse_conditions": { "$ref": "#/$defs/texts" }, "withdrawal_right": { "type": "string", "enum": [ "consent_required", "prohibited" ] }, "enforcement_business_days": { "$ref": "#/$defs/count" } } }, "master_terms": { "type": "object", "additionalProperties": false, "required": [ "kind", "party_ids", "single_closeout_balance", "walkaway_clause", "cross_product", "covered_trade_ids" ], "properties": { "kind": { "const": "netting_master" }, "party_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 2, "uniqueItems": true }, "single_closeout_balance": { "$ref": "#/$defs/flag" }, "walkaway_clause": { "$ref": "#/$defs/flag" }, "cross_product": { "$ref": "#/$defs/flag" }, "covered_trade_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true } } }, "csa_terms": { "type": "object", "additionalProperties": false, "required": [ "kind", "netting_set_id", "direction", "daily_full_mark_VM", "threshold_bank", "threshold_provider", "minimum_transfer_amount", "NICA", "initial_margin", "VM_currency", "remuneration_curve_id", "reuse_right", "segregated", "MPOR_business_days", "payment_lag_business_days", "call_cutoff_utc", "dispute_business_days" ], "properties": { "kind": { "const": "CSA" }, "netting_set_id": { "$ref": "#/$defs/id" }, "direction": { "type": "string", "enum": [ "two_way", "bank_posts_only", "provider_posts_only" ] }, "daily_full_mark_VM": { "$ref": "#/$defs/flag" }, "threshold_bank": { "$ref": "#/$defs/nonnegative" }, "threshold_provider": { "$ref": "#/$defs/nonnegative" }, "minimum_transfer_amount": { "$ref": "#/$defs/nonnegative" }, "NICA": { "$ref": "#/$defs/decimal" }, "initial_margin": { "$ref": "#/$defs/nonnegative" }, "VM_currency": { "$ref": "#/$defs/currency" }, "remuneration_curve_id": { "$ref": "#/$defs/id" }, "reuse_right": { "type": "string", "enum": [ "permitted", "prohibited" ] }, "segregated": { "$ref": "#/$defs/flag" }, "MPOR_business_days": { "$ref": "#/$defs/count" }, "payment_lag_business_days": { "$ref": "#/$defs/count" }, "call_cutoff_utc": { "$ref": "#/$defs/text" }, "dispute_business_days": { "$ref": "#/$defs/count" } } }, "facility_terms": { "type": "object", "additionalProperties": false, "required": [ "kind", "lender_id", "borrower_id", "limit", "spread", "commitment_fee", "draw_purpose", "draw_conditions", "cash_account_id", "unconditional_during_market_closure" ], "properties": { "kind": { "const": "liquidity_facility" }, "lender_id": { "$ref": "#/$defs/id" }, "borrower_id": { "$ref": "#/$defs/id" }, "limit": { "$ref": "#/$defs/nonnegative" }, "spread": { "$ref": "#/$defs/nonnegative" }, "commitment_fee": { "$ref": "#/$defs/nonnegative" }, "draw_purpose": { "type": "string", "enum": [ "settled_cash_deficit", "conditional_external_prefunding", "branch_cash_call", "ois_deposit", "operating_payment_only" ] }, "draw_conditions": { "$ref": "#/$defs/texts" }, "cash_account_id": { "$ref": "#/$defs/id" }, "unconditional_during_market_closure": { "$ref": "#/$defs/flag" } } }, "cds_terms": { "type": "object", "additionalProperties": false, "required": [ "kind", "buyer_id", "seller_id", "reference_obligor_id", "covered_trade_ids", "notional", "premium", "direct_claim", "explicit", "irrevocable", "unconditional", "restructuring_covered", "credit_events", "same_currency", "same_ranking", "payment_grace_business_days", "seller_can_cancel", "designation", "settlement" ], "properties": { "kind": { "const": "CDS" }, "buyer_id": { "$ref": "#/$defs/id" }, "seller_id": { "$ref": "#/$defs/id" }, "reference_obligor_id": { "$ref": "#/$defs/id" }, "covered_trade_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "notional": { "$ref": "#/$defs/positive" }, "premium": { "$ref": "#/$defs/nonnegative" }, "direct_claim": { "$ref": "#/$defs/flag" }, "explicit": { "$ref": "#/$defs/flag" }, "irrevocable": { "$ref": "#/$defs/flag" }, "unconditional": { "$ref": "#/$defs/flag" }, "restructuring_covered": { "$ref": "#/$defs/flag" }, "credit_events": { "type": "array", "items": { "type": "string", "enum": [ "bankruptcy", "failure_to_pay", "restructuring" ] }, "minItems": 1, "uniqueItems": true }, "same_currency": { "$ref": "#/$defs/flag" }, "same_ranking": { "$ref": "#/$defs/flag" }, "payment_grace_business_days": { "$ref": "#/$defs/count" }, "seller_can_cancel": { "$ref": "#/$defs/flag" }, "designation": { "type": "string", "enum": [ "CCR_and_CVA", "CCR_only", "CVA_only", "undesignated" ] }, "settlement": { "type": "string", "enum": [ "cash", "physical" ] } } }, "custody_terms": { "type": "object", "additionalProperties": false, "required": [ "kind", "custodian_id", "account_ids", "segregated", "reuse_right", "return_obligation", "evidence" ], "properties": { "kind": { "const": "custody" }, "custodian_id": { "$ref": "#/$defs/id" }, "account_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "segregated": { "$ref": "#/$defs/flag" }, "reuse_right": { "type": "string", "enum": [ "permitted", "prohibited" ] }, "return_obligation": { "type": "string", "enum": [ "identical_security_units", "equivalent_security_units" ] }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "agreement": { "type": "object", "additionalProperties": false, "required": [ "agreement_id", "kind", "trade_ids", "party_ids", "execution", "effectiveness", "governing_laws", "opinion_ids", "termination", "closeout", "principal_terms", "settlement", "terms", "evidence" ], "properties": { "agreement_id": { "$ref": "#/$defs/id" }, "kind": { "type": "string", "enum": [ "asset_sale", "funding_TRS", "deployment_loan", "security", "netting_master", "CSA", "liquidity_facility", "CDS", "custody" ] }, "trade_ids": { "$ref": "#/$defs/ids" }, "party_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 2, "uniqueItems": true }, "execution": { "$ref": "#/$defs/execution" }, "effectiveness": { "$ref": "#/$defs/effectiveness" }, "governing_laws": { "type": "array", "items": { "$ref": "#/$defs/text" }, "minItems": 1, "uniqueItems": true }, "opinion_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "termination": { "$ref": "#/$defs/termination" }, "closeout": { "$ref": "#/$defs/closeout" }, "principal_terms": { "type": "string", "enum": [ "no_principal_exchange", "cash_advance", "sale_consideration", "conditional_draw", "no_cash_advance" ] }, "settlement": { "$ref": "#/$defs/settlement_terms" }, "terms": { "oneOf": [ { "$ref": "#/$defs/sale_terms" }, { "$ref": "#/$defs/trs_terms" }, { "$ref": "#/$defs/loan_terms" }, { "$ref": "#/$defs/security_terms" }, { "$ref": "#/$defs/master_terms" }, { "$ref": "#/$defs/csa_terms" }, { "$ref": "#/$defs/facility_terms" }, { "$ref": "#/$defs/cds_terms" }, { "$ref": "#/$defs/custody_terms" } ] }, "evidence": { "$ref": "#/$defs/evidence_refs" } }, "allOf": [ { "if": { "properties": { "kind": { "const": "asset_sale" } }, "required": [ "kind" ] }, "then": { "properties": { "terms": { "$ref": "#/$defs/sale_terms" } } } }, { "if": { "properties": { "kind": { "const": "funding_TRS" } }, "required": [ "kind" ] }, "then": { "properties": { "terms": { "$ref": "#/$defs/trs_terms" } } } }, { "if": { "properties": { "kind": { "const": "deployment_loan" } }, "required": [ "kind" ] }, "then": { "properties": { "terms": { "$ref": "#/$defs/loan_terms" } } } }, { "if": { "properties": { "kind": { "const": "security" } }, "required": [ "kind" ] }, "then": { "properties": { "terms": { "$ref": "#/$defs/security_terms" } } } }, { "if": { "properties": { "kind": { "const": "netting_master" } }, "required": [ "kind" ] }, "then": { "properties": { "terms": { "$ref": "#/$defs/master_terms" } } } }, { "if": { "properties": { "kind": { "const": "CSA" } }, "required": [ "kind" ] }, "then": { "properties": { "terms": { "$ref": "#/$defs/csa_terms" } } } }, { "if": { "properties": { "kind": { "const": "liquidity_facility" } }, "required": [ "kind" ] }, "then": { "properties": { "terms": { "$ref": "#/$defs/facility_terms" } } } }, { "if": { "properties": { "kind": { "const": "CDS" } }, "required": [ "kind" ] }, "then": { "properties": { "terms": { "$ref": "#/$defs/cds_terms" } } } }, { "if": { "properties": { "kind": { "const": "custody" } }, "required": [ "kind" ] }, "then": { "properties": { "terms": { "$ref": "#/$defs/custody_terms" } } } } ] }, "opinion": { "type": "object", "additionalProperties": false, "required": [ "opinion_id", "author", "status", "issued_at", "reviewed_at", "valid_until", "agreement_ids", "party_ids", "jurisdictions_covered", "law_types", "conclusions", "assumptions", "qualifications", "conditions", "law_change_review", "evidence" ], "properties": { "opinion_id": { "$ref": "#/$defs/id" }, "author": { "$ref": "#/$defs/text" }, "status": { "type": "string", "enum": [ "final_unqualified", "final_qualified", "draft" ] }, "issued_at": { "$ref": "#/$defs/date" }, "reviewed_at": { "$ref": "#/$defs/date" }, "valid_until": { "$ref": "#/$defs/date" }, "agreement_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "party_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 2, "uniqueItems": true }, "jurisdictions_covered": { "type": "array", "items": { "$ref": "#/$defs/text" }, "minItems": 1, "uniqueItems": true }, "law_types": { "type": "array", "items": { "type": "string", "enum": [ "contract", "insolvency", "resolution", "security", "capacity", "accounting", "transfer_controls" ] }, "minItems": 1, "uniqueItems": true }, "conclusions": { "type": "object", "additionalProperties": false, "required": [ "capacity", "execution_authority", "enforceability", "closeout_netting", "security_perfection", "transfer_rights", "immunity_waiver" ], "properties": { "capacity": { "$ref": "#/$defs/flag" }, "execution_authority": { "$ref": "#/$defs/flag" }, "enforceability": { "$ref": "#/$defs/flag" }, "closeout_netting": { "$ref": "#/$defs/flag" }, "security_perfection": { "$ref": "#/$defs/flag" }, "transfer_rights": { "$ref": "#/$defs/flag" }, "immunity_waiver": { "$ref": "#/$defs/flag" } } }, "assumptions": { "$ref": "#/$defs/texts" }, "qualifications": { "$ref": "#/$defs/texts" }, "conditions": { "type": "array", "items": { "$ref": "#/$defs/condition" }, "minItems": 0 }, "law_change_review": { "type": "string", "enum": [ "no_change_known", "review_required" ] }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "trade": { "type": "object", "additionalProperties": false, "required": [ "trade_id", "agreement_id", "kind", "party_ids", "netting_set_id", "start_date", "maturity_date", "currency", "evidence" ], "properties": { "trade_id": { "$ref": "#/$defs/id" }, "agreement_id": { "$ref": "#/$defs/id" }, "kind": { "type": "string", "enum": [ "funding_TRS", "deployment_loan", "CDS", "comparison_TRS" ] }, "party_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 2, "uniqueItems": true }, "netting_set_id": { "$ref": "#/$defs/id" }, "start_date": { "$ref": "#/$defs/date" }, "maturity_date": { "$ref": "#/$defs/date" }, "currency": { "$ref": "#/$defs/currency" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "netting_set": { "type": "object", "additionalProperties": false, "required": [ "netting_set_id", "party_ids", "trade_ids", "master_agreement_id", "enforceable", "opinion_ids", "CSA_status", "CSA_agreement_ids", "evidence" ], "properties": { "netting_set_id": { "$ref": "#/$defs/id" }, "party_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 2, "uniqueItems": true }, "trade_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "master_agreement_id": { "$ref": "#/$defs/id" }, "enforceable": { "$ref": "#/$defs/flag" }, "opinion_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "CSA_status": { "type": "string", "enum": [ "none", "executed", "proposed" ] }, "CSA_agreement_ids": { "$ref": "#/$defs/ids" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "correlation": { "type": "object", "additionalProperties": false, "required": [ "counterparty_id", "issuer_id", "same_issuer", "common_control", "material_positive_correlation", "assessment_basis", "as_of", "evidence" ], "properties": { "counterparty_id": { "$ref": "#/$defs/id" }, "issuer_id": { "$ref": "#/$defs/id" }, "same_issuer": { "$ref": "#/$defs/flag" }, "common_control": { "$ref": "#/$defs/flag" }, "material_positive_correlation": { "$ref": "#/$defs/flag" }, "assessment_basis": { "$ref": "#/$defs/text" }, "as_of": { "$ref": "#/$defs/date" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "eligibility_attributes": { "type": "object", "additionalProperties": false, "required": [ "book", "framework", "ratings_permitted", "issuer_kind", "issue_rating", "residual_years", "issued", "contract_accepted", "enforceable", "perfected", "same_currency", "market_liquid", "correlation", "rule_evidence" ], "properties": { "book": { "type": "string", "enum": [ "banking", "trading" ] }, "framework": { "const": "comprehensive" }, "ratings_permitted": { "$ref": "#/$defs/flag" }, "issuer_kind": { "type": "string", "enum": [ "sovereign", "bank", "corporate", "not_a_security" ] }, "issue_rating": { "$ref": "#/$defs/rating" }, "residual_years": { "$ref": "#/$defs/nonnegative" }, "issued": { "$ref": "#/$defs/flag" }, "contract_accepted": { "$ref": "#/$defs/flag" }, "enforceable": { "$ref": "#/$defs/flag" }, "perfected": { "$ref": "#/$defs/flag" }, "same_currency": { "$ref": "#/$defs/flag" }, "market_liquid": { "$ref": "#/$defs/flag" }, "correlation": { "$ref": "#/$defs/correlation" }, "rule_evidence": { "$ref": "#/$defs/evidence_refs" } } }, "collateral_rights": { "type": "object", "additionalProperties": false, "required": [ "owner_id", "provider_id", "secured_party_id", "security_agreement_id", "ownership_basis", "custodian_id", "custody_account_id", "custody_jurisdiction", "segregated", "reuse_right", "reuse_conditions", "withdrawal_right", "priority", "enforcement_business_days", "opinion_ids", "evidence" ], "properties": { "owner_id": { "$ref": "#/$defs/id" }, "provider_id": { "$ref": "#/$defs/id" }, "secured_party_id": { "$ref": "#/$defs/id" }, "security_agreement_id": { "$ref": "#/$defs/id" }, "ownership_basis": { "type": "string", "enum": [ "pledge", "assignment", "title_transfer" ] }, "custodian_id": { "$ref": "#/$defs/id" }, "custody_account_id": { "$ref": "#/$defs/id" }, "custody_jurisdiction": { "$ref": "#/$defs/text" }, "segregated": { "$ref": "#/$defs/flag" }, "reuse_right": { "type": "string", "enum": [ "permitted", "prohibited", "conditional" ] }, "reuse_conditions": { "$ref": "#/$defs/texts" }, "withdrawal_right": { "type": "string", "enum": [ "consent_required", "prohibited" ] }, "priority": { "type": "string", "enum": [ "first_ranking", "unsecured_promise" ] }, "enforcement_business_days": { "$ref": "#/$defs/count" }, "opinion_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "collateral_liquidity": { "type": "object", "additionalProperties": false, "required": [ "market_id", "sale_settlement_business_days", "repo_settlement_business_days", "daily_capacity_units", "market_haircut", "repo_spread", "sale_fee", "evidence" ], "properties": { "market_id": { "$ref": "#/$defs/id" }, "sale_settlement_business_days": { "$ref": "#/$defs/count" }, "repo_settlement_business_days": { "$ref": "#/$defs/count" }, "daily_capacity_units": { "$ref": "#/$defs/nonnegative" }, "market_haircut": { "$ref": "#/$defs/ratio" }, "repo_spread": { "$ref": "#/$defs/nonnegative" }, "sale_fee": { "$ref": "#/$defs/nonnegative" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "issued_collateral_asset": { "type": "object", "additionalProperties": false, "required": [ "kind", "instrument_id", "quantity", "price_quote_ids", "liquidity" ], "properties": { "kind": { "const": "issued_security" }, "instrument_id": { "$ref": "#/$defs/id" }, "quantity": { "$ref": "#/$defs/positive" }, "price_quote_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "liquidity": { "$ref": "#/$defs/collateral_liquidity" } } }, "payment_collateral_asset": { "type": "object", "additionalProperties": false, "required": [ "kind", "rights_id", "assigned_face", "collection_account_id", "instrument_status" ], "properties": { "kind": { "const": "future_payment_rights" }, "rights_id": { "$ref": "#/$defs/id" }, "assigned_face": { "$ref": "#/$defs/positive" }, "collection_account_id": { "$ref": "#/$defs/id" }, "instrument_status": { "const": "not_a_security" } } }, "collateral": { "type": "object", "additionalProperties": false, "required": [ "collateral_id", "purpose", "secured_trade_ids", "asset", "eligibility_attributes", "rights", "title_event_ids", "evidence" ], "properties": { "collateral_id": { "$ref": "#/$defs/id" }, "purpose": { "type": "string", "enum": [ "deployment_security", "action_inventory", "liquidity_inventory" ] }, "secured_trade_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "asset": { "oneOf": [ { "$ref": "#/$defs/issued_collateral_asset" }, { "$ref": "#/$defs/payment_collateral_asset" } ] }, "eligibility_attributes": { "$ref": "#/$defs/eligibility_attributes" }, "rights": { "$ref": "#/$defs/collateral_rights" }, "title_event_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "custody_account": { "type": "object", "additionalProperties": false, "required": [ "account_id", "custodian_id", "legal_owner_id", "beneficial_owner_id", "jurisdiction", "segregated", "reuse_right", "agreement_id", "positions", "as_of", "evidence" ], "properties": { "account_id": { "$ref": "#/$defs/id" }, "custodian_id": { "$ref": "#/$defs/id" }, "legal_owner_id": { "$ref": "#/$defs/id" }, "beneficial_owner_id": { "$ref": "#/$defs/id" }, "jurisdiction": { "$ref": "#/$defs/text" }, "segregated": { "$ref": "#/$defs/flag" }, "reuse_right": { "type": "string", "enum": [ "permitted", "prohibited" ] }, "agreement_id": { "$ref": "#/$defs/id" }, "positions": { "type": "array", "items": { "type": "object", "additionalProperties": false, "required": [ "asset_id", "quantity", "encumbered" ], "properties": { "asset_id": { "$ref": "#/$defs/id" }, "quantity": { "$ref": "#/$defs/nonnegative" }, "encumbered": { "$ref": "#/$defs/flag" } } }, "minItems": 0 }, "as_of": { "$ref": "#/$defs/instant" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "cash_account": { "type": "object", "additionalProperties": false, "required": [ "account_id", "owner_id", "bank_id", "currency", "snapshot_id", "opening_balance", "opening_at", "accessible", "segregated", "reuse_right", "access_conditions", "remuneration_curve_id", "evidence" ], "properties": { "account_id": { "$ref": "#/$defs/id" }, "owner_id": { "$ref": "#/$defs/id" }, "bank_id": { "$ref": "#/$defs/id" }, "currency": { "$ref": "#/$defs/currency" }, "snapshot_id": { "$ref": "#/$defs/id" }, "opening_balance": { "$ref": "#/$defs/nonnegative" }, "opening_at": { "$ref": "#/$defs/instant" }, "accessible": { "$ref": "#/$defs/flag" }, "segregated": { "$ref": "#/$defs/flag" }, "reuse_right": { "type": "string", "enum": [ "permitted", "prohibited" ] }, "access_conditions": { "$ref": "#/$defs/texts" }, "remuneration_curve_id": { "$ref": "#/$defs/id" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "cash_amount": { "oneOf": [ { "type": "object", "additionalProperties": false, "required": [ "kind", "amount" ], "properties": { "kind": { "const": "fixed" }, "amount": { "$ref": "#/$defs/nonnegative" } } }, { "type": "object", "additionalProperties": false, "required": [ "kind", "formula_id", "agreement_id", "period", "formula_evidence" ], "properties": { "kind": { "const": "contract_formula" }, "formula_id": { "type": "string", "enum": [ "TRS_quarterly_net", "TRS_final_net", "deployment_coupon", "deployment_principal", "legacy_coupon", "legacy_principal", "actual_deficit_funding", "ois_reinvestment", "ois_principal_return", "financing_principal_return" ] }, "agreement_id": { "$ref": "#/$defs/id" }, "period": { "type": "integer", "minimum": 1 }, "formula_evidence": { "$ref": "#/$defs/evidence_refs" } } } ] }, "cash_event": { "type": "object", "additionalProperties": false, "required": [ "cash_event_id", "snapshot_id", "scenario_id", "agreement_id", "payer_id", "payee_id", "account_id", "direction", "amount", "currency", "instructed_at", "due_at", "settlement", "purpose", "evidence" ], "properties": { "cash_event_id": { "$ref": "#/$defs/id" }, "snapshot_id": { "$ref": "#/$defs/id" }, "scenario_id": { "$ref": "#/$defs/id" }, "agreement_id": { "$ref": "#/$defs/id" }, "payer_id": { "$ref": "#/$defs/id" }, "payee_id": { "$ref": "#/$defs/id" }, "account_id": { "$ref": "#/$defs/id" }, "direction": { "type": "string", "enum": [ "in", "out" ] }, "amount": { "$ref": "#/$defs/cash_amount" }, "currency": { "$ref": "#/$defs/currency" }, "instructed_at": { "$ref": "#/$defs/instant" }, "due_at": { "$ref": "#/$defs/instant" }, "settlement": { "oneOf": [ { "type": "object", "additionalProperties": false, "required": [ "status", "settled_at" ], "properties": { "status": { "const": "settled" }, "settled_at": { "$ref": "#/$defs/instant" } } }, { "type": "object", "additionalProperties": false, "required": [ "status", "reason" ], "properties": { "status": { "type": "string", "enum": [ "scheduled", "blocked", "failed" ] }, "reason": { "$ref": "#/$defs/text" } } } ] }, "purpose": { "type": "string", "enum": [ "sale_proceeds", "deployment_advance", "coupon", "principal", "total_return_net", "fee", "facility_draw", "blocked_collection", "branch_call", "conditional_recovery" ] }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "title_event": { "type": "object", "additionalProperties": false, "required": [ "title_event_id", "asset_id", "asset_kind", "quantity", "agreement_id", "from_legal_owner", "to_legal_owner", "beneficial_owner_after", "from_custody_account", "to_custody_account", "right", "reuse_right_after", "at", "status", "evidence" ], "properties": { "title_event_id": { "$ref": "#/$defs/id" }, "asset_id": { "$ref": "#/$defs/id" }, "asset_kind": { "type": "string", "enum": [ "issued_security", "payment_right" ] }, "quantity": { "$ref": "#/$defs/positive" }, "agreement_id": { "$ref": "#/$defs/id" }, "from_legal_owner": { "$ref": "#/$defs/id" }, "to_legal_owner": { "$ref": "#/$defs/id" }, "beneficial_owner_after": { "$ref": "#/$defs/id" }, "from_custody_account": { "$ref": "#/$defs/id" }, "to_custody_account": { "$ref": "#/$defs/id" }, "right": { "type": "string", "enum": [ "title_transfer", "pledge_created", "assignment_created", "pledge_released" ] }, "reuse_right_after": { "type": "string", "enum": [ "permitted", "prohibited" ] }, "at": { "$ref": "#/$defs/instant" }, "status": { "type": "string", "enum": [ "settled", "scheduled" ] }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "binding": { "type": "object", "additionalProperties": false, "required": [ "binding_id", "parameter", "consumer", "evidence" ], "properties": { "binding_id": { "$ref": "#/$defs/id" }, "parameter": { "$ref": "#/$defs/parameter_ref" }, "consumer": { "$ref": "#/$defs/text" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "snapshot": { "type": "object", "additionalProperties": false, "required": [ "snapshot_id", "scope", "model_time_years", "separate_from_other_snapshots", "parameter_sections", "evidence" ], "properties": { "snapshot_id": { "$ref": "#/$defs/id" }, "scope": { "type": "string", "enum": [ "mark_only", "AAA_loss_cash", "capital_comparison", "AVA_controlled", "liquidity_branch", "base_cash", "reserve_divergence", "conditional_prefunding", "terminal_dispute", "allocation_7d", "decision_comparison" ] }, "model_time_years": { "$ref": "#/$defs/nonnegative" }, "separate_from_other_snapshots": { "const": true }, "parameter_sections": { "type": "array", "items": { "$ref": "#/$defs/parameter_ref" }, "minItems": 1 }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "classification": { "type": "object", "additionalProperties": false, "required": [ "letter_id", "issued_at", "trade_id", "regulatory_unit", "primary_risk_class", "primary_risk_assessment", "credit_supervisory_delta", "full_reset_applies", "accounting_does_not_determine_regulatory_classification", "CVA_method", "SA_CVA_approval", "written_credit_notional_treatment", "ratings_permitted", "evidence" ], "properties": { "letter_id": { "$ref": "#/$defs/id" }, "issued_at": { "$ref": "#/$defs/date" }, "trade_id": { "$ref": "#/$defs/id" }, "regulatory_unit": { "const": "legal_TRS_SA_CCR_with_separate_retained_asset_bridge" }, "primary_risk_class": { "type": "string", "enum": [ "credit", "interest_rate", "both" ] }, "primary_risk_assessment": { "$ref": "#/$defs/text" }, "credit_supervisory_delta": { "type": "string", "enum": [ "-1", "1" ] }, "full_reset_applies": { "$ref": "#/$defs/flag" }, "accounting_does_not_determine_regulatory_classification": { "const": true }, "CVA_method": { "type": "string", "enum": [ "reduced_BA", "full_BA", "SA_approved" ] }, "SA_CVA_approval": { "$ref": "#/$defs/flag" }, "written_credit_notional_treatment": { "$ref": "#/$defs/text" }, "ratings_permitted": { "$ref": "#/$defs/flag" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "observability": { "type": "object", "additionalProperties": false, "required": [ "unit_id", "input_id", "observable", "significant", "assessment_at", "evidence" ], "properties": { "unit_id": { "$ref": "#/$defs/id" }, "input_id": { "$ref": "#/$defs/id" }, "observable": { "$ref": "#/$defs/flag" }, "significant": { "$ref": "#/$defs/flag" }, "assessment_at": { "$ref": "#/$defs/date" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "accounting_unit": { "type": "object", "additionalProperties": false, "required": [ "unit_id", "agreements", "framework", "sale_derecognised", "retained_reference_asset", "financing_liability_recognised", "separate_statutory_derivative", "management_ledger_separate", "opinion_id", "transaction_price", "evidence" ], "properties": { "unit_id": { "$ref": "#/$defs/id" }, "agreements": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "framework": { "const": "IFRS9" }, "sale_derecognised": { "$ref": "#/$defs/flag" }, "retained_reference_asset": { "$ref": "#/$defs/flag" }, "financing_liability_recognised": { "$ref": "#/$defs/flag" }, "separate_statutory_derivative": { "$ref": "#/$defs/flag" }, "management_ledger_separate": { "const": true }, "opinion_id": { "$ref": "#/$defs/id" }, "transaction_price": { "$ref": "#/$defs/decimal" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "journal_line": { "type": "object", "additionalProperties": false, "required": [ "account", "side", "amount" ], "properties": { "account": { "$ref": "#/$defs/text" }, "side": { "type": "string", "enum": [ "debit", "credit" ] }, "amount": { "$ref": "#/$defs/nonnegative" } } }, "journal_entry": { "type": "object", "additionalProperties": false, "required": [ "entry_id", "posted_at", "snapshot_id", "purpose", "lines", "evidence" ], "properties": { "entry_id": { "$ref": "#/$defs/id" }, "posted_at": { "$ref": "#/$defs/instant" }, "snapshot_id": { "$ref": "#/$defs/id" }, "purpose": { "$ref": "#/$defs/text" }, "lines": { "type": "array", "items": { "$ref": "#/$defs/journal_line" }, "minItems": 2 }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "bank": { "type": "object", "additionalProperties": false, "required": [ "party_id", "classification", "capital_rulebook", "numerical_annex", "accounting_units", "observability", "day_one_policy", "reserve_policy", "AVA_annex", "historical_journal", "capital_snapshots", "allocation_parameters", "evidence" ], "properties": { "party_id": { "$ref": "#/$defs/id" }, "classification": { "$ref": "#/$defs/classification" }, "capital_rulebook": { "$ref": "#/$defs/evidence_refs" }, "numerical_annex": { "$ref": "#/$defs/parameter_ref" }, "accounting_units": { "type": "array", "items": { "$ref": "#/$defs/accounting_unit" }, "minItems": 1 }, "observability": { "type": "array", "items": { "$ref": "#/$defs/observability" }, "minItems": 1 }, "day_one_policy": { "type": "object", "additionalProperties": false, "required": [ "management_deferral_basis", "release_triggers", "spread_tightening_is_release_trigger", "statutory_unit_assessed_first", "evidence" ], "properties": { "management_deferral_basis": { "const": "frozen_initial_annuity" }, "release_triggers": { "type": "array", "items": { "type": "string", "enum": [ "priced_time", "independent_observability" ] }, "minItems": 1, "uniqueItems": true }, "spread_tightening_is_release_trigger": { "const": false }, "statutory_unit_assessed_first": { "const": true }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "reserve_policy": { "type": "object", "additionalProperties": false, "required": [ "remeasurement", "cash_borrowing_source", "conditional_prefunding", "expected_theta_in_PnL_once", "separate_funding_drag_line", "terminal_requires_all_obligations_settled", "evidence" ], "properties": { "remeasurement": { "const": "daily" }, "cash_borrowing_source": { "const": "settled_cash_deficits_only" }, "conditional_prefunding": { "$ref": "#/$defs/parameter_ref" }, "expected_theta_in_PnL_once": { "const": true }, "separate_funding_drag_line": { "const": true }, "terminal_requires_all_obligations_settled": { "const": true }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "AVA_annex": { "type": "object", "additionalProperties": false, "required": [ "method", "scope", "parameter_ref", "source" ], "properties": { "method": { "const": "EU_core_model_risk_Method1" }, "scope": { "const": "identified_recognised_FV_positions_only" }, "parameter_ref": { "$ref": "#/$defs/parameter_ref" }, "source": { "$ref": "#/$defs/evidence_refs" } } }, "historical_journal": { "type": "array", "items": { "$ref": "#/$defs/journal_entry" }, "minItems": 1 }, "capital_snapshots": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "allocation_parameters": { "$ref": "#/$defs/parameter_ref" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "action": { "type": "object", "additionalProperties": false, "required": [ "action_id", "kind", "quoted_at", "valid_until", "quote_status", "proposed_execution_at", "proposed_effective_at", "agreement_ids", "required_opinion_ids", "preconditions", "price_parameters", "cash_event_ids", "title_event_ids", "capacity_not_cash", "evidence" ], "properties": { "action_id": { "$ref": "#/$defs/id" }, "kind": { "type": "string", "enum": [ "execute_CSA", "substitute_collateral", "consolidate_netting", "buy_CDS", "hold_capital", "release_substitution" ] }, "quoted_at": { "$ref": "#/$defs/instant" }, "valid_until": { "$ref": "#/$defs/instant" }, "quote_status": { "const": "firm_subject_to_documented_conditions" }, "proposed_execution_at": { "$ref": "#/$defs/instant" }, "proposed_effective_at": { "$ref": "#/$defs/instant" }, "agreement_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "required_opinion_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "preconditions": { "type": "array", "items": { "$ref": "#/$defs/condition" }, "minItems": 0 }, "price_parameters": { "type": "array", "items": { "$ref": "#/$defs/parameter_ref" }, "minItems": 1 }, "cash_event_ids": { "$ref": "#/$defs/ids" }, "title_event_ids": { "$ref": "#/$defs/ids" }, "capacity_not_cash": { "const": true }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "curve_state": { "type": "object", "additionalProperties": false, "required": [ "OIS_discount", "internal_AAA_mark", "own_unsecured_bond", "own_CDS", "provider_CDS", "reference_issuer_credit", "EM_deployment_credit", "hedge_provider_CDS", "eligible_collateral_credit" ], "properties": { "OIS_discount": { "$ref": "#/$defs/decimal" }, "internal_AAA_mark": { "$ref": "#/$defs/decimal" }, "own_unsecured_bond": { "$ref": "#/$defs/decimal" }, "own_CDS": { "$ref": "#/$defs/decimal" }, "provider_CDS": { "$ref": "#/$defs/decimal" }, "reference_issuer_credit": { "$ref": "#/$defs/decimal" }, "EM_deployment_credit": { "$ref": "#/$defs/decimal" }, "hedge_provider_CDS": { "$ref": "#/$defs/decimal" }, "eligible_collateral_credit": { "$ref": "#/$defs/decimal" } } }, "default_state": { "type": "object", "additionalProperties": false, "required": [ "borrower_default", "funding_provider_default", "reference_issuer_default", "collateral_issuer_default", "hedge_provider_default" ], "properties": { "borrower_default": { "$ref": "#/$defs/flag" }, "funding_provider_default": { "$ref": "#/$defs/flag" }, "reference_issuer_default": { "$ref": "#/$defs/flag" }, "collateral_issuer_default": { "$ref": "#/$defs/flag" }, "hedge_provider_default": { "$ref": "#/$defs/flag" } } }, "scenario": { "type": "object", "additionalProperties": false, "required": [ "scenario_id", "as_of", "kind", "curve_state", "defaults", "market_state", "quote_ids", "event_evidence" ], "properties": { "scenario_id": { "$ref": "#/$defs/id" }, "as_of": { "$ref": "#/$defs/instant" }, "kind": { "type": "string", "enum": [ "inception", "counterfactual_panel", "selected_branch_event" ] }, "curve_state": { "$ref": "#/$defs/curve_state" }, "defaults": { "$ref": "#/$defs/default_state" }, "market_state": { "type": "string", "enum": [ "open", "closed", "default_distress", "transfer_blocked" ] }, "quote_ids": { "$ref": "#/$defs/ids" }, "event_evidence": { "$ref": "#/$defs/evidence_refs" } } }, "cash_call": { "type": "object", "additionalProperties": false, "required": [ "cash_event_id", "due_at", "amount", "payee_id", "account_id", "evidence" ], "properties": { "cash_event_id": { "$ref": "#/$defs/id" }, "due_at": { "$ref": "#/$defs/instant" }, "amount": { "$ref": "#/$defs/cash_amount" }, "payee_id": { "$ref": "#/$defs/id" }, "account_id": { "$ref": "#/$defs/id" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "payment_rights": { "type": "object", "additionalProperties": false, "required": [ "rights_id", "originator_id", "payment_obligor_ids", "assigned_currencies", "face_amount", "collection_account_id", "correspondent_bank_id", "collection_contract_id", "assignment_opinion_id", "priority", "collection_schedule", "waterfall", "convertibility_required", "sovereign_transfer_power", "evidence" ], "properties": { "rights_id": { "$ref": "#/$defs/id" }, "originator_id": { "$ref": "#/$defs/id" }, "payment_obligor_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 2, "uniqueItems": true }, "assigned_currencies": { "type": "array", "items": { "$ref": "#/$defs/currency" }, "minItems": 1, "uniqueItems": true }, "face_amount": { "$ref": "#/$defs/positive" }, "collection_account_id": { "$ref": "#/$defs/id" }, "correspondent_bank_id": { "$ref": "#/$defs/id" }, "collection_contract_id": { "$ref": "#/$defs/id" }, "assignment_opinion_id": { "$ref": "#/$defs/id" }, "priority": { "const": "first_ranking" }, "collection_schedule": { "type": "array", "items": { "type": "object", "additionalProperties": false, "required": [ "due_at", "amount", "obligor_id" ], "properties": { "due_at": { "$ref": "#/$defs/instant" }, "amount": { "$ref": "#/$defs/positive" }, "obligor_id": { "$ref": "#/$defs/id" } } }, "minItems": 1 }, "waterfall": { "type": "array", "items": { "$ref": "#/$defs/text" }, "minItems": 2 }, "convertibility_required": { "$ref": "#/$defs/flag" }, "sovereign_transfer_power": { "$ref": "#/$defs/flag" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "event_W1_issued": { "type": "object", "additionalProperties": false, "required": [ "event_id", "scenario_id", "event_at", "decision_at", "settlement_cutoff", "borrower_id", "funding_provider_id", "defaults", "free_cash_account_id", "available_facility_ids", "cash_calls", "opinion_ids", "evidence", "kind", "instrument_id", "collateral_id", "predefault_quote_id", "conditional_bid_price_per_unit", "conditional_quote_id", "security_exists_before_default", "default_realisation_assumption", "legal_form" ], "properties": { "event_id": { "$ref": "#/$defs/id" }, "scenario_id": { "$ref": "#/$defs/id" }, "event_at": { "$ref": "#/$defs/instant" }, "decision_at": { "$ref": "#/$defs/instant" }, "settlement_cutoff": { "$ref": "#/$defs/instant" }, "borrower_id": { "$ref": "#/$defs/id" }, "funding_provider_id": { "$ref": "#/$defs/id" }, "defaults": { "$ref": "#/$defs/default_state" }, "free_cash_account_id": { "$ref": "#/$defs/id" }, "available_facility_ids": { "$ref": "#/$defs/ids" }, "cash_calls": { "type": "array", "items": { "$ref": "#/$defs/cash_call" }, "minItems": 1 }, "opinion_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "evidence": { "$ref": "#/$defs/evidence_refs" }, "kind": { "const": "W1_issued" }, "instrument_id": { "$ref": "#/$defs/id" }, "collateral_id": { "$ref": "#/$defs/id" }, "predefault_quote_id": { "$ref": "#/$defs/id" }, "conditional_bid_price_per_unit": { "const": "0" }, "conditional_quote_id": { "$ref": "#/$defs/id" }, "security_exists_before_default": { "const": true }, "default_realisation_assumption": { "const": "selected_joint_default_zero_bid" }, "legal_form": { "const": "secured_loan_with_issued_bond_pledge" } } }, "event_W1_contingent": { "type": "object", "additionalProperties": false, "required": [ "event_id", "scenario_id", "event_at", "decision_at", "settlement_cutoff", "borrower_id", "funding_provider_id", "defaults", "free_cash_account_id", "available_facility_ids", "cash_calls", "opinion_ids", "evidence", "kind", "obligation_id", "security_exists_before_default", "issuance_trigger", "issuance_window_business_days", "new_identifier_status", "post_trigger_issuance_completed", "post_trigger_market_capacity", "preissue_market_value_status", "legal_form", "preconditions" ], "properties": { "event_id": { "$ref": "#/$defs/id" }, "scenario_id": { "$ref": "#/$defs/id" }, "event_at": { "$ref": "#/$defs/instant" }, "decision_at": { "$ref": "#/$defs/instant" }, "settlement_cutoff": { "$ref": "#/$defs/instant" }, "borrower_id": { "$ref": "#/$defs/id" }, "funding_provider_id": { "$ref": "#/$defs/id" }, "defaults": { "$ref": "#/$defs/default_state" }, "free_cash_account_id": { "$ref": "#/$defs/id" }, "available_facility_ids": { "$ref": "#/$defs/ids" }, "cash_calls": { "type": "array", "items": { "$ref": "#/$defs/cash_call" }, "minItems": 1 }, "opinion_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "evidence": { "$ref": "#/$defs/evidence_refs" }, "kind": { "const": "W1_contingent" }, "obligation_id": { "$ref": "#/$defs/id" }, "security_exists_before_default": { "const": false }, "issuance_trigger": { "const": "borrower_default" }, "issuance_window_business_days": { "$ref": "#/$defs/count" }, "new_identifier_status": { "const": "not_allocated_before_issuance" }, "post_trigger_issuance_completed": { "$ref": "#/$defs/flag" }, "post_trigger_market_capacity": { "const": "0" }, "preissue_market_value_status": { "const": "not_a_security_no_traded_mark" }, "legal_form": { "const": "secured_loan_with_contingent_issuance_promise" }, "preconditions": { "type": "array", "items": { "$ref": "#/$defs/condition" }, "minItems": 1 } } }, "event_W2": { "type": "object", "additionalProperties": false, "required": [ "event_id", "scenario_id", "event_at", "decision_at", "settlement_cutoff", "borrower_id", "funding_provider_id", "defaults", "free_cash_account_id", "available_facility_ids", "cash_calls", "opinion_ids", "evidence", "kind", "legal_form", "collateral_id", "payment_rights", "transfer_ban", "collected_but_blocked" ], "properties": { "event_id": { "$ref": "#/$defs/id" }, "scenario_id": { "$ref": "#/$defs/id" }, "event_at": { "$ref": "#/$defs/instant" }, "decision_at": { "$ref": "#/$defs/instant" }, "settlement_cutoff": { "$ref": "#/$defs/instant" }, "borrower_id": { "$ref": "#/$defs/id" }, "funding_provider_id": { "$ref": "#/$defs/id" }, "defaults": { "$ref": "#/$defs/default_state" }, "free_cash_account_id": { "$ref": "#/$defs/id" }, "available_facility_ids": { "$ref": "#/$defs/ids" }, "cash_calls": { "type": "array", "items": { "$ref": "#/$defs/cash_call" }, "minItems": 1 }, "opinion_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "evidence": { "$ref": "#/$defs/evidence_refs" }, "kind": { "const": "W2" }, "legal_form": { "const": "secured_loan_assigned_future_payments" }, "collateral_id": { "$ref": "#/$defs/id" }, "payment_rights": { "$ref": "#/$defs/payment_rights" }, "transfer_ban": { "type": "object", "additionalProperties": false, "required": [ "authority_id", "effective_at", "expires_at", "scope", "local_collection_continues", "blocked_cash_event_id", "licence_granted", "evidence" ], "properties": { "authority_id": { "$ref": "#/$defs/id" }, "effective_at": { "$ref": "#/$defs/instant" }, "expires_at": { "$ref": "#/$defs/instant" }, "scope": { "const": "cross_border_USD_remittance" }, "local_collection_continues": { "const": true }, "blocked_cash_event_id": { "$ref": "#/$defs/id" }, "licence_granted": { "const": false }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "collected_but_blocked": { "$ref": "#/$defs/nonnegative" } } }, "event_W3": { "type": "object", "additionalProperties": false, "required": [ "event_id", "scenario_id", "event_at", "decision_at", "settlement_cutoff", "borrower_id", "funding_provider_id", "defaults", "free_cash_account_id", "available_facility_ids", "cash_calls", "opinion_ids", "evidence", "kind", "collateral_id", "instrument_id", "before_state", "after_state", "joint_shocks", "cash_settlement", "quarterly_period", "loan_mark_convention", "EM_mark_settled_in_cash" ], "properties": { "event_id": { "$ref": "#/$defs/id" }, "scenario_id": { "$ref": "#/$defs/id" }, "event_at": { "$ref": "#/$defs/instant" }, "decision_at": { "$ref": "#/$defs/instant" }, "settlement_cutoff": { "$ref": "#/$defs/instant" }, "borrower_id": { "$ref": "#/$defs/id" }, "funding_provider_id": { "$ref": "#/$defs/id" }, "defaults": { "$ref": "#/$defs/default_state" }, "free_cash_account_id": { "$ref": "#/$defs/id" }, "available_facility_ids": { "$ref": "#/$defs/ids" }, "cash_calls": { "type": "array", "items": { "$ref": "#/$defs/cash_call" }, "minItems": 1 }, "opinion_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "evidence": { "$ref": "#/$defs/evidence_refs" }, "kind": { "const": "W3" }, "collateral_id": { "$ref": "#/$defs/id" }, "instrument_id": { "$ref": "#/$defs/id" }, "before_state": { "$ref": "#/$defs/curve_state" }, "after_state": { "$ref": "#/$defs/curve_state" }, "joint_shocks": { "type": "object", "additionalProperties": false, "required": [ "funding_mark_move", "AAA_reference_credit_move", "own_bond_move", "provider_CDS_move", "EM_credit_move" ], "properties": { "funding_mark_move": { "$ref": "#/$defs/decimal" }, "AAA_reference_credit_move": { "$ref": "#/$defs/decimal" }, "own_bond_move": { "$ref": "#/$defs/decimal" }, "provider_CDS_move": { "$ref": "#/$defs/decimal" }, "EM_credit_move": { "$ref": "#/$defs/decimal" } } }, "cash_settlement": { "const": "quarterly_contractual_return_not_EM_mark" }, "quarterly_period": { "type": "integer", "minimum": 1 }, "loan_mark_convention": { "const": "locked_coupon_discounted_at_OIS_plus_current_EM_spread" }, "EM_mark_settled_in_cash": { "const": false } } }, "event_W4": { "type": "object", "additionalProperties": false, "required": [ "event_id", "scenario_id", "event_at", "decision_at", "settlement_cutoff", "borrower_id", "funding_provider_id", "defaults", "free_cash_account_id", "available_facility_ids", "cash_calls", "opinion_ids", "evidence", "kind", "collateral_id", "instrument_id", "price_quote_id", "market_closure", "legal_sale_right_survives", "credit_default_is_trigger" ], "properties": { "event_id": { "$ref": "#/$defs/id" }, "scenario_id": { "$ref": "#/$defs/id" }, "event_at": { "$ref": "#/$defs/instant" }, "decision_at": { "$ref": "#/$defs/instant" }, "settlement_cutoff": { "$ref": "#/$defs/instant" }, "borrower_id": { "$ref": "#/$defs/id" }, "funding_provider_id": { "$ref": "#/$defs/id" }, "defaults": { "$ref": "#/$defs/default_state" }, "free_cash_account_id": { "$ref": "#/$defs/id" }, "available_facility_ids": { "$ref": "#/$defs/ids" }, "cash_calls": { "type": "array", "items": { "$ref": "#/$defs/cash_call" }, "minItems": 1 }, "opinion_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1, "uniqueItems": true }, "evidence": { "$ref": "#/$defs/evidence_refs" }, "kind": { "const": "W4" }, "collateral_id": { "$ref": "#/$defs/id" }, "instrument_id": { "$ref": "#/$defs/id" }, "price_quote_id": { "$ref": "#/$defs/id" }, "market_closure": { "type": "object", "additionalProperties": false, "required": [ "market_id", "closed_at", "reopens_at", "sale_capacity_during_closure", "repo_capacity_during_closure", "first_trade_at", "first_settlement_at", "reopening_bid_per_unit", "evidence" ], "properties": { "market_id": { "$ref": "#/$defs/id" }, "closed_at": { "$ref": "#/$defs/instant" }, "reopens_at": { "$ref": "#/$defs/instant" }, "sale_capacity_during_closure": { "const": "0" }, "repo_capacity_during_closure": { "const": "0" }, "first_trade_at": { "$ref": "#/$defs/instant" }, "first_settlement_at": { "$ref": "#/$defs/instant" }, "reopening_bid_per_unit": { "$ref": "#/$defs/nonnegative" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "legal_sale_right_survives": { "const": true }, "credit_default_is_trigger": { "const": false } } }, "branch_event": { "oneOf": [ { "$ref": "#/$defs/event_W1_issued" }, { "$ref": "#/$defs/event_W1_contingent" }, { "$ref": "#/$defs/event_W2" }, { "$ref": "#/$defs/event_W3" }, { "$ref": "#/$defs/event_W4" } ] }, "book": { "type": "object", "additionalProperties": false, "required": [ "bank_id", "provider_id", "borrower_id", "reference_id", "sale_agreement_id", "funding_agreement_id", "deployment_agreement_id", "notional", "reference_quantity", "funding_start_date", "funding_maturity_date", "deployment_start_date", "deployment_maturity_date", "funding_principal_source", "TRS_has_no_principal_exchange", "year5_reinvestment", "cash_funding_policy", "evidence" ], "properties": { "bank_id": { "$ref": "#/$defs/id" }, "provider_id": { "$ref": "#/$defs/id" }, "borrower_id": { "$ref": "#/$defs/id" }, "reference_id": { "$ref": "#/$defs/id" }, "sale_agreement_id": { "$ref": "#/$defs/id" }, "funding_agreement_id": { "$ref": "#/$defs/id" }, "deployment_agreement_id": { "$ref": "#/$defs/id" }, "notional": { "$ref": "#/$defs/parameter_ref" }, "reference_quantity": { "$ref": "#/$defs/parameter_ref" }, "funding_start_date": { "$ref": "#/$defs/date" }, "funding_maturity_date": { "$ref": "#/$defs/date" }, "deployment_start_date": { "$ref": "#/$defs/date" }, "deployment_maturity_date": { "$ref": "#/$defs/date" }, "funding_principal_source": { "const": "identified_asset_sale" }, "TRS_has_no_principal_exchange": { "const": true }, "year5_reinvestment": { "const": "OIS_cash" }, "cash_funding_policy": { "const": "actual_cash_deficit_not_noncash_reserve" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "pricing": { "type": "object", "additionalProperties": false, "required": [ "discount_curve_id", "curve_bindings", "replacement_quote", "contract", "quarterly_schedule", "integration", "day_count", "reference_distribution_rule", "default_model", "reporting_units", "evidence" ], "properties": { "discount_curve_id": { "$ref": "#/$defs/id" }, "curve_bindings": { "$ref": "#/$defs/curve_bindings" }, "replacement_quote": { "$ref": "#/$defs/parameter_ref" }, "contract": { "$ref": "#/$defs/parameter_ref" }, "quarterly_schedule": { "type": "array", "items": { "$ref": "#/$defs/period" }, "minItems": 80 }, "integration": { "const": "quarter_grid_end_payment" }, "day_count": { "const": "synthetic_equal_quarters_ACT365F_separate_dates" }, "reference_distribution_rule": { "const": "coupon_once_redemption_in_final_distribution_and_ex_price_zero" }, "default_model": { "type": "object", "additionalProperties": false, "required": [ "hazard", "provider_curve_id", "recovery_parameter", "default_timing", "conditional_market_state", "source" ], "properties": { "hazard": { "const": "CDS_divided_by_LGD" }, "provider_curve_id": { "$ref": "#/$defs/id" }, "recovery_parameter": { "$ref": "#/$defs/parameter_ref" }, "default_timing": { "const": "quarter_end_after_scheduled_settlement" }, "conditional_market_state": { "const": "case_scenario_constant_spread_shift" }, "source": { "$ref": "#/$defs/evidence_refs" } } }, "reporting_units": { "const": "USD_exact_decimal" }, "evidence": { "$ref": "#/$defs/evidence_refs" } } }, "reporting_panel": { "type": "object", "additionalProperties": false, "required": [ "panel_id", "obligation", "report_fields", "evidence_array", "snapshot_id", "scenario_ids", "model_time_years", "elapsed_interval_years", "parameter_refs", "case_agreement_ids", "legal_scope", "selection_rule", "required_evidence", "not_additive_with_other_panels" ], "properties": { "panel_id": { "$ref": "#/$defs/id" }, "obligation": { "type": "string", "enum": [ "O1", "O2", "O3", "O4", "O5", "O6", "O7", "O8" ] }, "report_fields": { "type": "array", "items": { "$ref": "#/$defs/pointer" }, "minItems": 1 }, "evidence_array": { "type": "string", "enum": [ "/rates/evidence", "/credit_xva/evidence", "/capital/evidence", "/liquidity/evidence", "/accounting/evidence" ] }, "snapshot_id": { "$ref": "#/$defs/id" }, "scenario_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1 }, "model_time_years": { "$ref": "#/$defs/nonnegative" }, "elapsed_interval_years": { "$ref": "#/$defs/nonnegative" }, "parameter_refs": { "type": "array", "items": { "$ref": "#/$defs/parameter_ref" }, "minItems": 1 }, "case_agreement_ids": { "$ref": "#/$defs/ids" }, "legal_scope": { "type": "string", "enum": [ "case_legal_objects", "standalone_fictional_comparator" ] }, "selection_rule": { "$ref": "#/$defs/text" }, "required_evidence": { "$ref": "#/$defs/evidence_refs" }, "not_additive_with_other_panels": { "const": true } } }, "institutional_reporting_panel": { "type": "object", "additionalProperties": false, "required": [ "panel_id", "obligation", "report_fields", "snapshot_id", "scenario_ids", "model_time_years", "elapsed_interval_years", "parameter_refs", "case_agreement_ids", "legal_scope", "selection_rule", "required_evidence", "not_additive_with_other_panels" ], "properties": { "panel_id": { "type": "string", "pattern": "^[A-Z][A-Z0-9_]*(?![\\s\\S])" }, "obligation": { "type": "string", "enum": [ "O9", "O10", "O11", "O12" ] }, "report_fields": { "type": "array", "items": { "enum": [ "/legal", "/compliance", "/structure", "/recommendation" ] }, "minItems": 1, "maxItems": 1 }, "snapshot_id": { "$ref": "#/$defs/id" }, "scenario_ids": { "type": "array", "items": { "$ref": "#/$defs/id" }, "minItems": 1 }, "model_time_years": { "$ref": "#/$defs/nonnegative" }, "elapsed_interval_years": { "$ref": "#/$defs/nonnegative" }, "parameter_refs": { "type": "array", "items": { "$ref": "#/$defs/parameter_ref" }, "minItems": 1 }, "case_agreement_ids": { "$ref": "#/$defs/ids" }, "legal_scope": { "type": "string", "enum": [ "case_legal_objects", "standalone_fictional_comparator" ] }, "selection_rule": { "$ref": "#/$defs/text" }, "required_evidence": { "$ref": "#/$defs/evidence_refs" }, "not_additive_with_other_panels": { "const": true } } }, "reporting_panels": { "type": "object", "additionalProperties": false, "required": [ "rates_inception", "credit_inception", "actual_cash_stress", "mark_only_cash", "conditional_prefunding", "funding_capital_inception", "collateral_controlled", "protection_controlled", "capacity_controlled", "capital_cost_component", "capital_decision", "allocation_7d", "branch_liquidity", "recognition_inception", "reserve_divergence", "prudent_valuation", "legal", "compliance", "structure", "recommendation", "terminal_settlement" ], "properties": { "rates_inception": { "$ref": "#/$defs/reporting_panel" }, "credit_inception": { "$ref": "#/$defs/reporting_panel" }, "actual_cash_stress": { "$ref": "#/$defs/reporting_panel" }, "mark_only_cash": { "$ref": "#/$defs/reporting_panel" }, "conditional_prefunding": { "$ref": "#/$defs/reporting_panel" }, "funding_capital_inception": { "$ref": "#/$defs/reporting_panel" }, "collateral_controlled": { "$ref": "#/$defs/reporting_panel" }, "protection_controlled": { "$ref": "#/$defs/reporting_panel" }, "capacity_controlled": { "$ref": "#/$defs/reporting_panel" }, "capital_cost_component": { "$ref": "#/$defs/reporting_panel" }, "capital_decision": { "$ref": "#/$defs/reporting_panel" }, "allocation_7d": { "$ref": "#/$defs/reporting_panel" }, "branch_liquidity": { "$ref": "#/$defs/reporting_panel" }, "recognition_inception": { "$ref": "#/$defs/reporting_panel" }, "reserve_divergence": { "$ref": "#/$defs/reporting_panel" }, "prudent_valuation": { "$ref": "#/$defs/reporting_panel" }, "legal": { "$ref": "#/$defs/institutional_reporting_panel", "properties": { "panel_id": { "const": "LEGAL" }, "obligation": { "const": "O9" }, "report_fields": { "const": ["/legal"] } } }, "compliance": { "$ref": "#/$defs/institutional_reporting_panel", "properties": { "panel_id": { "const": "COMPLIANCE" }, "obligation": { "const": "O10" }, "report_fields": { "const": ["/compliance"] } } }, "structure": { "$ref": "#/$defs/institutional_reporting_panel", "properties": { "panel_id": { "const": "STRUCTURE" }, "obligation": { "const": "O11" }, "report_fields": { "const": ["/structure"] } } }, "recommendation": { "$ref": "#/$defs/institutional_reporting_panel", "properties": { "panel_id": { "const": "RECOMMENDATION" }, "obligation": { "const": "O12" }, "report_fields": { "const": ["/recommendation"] } } }, "terminal_settlement": { "$ref": "#/$defs/reporting_panel" } } }, "desk_snapshot": { "type": "object", "additionalProperties": false, "required": [ "day", "parent_state_hash", "run_prefix_hash" ], "properties": { "day": { "type": "integer", "minimum": 1 }, "parent_state_hash": { "type": "string", "pattern": "^[0-9a-f]{64}$" }, "run_prefix_hash": { "type": "string", "pattern": "^[0-9a-f]{64}$" } } } } }