ISO 15022 Data Field Dictionary

Note

The use of this message type requires Message User Group (MUG) registration.

MT558 Scope

This message is sent by a triparty agent after the receipt of a collateral instruction from its client.

In this message, the Sender is the triparty agent and the Receiver is either the collateral taker or the collateral giver or their account servicer.

This message provides valuation results as well as the status of the collateral instruction and the status of the proposed collateral movements (cash and securities).

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)

MT558 Format Specifications

The status and processing advice contains four sequences:

  • Sequence A General Information provides general information about the instruction and collateral transaction the message refers to, that is, the function of the message, the identification of the collateral transaction, the references of the linked messages, the identification of the parties, the safekeeping account, the reason for which collateral is needed (the exposure type), the identification of the collateral action, the agent specific information, the required margin and the status and reason information.

  • Sequence B Deal Transaction Details contains the deal transaction details.

  • Repetitive sequence C Securities Movement contains the securities movements with their status.

  • Repetitive sequence D Cash Movement contains the cash movements with their status.

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

----->

M

98a

4!c

Date/Time

(see qualifier description)

A, C, or E

5

-----|

----->

M

22a

4!c

Indicator

(see qualifier description)

F or H

6

-----|

----->

O

13B

4!c

Number Identification

(see qualifier description)

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

7

-----|

-----> Mandatory Repetitive Subsequence A1 Collateral Parties

M

16R

 

 

Start of Block

COLLPRTY

8

----->

M

95a

4!c

Party

(see qualifier description)

P, Q, or R

9

-----|

O

97a

SAFE

Account

Safekeeping Account

A or B

10

M

16S

 

 

End of Block

COLLPRTY

11

-----| End of Subsequence A1 Collateral Parties

-----> Optional Repetitive Subsequence A2 Status

M

16R

 

 

Start of Block

STAT

12

M

25D

4!c

Status Code

(see qualifier description)

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

13

-----> Optional Repetitive Subsequence A2a Reason

M

16R

 

 

Start of Block

REAS

14

M

24B

4!c

Reason Code

(see qualifier description)

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

15

O

70D

REAS

Narrative

Reason Narrative

:4!c//6*35x

16

M

16S

 

 

End of Block

REAS

17

-----| End of Subsequence A2a Reason

M

16S

 

 

End of Block

STAT

18

-----| End of Subsequence A2 Status

----->

O

17B

4!c

Flag

(see qualifier description)

:4!c//1!a

19

-----|

----->

O

19A

4!c

Amount

(see qualifier description)

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

20

-----|

----->

O

70a

4!c

Narrative

(see qualifier description)

D or E

21

-----|

-----> Optional Repetitive Subsequence A3 Linkages

M

16R

 

 

Start of Block

LINK

22

O

13a

LINK

Number Identification

Linked Message

A or B

23

M

20C

4!c

Reference

(see qualifier description)

:4!c//16x

24

M

16S

 

 

End of Block

LINK

25

-----| End of Subsequence A3 Linkages

M

16S

 

 

End of Block

GENL

26

End of Sequence A General Information

Mandatory Sequence B Deal Transaction Details

M

16R

 

 

Start of Block

DEALTRAN

27

O

99B

MNPE

Number Count

Minimum Notice Period

:4!c//3!n

28

M

98a

TERM

Date/Time

Closing Date/Time

A, B, or C

29

----->

O

19A

4!c

Amount

(see qualifier description)

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

30

-----|

----->

O

92a

4!c

Rate

(see qualifier description)

A or C

31

-----|

----->

O

22a

4!c

Indicator

(see qualifier description)

F or H

32

-----|

M

16S

 

 

End of Block

DEALTRAN

33

End of Sequence B Deal Transaction Details

-----> Optional Repetitive Sequence C Securities Movement

M

16R

 

 

Start of Block

SECMOVE

34

M

22H

INOU

Indicator

In/Out Indicator

:4!c//4!c

35

M

35B

 

 

Identification of Financial Instrument

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

36

M

36B

QSEC

Quantity of Financial Instrument

Quantity of Securities

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

37

O

25D

MOVE

Status Code

Movement Status

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

38

----->

M

17B

4!c

Flag

(see qualifier description)

:4!c//1!a

39

-----|

O

97a

SAFE

Account

Safekeeping Account

A or B

40

----->

O

20C

4!c

Reference

(see qualifier description)

:4!c//16x

41

-----|

O

19A

MAGV

Amount

Margined Value Amount

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

42

O

70D

REAS

Narrative

Reason Narrative

:4!c//6*35x

43

M

16S

 

 

End of Block

SECMOVE

44

-----| End of Sequence C Securities Movement

-----> Optional Repetitive Sequence D Cash Movements

M

16R

 

 

Start of Block

CASHMOVE

45

M

22H

INOU

Indicator

In/Out Indicator

:4!c//4!c

46

M

19A

CASH

Amount

Cash Movement Amount

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

47

----->

O

20C

4!c

Reference

(see qualifier description)

:4!c//16x

48

-----|

O

25D

MOVE

Status Code

Movement Status

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

49

----->

M

17B

4!c

Flag

(see qualifier description)

:4!c//1!a

50

-----|

O

97a

CASH

Account

Cash Account

A or E

51

O

70D

REAS

Narrative

Reason Narrative

:4!c//6*35x

52

M

16S

 

 

End of Block

CASHMOVE

53

-----| End of Sequence D Cash Movements

Optional Sequence E Additional Information

M

16R

 

 

Start of Block

ADDINFO

54

----->

O

95a

4!c

Party

(see qualifier description)

P, Q, or R

55

-----|

M

16S

 

 

End of Block

ADDINFO

56

End of Sequence E Additional Information

MT558 Network Validated Rules

  • C1 In sequence A, the presence of sequence A2 depends on the value of field :23G:<Function> subfield 1 as follows:

    Sequence A

    if value of field :23G:4!c[/4!c] subfield 1 is ...

    then subsequence A2 is ...

    ADVD

    Not allowed

    Not ADVD

    Mandatory

  • C2 If sequence A field :22a::COLA// is other than SLEB, then sequence B field :19A::TRAA must be present.

    Sequence A

    field :22a::COLA is ...

    Then sequence B

    field :19A::TRAA is ...

    SLEB

    Optional

    Not SLEB (1)

    Mandatory

    (1) if the Data Source Scheme is present in field :22F::COLA// then the conditional rule does not apply.
  • C3 In sequence A, all qualifiers of field 98a are optional, but at least one (any one) must be present.

MT558 Usage Rules

Triparty Scenarios

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:

  1. collateral management without settlement,

  2. collateral management with settlement of the collateral on the books of the agent,

  3. 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.

Tri-party Definitions

Collateral Management Transaction

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.

Collateral Management Instruction

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.

Lifecycle of Collateral Management Transaction

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.

Lifecycle of Collateral Management Instruction

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.

Allegement

When the MT558 is sent as an allegement/advice (:23G:ADVD), fields 25D Status, 24B Reason, 17B Collateral Approved Flag, 19A Required Margin Amount must not be used as they have no business meaning in an allegement. Sequences Securities Movement (C) and Cash Movement (D) must neither be used.

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