auth.056.001.01
The CCPInvestmentsReport 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 invests the cash balances deposited with it as collateral by its clearing members. Details the source and size of the liquidity requirements CCPs are placing on clearing members as a result of their membership 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
%% CCPMemberObligationsReportV01 recursion level 0 with max 0
CCPMemberObligationsReportV01 *-- "1..1" SettlementAccount1 : SettlementAccount
CCPMemberObligationsReportV01 *-- "0..1" SupplementaryData1 : SupplementaryData
Now, we will zero-in one-by-one on each of these building blocks.
SettlementAccount building block
Operational construct used by a central counterparty to define the size of collateral called from a clearing member. Settlement accounts will often be linked to deposit accounts at the central counterparties payment agents. Deposit account used by the central counterparty to make payments to and from its clearing members. For comparison, see the ISO20022 official specification
classDiagram
direction tb
%% SettlementAccount1 recursion level 0 with max 1
SettlementAccount1 *-- "1..1" GenericIdentification165 : Identification
SettlementAccount1 *-- "1..1" AmountAndDirection102 : EndOfDayInitialMarginCalled
SettlementAccount1 *-- "1..1" AmountAndDirection102 : EndOfDayVariationMarginCalled
SettlementAccount1 *-- "1..1" AmountAndDirection102 : EndOfDayDefaultFundCalled
SettlementAccount1 *-- "1..1" AmountAndDirection102 : EndOfDaySettlementCalled
SettlementAccount1 *-- "1..1" AmountAndDirection102 : EndOfDayOtherCalled
SettlementAccount1 *-- "1..1" AmountAndDirection102 : EndOfDayLiquidityCalled
%% GenericIdentification165 recursion level 1 with max 1
class GenericIdentification165{
Identification IsoMax256Text
Description IsoMax140Text
Issuer IsoMax35Text
SchemeName SchemeIdentificationType1Code
}
%% 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
}
%% 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
}
SettlementAccount1 members
| Member name | Description | Data Type / Multiplicity |
|---|---|---|
| Identification | Identification of the settlement account. | GenericIdentification165 - Required 1..1 |
| EndOfDayInitialMarginCalled | Total value of initial margin to be called or returned to clearing member the morning following end of day. Indicates whether the clearing member has an obligation to deliver cash to the CCP (true) or receive cash from the CCP (false). | AmountAndDirection102 - Required 1..1 |
| EndOfDayVariationMarginCalled | Total cash receivable (or payable) in the relevant currency based on changes in the mark-to-market of a clearing member’s positions, including liabilities (or credits) relating to option premiums, upfront fees or cash calls to cover other mark-to-market exposures where such exposures create a cash payable / receivable from the member. Indicates whether the clearing member has an obligation to deliver cash to the CCP (true) or receive cash from the CCP (false). | AmountAndDirection102 - Required 1..1 |
| EndOfDayDefaultFundCalled | Total net cash receivable (payable) in the relevant currency that will be called to cover default fund requirements. DF receipts from clearing members are positive, payments to members are negative. Indicates whether the clearing member has an obligation to deliver cash to the CCP (true) or receive cash from the CCP (false). | AmountAndDirection102 - Required 1..1 |
| EndOfDaySettlementCalled | Total cash receivable (or payable) in the relevant currency arising from settlement or delivery obligations of a Clearing Member positions where such obligations arise in the payment system of the CCP. Indicates whether the clearing member has an obligation to deliver cash to the CCP (true) or receive cash from the CCP (false). | AmountAndDirection102 - Required 1..1 |
| EndOfDayOtherCalled | Other cash receivable (payables) in the relevant currency that will be called from or paid to the Clearing Member by the CCP. Such obligations may include exchange/clearing fees, and interest on margin interest on mark-to-market, coupon payments (including such payments called and settled by a securities settlement system). Indicates whether the clearing member has an obligation to deliver cash to the CCP (true) or receive cash from the CCP (false). | AmountAndDirection102 - Required 1..1 |
| EndOfDayLiquidityCalled | Net cash receivables (payable) that will be called/paid by the CCP to the clearing member in the relevant currency. If the amount represents a credit for the clearing member, the net cash amount due to be delivered on the reporting date and/or returnable on demand by the Clearing Member. Indicates whether the clearing member has an obligation to deliver cash to the CCP (true) or receive cash from the CCP (false). | AmountAndDirection102 - 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 CCPMemberObligationsReportV01 implementation follows a specific implementaiton pattern. First of all, CCPMemberObligationsReportV01 impleemnts IOuterRecord indicating it is the outermost logical part of the message definition. Like all message wrappers, CCPMemberObligationsReportV01Document implements IOuterDocument. Because CCPMemberObligationsReportV01 implements IOuterDocument, it is a suitable template parameter for IOuterDocument, and causes the internal ‘Message’ to be of type CCPMemberObligationsReportV01.
classDiagram
class IOuterRecord
CCPMemberObligationsReportV01 --|> IOuterRecord : Implements
CCPMemberObligationsReportV01Document --|> IOuterDocument~CCPMemberObligationsReportV01~ : Implements
class IOuterDocument~CCPMemberObligationsReportV01~ {
CCPMemberObligationsReportV01 Message
}
Document wrapper for serialization
The only real purpose CCPMemberObligationsReportV01Document serves is to cause the document to be serialized into the ‘urn:iso:std:iso:20022:tech:xsd:auth.056.001.01’ namespace. Therefore, it will probably be the usual practice to build the message and construct this wrapper at the last minute using CCPMemberObligationsReportV01.ToDocument() method. The returned CCPMemberObligationsReportV01Document value will serialize correctly according to ISO 20022 standards.
classDiagram
CCPMemberObligationsReportV01Document *-- CCPMemberObligationsReportV01 : 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.056.001.01">
<CCPMmbOblgtnsRpt>
<SttlmAcct>
<!-- SettlementAccount inner content -->
</SttlmAcct>
<SplmtryData>
<!-- SupplementaryData inner content -->
</SplmtryData>
</CCPMmbOblgtnsRpt>
</Document>
Data from ISO specification
This is the technical data from the specification document.
<messageDefinition
xmi:id="_YdmhceUUEem3X-64-NKdqg"
name="CCPMemberObligationsReportV01"
definition="The CCPInvestmentsReport 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 invests the cash balances deposited with it as collateral by its clearing members. Details the source and size of the liquidity requirements CCPs are placing on clearing members as a result of their membership of the CCP."
registrationStatus="Registered"
messageSet="_5z1DIOUQEem3X-64-NKdqg"
xmlTag="CCPMmbOblgtnsRpt"
rootElement="Document"
xmlns:xmi="http://www.omg.org/XMI">
<messageBuildingBlock
xmi:id="_YdmheeUUEem3X-64-NKdqg"
name="SettlementAccount"
definition="Operational construct used by a central counterparty to define the size of collateral called from a clearing member. Settlement accounts will often be linked to deposit accounts at the central counterparties payment agents."
registrationStatus="Provisionally Registered"
minOccurs="1"
xmlTag="SttlmAcct"
complexType="_hzT7oKp5EeamNLogr5TkIQ" />
<messageBuildingBlock
xmi:id="_Ydmhe-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="056"
flavour="001"
version="01" />
</messageDefinition>
ISO Building Blocks
The following items are used as building blocks to construct this message.