auth.063.001.01
The CCPLiquidityStressTestingResultReport message is sent from the central counterparty to the national competent authority. It is used to inform the national competent authority about the results of the liquidity stress tests.
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
%% CCPLiquidityStressTestingResultReportV01 recursion level 0 with max 0
CCPLiquidityStressTestingResultReportV01 *-- "1..1" LiquidityStressTestResult1 : LiquidityStressTestResult
CCPLiquidityStressTestingResultReportV01 *-- "0..1" SupplementaryData1 : SupplementaryData
Now, we will zero-in one-by-one on each of these building blocks.
LiquidityStressTestResult building block
Results from a scenario used to stress the liquidity needs of the CCP. Results of 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
%% LiquidityStressTestResult1 recursion level 0 with max 1
class LiquidityStressTestResult1{
Identification IsoMax256Text
}
LiquidityStressTestResult1 *-- "1..1" CoverTwoDefaulters1 : ScenarioDefaulters
LiquidityStressTestResult1 *-- "6..6" LiquidityRequiredAndAvailable1 : LiquidityRequiredAndAvailable
%% CoverTwoDefaulters1 recursion level 1 with max 1
class CoverTwoDefaulters1{
Cover1Identification IsoLEIIdentifier
Cover2Identification IsoLEIIdentifier
}
%% LiquidityRequiredAndAvailable1 recursion level 1 with max 1
class LiquidityRequiredAndAvailable1{
LiquidityHorizon SettlementDate6Code
}
LiquidityRequiredAndAvailable1 *-- "1..1" LiquidResources1 : LiquidResources
LiquidityRequiredAndAvailable1 *-- "1..1" StressLiquidResourceRequirement1 : StressLiquidResourceRequirement
LiquidityStressTestResult1 members
| Member name | Description | Data Type / Multiplicity |
|---|---|---|
| Identification | CCP’s internal unique identifier of the stress scenario that generates the reported liquidity need. | IsoMax256Text - Required 1..1 |
| ScenarioDefaulters | Identification of assumed defaulters under the stress scenario. | CoverTwoDefaulters1 - Required 1..1 |
| LiquidityRequiredAndAvailable | Indicates the stressed resources and liquidity requirements under the liquidity stress test. The balance of resources are reported as of day ‘T‐1’. The requirements and any flows of resources are reported on their respective day from day ’ T’ to ‘T+5'. | LiquidityRequiredAndAvailable1 - Collection 6..6 |
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 CCPLiquidityStressTestingResultReportV01 implementation follows a specific implementaiton pattern. First of all, CCPLiquidityStressTestingResultReportV01 impleemnts IOuterRecord indicating it is the outermost logical part of the message definition. Like all message wrappers, CCPLiquidityStressTestingResultReportV01Document implements IOuterDocument. Because CCPLiquidityStressTestingResultReportV01 implements IOuterDocument, it is a suitable template parameter for IOuterDocument, and causes the internal ‘Message’ to be of type CCPLiquidityStressTestingResultReportV01.
classDiagram
class IOuterRecord
CCPLiquidityStressTestingResultReportV01 --|> IOuterRecord : Implements
CCPLiquidityStressTestingResultReportV01Document --|> IOuterDocument~CCPLiquidityStressTestingResultReportV01~ : Implements
class IOuterDocument~CCPLiquidityStressTestingResultReportV01~ {
CCPLiquidityStressTestingResultReportV01 Message
}
Document wrapper for serialization
The only real purpose CCPLiquidityStressTestingResultReportV01Document serves is to cause the document to be serialized into the ‘urn:iso:std:iso:20022:tech:xsd:auth.063.001.01’ namespace. Therefore, it will probably be the usual practice to build the message and construct this wrapper at the last minute using CCPLiquidityStressTestingResultReportV01.ToDocument() method. The returned CCPLiquidityStressTestingResultReportV01Document value will serialize correctly according to ISO 20022 standards.
classDiagram
CCPLiquidityStressTestingResultReportV01Document *-- CCPLiquidityStressTestingResultReportV01 : 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.063.001.01">
<CCPLqdtyStrssTstgRsltRpt>
<LqdtyStrssTstRslt>
<!-- LiquidityStressTestResult inner content -->
</LqdtyStrssTstRslt>
<SplmtryData>
<!-- SupplementaryData inner content -->
</SplmtryData>
</CCPLqdtyStrssTstgRsltRpt>
</Document>
Data from ISO specification
This is the technical data from the specification document.
<messageDefinition
xmi:id="_FO6mYeUREem3X-64-NKdqg"
name="CCPLiquidityStressTestingResultReportV01"
definition="The CCPLiquidityStressTestingResultReport message is sent from the central counterparty to the national competent authority. It is used to inform the national competent authority about the results of the liquidity stress tests."
registrationStatus="Registered"
messageSet="_5z1DIOUQEem3X-64-NKdqg"
xmlTag="CCPLqdtyStrssTstgRsltRpt"
rootElement="Document"
xmlns:xmi="http://www.omg.org/XMI">
<messageBuildingBlock
xmi:id="_FO6maeUREem3X-64-NKdqg"
name="LiquidityStressTestResult"
definition="Results from a scenario used to stress the liquidity needs of the CCP."
registrationStatus="Provisionally Registered"
minOccurs="1"
xmlTag="LqdtyStrssTstRslt"
complexType="_PwgG8LJPEeaYqc4G3TTwhA" />
<messageBuildingBlock
xmi:id="_FO6ma-UREem3X-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="063"
flavour="001"
version="01" />
</messageDefinition>
ISO Building Blocks
The following items are used as building blocks to construct this message.