ISO 15022 Data Field Dictionary

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.

MT506 Scope

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).

MT506 Format Specifications

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

 

 

Start of Block

GENL

1

M

28E

 

 

Page Number/Continuation Indicator

5n/4!c

2

----->

M

20C

4!c

Reference

(see qualifier description)

:4!c//16x

3

-----|

M

23G

 

 

Function of the Message

4!c[/4!c]

4

-----> Mandatory Repetitive Subsequence A1 Agreement

M

16R

 

 

Start of Block

AGRE

5

O

22F

AGRE

Indicator

Agreement Indicator

:4!c/[8c]/4!c

6

O

98A

AGRE

Date/Time

Agreement Date

:4!c//8!n

7

O

13B

AGRE

Number Identification

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

O

98a

PREP

Date/Time

Preparation Date/Time

A, C, or E

11

M

22a

COLA

Indicator

Exposure Type Indicator

F or H

12

----->

M

95a

4!c

Party

(see qualifier description)

P, Q, or R

13

-----|

O

70C

PACO

Narrative

Party Narrative

:4!c//4*35x

14

-----> Optional Repetitive Subsequence A2 Linkages

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

M

16S

 

 

End of Block

GENL

19

End of Sequence A General Information

Mandatory Sequence B Summary

M

16R

 

 

Start of Block

SUMM

20

M

95a

EXPP

Party

Exposed Party

P, Q, or R

21

----->

M

19B

4!c

Amount

(see qualifier description)

:4!c//3!a15d

22

-----|

----->

M

98a

4!c

Date/Time

(see qualifier description)

A or C

23

-----|

Optional Subsequence B1 Summary Details

M

16R

 

 

Start of Block

SUMD

24

----->

O

19B

4!c

Amount

(see qualifier description)

:4!c//3!a15d

25

-----|

M

16S

 

 

End of Block

SUMD

26

End of Subsequence B1 Summary Details

M

16S

 

 

End of Block

SUMM

27

End of Sequence B Summary

-----> Optional Repetitive Sequence C Exposure Valuation Details

M

16R

 

 

Start of Block

EXPD

28

----->

O

20C

4!c

Reference

(see qualifier description)

:4!c//16x

29

-----|

M

22a

COLA

Indicator

Exposure Type Indicator

F or H

30

O

98A

TRAD

Date/Time

Trade Date

:4!c//8!n

31

----->

O

95a

4!c

Party

(see qualifier description)

P, Q, or R

32

-----|

----->

M

19A

4!c

Amount

(see qualifier description)

:4!c//[N]3!a15d

33

-----|

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

----->

M

92a

4!c

Rate

(see qualifier description)

A or B

36

-----|

O

70D

EXPO

Narrative

Exposure Narrative

:4!c//6*35x

37

Optional Subsequence C1 Securities Valuation Details

M

16R

 

 

Start of Block

SECS

38

M

19B

MRKT

Amount

Market Price Amount

:4!c//3!a15d

39

M

35B

 

 

Identification of the Financial Instrument

[ISIN1!e12!c]
[4*35x]

40

M

36B

SECV

Quantity of Financial Instrument

Quantity of Securities Valued

:4!c//4!c/15d

41

M

92A

SHAI

Rate

Securities Haircut

:4!c//[N]15d

42

M

16S

 

 

End of Block

SECS

43

End of Subsequence C1 Securities Valuation Details

Optional Subsequence C2 Treasury Valuation Details

M

16R

 

 

Start of Block

TREA

44

----->

M

98A

4!c

Date/Time

(see qualifier description)

:4!c//8!n

45

-----|

----->

O

19B

4!c

Amount

(see qualifier description)

:4!c//3!a15d

46

-----|

O

70C

COMI

Narrative

Commodity Index Narrative

:4!c//4*35x

47

O

12B

OPTI

Type of Financial Instrument

Option Type

:4!c/[8c]/4!c

48

O

90a

EXER

Price

Exercise Price

A or B

49

M

16S

 

 

End of Block

TREA

50

End of Subsequence C2 Treasury Valuation Details

Optional Subsequence C3 Repo Valuation Details

M

16R

 

 

Start of Block

REPV

51

----->

M

98A

4!c

Date/Time

(see qualifier description)

:4!c//8!n

52

-----|

----->

M

19B

4!c

Amount

(see qualifier description)

:4!c//3!a15d

53

-----|

M

92A

REPO

Rate

Repurchase Rate

:4!c//[N]15d

54

M

16S

 

 

End of Block

REPV

55

End of Subsequence C3 Repo Valuation Details

M

16S

 

 

End of Block

EXPD

56

-----| End of Sequence C Exposure Valuation Details

-----> Optional Repetitive Sequence D Collateral Details

M

16R

 

 

Start of Block

COLD

57

M

20C

COLR

Reference

Collateral Reference

:4!c//16x

58

M

22H

COLL

Indicator

Collateral Type Indicator

:4!c//4!c

59

O

25D

SETT

Status Code

Settlement Status

:4!c/[8c]/4!c

60

----->

M

19B

4!c

Amount

(see qualifier description)

:4!c//3!a15d

61

-----|

O

99A

DAAC

Number Count

Number of Days Accrued

:4!c//[N]3!n

62

O

22F

MICO

Indicator

Method of Interest Computation Indicator

:4!c/[8c]/4!c

63

----->

M

92a

4!c

Rate

(see qualifier description)

A or B

64

-----|

Optional Subsequence D1 Securities Collateral Details

M

16R

 

 

Start of Block

SCOL

65

M

19B

MRKT

Amount

Market Price Amount

:4!c//3!a15d

66

M

35B

 

 

Identification of the Financial Instrument

[ISIN1!e12!c]
[4*35x]

67

M

36B

COLL

Quantity of Financial Instrument

Quantity of Securities Collateral

:4!c//4!c/15d

68

M

92A

SHAI

Rate

Securities Haircut

:4!c//[N]15d

69

O

98A

EXPI

Date/Time

Expiry Date

:4!c//8!n

70

----->

O

94B

4!c

Place

(see qualifier description)

:4!c/[8c]/4!c[/30x]

71

-----|

O

70C

RATS

Narrative

Rating Narrative

:4!c//4*35x

72

M

16S

 

 

End of Block

SCOL

73

End of Subsequence D1 Securities Collateral Details

Optional Subsequence D2 Cash Collateral Details

M

16R

 

 

Start of Block

CCOL

74

M

19B

DEPO

Amount

Deposit Amount

:4!c//3!a15d

75

M

22H

DEPO

Indicator

Type of Deposit Indicator

:4!c//4!c

76

O

98A

TERM

Date/Time

Maturity Date

:4!c//8!n

77

M

16S

 

 

End of Block

CCOL

78

End of Subsequence D2 Cash Collateral Details

Optional Subsequence D3 Other Collateral Details

M

16R

 

 

Start of Block

BCOL

79

M

22H

BCOL

Indicator

Type of Other Collateral Indicator

:4!c//4!c

80

----->

M

98a

4!c

Date/Time

(see qualifier description)

A or B

81

-----|

M

95a

ISSU

Party

Issuer

P, Q, or R

82

M

19B

4!c

Amount

(see qualifier description)

:4!c//3!a15d

83

M

16S

 

 

End of Block

BCOL

84

End of Subsequence D3 Other Collateral Details

M

16S

 

 

End of Block

COLD

85

-----| End of Sequence D Collateral Details

Optional Sequence E Additional Information

M

16R

 

 

Start of Block

ADDINFO

86

----->

O

95a

4!c

Party

(see qualifier description)

P, Q, or R

87

-----|

----->

O

19A

4!c

Amount

(see qualifier description)

:4!c//[N]3!a15d

88

-----|

M

16S

 

 

End of Block

ADDINFO

89

End of Sequence E Additional Information

MT506 Network Validated Rules

  • 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

    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 (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

MT506 Usage Rules

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).

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