Story: Model netting agreements, netting sets and CSAs
Table of Contents
This page documents a story in Sprint 26. It captures the goal, current status, acceptance criteria, and the tasks that compose it.
1. Goal
Model the legal and credit grouping trades net under, as the Netting sets note analyses it: agreement, netting set and CSA as separate entities in ores.refdata.
2. Status
| Field | Value |
|---|---|
| State | DONE |
| Parent sprint | Sprint 26 |
| Now | Nothing. |
| Waiting on | Nothing. |
| Next | Nothing. |
| Last touched | 2026-10-03 |
3. Acceptance
- netting_agreement, netting_set and csa exist in ores.refdata, generated.
- A netting set's counterparty and legal entity are those of its agreement, and a CSA references exactly one set with at most one active at a time.
- A netting set carries the ORE details (call type, initial margin type) and round-trips through nettingsetdefinitions.xml.
4. Tasks
| Task | State | Start | End | Description |
|---|---|---|---|---|
| Model netting agreements and netting sets | DONE | 2026-10-03 | 2026-10-03 | Generate netting_agreement and netting_set in ores.refdata, with the set's counterparty and legal entity pinned to its agreement. |
| Model the credit support annex | DONE | 2026-10-03 | 2026-10-03 | Generate csa and its eligible collateral currencies in ores.refdata, carrying ORE's CSA details, with at most one active CSA per netting set. |
| Map netting sets to and from ORE | DONE | 2026-10-03 | 2026-10-03 | Map nettingsetdefinitions.xml to netting sets, CSAs and eligible currencies and back, round-tripping every netting set document in ORE's examples. |
5. Decisions
- A netting set's counterparty and legal entity are optional, because ORE names a set by id alone; a check makes both required once the set has an agreement, and a pinned key holds them to the agreement's.
- The agreement's parties are fixed columns, so a set's copy of them stays true when the agreement is amended.
- The active flag is the CSA's, not the set's: ORE's examples keep the details of CSAs that are switched off.
6. Out of scope
7. Result
Netting agreements, netting sets and credit support annexes are generated
entities in ores.refdata, and ORE's netting set definitions read and
write through them.
netting_agreementandnetting_set, with the set's parties pinned to its agreement and the agreement's parties fixed (PR 2537). Codegen gained fixed columns for this.csaandcsa_eligible_currency, with at most one active CSA per set and each currency position used once (PR 2538).netting_set_mapper, round-tripping all 99 netting set documents in ORE's examples.- The credit limit the netting sets analysis names is filed as a capture, because no credit limit entity exists yet.