auth.062.001.01
The CCPLiquidityStressTestingDefinitionReport message is sent from the central counterparty to the national competent authority. It is used to inform the national competent authority about how the central counterparty defines liquidity stress scenarios used to stress the liquidity resources and requirements of the CCP.
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
%% CCPLiquidityStressTestingDefinitionReportV01 recursion level 0 with max 0
CCPLiquidityStressTestingDefinitionReportV01 *-- "1..1" LiquidityStressScenarioDefinition1 : LiquidityStressScenarioDefinition
CCPLiquidityStressTestingDefinitionReportV01 *-- "0..1" SupplementaryData1 : SupplementaryData
Now, we will zero-in one-by-one on each of these building blocks.
LiquidityStressScenarioDefinition building block
Definition of scenario used to stress the liquidity needs of the CCP. Attributes and information that describe a scenario used to test whether a legal entity or other financial construct has sufficient liquid resources to meet its obligations as they arise. For comparison, see the ISO20022 official specification
classDiagram
direction tb
%% LiquidityStressScenarioDefinition1 recursion level 0 with max 1
class LiquidityStressScenarioDefinition1{
Description IsoMax2000Text
Type IsoMax35Text
StressCurrency ActiveCurrencyCode
}
LiquidityStressScenarioDefinition1 *-- "1..1" GenericIdentification168 : Identification
%% GenericIdentification168 recursion level 1 with max 1
class GenericIdentification168{
Identification IsoMax256Text
Description IsoMax140Text
Issuer IsoMax35Text
SchemeName IsoMax35Text
}
LiquidityStressScenarioDefinition1 members
| Member name | Description | Data Type / Multiplicity |
|---|---|---|
| Identification | CCP’s internal unique identifier of the stress scenario that generates the reported liquidity need. | GenericIdentification168 - Required 1..1 |
| Description | Details of the method and assumptions used for estimating operational outflows. | IsoMax2000Text - Required 1..1 |
| Type | CCP’s internal classification of stress scenario type. | IsoMax35Text - Optional 0..1 |
| StressCurrency | Stress currency, or if aggregate, report ‘XLL’. | ActiveCurrencyCode - Required 1..1 |
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
| Member name | Description | Data Type / Multiplicity |
|---|---|---|
| PlaceAndName | Unambiguous reference to the location where the supplementary data must be inserted in the message instance. In the case of XML, this is expressed by a valid XPath. | IsoMax350Text - Optional 0..1 |
| Envelope | Technical element wrapping the supplementary data. | IsoSupplementaryDataEnvelope1 - Required 1..1 |
Extensibility and generalization considerations
To facilitate generalized design patterns in the system, the CCPLiquidityStressTestingDefinitionReportV01 implementation follows a specific implementaiton pattern. First of all, CCPLiquidityStressTestingDefinitionReportV01 impleemnts IOuterRecord indicating it is the outermost logical part of the message definition. Like all message wrappers, CCPLiquidityStressTestingDefinitionReportV01Document implements IOuterDocument. Because CCPLiquidityStressTestingDefinitionReportV01 implements IOuterDocument, it is a suitable template parameter for IOuterDocument, and causes the internal ‘Message’ to be of type CCPLiquidityStressTestingDefinitionReportV01.
classDiagram
class IOuterRecord
CCPLiquidityStressTestingDefinitionReportV01 --|> IOuterRecord : Implements
CCPLiquidityStressTestingDefinitionReportV01Document --|> IOuterDocument~CCPLiquidityStressTestingDefinitionReportV01~ : Implements
class IOuterDocument~CCPLiquidityStressTestingDefinitionReportV01~ {
CCPLiquidityStressTestingDefinitionReportV01 Message
}
Document wrapper for serialization
The only real purpose CCPLiquidityStressTestingDefinitionReportV01Document serves is to cause the document to be serialized into the ‘urn:iso:std:iso:20022:tech:xsd:auth.062.001.01’ namespace. Therefore, it will probably be the usual practice to build the message and construct this wrapper at the last minute using CCPLiquidityStressTestingDefinitionReportV01.ToDocument() method. The returned CCPLiquidityStressTestingDefinitionReportV01Document value will serialize correctly according to ISO 20022 standards.
classDiagram
CCPLiquidityStressTestingDefinitionReportV01Document *-- CCPLiquidityStressTestingDefinitionReportV01 : 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.062.001.01">
<CCPLqdtyStrssTstgDefRpt>
<LqdtyStrssScnroDef>
<!-- LiquidityStressScenarioDefinition inner content -->
</LqdtyStrssScnroDef>
<SplmtryData>
<!-- SupplementaryData inner content -->
</SplmtryData>
</CCPLqdtyStrssTstgDefRpt>
</Document>
Data from ISO specification
This is the technical data from the specification document.
<messageDefinition
xmi:id="_Q-Y94eUUEem3X-64-NKdqg"
name="CCPLiquidityStressTestingDefinitionReportV01"
definition="The CCPLiquidityStressTestingDefinitionReport message is sent from the central counterparty to the national competent authority. It is used to inform the national competent authority about how the central counterparty defines liquidity stress scenarios used to stress the liquidity resources and requirements of the CCP."
registrationStatus="Registered"
messageSet="_5z1DIOUQEem3X-64-NKdqg"
xmlTag="CCPLqdtyStrssTstgDefRpt"
rootElement="Document"
xmlns:xmi="http://www.omg.org/XMI">
<messageBuildingBlock
xmi:id="_Q-Y96eUUEem3X-64-NKdqg"
name="LiquidityStressScenarioDefinition"
definition="Definition of scenario used to stress the liquidity needs of the CCP."
registrationStatus="Provisionally Registered"
minOccurs="1"
xmlTag="LqdtyStrssScnroDef"
complexType="_ERnlwLDDEeaSl6vJk5Bd8w" />
<messageBuildingBlock
xmi:id="_Q-Y96-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="062"
flavour="001"
version="01" />
</messageDefinition>
ISO Building Blocks
The following items are used as building blocks to construct this message.