CCPBackTestingDefinitionReportV01

auth.065.001.01

The CCPBackTestingDefinitionReport message is sent from the central counterparty to the national competent authority. It is used to inform the national competent authority of the methodology used to carry out backtesting.

Message Construction

Every ISO20022 message has at the highest level what we call ‘building blocks’. Because the message is constructed as immutable records, the association is by composition. Below you can see the relationship between the message and its constituent building blocks: For comparison, see the ISO20022 official specification

classDiagram
     direction LR
%% CCPBackTestingDefinitionReportV01 recursion level 0 with max 0
CCPBackTestingDefinitionReportV01 *-- "1..1" BackTestingMethodology1 : Methodology
CCPBackTestingDefinitionReportV01 *-- "0..1" SupplementaryData1 : SupplementaryData
  

Now, we will zero-in one-by-one on each of these building blocks.

Methodology building block

Details parameters and methodology used to conduct the back test. Specifies the characteristics of a backtesting methodology used to test the performance of a risk model. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% BackTestingMethodology1 recursion level 0 with max 1
class BackTestingMethodology1{
    ModelConfidenceLevel IsoBaseOneRate
    VariationMarginCleanIndicator IsoTrueFalseIndicator
    Description IsoMax2000Text
}
BackTestingMethodology1 *-- "1..1" IModelType1Choice : RiskModelType
%% IModelType1Choice recursion level 1 with max 1
  

BackTestingMethodology1 members

SupplementaryData building block

Additional information that cannot be captured in the structured elements and/or any other specific block. Additional information that can not be captured in the structured fields and/or any other specific block. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% SupplementaryData1 recursion level 0 with max 1
class SupplementaryData1{
    PlaceAndName IsoMax350Text
}
SupplementaryData1 *-- "1..1" IsoSupplementaryDataEnvelope1 : Envelope
%% IsoSupplementaryDataEnvelope1 recursion level 1 with max 1
  

SupplementaryData1 members

Extensibility and generalization considerations

To facilitate generalized design patterns in the system, the CCPBackTestingDefinitionReportV01 implementation follows a specific implementaiton pattern. First of all, CCPBackTestingDefinitionReportV01 impleemnts IOuterRecord indicating it is the outermost logical part of the message definition. Like all message wrappers, CCPBackTestingDefinitionReportV01Document implements IOuterDocument. Because CCPBackTestingDefinitionReportV01 implements IOuterDocument, it is a suitable template parameter for IOuterDocument, and causes the internal ‘Message’ to be of type CCPBackTestingDefinitionReportV01.

classDiagram
    class IOuterRecord
    CCPBackTestingDefinitionReportV01 --|> IOuterRecord : Implements
    CCPBackTestingDefinitionReportV01Document --|> IOuterDocument~CCPBackTestingDefinitionReportV01~ : Implements
    class IOuterDocument~CCPBackTestingDefinitionReportV01~ {
        CCPBackTestingDefinitionReportV01 Message
     }
  

Document wrapper for serialization

The only real purpose CCPBackTestingDefinitionReportV01Document serves is to cause the document to be serialized into the ‘urn:iso:std:iso:20022:tech:xsd:auth.065.001.01’ namespace. Therefore, it will probably be the usual practice to build the message and construct this wrapper at the last minute using CCPBackTestingDefinitionReportV01.ToDocument() method. The returned CCPBackTestingDefinitionReportV01Document value will serialize correctly according to ISO 20022 standards.

classDiagram
    CCPBackTestingDefinitionReportV01Document *-- CCPBackTestingDefinitionReportV01 : Document
  

Sample of message format

This is an abbreviated version of what the message should look like.

<Document xmlns="urn:iso:std:iso:20022:tech:xsd:auth.065.001.01">
    <CCPBckTstgDefRpt>
        <Mthdlgy>
            <!-- Methodology inner content -->
        </Mthdlgy>
        <SplmtryData>
            <!-- SupplementaryData inner content -->
        </SplmtryData>
    </CCPBckTstgDefRpt>
</Document>

Data from ISO specification

This is the technical data from the specification document.

<messageDefinition
  xmi:id="_lfCcNjW0EemdWfjs3tykFQ"
  name="CCPBackTestingDefinitionReportV01"
  definition="The CCPBackTestingDefinitionReport message is sent from the central counterparty to the national competent authority. It is used to inform the national competent authority of the methodology used to carry out backtesting."
  registrationStatus="Registered"
  messageSet="_5z1DIOUQEem3X-64-NKdqg"
  xmlTag="CCPBckTstgDefRpt"
  rootElement="Document"
  xmlns:xmi="http://www.omg.org/XMI">
  <messageBuildingBlock
    xmi:id="_lfCcNzW0EemdWfjs3tykFQ"
    name="Methodology"
    definition="Details parameters and methodology used to conduct the back test."
    registrationStatus="Provisionally Registered"
    minOccurs="1"
    xmlTag="Mthdlgy"
    complexType="_4TLUQLC2EeaSl6vJk5Bd8w" />
  <messageBuildingBlock
    xmi:id="_lfCcODW0EemdWfjs3tykFQ"
    name="SupplementaryData"
    definition="Additional information that cannot be captured in the structured elements and/or any other specific block."
    registrationStatus="Provisionally Registered"
    minOccurs="0"
    xmlTag="SplmtryData"
    complexType="_Qn0zC9p-Ed-ak6NoX_4Aeg_468227563" />
  <messageDefinitionIdentifier
    businessArea="auth"
    messageFunctionality="065"
    flavour="001"
    version="01" />
</messageDefinition>

ISO Building Blocks

The following items are used as building blocks to construct this message.