CCPBackTestingResultReportV01

auth.066.001.01

The CCPBackTestingResultReport message is sent from the central counterparty to the national competent authority. It is used to inform the national competent authority of the results of the back test carried out by the central counterparty.

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
%% CCPBackTestingResultReportV01 recursion level 0 with max 0
CCPBackTestingResultReportV01 *-- "1..1" MonthlyResult1 : MonthlyResult
CCPBackTestingResultReportV01 *-- "0..1" SupplementaryData1 : SupplementaryData
  

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

MonthlyResult building block

Reports the results of the central counterparties production backtesting. Results of backtesting analysis used to test the performance of a risk model. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% MonthlyResult1 recursion level 0 with max 1
class MonthlyResult1{
    NumberOfObservations IsoPositiveNumber
    NumberOfExceptions IsoNonNegativeNumber
    Coverage IsoBaseOneRate
    LargestException IsoActiveCurrencyAndAmount
    AverageException IsoActiveCurrencyAndAmount
}
MonthlyResult1 *-- "0..1" GenericIdentification165 : LargestExceptionIdentification
%% GenericIdentification165 recursion level 1 with max 1
class GenericIdentification165{
    Identification IsoMax256Text
    Description IsoMax140Text
    Issuer IsoMax35Text
    SchemeName SchemeIdentificationType1Code
}
  

MonthlyResult1 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 CCPBackTestingResultReportV01 implementation follows a specific implementaiton pattern. First of all, CCPBackTestingResultReportV01 impleemnts IOuterRecord indicating it is the outermost logical part of the message definition. Like all message wrappers, CCPBackTestingResultReportV01Document implements IOuterDocument. Because CCPBackTestingResultReportV01 implements IOuterDocument, it is a suitable template parameter for IOuterDocument, and causes the internal ‘Message’ to be of type CCPBackTestingResultReportV01.

classDiagram
    class IOuterRecord
    CCPBackTestingResultReportV01 --|> IOuterRecord : Implements
    CCPBackTestingResultReportV01Document --|> IOuterDocument~CCPBackTestingResultReportV01~ : Implements
    class IOuterDocument~CCPBackTestingResultReportV01~ {
        CCPBackTestingResultReportV01 Message
     }
  

Document wrapper for serialization

The only real purpose CCPBackTestingResultReportV01Document serves is to cause the document to be serialized into the ‘urn:iso:std:iso:20022:tech:xsd:auth.066.001.01’ namespace. Therefore, it will probably be the usual practice to build the message and construct this wrapper at the last minute using CCPBackTestingResultReportV01.ToDocument() method. The returned CCPBackTestingResultReportV01Document value will serialize correctly according to ISO 20022 standards.

classDiagram
    CCPBackTestingResultReportV01Document *-- CCPBackTestingResultReportV01 : 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.066.001.01">
    <CCPBckTstgRsltRpt>
        <MnthlyRslt>
            <!-- MonthlyResult inner content -->
        </MnthlyRslt>
        <SplmtryData>
            <!-- SupplementaryData inner content -->
        </SplmtryData>
    </CCPBckTstgRsltRpt>
</Document>

Data from ISO specification

This is the technical data from the specification document.

<messageDefinition
  xmi:id="_mLRn0eUTEem3X-64-NKdqg"
  name="CCPBackTestingResultReportV01"
  definition="The CCPBackTestingResultReport message is sent from the central counterparty to the national competent authority. It is used to inform the national competent authority of the results of the back test carried out by the central counterparty."
  registrationStatus="Registered"
  messageSet="_5z1DIOUQEem3X-64-NKdqg"
  xmlTag="CCPBckTstgRsltRpt"
  rootElement="Document"
  xmlns:xmi="http://www.omg.org/XMI">
  <messageBuildingBlock
    xmi:id="_mLRn2eUTEem3X-64-NKdqg"
    name="MonthlyResult"
    definition="Reports the results of the central counterparties production backtesting."
    registrationStatus="Provisionally Registered"
    minOccurs="1"
    xmlTag="MnthlyRslt"
    complexType="_9ZdcILC3EeaSl6vJk5Bd8w" />
  <messageBuildingBlock
    xmi:id="_mLRn2-UTEem3X-64-NKdqg"
    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="066"
    flavour="001"
    version="01" />
</messageDefinition>

ISO Building Blocks

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