Note
The use of this message type requires Message User Group (MUG) registration.
This message is sent by a triparty agent to both the collateral giver and the collateral taker in the following circumstances:
after all collateral movements have been affected (after settlement-initiated) to show the end (fixed) positions (current status) or,
taking into account all collateral management instructions (including pending initiation and/or initiated.
This message is sent to provide the details of the valuation of both the collateral and the exposure.
The statement contains four sequences:
Sequence A General Information provides general information, that is, the function of the message, the identification of the statement, the references of the linked messages, the identification of the parties, the safekeeping account.
Sequence B Overall Summary contains the global collateral status of all transactions covered in the message, in the reporting currency, that is, the total of the exposure amount, of the posted collateral, of the margin amounts, of the accrued interest, of the fees or commissions and of the principals. In addition, it provides collateral-specific information.
Sequence C Summary by Exposure Type contains information per exposure type which could be further broken down to counterparty level, in the reporting currency. Detailed list of transactions could be displayed per counterparty. In addition to the transaction details, it also contains valuation details followed by securities details.
Sequence D Additional Information contains exposure and collateral value per page and party information.
| 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 |
|
O |
13A |
STAT |
Number Identification |
:4!c//3!c | 3 |
|
M |
20C |
SEME |
Reference |
:4!c//16x | 4 |
|
M |
23G |
|
|
4!c[/4!c] | 5 |
|
O |
98a |
PREP |
Date/Time |
A, C, or E | 6 |
|
-----> |
||||||
M |
22a |
4!c |
Indicator |
F or H | 7 |
|
-----| |
||||||
-----> Optional Repetitive Subsequence A1 Collateral Parties |
||||||
M |
16R |
|
|
COLLPRTY | 8 |
|
M |
95a |
4!c |
Party |
P, Q, or R | 9 |
|
O |
97a |
SAFE |
Account |
A or B | 10 |
|
M |
16S |
|
|
COLLPRTY | 11 |
|
-----| End of Subsequence A1 Collateral Parties |
||||||
-----> Optional Repetitive Subsequence A2 Linkages |
||||||
M |
16R |
|
|
LINK | 12 |
|
O |
13a |
LINK |
Number Identification |
A or B | 13 |
|
M |
20C |
4!c |
Reference |
:4!c//16x | 14 |
|
M |
16S |
|
|
LINK | 15 |
|
-----| End of Subsequence A2 Linkages |
||||||
M |
16S |
|
|
GENL | 16 |
|
End of Sequence A General Information |
||||||
Mandatory Sequence B Overall Summary |
||||||
M |
16R |
|
|
SUMM | 17 |
|
-----> |
||||||
M |
19A |
4!c |
Amount |
:4!c//[N]3!a15d | 18 |
|
-----| |
||||||
O |
92A |
MARG |
Rate |
:4!c//[N]15d | 19 |
|
O |
25D |
GCST |
Status |
:4!c/[8c]/4!c | 20 |
|
M |
98a |
VALN |
Date/Time |
A or C | 21 |
|
O |
70E |
COLL |
Narrative |
:4!c//10*35x | 22 |
|
M |
16S |
|
|
SUMM | 23 |
|
End of Sequence B Overall Summary |
||||||
-----> Mandatory Repetitive Sequence C Summary by Exposure Type |
||||||
M |
16R |
|
|
SUME | 24 |
|
-----> |
||||||
M |
22a |
4!c |
Indicator |
F or H | 25 |
|
-----| |
||||||
-----> |
||||||
M |
19A |
4!c |
Amount |
:4!c//[N]3!a15d | 26 |
|
-----| |
||||||
O |
92A |
MARG |
Rate |
:4!c//[N]15d | 27 |
|
O |
25D |
GETS |
Status |
:4!c/[8c]/4!c | 28 |
|
-----> Optional Repetitive Subsequence C1 Summary by Counterparty |
||||||
M |
16R |
|
|
SUMC | 29 |
|
-----> |
||||||
O |
13B |
4!c |
Number |
:4!c/[8c]/30x | 30 |
|
-----| |
||||||
-----> |
||||||
M |
95a |
4!c |
Party |
P, Q, or R | 31 |
|
-----| |
||||||
-----> |
||||||
M |
19A |
4!c |
Amount |
:4!c//[N]3!a15d | 32 |
|
-----| |
||||||
O |
92A |
MARG |
Rate |
:4!c//[N]15d | 33 |
|
O |
25D |
GCOS |
Status |
:4!c/[8c]/4!c | 34 |
|
-----> Mandatory Repetitive Subsequence C1a Transaction Details |
||||||
M |
16R |
|
|
TRANSDET | 35 |
|
-----> |
||||||
M |
20C |
4!c |
Reference |
:4!c//16x | 36 |
|
-----| |
||||||
-----> |
||||||
M |
98a |
4!c |
Date/Time |
A, B, or C | 37 |
|
-----| |
||||||
-----> |
||||||
M |
19A |
4!c |
Amount |
:4!c//[N]3!a15d | 38 |
|
-----| |
||||||
-----> |
||||||
O |
22F |
4!c |
Indicator |
:4!c/[8c]/4!c | 39 |
|
-----| |
||||||
-----> |
||||||
O |
92a |
4!c |
Rate |
A or C | 40 |
|
-----| |
||||||
-----> |
||||||
O |
25D |
4!c |
Status |
:4!c/[8c]/4!c | 41 |
|
-----| |
||||||
-----> Optional Repetitive Subsequence C1a1 Valuation Details |
||||||
M |
16R |
|
|
VALDET | 42 |
|
-----> |
||||||
M |
17B |
4!c |
Flag |
:4!c//1!a | 43 |
|
-----| |
||||||
O |
98a |
SETT |
Date/Time |
A or C | 44 |
|
-----> |
||||||
M |
19A |
4!c |
Amount |
:4!c//[N]3!a15d | 45 |
|
-----| |
||||||
-----> |
||||||
M |
92a |
4!c |
Rate |
A or B | 46 |
|
-----| |
||||||
-----> |
||||||
O |
99a |
4!c |
Number |
A or B | 47 |
|
-----| |
||||||
O |
22F |
MICO |
Indicator |
:4!c/[8c]/4!c | 48 |
|
-----> Optional Repetitive Subsequence C1a1A Securities Details |
||||||
M |
16R |
|
|
SECDET | 49 |
|
M |
35B |
|
|
[ISIN1!e12!c] | 50 |
|
M |
36B |
SECV |
Quantity of Financial Instrument |
:4!c//4!c/15d | 51 |
|
O |
95a |
ACOW |
Party |
P, Q, or R | 52 |
|
O |
97a |
SAFE |
Account |
A or B | 53 |
|
O |
25D |
SETT |
Status |
:4!c/[8c]/4!c | 54 |
|
O |
11A |
DENO |
Currency |
:4!c//3!a | 55 |
|
O |
90a |
MRKT |
Price |
A or B | 56 |
|
-----> |
||||||
O |
94B |
4!c |
Place |
:4!c/[8c]/4!c[/30x] | 57 |
|
-----| |
||||||
O |
70C |
RATS |
Narrative |
:4!c//4*35x | 58 |
|
M |
16S |
|
|
SECDET | 59 |
|
-----| End of Subsequence C1a1A Securities Details |
||||||
M |
16S |
|
|
VALDET | 60 |
|
-----| End of Subsequence C1a1 Valuation Details |
||||||
M |
16S |
|
|
TRANSDET | 61 |
|
-----| End of Subsequence C1a Transaction Details |
||||||
M |
16S |
|
|
SUMC | 62 |
|
-----| End of Subsequence C1 Summary by Counterparty |
||||||
M |
16S |
|
|
SUME | 63 |
|
-----| End of Sequence C Summary by Exposure Type |
||||||
-----> Optional Repetitive Sequence D Additional Information |
||||||
M |
16R |
|
|
ADDINFO | 64 |
|
-----> |
||||||
O |
19A |
4!c |
Amount |
:4!c//[N]3!a15d | 65 |
|
-----| |
||||||
-----> |
||||||
O |
95a |
4!c |
Party |
P, Q, or R | 66 |
|
-----| |
||||||
M |
16S |
|
|
ADDINFO | 67 |
|
-----| End of Sequence D Additional Information |
||||||
C1 In each occurrence of subsequence C1a1, the presence of subsequence C1a1A depends on the value of field :17B::SECU//<Flag> as follows:
In each occurrence of subsequence C1a1 if field :17B::SECU//1!a is ... |
In the same occurrence of subsequence C1a1 then subsequence C1a1A is ... |
|---|---|
Y |
Mandatory |
N |
Not allowed |
C2 In each occurrence of subsequence C1a1, the presence of field :98a::SETT depends on the value of field :17B::COLL as follows:
In each occurrence of subsequence C1a1 if field :17B::COLL is ... |
In the same occurrence of subsequence C1a1 then field :98a::SETT is ... |
|---|---|
Y |
Mandatory |
N |
Not allowed |
C3 In each occurrence of subsequence C1a1A, the presence of field :70C::RATS depends on the presence of field :94B::RATS as follows:
In each occurrence of subsequence C1a1A if field :94B::RATS is ... |
In the same occurrence of subsequence C1a1A then field :70C::RATS is ... |
|---|---|
Present |
Mandatory |
Not present |
Not allowed |
C4 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 |
The triparty collateral management service is used by two trading parties at the agreement of a business transaction (for example, a repo, a securities loan, ... ) when they want to secure the transaction with collateral. The management of this collateral (that is, agreeing on quantity and type, marking to market, ... ) is done by a third party, the triparty collateral manager.
Before starting to use these services, the three parties will first sign a contract in which they stipulate the rules of the agreement.
There are three types of triparty collateral management:
collateral management without settlement,
collateral management with settlement of the collateral on the books of the agent,
collateral management with external settlement.
In the first scenario the triparty agent will calculate the necessary quantity of collateral and instruct the trading parties on which movements need to occur. For example, party A and party B closed a repo deal for 1,000,000 USD. They inform the triparty agent of the deal details. The agent will then calculate which pieces of collateral need to be moved to cover the 1,000,000 USD exposure and will inform the trading parties. Parties A and B then settle the movements as instructed by the agent.
In the second scenario the triparty agent will also execute the settlement. By servicing a safekeeping account for both parties, the agent will not only calculate the necessary movements but will also settle them internally on its books.
The third scenario is only a slight deviation from the second one. In this case the agent has the authority to move securities from party A's and B's safekeeping accounts with their respective subcustodians.
The triparty agent will create this transaction on receipt of the deal information from the two trading parties. For example, when party A and B have agreed on a securities loan and have reported this information to the triparty agent, the agent will create a collateral management transaction to manage this securities loan on its internal systems.
A transaction is created, can be changed and is terminated.
The trading parties will request the triparty manager to perform certain instructions on the collateral management transaction. An instruction can be to initiate a transaction, modify the terms of a transaction, or close a transaction (non-exhaustive list of instructions). The triparty agent will send feedback on the requested instruction.
When a transaction is initiated, agreed on by both parties, accepted and declared valid by the triparty agent, the lifecycle of the transaction starts. The transaction will normally last as long as the underlying deal. At the end of its lifecycle a transaction is closed.
The lifecycle of a collateral management instruction starts when the user of the triparty service sends an instruction message. At receipt of the instruction message, the triparty agent will process the instruction and assign a status (that is, valid or rejected). At each step in the lifecycle of an instruction a different status will be assigned. For example, an instruction can be valid for processing or rejected because it is incorrect. If an instruction needs to be matched (for example, two initiation- instructions from party A and B need to match) it can have a status matched or unmatched. Other statuses describe the sufficiency or eligibility of the collateral.