Background

Members of the CDM Collateral working group requested an enumeration list of common equity indexes as a list to choose from when defining an equity assets in a eligible collateral schedule.

There is no standardised list of indices to use. Working group members have provided an extensive list of indices from their own models as examples.

Proposal

There are 2 approaches which I would like to validate with the group

Equity Index Enumeration

• The Equity Index enum will be defined in a new staticdata.asset.equity.enum namespace
• The enum will be an attribute under EquityIndex which extends IndexBase
• A condition will validate the asset class is Equity.

Equity Index validated by an external scheme

• The Equity Index will be a string type defined in EquityIndex
• The [metadata scheme] tag will reference an external list to validate the string value

The enum/external lists will be based on the lists provided by working group members.

Compatibility

Backward incompatible

Release

CDM 7