CCPPortfolioStressTestingResultReportV01

auth.058.001.01

The CCPPortfolioStressTestingResultReport 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 stress testing carried out by the central counterparty on clearing member positions.

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
%% CCPPortfolioStressTestingResultReportV01 recursion level 0 with max 0
CCPPortfolioStressTestingResultReportV01 *-- "1..1" ScenarioStressTestResult1 : ScenarioStressTestResult
CCPPortfolioStressTestingResultReportV01 *-- "0..1" SupplementaryData1 : SupplementaryData
  

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

ScenarioStressTestResult building block

Identification of the stressed account, and data on the simulated profits and losses resulting from the application of a stress test scenario to the positions in a cleared portfolio. Outcome of the application of a hypothetical scenario on the valuation of a set of portfolios of financial instruments. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% ScenarioStressTestResult1 recursion level 0 with max 1
ScenarioStressTestResult1 *-- "1..1" GenericIdentification168 : Identification
ScenarioStressTestResult1 *-- "1..0" PortfolioStressTestResult1 : PortfolioStressTestResult
%% GenericIdentification168 recursion level 1 with max 1
class GenericIdentification168{
    Identification IsoMax256Text
    Description IsoMax140Text
    Issuer IsoMax35Text
    SchemeName IsoMax35Text
}
%% PortfolioStressTestResult1 recursion level 1 with max 1
class PortfolioStressTestResult1{
    Cover1Flag IsoTrueFalseIndicator
    Cover2Flag IsoTrueFalseIndicator
}
PortfolioStressTestResult1 *-- "1..1" GenericIdentification165 : PortfolioIdentification
PortfolioStressTestResult1 *-- "1..1" AmountAndDirection102 : StressLoss
PortfolioStressTestResult1 *-- "0..1" AmountAndDirection102 : RawStressLoss
  

ScenarioStressTestResult1 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 CCPPortfolioStressTestingResultReportV01 implementation follows a specific implementaiton pattern. First of all, CCPPortfolioStressTestingResultReportV01 impleemnts IOuterRecord indicating it is the outermost logical part of the message definition. Like all message wrappers, CCPPortfolioStressTestingResultReportV01Document implements IOuterDocument. Because CCPPortfolioStressTestingResultReportV01 implements IOuterDocument, it is a suitable template parameter for IOuterDocument, and causes the internal ‘Message’ to be of type CCPPortfolioStressTestingResultReportV01.

classDiagram
    class IOuterRecord
    CCPPortfolioStressTestingResultReportV01 --|> IOuterRecord : Implements
    CCPPortfolioStressTestingResultReportV01Document --|> IOuterDocument~CCPPortfolioStressTestingResultReportV01~ : Implements
    class IOuterDocument~CCPPortfolioStressTestingResultReportV01~ {
        CCPPortfolioStressTestingResultReportV01 Message
     }
  

Document wrapper for serialization

The only real purpose CCPPortfolioStressTestingResultReportV01Document serves is to cause the document to be serialized into the ‘urn:iso:std:iso:20022:tech:xsd:auth.058.001.01’ namespace. Therefore, it will probably be the usual practice to build the message and construct this wrapper at the last minute using CCPPortfolioStressTestingResultReportV01.ToDocument() method. The returned CCPPortfolioStressTestingResultReportV01Document value will serialize correctly according to ISO 20022 standards.

classDiagram
    CCPPortfolioStressTestingResultReportV01Document *-- CCPPortfolioStressTestingResultReportV01 : 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.058.001.01">
    <CCPPrtflStrssTstgRsltRpt>
        <ScnroStrssTstRslt>
            <!-- ScenarioStressTestResult inner content -->
        </ScnroStrssTstRslt>
        <SplmtryData>
            <!-- SupplementaryData inner content -->
        </SplmtryData>
    </CCPPrtflStrssTstgRsltRpt>
</Document>

Data from ISO specification

This is the technical data from the specification document.

<messageDefinition
  xmi:id="_YI3SceUSEem3X-64-NKdqg"
  name="CCPPortfolioStressTestingResultReportV01"
  definition="The CCPPortfolioStressTestingResultReport 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 stress testing carried out by the central counterparty on clearing member positions."
  registrationStatus="Registered"
  messageSet="_5z1DIOUQEem3X-64-NKdqg"
  xmlTag="CCPPrtflStrssTstgRsltRpt"
  rootElement="Document"
  xmlns:xmi="http://www.omg.org/XMI">
  <messageBuildingBlock
    xmi:id="_YI3SeeUSEem3X-64-NKdqg"
    name="ScenarioStressTestResult"
    definition="Identification of the stressed account, and data on the simulated profits and losses resulting from the application of a stress test scenario to the positions in a cleared portfolio."
    registrationStatus="Provisionally Registered"
    minOccurs="1"
    xmlTag="ScnroStrssTstRslt"
    complexType="_vWmhcKs9Eeayv9XxdmMwKQ" />
  <messageBuildingBlock
    xmi:id="_YI3Se-USEem3X-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="058"
    flavour="001"
    version="01" />
</messageDefinition>

ISO Building Blocks

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