CCPPortfolioStressTestingDefinitionReportV01auth.057.001.01

CCPPortfolioStressTestingDefinitionReportV01

CCPPrtflStrssTstgDefRpt

Mandatory

Scenario Definition

ScnroDef

Repetition (1..n)

Id

Mandatory

ScnroTp

Mandatory

Strategy Stress Type

StrtgyStrssTp

Mandatory

StrssItm

Repetition (1..2)

StrssPdct

Mandatory

Pdct

Choice

Id

Mandatory

Maximum Stress Size

MaxStrssSz

Mandatory

Definition: Maximum move across the curve for the stressed product.

Type: StressSize1Choice

Rltv

Choice

Abs

Choice

Minimum Stress Size

MinStrssSz

Mandatory

Strtgy

Choice

RskFctr

Choice

Desc

Optional

Supplementary Data

SplmtryData

Repetition (0..n)

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