Product Model - Security-Lending Qualification Updates

Background

The Qualify_SecurityLending function expects that a collateralPortfolio -> collateralPosition -> product -> TransferableProduct exists. This is not always going to be the case.

If a trade is against cash then collateralPortfolio -> collateralPosition -> product -> TransferableProduct will hold the details of the cash being used as collateral.

However, if a trade is against non-cash, the collateral will be referenced using a schedule/portfolio identifier and thus there will not be a collateralPosition under collateralPortfolio, but rather a collateralPortfolio -> portfolioIdentifer that will hold the identifier for the collateral pool being used as collateral against this trade.

What is being released?

The Qualify_SecurityLending function has been updated to just check for the presence of collateral -> collateralPortfolio which is generic enough to cover cash and non-cash.

Review directions

The changes can be reviewed in PR: #4336

Infrastructure - Dependency Update

What is being released?

This release updates the DSL dependency, and third-party software libraries updated to comply with the “Common Vulnerabilities and Exposures” standard (CVE, https://www.cve.org/).

Version updates include:

• DSL 9.75.1 Performance improvements and bug fix. See DSL release notes: 9.75.1
• DSL 9.75.0 Suppress warnings annotation. See DSL release notes: 9.75.0
• DSL 9.74.1 Fix usage of default with multi-cardinality. See DSL release notes: 9.74.1
• DSL 9.74.0 Fix empty meta coercion. See DSL release notes: 9.74.0
• DSL 9.73.0 Clean up DSL warnings. See DSL release notes: 9.73.0
• DSL 9.72.0 Fix for serialisation. See DSL release notes: 9.72.0

No expectations are updated as part of this release.

Third-party software library updates:

• npm/qs upgraded from version 6.13.0 to 6.14.1, see GHSA-6rw7-vpxm-498p for further details

Review Directions

The changes can be reviewed in PR: #4314

Reference Data Model - Legal Entity Identifier Type Support

Background

In the current model, the LegalEntity structure allows the capturing of an entity’s identifier, but it does not allow specifying the type of identifier being used. This differs from the PartyIdentifier structure, which supports explicit identifier types.

Due to the existence of this gap, the identifier type must be inferred from the metadata scheme, adding complexity, increasing the risk of inconsistent handling across implementations, and making downstream logic harder to maintain.

To address this limitation, the model has been extended so that the identifier type can be represented directly within the LegalEntity structure.

What is being released?

This update introduces native support for representing the identifier type of a legal entity. The following changes have been added under the LegalEntity type:

• A deprecated tag to the entityId attribute
• A new EntityIdentifier attribute under LegalEntity type, with the following items:
  • the identifier
  • the identifierType, of type EntityIdentifierTypeEnum

A new enum EntityIdentifierTypeEnum has also been created by extending PartyIdentifierTypeEnum to include additional identifier types used for legal entities:

• RED
• CountryCode
• Other

Finally, the mappings to populate the new entityIdentifier attribute have been modelled, while preserving the existing mappings to entityId, ensuring the coverage of the previous representation.

Review Directions

Changes can be reviewed in PR: #4319

Ingestion Framework for FpML - Mapping Coverage: Credit Default Swap Option

Background

Ingestion functions for FpML Confirmation to CDM have mapping coverage gaps for some products or test packs compared to the legacy Synonym mapping coverage. For further information, see #4260.

What is being released?

This release maps Credit Default Swap Option products, as per #4293.

Updates to mapping of FpML products creditDefaultSwapOption and creditDefaultSwap:

• Product attributes taxonomy
• TradeLot attributes priceQuantity
• OptionPayout attributes exerciseTerms, referenceInformation, priceQuantity, settlementTerms, feature, underlier, optionType and strike

Review Directions

Changes can be reviewed in PR: #4340

Legal Documentation - Enhanced functionality for Umbrella Agreements

Background

The umbrella functionality within the CDM needs to support the capture of Legal Agreement terms under an umbrella agreement structure. The existing legal agreement types are not currently used under the UmbrellaAgreement type, and there is no way of defining multiple sets of umbrella agreements.

What is being released?

Updated types and enumerated lists have been added to support the specification of multiple sets of agreements and their related parties under an UmbrellaAgremeent.

Enum

• UmbrellaPartyRoleEnum - Represents the legal role a party is assigned for the agreement.

Type

• UmbrellaAgreementSet - Allows multiple sets of elections to be captured and assigned to specific parties to the agreement.
• UmbrellaAgreementEntity - Defines the parties to the agreement.
• ParentParty - Allows parties to be associated with a parent party on the agreement.

Review Directions

Changes can be reviewed in PR: #4322

Collateral Model - Collateral Guarantor added to Collateral Criteria

Background

There is a gap in the collateral model where a party cannot be specified to guarantee the collateral asset. Although users can specify the collateral issuer type, the guarantor is not supported in the collateral criteria choice type. A guarantor is a common requirement for collateral criteria.

What is being released?

• IssuerTypeEnum is renamed to CollateralEntityTypeEnum. This enum can be reused as the entity type values are common across the issuer & guarantor. IssuerTypeEnum is used only in the CollateralIssuerType so there is minimal impact to other areas of the model.
• CollateralGuarantorType is created which has the CollateralEntityTypeEnum as an attribute.
• CollateralGuarantorType is added to CollateralCriteria.

Review Directions

Changes can be reviewed in PR: #4258

Reference Data - Update ISOCurrencyCodeEnum

What is being released?

Updated ISOCurrencyCodeEnum based on updated scheme ISO Standard 4217.

Version updates include:

removed value: BGN

Review directions

The changes can be reviewed in PR: #4321

Asset - Expanded Coverage for Secured Debt

Background

Different types of secured debt are not well represented in CDM.

In the current model, Asset Backed Securities could exist in CDM using the value in DebtClassEnum, however, there is no way to represent Mortgage Backed Securities or other types of secured debt.

What is being released?

This release supports the inclusion of secured debt by making the following changes:

• Created a new SecuredDebt type for different types of secured debt
• Added secured as an attribute under DebtEconomics with the SecuredDebt type
• Added assetBacked, collateralizedObligations, and coveredBonds as attributes in SecuredType, each with their own corresponding enumeration
• Added a PropertyTypeEnum to determine the type of property when the security is linked to a property asset
• Removed AssetBacked as a value from DebtClassEnum
• Added conditions to validate the values selected from SecuredTypeEnum correspond to the correct attribute in SecuredType
• Removed redundant "debt" prefix in the attributes of DebtEconomics

Review Directions

Changes can be reviewed in PR: #4257

Infrastructure - Dependency Update

What is being released?

This release updates the DSL dependency.

Version updates include:

• DSL 9.71.0 Fixes incorrect treatment of empty for boolean resolution, equality, and implicit else. See DSL release notes: DSL 9.71.0

No expectations are updated as part of this release.

Review Directions

The changes can be reviewed in PR: #4309

Ingestion Framework for FpML - Mapping Coverage: Equity Swap Transaction Supplement

Background

Qualification functions are used extensively in the Common Domain Model and Digital Regulatory Reporting to determine the type of product.
Several functions were added and modified in the Common Domain Model version 5 without the changes being applied to Common Domain Model versions 6 & 7. This release adds qualification functions to Common Domain Model 6 & 7.

What is being released?

This release maps the Price field for Fixed Rate Schedules, as per #4303.

Updates to the mapping of EquitySwapTransactionSupplement for:

• ReturnTerms
• DividendReturnTerms
• ValuationDates

Review Directions

Changes can be reviewed in PR: #4304