XVA Blockchain
XVA Blockchain is based on ISO 20022 data definition
For further information and basics read the following whitepapers:
https://bitcoin.org/bitcoin.pdf
What is the LEI?
What is the UTI?
What is the SA-CCR?
http://www.bis.org/publ/bcbs279.pdf
There are two ways for your data deliveries:
#1st “Trade level information”: Status of LEI is legally binding
L
Each UTI, USI, or internal trade ID identifies one counterparty.
The following trade details are mandatory: UTI, asset class, market value, and all static SA-CCR data.
or
#2nd “Portfolio level information”: Status of LEI is legally binding
C
Each submission is for a sub-portfolio (clustered by counterparty): The portfolio value, number of trades of at least one counterparty, and CVA, DVA, FVA is sufficient.
In addition status C serves for corporate actions of an LEI.
Any LEI not registered by Advanced Blockchain Solutions GmbH is not legally binding
N
MASTER DATA DEFINITION OF COLLATERAL:
Eligible assets abbreviations:
Abbreviations used in the list of eligible assets.
ASSET TYPE
AT01 Bond
AT02 Medium-term note
AT03 (Treasury) bill / commercial paper / certificate of deposit
AT09 Jumbo covered bonds
AT10 Traditional covered bonds
AT11 Asset-backed securities (ABS)
AT12 Multi-cédulas
AT13 Structured covered bonds
COUPON DEFINITION
CD1 Zero
CD2 Variable
CD4 Fixed
GUARANTOR GROUP
GG1 Central Bank
GG11 Public corporation
GG2 Central Government
GG3 Corporate and other issuers
GG4 Credit Institution (excluding agencies)
GG5 Regional/Local government
GG6 Supranational Issuer
GG7 Agency – non credit institution
GG8 Agency – credit institution
GG9 Financial corporations other than credit institutions
GUARANTOR RESIDENCE
GRAT Austria
GRBE Belgium
GRBG Bulgaria
GRCY Cyprus
GRCZ Czech Republic
GRDE Germany
GRDK Denmark
GREE Estonia
GRES Spain
GRFI Finland
GRFR France
GRGB United Kingdom
GRGR Greece
GRHR Croatia
GRHU Hungary
GRIE Ireland
GRIS Iceland
GRIT Italy
GRLI Liechtenstein
GRLT Lithuania
GRLU Luxembourg
GRLV Latvia
GRMT Malta
GRNL Netherlands
GRNO Norway
GRPL Poland
GRPT Portugal
GRRO Romania
GRSE Sweden
GRSI Slovenia
GRSK Slovakia
GRXX Non-eea
HAIRCUT CATEGORY
L1A Central government and Debt securities issued by central banks
L1B Local/Regional Government+Agency+ Supranational + Jumbo covered bonds
L1C Non-Jumbo, Credit institution, Corporate/other issuer securities
L1D Credit institution securities (unsecured) L1E Asset-backed securities
FX MASTER DATA
Base Currencies:
EUR
Currencies available for XVA Blockchain repository reporting:
USD US dollar
JPY Japanese yen
BGN Bulgarian lev
CZK Czech koruna
DKK Danish krone
GBP Pound sterling
HUF Hungarian forint
PLN Polish zloty
RON Romanian leu
SEK Swedish krona
CHF Swiss franc
ISK Icelandic krona
NOK Norwegian krone
HRK Croatian kuna
RUB Russian rouble
TRY Turkish lira
AUD Australian dollar
BRL Brazilian real
CAD Canadian dollar
CNY Chinese yuan renminbi
HKD Hong Kong dollar
IDR Indonesian rupiah
ILS Israeli shekel
INR Indian rupee
KRW South Korean won
MXN Mexican peso
MYR Malaysian ringgit
NZD New Zealand dollar
PHP Philippine piso
SGD Singapore dollar
THB Thai baht
ZAR South African rand