CCPLiquidityStressTestingResultReportV01auth.063.001.01

CCPLiquidityStressTestingResultReportV01
CCPLqdtyStrssTstgRsltRpt
Mandatory
Liquidity Stress Test Result
LqdtyStrssTstRslt
Repetition (1..n)
Identification
Id
Mandatory
Scenario Defaulters
ScnroDfltrs
Mandatory
Liquidity Required And Available
LqdtyReqrdAndAvlbl
Repetition (6..6)
Liquid Resources
LqdRsrcs
Mandatory

Liquidity Horizon

LqdtyHrzn
Mandatory

Definition: Period of reporting of liquidity requirements and resources relative to a set date.

Type: SettlementDate6Code (String)

Allowed Values:

  • TFIV (T Plus Five): Settlement takes place on the trade date plus five business days.
  • TFOR (T Plus Four): Settlement takes place on the trade date plus four business days.
  • TONE (T Plus One): Settlement takes place on the trade date plus one business day.
  • TTRE (T Plus Three): Settlement takes place on the trade date plus three business days.
  • TTWO (T Plus Two): Settlement takes place on the trade date plus two business days.
  • SAMD (Same Day): Event occurs on the same day or at time T.

Stress Liquid Resource Requirement
StrssLqdRsrcRqrmnt
Mandatory
Supplementary Data
SplmtryData
Repetition (0..n)
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