Note
The use of this message type requires Message User Group (MUG) registration.
Important!
The user header of the message (block 3) is mandatory and must contain a code in the Validation Flag field 119 ( {3:{119:xxxx}} ) to identify the exposure type or collateral reason.
These codes may be used for routing purposes.
This message is sent either by the collateral giver, or its collateral manager, to the collateral taker, or its collateral manager, or by the collateral taker, or its collateral manager to the collateral giver, or its collateral manager.
It is used to provide the details of the valuation of both the collateral or the exposure or both.
This message is also used by the taker or the giver to request the cancellation of a previously sent collateral and exposure statement.
This message must not be used to claim collateral but may be used in support of a claim.
The message may also be used to:
re-send a message previously sent (Subfunction of the message is DUPL)
provide a third party with a copy of the message for information (Subfunction of the message is COPY)
re-send to a third party a copy of the message for information (Subfunction of the message is CODU).
The statement consists of four sequences:
Sequence A General Information provides general information about the message and the collateral transaction, that is, the function of the message, the identification of the collateral transaction, the references of the linked messages, the identification of the underlying agreement(s), the identification of the parties, the reason for which collateral is needed, the exposure type and the contact information.
Note
More than one occurrence of the agreement is only authorised for cross-product collateralisation and when there is no overall master agreement in place yet.
Sequence B Summary provides information related to the collateral position, that is, the identification of the exposed party, the total exposure amount and the total collateral amount held by the taker. It also contains the valuation dates and the requested settlement date of collateral if there is a shortage of collateral. The sequence contains an optional subsequence with the amounts taken in to account to calculate the collateral position. These amounts are required for certain types of exposures.
Repetitive sequence C Exposure Valuation Details contains the valuation details of the exposure. The identification and the value of the trades and the other elements that constitute the total exposure are included one by one.
Repetitive sequence D Collateral Valuation Details contains the valuation details of the collateral held by the taker. The identification and the value of each piece of collateral are included one by one.
| Status | Tag | Qualifier | Generic Field Name | Detailed Field Name | Content/Options | No. |
|---|---|---|---|---|---|---|
Mandatory Sequence A General Information |
||||||
M |
16R |
|
|
GENL | 1 |
|
M |
28E |
|
|
5n/4!c | 2 |
|
-----> |
||||||
M |
20C |
4!c |
Reference |
:4!c//16x | 3 |
|
-----| |
||||||
M |
23G |
|
|
4!c[/4!c] | 4 |
|
-----> Mandatory Repetitive Subsequence A1 Agreement |
||||||
M |
16R |
|
|
AGRE | 5 |
|
O |
22F |
AGRE |
Indicator |
:4!c/[8c]/4!c | 6 |
|
O |
98A |
AGRE |
Date |
:4!c//8!n | 7 |
|
O |
13B |
AGRE |
Number |
:4!c/[8c]/30x | 8 |
|
O |
70C |
AGRE |
Narrative |
:4!c//4*35x | 9 |
|
M |
16S |
|
|
AGRE | 10 |
|
-----| End of Subsequence A1 Agreement |
||||||
O |
98a |
PREP |
Date/Time |
A, C, or E | 11 |
|
M |
22a |
COLA |
Indicator |
F or H | 12 |
|
-----> |
||||||
M |
95a |
4!c |
Party |
P, Q, or R | 13 |
|
-----| |
||||||
O |
70C |
PACO |
Narrative |
:4!c//4*35x | 14 |
|
-----> Optional Repetitive Subsequence A2 Linkages |
||||||
M |
16R |
|
|
LINK | 15 |
|
O |
13a |
LINK |
Number Identification |
A or B | 16 |
|
M |
20C |
4!c |
Reference |
:4!c//16x | 17 |
|
M |
16S |
|
|
LINK | 18 |
|
-----| End of Subsequence A2 Linkages |
||||||
M |
16S |
|
|
GENL | 19 |
|
End of Sequence A General Information |
||||||
Mandatory Sequence B Summary |
||||||
M |
16R |
|
|
SUMM | 20 |
|
M |
95a |
EXPP |
Party |
P, Q, or R | 21 |
|
-----> |
||||||
M |
19B |
4!c |
Amount |
:4!c//3!a15d | 22 |
|
-----| |
||||||
-----> |
||||||
M |
98a |
4!c |
Date/Time |
A or C | 23 |
|
-----| |
||||||
Optional Subsequence B1 Summary Details |
||||||
M |
16R |
|
|
SUMD | 24 |
|
-----> |
||||||
O |
19B |
4!c |
Amount |
:4!c//3!a15d | 25 |
|
-----| |
||||||
M |
16S |
|
|
SUMD | 26 |
|
End of Subsequence B1 Summary Details |
||||||
M |
16S |
|
|
SUMM | 27 |
|
End of Sequence B Summary |
||||||
-----> Optional Repetitive Sequence C Exposure Valuation Details |
||||||
M |
16R |
|
|
EXPD | 28 |
|
-----> |
||||||
O |
20C |
4!c |
Reference |
:4!c//16x | 29 |
|
-----| |
||||||
M |
22a |
COLA |
Indicator |
F or H | 30 |
|
O |
98A |
TRAD |
Date |
:4!c//8!n | 31 |
|
-----> |
||||||
O |
95a |
4!c |
Party |
P, Q, or R | 32 |
|
-----| |
||||||
-----> |
||||||
M |
19A |
4!c |
Amount |
:4!c//[N]3!a15d | 33 |
|
-----| |
||||||
O |
99A |
DAAC |
Number Count |
:4!c//[N]3!n | 34 |
|
O |
22F |
MICO |
Indicator |
:4!c/[8c]/4!c | 35 |
|
-----> |
||||||
M |
92a |
4!c |
Rate |
A or B | 36 |
|
-----| |
||||||
O |
70D |
EXPO |
Narrative |
:4!c//6*35x | 37 |
|
Optional Subsequence C1 Securities Valuation Details |
||||||
M |
16R |
|
|
SECS | 38 |
|
M |
19B |
MRKT |
Amount |
:4!c//3!a15d | 39 |
|
M |
35B |
|
|
[ISIN1!e12!c] | 40 |
|
M |
36B |
SECV |
Quantity of Financial Instrument |
:4!c//4!c/15d | 41 |
|
M |
92A |
SHAI |
Rate |
:4!c//[N]15d | 42 |
|
M |
16S |
|
|
SECS | 43 |
|
End of Subsequence C1 Securities Valuation Details |
||||||
Optional Subsequence C2 Treasury Valuation Details |
||||||
M |
16R |
|
|
TREA | 44 |
|
-----> |
||||||
M |
98A |
4!c |
Date |
:4!c//8!n | 45 |
|
-----| |
||||||
-----> |
||||||
O |
19B |
4!c |
Amount |
:4!c//3!a15d | 46 |
|
-----| |
||||||
O |
70C |
COMI |
Narrative |
:4!c//4*35x | 47 |
|
O |
12B |
OPTI |
Type of Financial Instrument |
:4!c/[8c]/4!c | 48 |
|
O |
90a |
EXER |
Price |
A or B | 49 |
|
M |
16S |
|
|
TREA | 50 |
|
End of Subsequence C2 Treasury Valuation Details |
||||||
Optional Subsequence C3 Repo Valuation Details |
||||||
M |
16R |
|
|
REPV | 51 |
|
-----> |
||||||
M |
98A |
4!c |
Date |
:4!c//8!n | 52 |
|
-----| |
||||||
-----> |
||||||
M |
19B |
4!c |
Amount |
:4!c//3!a15d | 53 |
|
-----| |
||||||
M |
92A |
REPO |
Rate |
:4!c//[N]15d | 54 |
|
M |
16S |
|
|
REPV | 55 |
|
End of Subsequence C3 Repo Valuation Details |
||||||
M |
16S |
|
|
EXPD | 56 |
|
-----| End of Sequence C Exposure Valuation Details |
||||||
-----> Optional Repetitive Sequence D Collateral Details |
||||||
M |
16R |
|
|
COLD | 57 |
|
M |
20C |
COLR |
Reference |
:4!c//16x | 58 |
|
M |
22H |
COLL |
Indicator |
:4!c//4!c | 59 |
|
O |
25D |
SETT |
Status |
:4!c/[8c]/4!c | 60 |
|
-----> |
||||||
M |
19B |
4!c |
Amount |
:4!c//3!a15d | 61 |
|
-----| |
||||||
O |
99A |
DAAC |
Number Count |
:4!c//[N]3!n | 62 |
|
O |
22F |
MICO |
Indicator |
:4!c/[8c]/4!c | 63 |
|
-----> |
||||||
M |
92a |
4!c |
Rate |
A or B | 64 |
|
-----| |
||||||
Optional Subsequence D1 Securities Collateral Details |
||||||
M |
16R |
|
|
SCOL | 65 |
|
M |
19B |
MRKT |
Amount |
:4!c//3!a15d | 66 |
|
M |
35B |
|
|
[ISIN1!e12!c] | 67 |
|
M |
36B |
COLL |
Quantity of Financial Instrument |
:4!c//4!c/15d | 68 |
|
M |
92A |
SHAI |
Rate |
:4!c//[N]15d | 69 |
|
O |
98A |
EXPI |
Date |
:4!c//8!n | 70 |
|
-----> |
||||||
O |
94B |
4!c |
Place |
:4!c/[8c]/4!c[/30x] | 71 |
|
-----| |
||||||
O |
70C |
RATS |
Narrative |
:4!c//4*35x | 72 |
|
M |
16S |
|
|
SCOL | 73 |
|
End of Subsequence D1 Securities Collateral Details |
||||||
Optional Subsequence D2 Cash Collateral Details |
||||||
M |
16R |
|
|
CCOL | 74 |
|
M |
19B |
DEPO |
Amount |
:4!c//3!a15d | 75 |
|
M |
22H |
DEPO |
Indicator |
:4!c//4!c | 76 |
|
O |
98A |
TERM |
Date |
:4!c//8!n | 77 |
|
M |
16S |
|
|
CCOL | 78 |
|
End of Subsequence D2 Cash Collateral Details |
||||||
Optional Subsequence D3 Other Collateral Details |
||||||
M |
16R |
|
|
BCOL | 79 |
|
M |
22H |
BCOL |
Indicator |
:4!c//4!c | 80 |
|
-----> |
||||||
M |
98a |
4!c |
Date/Time |
A or B | 81 |
|
-----| |
||||||
M |
95a |
ISSU |
Party |
P, Q, or R | 82 |
|
M |
19B |
4!c |
Amount |
:4!c//3!a15d | 83 |
|
M |
16S |
|
|
BCOL | 84 |
|
End of Subsequence D3 Other Collateral Details |
||||||
M |
16S |
|
|
COLD | 85 |
|
-----| End of Sequence D Collateral Details |
||||||
Optional Sequence E Additional Information |
||||||
M |
16R |
|
|
ADDINFO | 86 |
|
-----> |
||||||
O |
95a |
4!c |
Party |
P, Q, or R | 87 |
|
-----| |
||||||
-----> |
||||||
O |
19A |
4!c |
Amount |
:4!c//[N]3!a15d | 88 |
|
-----| |
||||||
M |
16S |
|
|
ADDINFO | 89 |
|
End of Sequence E Additional Information |
||||||
C1 If the message is a cancellation, that is, Function of the Message (field 23G) is CANC, then subsequence A2 (Linkages) must be present at least once in the message, and in one and only one occurrence of A2, field :20C::PREV must be present; consequently, in all other occurrences of A2, field :20C::PREV is not allowed.
Sequence A if field :23G: is ... |
Then subsequence A2 is ... |
And field :20C::PREV is ... |
|---|---|---|
CANC |
Mandatory (minimum one occurrence of A2 must be present) |
Mandatory in one occurrence of subsequence A2, and not allowed in all other occurrences of subsequence A2 |
NEWM |
Optional |
NA |
C2 In sequence A, if field :20C::SCTR is not present, then field :20C::RCTR is mandatory, otherwise field :20C::RCTR is optional.
Sequence A if field :20C::SCTR is ... |
Sequence A then field :20C::RCTR is ... |
|---|---|
Not present |
Mandatory |
Present |
Optional |
C3 In sequence B, if field :19B::TEXA is not present, then field :19B::TCRL is mandatory, otherwise field :19B::TCRL is optional.
Sequence B if field :19B::TEXA is ... |
Sequence B then field :19B::TCRL is ... |
|---|---|
Not present |
Mandatory |
Present |
Optional |
C4 In each occurrence of sequence D, the presence of subsequences D1, D2 and D3 depends on the value of field :22H::COLL//<Indicator> as follows:
In each occurrence of sequence D if field :22H::COLL//4!c is ... |
In the same occurrence of sequence D then subsequence D1 is ... |
In the same occurrence of sequence D and subsequence D2 is ... |
In the same occurrence of sequence D and subsequence D3 is ... |
|---|---|---|---|
BCOL |
Not allowed |
Not allowed |
Mandatory |
CCOL |
Not allowed |
Mandatory |
Not allowed |
SCOL |
Mandatory |
Not allowed |
Not allowed |
C5 In each occurrence of subsequence D2, the presence of field :98A::TERM depends on the value of field :22H::DEPO//<Indicator> as follows:
In each occurrence of subsequence D2 if field :22H::DEPO//4!c is ... |
In the same occurrence of subsequence D2 then field :98::TERM is ... |
|---|---|
FIXT |
Mandatory |
CLNT |
Not allowed |
C6 In each occurrence of subsequence D3, if field :22H::BCOL//LCOL is present, then field :98B::EXPI//OPEN (that is, Qualifier = EXPI, Data Source Scheme not present and Date Code = OPEN) is not allowed, otherwise field :98B::EXPI//OPEN is optional.
In each occurrence of subsequence D3 if field :22H::BCOL//LCOL is ... |
In the same occurrence of subsequence D3 then field :98B::EXPI//OPEN is ... |
|---|---|
Present |
Not allowed |
Not present |
Optional |
C7 In each occurrence of subsequence A1, if field :22F::AGRE is not present, then field :70C::AGRE is mandatory, otherwise field :70C::AGRE is optional.
In each occurrence of subsequence A1 if field :22F::AGRE is ... |
In the same occurrence of subsequence A1 then field :70C::AGRE is ... |
|---|---|
Not present |
Mandatory |
Present |
Optional |
C8 In subsequence B1, fields 16R and 16S may not be the only fields present. If both fields 16R and 16S are present, then at least one of the other fields of the same subsequence must be present.
C9 The user header of the message (block 3) is mandatory and must contain a valid code in the Validation Flag field 119 ( {3:{119:xxxx}} ). This code must be identical to the code contained in field :22a::COLA//xxxx (Exposure Type Indicator) in sequence A of the message content (text block 4).
C10 In each occurrence of subsequence D1, the presence of field :70C::RATS depends on the presence of field :94B::RATS as follows:
In each occurrence of subsequence D1 if field :94B::RATS is ... |
In the same occurrence of subsequence D1 then field :70C::RATS is ... |
|---|---|
Present |
Mandatory |
Not present |
Not allowed |
C11 If sequence C is not present, sequence D is mandatory. If one or more occurrence of sequence C is present, sequence D is optional.
If sequence C is... |
Then sequence D is... |
|---|---|
Not present |
Mandatory |
Present (once or more) |
Optional |
The exchange of information related to the trade itself as well as to the settlement of the collateral is done with the existing confirmation and settlement messages of the relevant categories (categories 2, 3, 5, 7, 9).