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

Strtgy

Choice

RskFctr

Choice

Id

Mandatory

Stress Size

StrssSz

Mandatory

Definition: Assumed stress move of the associated stress item under the scenario.

Type: StressSize1Choice

Rltv

Choice

Abs

Choice

Desc

Optional

Supplementary Data

SplmtryData

Repetition (0..n)

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