CCPPortfolioStressTestingResultReportV01auth.058.001.01

CCPPortfolioStressTestingResultReportV01

CCPPrtflStrssTstgRsltRpt

Mandatory

Scenario Stress Test Result

ScnroStrssTstRslt

Repetition (1..n)

Id

Mandatory

Portfolio Stress Test Result

PrtflStrssTstRslt

Repetition (1..n)

Portfolio Identification

PrtflId

Mandatory

StrssLoss

Mandatory

Raw Stress Loss

RawStrssLoss

Optional

Cover1Flg

Mandatory

Cover 2 Flag

Cover2Flg

Mandatory

Definition: Indicates whether the stress loss over initial margin under this scenario for the clearing member of which the corresponding account is an account, is the second largest stress over initial margin used to size the default fund.

Type: TrueFalseIndicator

Restrictions:

Supplementary Data

SplmtryData

Repetition (0..n)

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