CCPPortfolioStressTestingDefinitionReportV02auth.057.001.02

  • CCPPortfolioStressTestingDefinitionReportV02

Scope

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.

Outline

The CCPPortfolioStressTestingDefinitionReportV02 MessageDefinition is composed of 2 MessageBuildingBlocks:

  • Scenario Definition — Contains high level data on a stress scenario being applied to portfolios in order to calculate stress losses.
  • Supplementary Data — Additional information that cannot be captured in the structured elements and/or any other specific block.

CCPPortfolioStressTestingDefinitionReportV02

CCPPrtflStrssTstgDefRpt
Mandatory

Type: CCPPortfolioStressTestingDefinitionReportV02

Scenario Definition
ScnroDef
Repetition (1..n)
Supplementary Data
SplmtryData
Repetition (0..n)
Central CounterpartyNational Competent AuthorityCCPPortfolioStressTestingDefinitionReportV02
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