CCPIncomeStatementAndCapitalAdequacyReportV01

auth.059.001.01

The CCPIncomeStatementAndCapitalAdequacyReport message is sent from the central counterparty to the national competent authority. It is used to inform the national competent authority about the financial performance and regulatory capital holdings of 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
%% CCPIncomeStatementAndCapitalAdequacyReportV01 recursion level 0 with max 0
class CCPIncomeStatementAndCapitalAdequacyReportV01{
    TotalCapital IsoActiveCurrencyAndAmount
    LiquidFinancialResources IsoActiveCurrencyAndAmount
}
CCPIncomeStatementAndCapitalAdequacyReportV01 *-- "1..1" IncomeStatement1 : IncomeStatement
CCPIncomeStatementAndCapitalAdequacyReportV01 *-- "1..1" CapitalRequirement1 : CapitalRequirements
CCPIncomeStatementAndCapitalAdequacyReportV01 *-- "1..1" HypotheticalCapitalMeasure1 : HypotheticalCapitalMeasure
CCPIncomeStatementAndCapitalAdequacyReportV01 *-- "0..1" SupplementaryData1 : SupplementaryData
  

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

IncomeStatement building block

Income statement of the CCP. Statement of the financial performance of a legal entity. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% IncomeStatement1 recursion level 0 with max 1
class IncomeStatement1{
    ClearingFees IsoActiveCurrencyAndAmount
    OtherOperatingRevenue IsoActiveCurrencyAndAmount
    OperatingExpenses IsoActiveCurrencyAndAmount
    NetInterestIncome IsoActiveCurrencyAndAmount
    OtherNonOperatingRevenue IsoActiveCurrencyAndAmount
    NonOperatingExpenses IsoActiveCurrencyAndAmount
}
IncomeStatement1 *-- "1..1" AmountAndDirection102 : OperatingProfitOrLoss
IncomeStatement1 *-- "1..1" AmountAndDirection102 : PreTaxProfitOrLoss
IncomeStatement1 *-- "1..1" AmountAndDirection102 : PostTaxProfitOrLoss
%% AmountAndDirection102 recursion level 1 with max 1
class AmountAndDirection102{
    Amount IsoActiveCurrencyAndAmount
    Sign IsoPlusOrMinusIndicator
}
%% AmountAndDirection102 recursion level 1 with max 1
class AmountAndDirection102{
    Amount IsoActiveCurrencyAndAmount
    Sign IsoPlusOrMinusIndicator
}
%% AmountAndDirection102 recursion level 1 with max 1
class AmountAndDirection102{
    Amount IsoActiveCurrencyAndAmount
    Sign IsoPlusOrMinusIndicator
}
  

IncomeStatement1 members

CapitalRequirements building block

Report of the breakdown of the components for the capital requirement for central counterparty. Report of the breakdown of the components for the capital requirement for central counterparty. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% CapitalRequirement1 recursion level 0 with max 1
class CapitalRequirement1{
    WindingDownOrRestructuringRisk IsoActiveCurrencyAndAmount
    OperationalAndLegalRisk IsoActiveCurrencyAndAmount
    CreditRisk IsoActiveCurrencyAndAmount
    CounterPartyRisk IsoActiveCurrencyAndAmount
    MarketRisk IsoActiveCurrencyAndAmount
    BusinessRisk IsoActiveCurrencyAndAmount
    NotificationBuffer IsoBaseOneRate
}
  

CapitalRequirement1 members

TotalCapital building block

Sum of the CCP’s capital requirements for operational expenses; for winding down or restructuring its activities; for overall operational and legal risk; for uncovered credit, counterparty credit and market risks and business risks.

A number of monetary units specified in an active currency where the unit of currency is explicit and compliant with ISO 4217. For comparison, see the ISO20022 official specification This message is declared as ActiveCurrencyAndAmount in the ISO specification. In our implementation, it is represented in source code as IsoActiveCurrencyAndAmount. Due to global using directives, it is treated as a System.Decimal by the compiler and runtime.

LiquidFinancialResources building block

Total capital resources invested in liquid financial resources.

A number of monetary units specified in an active currency where the unit of currency is explicit and compliant with ISO 4217. For comparison, see the ISO20022 official specification This message is declared as ActiveCurrencyAndAmount in the ISO specification. In our implementation, it is represented in source code as IsoActiveCurrencyAndAmount. Due to global using directives, it is treated as a System.Decimal by the compiler and runtime.

HypotheticalCapitalMeasure building block

Hypothetical capital requirement due to counterparty credit risk exposures to all clearing members.

Measure of the total capital requirement all the clearing members are required to hold against their default fund contributions to a central counterparty. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% HypotheticalCapitalMeasure1 recursion level 0 with max 1
class HypotheticalCapitalMeasure1{
    Amount IsoActiveCurrencyAndAmount
    DefaultWaterfallIdentification IsoMax35Text
}
  

HypotheticalCapitalMeasure1 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 CCPIncomeStatementAndCapitalAdequacyReportV01 implementation follows a specific implementaiton pattern. First of all, CCPIncomeStatementAndCapitalAdequacyReportV01 impleemnts IOuterRecord indicating it is the outermost logical part of the message definition. Like all message wrappers, CCPIncomeStatementAndCapitalAdequacyReportV01Document implements IOuterDocument. Because CCPIncomeStatementAndCapitalAdequacyReportV01 implements IOuterDocument, it is a suitable template parameter for IOuterDocument, and causes the internal ‘Message’ to be of type CCPIncomeStatementAndCapitalAdequacyReportV01.

classDiagram
    class IOuterRecord
    CCPIncomeStatementAndCapitalAdequacyReportV01 --|> IOuterRecord : Implements
    CCPIncomeStatementAndCapitalAdequacyReportV01Document --|> IOuterDocument~CCPIncomeStatementAndCapitalAdequacyReportV01~ : Implements
    class IOuterDocument~CCPIncomeStatementAndCapitalAdequacyReportV01~ {
        CCPIncomeStatementAndCapitalAdequacyReportV01 Message
     }
  

Document wrapper for serialization

The only real purpose CCPIncomeStatementAndCapitalAdequacyReportV01Document serves is to cause the document to be serialized into the ‘urn:iso:std:iso:20022:tech:xsd:auth.059.001.01’ namespace. Therefore, it will probably be the usual practice to build the message and construct this wrapper at the last minute using CCPIncomeStatementAndCapitalAdequacyReportV01.ToDocument() method. The returned CCPIncomeStatementAndCapitalAdequacyReportV01Document value will serialize correctly according to ISO 20022 standards.

classDiagram
    CCPIncomeStatementAndCapitalAdequacyReportV01Document *-- CCPIncomeStatementAndCapitalAdequacyReportV01 : 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.059.001.01">
    <CCPIncmStmtAndCptlAdqcyRpt>
        <IncmStmt>
            <!-- IncomeStatement inner content -->
        </IncmStmt>
        <CptlRqrmnts>
            <!-- CapitalRequirements inner content -->
        </CptlRqrmnts>
        <TtlCptl>
            <!-- TotalCapital inner content -->
        </TtlCptl>
        <LqdFinRsrcs>
            <!-- LiquidFinancialResources inner content -->
        </LqdFinRsrcs>
        <HpthtclCptlMeasr>
            <!-- HypotheticalCapitalMeasure inner content -->
        </HpthtclCptlMeasr>
        <SplmtryData>
            <!-- SupplementaryData inner content -->
        </SplmtryData>
    </CCPIncmStmtAndCptlAdqcyRpt>
</Document>

Data from ISO specification

This is the technical data from the specification document.

<messageDefinition
  xmi:id="_DzbYceUUEem3X-64-NKdqg"
  name="CCPIncomeStatementAndCapitalAdequacyReportV01"
  definition="The CCPIncomeStatementAndCapitalAdequacyReport message is sent from the central counterparty to the national competent authority. It is used to inform the national competent authority about the financial performance and regulatory capital holdings of the central counterparty."
  registrationStatus="Registered"
  messageSet="_5z1DIOUQEem3X-64-NKdqg"
  xmlTag="CCPIncmStmtAndCptlAdqcyRpt"
  rootElement="Document"
  xmlns:xmi="http://www.omg.org/XMI">
  <messageBuildingBlock
    xmi:id="_DzbYeeUUEem3X-64-NKdqg"
    name="IncomeStatement"
    definition="Income statement of the CCP."
    registrationStatus="Provisionally Registered"
    maxOccurs="1"
    minOccurs="1"
    xmlTag="IncmStmt"
    complexType="_l_mSELIdEeaYqc4G3TTwhA" />
  <messageBuildingBlock
    xmi:id="_DzbYe-UUEem3X-64-NKdqg"
    name="CapitalRequirements"
    definition="Report of the breakdown of the components for the capital requirement for central counterparty."
    registrationStatus="Provisionally Registered"
    maxOccurs="1"
    minOccurs="1"
    xmlTag="CptlRqrmnts"
    complexType="_ltqioLIfEeaYqc4G3TTwhA" />
  <messageBuildingBlock
    xmi:id="_DzbYfeUUEem3X-64-NKdqg"
    name="TotalCapital"
    definition="Sum of the CCP's capital requirements for operational expenses; for winding down or restructuring its activities; for overall operational and legal risk; for uncovered credit, counterparty credit and market risks and business risks.&#xD;&#xA;"
    registrationStatus="Provisionally Registered"
    maxOccurs="1"
    minOccurs="1"
    xmlTag="TtlCptl"
    simpleType="_YX4O9tp-Ed-ak6NoX_4Aeg_-836081793" />
  <messageBuildingBlock
    xmi:id="_DzbYf-UUEem3X-64-NKdqg"
    name="LiquidFinancialResources"
    definition="Total capital resources invested in liquid financial resources.&#xD;&#xA;"
    registrationStatus="Provisionally Registered"
    maxOccurs="1"
    minOccurs="1"
    xmlTag="LqdFinRsrcs"
    simpleType="_YX4O9tp-Ed-ak6NoX_4Aeg_-836081793" />
  <messageBuildingBlock
    xmi:id="_DzbYgeUUEem3X-64-NKdqg"
    name="HypotheticalCapitalMeasure"
    definition="Hypothetical capital requirement due to counterparty credit risk exposures to all clearing members.&#xD;&#xA;"
    registrationStatus="Provisionally Registered"
    minOccurs="1"
    xmlTag="HpthtclCptlMeasr"
    complexType="_LK-vILb2EeabfchHYoktpA" />
  <messageBuildingBlock
    xmi:id="_DzbYg-UUEem3X-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="059"
    flavour="001"
    version="01" />
</messageDefinition>

ISO Building Blocks

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