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 and the exposure.
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.
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).
| Status | Tag | Qualifier | Generic Field Name | Detailed Field Name | Content/Options | No. |
Mandatory Sequence A General Information |
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| M | 16R | Start of Block | GENL | 1 | ||
| M | 28E | Page Number/Continuation Indicator | 5n/4!c | 2 | ||
-----> |
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| M | 20C | 4!c | Reference | (see qualifier description) | :4!c//16x | 3 |
-----| |
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| M | 23G | Function of the Message | 4!c[/4!c] | 4 | ||
-----> Mandatory Repetitive Subsequence A1 Agreement |
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| M | 16R | Start of Block | AGRE | 5 | ||
| O | 22F | AGRE | Indicator | Agreement Indicator | :4!c/[8c]/4!c | 6 |
| O | 98A | AGRE | Date | Agreement Date | :4!c//8!n | 7 |
| O | 13B | AGRE | Number | Agreement Version Number | :4!c/[8c]/30x | 8 |
| O | 70C | AGRE | Narrative | Agreement Narrative | :4!c//4*35x | 9 |
| M | 16S | End of Block | AGRE | 10 | ||
-----| End of Subsequence A1 Agreement |
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| O | 98a | PREP | Date/Time | Preparation Date/Time | A or C | 11 |
| M | 22a | COLA | Indicator | Exposure Type Indicator | F or H | 12 |
-----> |
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| M | 95a | 4!c | Party | (see qualifier description) | P, Q, or R | 13 |
-----| |
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| O | 70C | PACO | Narrative | Party Narrative | :4!c//4*35x | 14 |
-----> Optional Repetitive Subsequence A2 Linkages |
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| M | 16R | Start of Block | LINK | 15 | ||
| O | 13a | LINK | Number Identification | Linked Message | A or B | 16 |
| M | 20C | 4!c | Reference | (see qualifier description) | :4!c//16x | 17 |
| M | 16S | End of Block | LINK | 18 | ||
-----| End of Subsequence A2 Linkages |
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| M | 16S | End of Block | GENL | 19 | ||
End of Sequence A General Information |
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Mandatory Sequence B Summary |
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| M | 16R | Start of Block | SUMM | 20 | ||
| M | 95a | EXPP | Party | Exposed Party | P, Q, or R | 21 |
-----> |
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| M | 19B | 4!c | Amount | (see qualifier description) | :4!c//3!a15d | 22 |
-----| |
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-----> |
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| M | 98a | 4!c | Date/Time | (see qualifier description) | A or C | 23 |
-----| |
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Optional Subsequence B1 Summary Details |
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| M | 16R | Start of Block | SUMD | 24 | ||
-----> |
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| O | 19B | 4!c | Amount | (see qualifier description) | :4!c//3!a15d | 25 |
-----| |
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| M | 16S | End of Block | SUMD | 26 | ||
End of Subsequence B1 Summary Details |
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| M | 16S | End of Block | SUMM | 27 | ||
End of Sequence B Summary |
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-----> Mandatory Repetitive Sequence C Exposure Valuation Details |
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| M | 16R | Start of Block | EXPD | 28 | ||
-----> |
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| O | 20C | 4!c | Reference | (see qualifier description) | :4!c//16x | 29 |
-----| |
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| M | 22a | COLA | Indicator | Exposure Type Indicator | F or H | 30 |
| O | 98A | TRAD | Date | Trade Date | :4!c//8!n | 31 |
-----> |
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| O | 95a | 4!c | Party | (see qualifier description) | P, Q, or R | 32 |
-----| |
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-----> |
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| M | 19B | 4!c | Amount | (see qualifier description) | :4!c//3!a15d | 33 |
-----| |
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| O | 99A | DAAC | Number Count | Number of Days Accrued | :4!c//[N]3!n | 34 |
| O | 22F | MICO | Indicator | Method of Interest Computation Indicator | :4!c/[8c]/4!c | 35 |
-----> |
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| M | 92a | 4!c | Rate | (see qualifier description) | A or B | 36 |
-----| |
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Optional Subsequence C1 Securities Valuation Details |
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| M | 16R | Start of Block | SECS | 37 | ||
| M | 19B | MRKT | Amount | Market Price Amount | :4!c//3!a15d | 38 |
| M | 35B | Identification of the Financial Instrument | [ISIN1!e12!c] [4*35x] |
39 | ||
| M | 36B | SECV | Quantity of Financial Instrument | Quantity of Securities Valued | :4!c//4!c/15d | 40 |
| M | 92A | SHAI | Rate | Securities Haircut | :4!c//[N]15d | 41 |
| M | 16S | End of Block | SECS | 42 | ||
End of Subsequence C1 Securities Valuation Details |
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Optional Subsequence C2 Treasury Valuation Details |
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| M | 16R | Start of Block | TREA | 43 | ||
-----> |
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| M | 98A | 4!c | Date | (see qualifier description) | :4!c//8!n | 44 |
-----| |
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-----> |
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| O | 19B | 4!c | Amount | (see qualifier description) | :4!c//3!a15d | 45 |
-----| |
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| O | 70C | COMI | Narrative | Commodity Index Narrative | :4!c//4*35x | 46 |
| O | 12B | OPTI | Type of Financial Instrument | Option Type | :4!c/[8c]/4!c | 47 |
| M | 16S | End of Block | TREA | 48 | ||
End of Subsequence C2 Treasury Valuation Details |
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Optional Subsequence C3 Repo Valuation Details |
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| M | 16R | Start of Block | REPV | 49 | ||
-----> |
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| M | 98A | 4!c | Date | (see qualifier description) | :4!c//8!n | 50 |
-----| |
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-----> |
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| M | 19B | 4!c | Amount | (see qualifier description) | :4!c//3!a15d | 51 |
-----| |
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| M | 92A | REPO | Rate | Repurchase Rate | :4!c//[N]15d | 52 |
| M | 16S | End of Block | REPV | 53 | ||
End of Subsequence C3 Repo Valuation Details |
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| M | 16S | End of Block | EXPD | 54 | ||
-----| End of Sequence C Exposure Valuation Details |
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-----> Mandatory Repetitive Sequence D Collateral Details |
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| M | 16R | Start of Block | COLD | 55 | ||
| M | 20C | COLR | Reference | Collateral Reference | :4!c//16x | 56 |
| M | 22H | COLL | Indicator | Collateral Type Indicator | :4!c//4!c | 57 |
| O | 25D | SETT | Status | Settlement Status | :4!c/[8c]/4!c | 58 |
-----> |
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| M | 19B | 4!c | Amount | (see qualifier description) | :4!c//3!a15d | 59 |
-----| |
||||||
| O | 99A | DAAC | Number Count | Number of Days Accrued | :4!c//[N]3!n | 60 |
| O | 22F | MICO | Indicator | Method of Interest Computation Indicator | :4!c/[8c]/4!c | 61 |
-----> |
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| M | 92a | 4!c | Rate | (see qualifier description) | A or B | 62 |
-----| |
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Optional Subsequence D1 Securities Collateral Details |
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| M | 16R | Start of Block | SCOL | 63 | ||
| M | 19B | MRKT | Amount | Market Price Amount | :4!c//3!a15d | 64 |
| M | 35B | Identification of the Financial Instrument | [ISIN1!e12!c] [4*35x] |
65 | ||
| M | 36B | COLL | Quantity of Financial Instrument | Quantity of Securities Collateral | :4!c//4!c/15d | 66 |
| M | 92A | SHAI | Rate | Securities Haircut | :4!c//[N]15d | 67 |
| O | 98A | EXPI | Date | Expiry Date | :4!c//8!n | 68 |
-----> |
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| O | 94B | 4!c | Place | (see qualifier description) | :4!c/[8c]/4!c[/30x] | 69 |
-----| |
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| O | 70C | RATS | Narrative | Rating Narrative | :4!c//4*35x | 70 |
| M | 16S | End of Block | SCOL | 71 | ||
End of Subsequence D1 Securities Collateral Details |
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Optional Subsequence D2 Cash Collateral Details |
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| M | 16R | Start of Block | CCOL | 72 | ||
| M | 19B | DEPO | Amount | Deposit Amount | :4!c//3!a15d | 73 |
| M | 22H | DEPO | Indicator | Type of Deposit Indicator | :4!c//4!c | 74 |
| O | 98A | TERM | Date | Maturity Date | :4!c//8!n | 75 |
| M | 16S | End of Block | CCOL | 76 | ||
End of Subsequence D2 Cash Collateral Details |
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Optional Subsequence D3 Other Collateral Details |
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| M | 16R | Start of Block | BCOL | 77 | ||
| M | 22H | BCOL | Indicator | Type of Other Collateral Indicator | :4!c//4!c | 78 |
-----> |
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| M | 98a | 4!c | Date/Time | (see qualifier description) | A or B | 79 |
-----| |
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| M | 95a | ISSU | Party | Issuer | P, Q, or R | 80 |
| M | 19B | 4!c | Amount | (see qualifier description) | :4!c//3!a15d | 81 |
| M | 16S | End of Block | BCOL | 82 | ||
End of Subsequence D3 Other Collateral Details |
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| M | 16S | End of Block | COLD | 83 | ||
-----| End of Sequence D Collateral Details |
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Optional Sequence E Additional Information |
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| M | 16R | Start of Block | ADDINFO | 84 | ||
-----> |
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| O | 95a | 4!c | Party | (see qualifier description) | P, Q, or R | 85 |
-----| |
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-----> |
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| O | 19A | 4!c | Amount | (see qualifier description) | :4!c//[N]3!a15d | 86 |
-----| |
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| M | 16S | End of Block | ADDINFO | 87 | ||
End of Sequence E Additional Information |
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C1. If the message is a cancellation, ie, 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 in 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 subseq. A2, and not allowed in all other occurrences of subseq. A2 |
NEWM |
Optional |
Not Applicable |
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 (ie, 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 |
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).