CCPPortfolioStressTestingDefinitionReportV01

auth.057.001.01

The CCPPortfolioStressTestingDefinitionReport 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 stress scenarios used to stress clearing member portfolios.

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
%% CCPPortfolioStressTestingDefinitionReportV01 recursion level 0 with max 0
CCPPortfolioStressTestingDefinitionReportV01 *-- "1..1" ScenarioDefinition1 : ScenarioDefinition
CCPPortfolioStressTestingDefinitionReportV01 *-- "0..1" SupplementaryData1 : SupplementaryData
  

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

ScenarioDefinition building block

Contains high level data on a stress scenario being applied to portfolios in order to calculate stress losses. Characteristics used to describe a hypothetical scenario designed to test the value of a portfolio of financial instruments under such hypothetical scenario. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% ScenarioDefinition1 recursion level 0 with max 1
class ScenarioDefinition1{
    ScenarioType ScenarioType1Code
    StrategyStressType StrategyStressType1Code
    Description IsoMax2000Text
}
ScenarioDefinition1 *-- "1..1" GenericIdentification165 : Identification
ScenarioDefinition1 *-- "1..2" StressItem1 : StressItem
%% GenericIdentification165 recursion level 1 with max 1
class GenericIdentification165{
    Identification IsoMax256Text
    Description IsoMax140Text
    Issuer IsoMax35Text
    SchemeName SchemeIdentificationType1Code
}
%% StressItem1 recursion level 1 with max 1
StressItem1 *-- "1..1" IStressItem1Choice : StressProduct
  

ScenarioDefinition1 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 CCPPortfolioStressTestingDefinitionReportV01 implementation follows a specific implementaiton pattern. First of all, CCPPortfolioStressTestingDefinitionReportV01 impleemnts IOuterRecord indicating it is the outermost logical part of the message definition. Like all message wrappers, CCPPortfolioStressTestingDefinitionReportV01Document implements IOuterDocument. Because CCPPortfolioStressTestingDefinitionReportV01 implements IOuterDocument, it is a suitable template parameter for IOuterDocument, and causes the internal ‘Message’ to be of type CCPPortfolioStressTestingDefinitionReportV01.

classDiagram
    class IOuterRecord
    CCPPortfolioStressTestingDefinitionReportV01 --|> IOuterRecord : Implements
    CCPPortfolioStressTestingDefinitionReportV01Document --|> IOuterDocument~CCPPortfolioStressTestingDefinitionReportV01~ : Implements
    class IOuterDocument~CCPPortfolioStressTestingDefinitionReportV01~ {
        CCPPortfolioStressTestingDefinitionReportV01 Message
     }
  

Document wrapper for serialization

The only real purpose CCPPortfolioStressTestingDefinitionReportV01Document serves is to cause the document to be serialized into the ‘urn:iso:std:iso:20022:tech:xsd:auth.057.001.01’ namespace. Therefore, it will probably be the usual practice to build the message and construct this wrapper at the last minute using CCPPortfolioStressTestingDefinitionReportV01.ToDocument() method. The returned CCPPortfolioStressTestingDefinitionReportV01Document value will serialize correctly according to ISO 20022 standards.

classDiagram
    CCPPortfolioStressTestingDefinitionReportV01Document *-- CCPPortfolioStressTestingDefinitionReportV01 : 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.057.001.01">
    <CCPPrtflStrssTstgDefRpt>
        <ScnroDef>
            <!-- ScenarioDefinition inner content -->
        </ScnroDef>
        <SplmtryData>
            <!-- SupplementaryData inner content -->
        </SplmtryData>
    </CCPPrtflStrssTstgDefRpt>
</Document>

Data from ISO specification

This is the technical data from the specification document.

<messageDefinition
  xmi:id="_kjFskeUUEem3X-64-NKdqg"
  name="CCPPortfolioStressTestingDefinitionReportV01"
  definition="The CCPPortfolioStressTestingDefinitionReport 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 stress scenarios used to stress clearing member portfolios."
  registrationStatus="Registered"
  messageSet="_5z1DIOUQEem3X-64-NKdqg"
  xmlTag="CCPPrtflStrssTstgDefRpt"
  rootElement="Document"
  xmlns:xmi="http://www.omg.org/XMI">
  <messageBuildingBlock
    xmi:id="_kjFsmeUUEem3X-64-NKdqg"
    name="ScenarioDefinition"
    definition="Contains high level data on a stress scenario being applied to portfolios in order to calculate stress losses."
    registrationStatus="Provisionally Registered"
    minOccurs="1"
    xmlTag="ScnroDef"
    complexType="_b-6ZMKsrEeayv9XxdmMwKQ" />
  <messageBuildingBlock
    xmi:id="_kjFsm-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="057"
    flavour="001"
    version="01" />
</messageDefinition>

ISO Building Blocks

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