From 6fa2f90988750271fdef5b150642264fa5735e20 Mon Sep 17 00:00:00 2001 From: AdarshChugani Date: Thu, 6 Jun 2024 13:54:22 +0800 Subject: [PATCH 1/5] add ciu types as children of share under security --- documentation/properties/type.md | 48 ++++++++++++++++++++++++++++++++ 1 file changed, 48 insertions(+) diff --git a/documentation/properties/type.md b/documentation/properties/type.md index e154d419..e1c83295 100644 --- a/documentation/properties/type.md +++ b/documentation/properties/type.md @@ -534,6 +534,18 @@ Other refers to a type of security not covered by the above. If you find yoursel │ ├── share │ │ ├── treasury │ │ └── pref_share +│ │ └── ciu_lvl_1_cash_cb +│ │ └── ciu_lvl_1_excl_cov +│ │ └── ciu_lvl_1_cov_bond +│ │ └── ciu_lvl_2a_corp_bond +│ │ └── ciu_lvl_2a_cov_bond +│ │ └── ciu_lvl_2a_public_sec +│ │ └── ciu_lvl_2b_rmbs_auto +│ │ └── ciu_lvl_2b_cov_bond +│ │ └── ciu_lvl_2b_abs_oth +│ │ └── ciu_lvl_2b_corp_bond +│ │ └── ciu_lvl_2b_shares +│ │ └── ciu_lvl_2b_public_sec │ ├── share_agg │ └── speculative_unlisted │ └── main_index_equity @@ -614,6 +626,42 @@ According to IAS 32.33, if an entity reacquires its own equity instruments, thos ### main_index_equity The main_index_equity identifies equities that are constituents of a main index for the purposes of applying a volatility adjustment in line with [Article 224](https://www.eba.europa.eu/regulation-and-policy/single-rulebook/interactive-single-rulebook/16006). +### ciu_lvl_1_cash_cb +CIU where the underlying is Level 1 coins/banknotes and/or central bank exposures + +### ciu_lvl_1_excl_cov_bond +CIU where the underlying is Level 1 assets excluding extremely high quality covered bonds + +### ciu_lvl_1_cov_bond +CIU where the underlying is Level 1 extremely high quality covered bonds + +### ciu_lvl_2a_corp_bond +CIU where the underlying is Level 2A corporate debt securities (CQS1) + +### ciu_lvl_2a_cov_bond +CIU where the underlying is Level 2A high quality covered bonds (CQS1/2) + +### ciu_lvl_2a_public_sec +CIU where the underlying is Level 2A claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities + +### ciu_lvl_2b_rmbs_auto +CIU where the underlying is Level 2B asset-backed securities (residential or auto) + +### ciu_lvl_2b_cov_bond +CIU where the underlying is Level 2B High quality covered bonds + +### ciu_lvl_2b_corp_bond +CIU where the underlying is Level 2B asset-backed securities (commercial or individuals) + +### ciu_lvl_2b_abs_oth +CIU where the underlying is Level 2B corporate debt securities (CQS2/3) + +### ciu_lvl_2b_shares +CIU where the underlying is Level 2B shares (major stock index) + +### ciu_lvl_2b_public_sec +CIU where the underlying is Level 2B claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities + ### debt This is a "catch all" term for debt of any kind, *bond*, *bond_amortising*, *covered_bond*, *abs*, *residential_mbs*, *non_residential_mbs*, *frn*, *govt_gteed_frn*, to be used when further granularity is not available or not needed. From 7d22c4f4e33f6bd48eecb2dcd6faa12284c9f958 Mon Sep 17 00:00:00 2001 From: AdarshChugani Date: Fri, 7 Jun 2024 12:38:08 +0800 Subject: [PATCH 2/5] Add new ciu enums under the type property in the Security schema --- v1-dev/security.json | 12 ++++++++++++ 1 file changed, 12 insertions(+) diff --git a/v1-dev/security.json b/v1-dev/security.json index 605a49f5..22e3e00e 100644 --- a/v1-dev/security.json +++ b/v1-dev/security.json @@ -725,6 +725,18 @@ "cb_facility", "cb_reserve", "cd", + "ciu_lvl_1_cash_cb", + "ciu_lvl_1_cov_bond", + "ciu_lvl_1_excl_cov_bond", + "ciu_lvl_2a_corp_bond", + "ciu_lvl_2a_cov_bond", + "ciu_lvl_2a_public_sec", + "ciu_lvl_2b_abs_oth", + "ciu_lvl_2b_corp_bond", + "ciu_lvl_2b_cov_bond", + "ciu_lvl_2b_public_sec", + "ciu_lvl_2b_rmbs_auto", + "ciu_lvl_2b_shares", "cmbs", "cmbs_income", "commercial_paper", From b80c57db42ac338370eb065fe846e5c9ced83c85 Mon Sep 17 00:00:00 2001 From: AdarshChugani Date: Fri, 7 Jun 2024 12:43:39 +0800 Subject: [PATCH 3/5] Standardise the `ciu_lvl_1_excl_cov` enum --- documentation/properties/type.md | 2 +- v1-dev/security.json | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) diff --git a/documentation/properties/type.md b/documentation/properties/type.md index e1c83295..d478d97a 100644 --- a/documentation/properties/type.md +++ b/documentation/properties/type.md @@ -629,7 +629,7 @@ The main_index_equity identifies equities that are constituents of a main index ### ciu_lvl_1_cash_cb CIU where the underlying is Level 1 coins/banknotes and/or central bank exposures -### ciu_lvl_1_excl_cov_bond +### ciu_lvl_1_excl_cov CIU where the underlying is Level 1 assets excluding extremely high quality covered bonds ### ciu_lvl_1_cov_bond diff --git a/v1-dev/security.json b/v1-dev/security.json index 22e3e00e..3f7faa25 100644 --- a/v1-dev/security.json +++ b/v1-dev/security.json @@ -727,7 +727,7 @@ "cd", "ciu_lvl_1_cash_cb", "ciu_lvl_1_cov_bond", - "ciu_lvl_1_excl_cov_bond", + "ciu_lvl_1_excl_cov", "ciu_lvl_2a_corp_bond", "ciu_lvl_2a_cov_bond", "ciu_lvl_2a_public_sec", From 40c498deb8faf33e14a382822cf8dba0990f23c8 Mon Sep 17 00:00:00 2001 From: AdarshChugani Date: Sat, 8 Jun 2024 02:58:58 +0800 Subject: [PATCH 4/5] Update ciu share enums to remove hqla class --- documentation/properties/type.md | 64 ++++++++++++-------------------- v1-dev/security.json | 20 ++++------ 2 files changed, 32 insertions(+), 52 deletions(-) diff --git a/documentation/properties/type.md b/documentation/properties/type.md index d478d97a..e0078d4f 100644 --- a/documentation/properties/type.md +++ b/documentation/properties/type.md @@ -534,18 +534,14 @@ Other refers to a type of security not covered by the above. If you find yoursel │ ├── share │ │ ├── treasury │ │ └── pref_share -│ │ └── ciu_lvl_1_cash_cb -│ │ └── ciu_lvl_1_excl_cov -│ │ └── ciu_lvl_1_cov_bond -│ │ └── ciu_lvl_2a_corp_bond -│ │ └── ciu_lvl_2a_cov_bond -│ │ └── ciu_lvl_2a_public_sec -│ │ └── ciu_lvl_2b_rmbs_auto -│ │ └── ciu_lvl_2b_cov_bond -│ │ └── ciu_lvl_2b_abs_oth -│ │ └── ciu_lvl_2b_corp_bond -│ │ └── ciu_lvl_2b_shares -│ │ └── ciu_lvl_2b_public_sec +│ │ └── ciu_cash_cb +│ │ └── ciu_secs_excl_cov +│ │ └── ciu_cov_bond +│ │ └── ciu_corp_bond +│ │ └── ciu_public_sec +│ │ └── ciu_rmbs_auto +│ │ └── ciu_abs_oth +│ │ └── ciu_shares │ ├── share_agg │ └── speculative_unlisted │ └── main_index_equity @@ -626,41 +622,29 @@ According to IAS 32.33, if an entity reacquires its own equity instruments, thos ### main_index_equity The main_index_equity identifies equities that are constituents of a main index for the purposes of applying a volatility adjustment in line with [Article 224](https://www.eba.europa.eu/regulation-and-policy/single-rulebook/interactive-single-rulebook/16006). -### ciu_lvl_1_cash_cb -CIU where the underlying is Level 1 coins/banknotes and/or central bank exposures +### ciu_cash_cb +CIU where the underlying is coins/banknotes and/or central bank exposures -### ciu_lvl_1_excl_cov -CIU where the underlying is Level 1 assets excluding extremely high quality covered bonds +### ciu_sec_excl_cov +CIU where the underlying is debt securities excluding covered bonds -### ciu_lvl_1_cov_bond -CIU where the underlying is Level 1 extremely high quality covered bonds +### ciu_cov_bond +CIU where the underlying is covered bonds -### ciu_lvl_2a_corp_bond -CIU where the underlying is Level 2A corporate debt securities (CQS1) +### ciu_corp_bond +CIU where the underlying is corporate debt securities -### ciu_lvl_2a_cov_bond -CIU where the underlying is Level 2A high quality covered bonds (CQS1/2) +### ciu_public_sec +CIU where the underlying is claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities -### ciu_lvl_2a_public_sec -CIU where the underlying is Level 2A claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities +### ciu_rmbs_auto +CIU where the underlying is asset-backed securities (residential or auto) -### ciu_lvl_2b_rmbs_auto -CIU where the underlying is Level 2B asset-backed securities (residential or auto) +### ciu_abs_oth +CIU where the underlying is asset-backed securities (commercial or individuals) -### ciu_lvl_2b_cov_bond -CIU where the underlying is Level 2B High quality covered bonds - -### ciu_lvl_2b_corp_bond -CIU where the underlying is Level 2B asset-backed securities (commercial or individuals) - -### ciu_lvl_2b_abs_oth -CIU where the underlying is Level 2B corporate debt securities (CQS2/3) - -### ciu_lvl_2b_shares -CIU where the underlying is Level 2B shares (major stock index) - -### ciu_lvl_2b_public_sec -CIU where the underlying is Level 2B claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities +### ciu_shares +CIU where the underlying is shares (major stock index) ### debt This is a "catch all" term for debt of any kind, *bond*, *bond_amortising*, *covered_bond*, *abs*, *residential_mbs*, *non_residential_mbs*, *frn*, *govt_gteed_frn*, to be used when further granularity is not available or not needed. diff --git a/v1-dev/security.json b/v1-dev/security.json index 3f7faa25..780a54e4 100644 --- a/v1-dev/security.json +++ b/v1-dev/security.json @@ -725,18 +725,14 @@ "cb_facility", "cb_reserve", "cd", - "ciu_lvl_1_cash_cb", - "ciu_lvl_1_cov_bond", - "ciu_lvl_1_excl_cov", - "ciu_lvl_2a_corp_bond", - "ciu_lvl_2a_cov_bond", - "ciu_lvl_2a_public_sec", - "ciu_lvl_2b_abs_oth", - "ciu_lvl_2b_corp_bond", - "ciu_lvl_2b_cov_bond", - "ciu_lvl_2b_public_sec", - "ciu_lvl_2b_rmbs_auto", - "ciu_lvl_2b_shares", + "ciu_abs_oth", + "ciu_cash_cb", + "ciu_corp_bond", + "ciu_cov_bond", + "ciu_public_sec", + "ciu_rmbs_auto", + "ciu_secs_excl_cov", + "ciu_shares", "cmbs", "cmbs_income", "commercial_paper", From 431383163853d0dcf69b8ef54d5600c23c494873 Mon Sep 17 00:00:00 2001 From: AdarshChugani Date: Sat, 8 Jun 2024 03:00:21 +0800 Subject: [PATCH 5/5] Fix typos --- documentation/properties/type.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/documentation/properties/type.md b/documentation/properties/type.md index e0078d4f..f25a1513 100644 --- a/documentation/properties/type.md +++ b/documentation/properties/type.md @@ -625,7 +625,7 @@ The main_index_equity identifies equities that are constituents of a main index ### ciu_cash_cb CIU where the underlying is coins/banknotes and/or central bank exposures -### ciu_sec_excl_cov +### ciu_secs_excl_cov CIU where the underlying is debt securities excluding covered bonds ### ciu_cov_bond