MT 506 Format Specifications

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.

The statement consists of four sequences.

Sequence A General Information provides general information about the message and the collateral transaction, ie, 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.

Sequence B Summary provides information related to the collateral position, ie, 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.

MT 506 Collateral and Exposure Statement

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
-----> Repetitive Mandatory 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	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
O	98a	PREP	Date/Time	Preparation Date/Time	A or C	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 Contact Narrative	:4!c//4*35x	14
-----> Repetitive Optional 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
----->Repetitive Mandatory 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	Trade Date	:4!c//8!n	31
----->
O	95a	4!c	Party	(see qualifier description)	P, Q, or R	32
-----|
----->
M	19B	4!c	Amount	(see qualifier description)	:4!c//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
-----|
Optional Subsequence C1 Securities Valuation Details
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
Optional Subsequence C2 Treasury Valuation Details
M	16R			Start of Block	TREA	43
----->
M	98A	4!c	Date	(see qualifier description)	:4!c//8!n	44
-----|
----->
O	19B	4!c	Amount	(see qualifier description)	:4!c//3!a15d	45
-----|
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
Optional Subsequence C3 Repo Valuation Details
M	16R			Start of Block	REPV	49
----->
M	98A	4!c	Date	(see qualifier description)	:4!c//8!n	50
-----|
----->
M	19B	4!c	Amount	(see qualifier description)	:4!c//3!a15d	51
-----|
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
M	16S			End of Block	EXPD	54
-----| End of Sequence C Exposure Valuation Details
----->Repetitive Mandatory Sequence D Collateral Details
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
----->
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
----->
M	92a	4!c	Rate	(see qualifier description)	A or B	62
-----|
Optional Subsequence D1 Securities Collateral Details
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
----->
O	94B	4!c	Place	(see qualifier description)	:4!c/[8c]/4!c[/30x]	69
-----|
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
Optional Subsequence D2 Cash Collateral Details
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 MATU	Date	Maturity Date	:4!c//8!n	75
M	16S			End of Block	CCOL	76
End of Subsequence D2 Cash Collateral Details
Optional Subsequence D3 Other Collateral Details
M	16R			Start of Block	BCOL	77
M	22H	BCOL	Indicator	Type of Other Collateral Indicator	:4!c//4!c	78
----->
M	98a	4!c	Date/Time	(see qualifier description)	A or B	79
-----|
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
M	16S			End of Block	COLD	83
-----| End of Sequence D Collateral Details ----->Repetitive Optional Sequence E Additional Information
M	16R			Start of Block	ADDINFO	84
----->
O	95a	4!c	Party	(see qualifier description)	P, R or Q	85
-----| ----->
O	19A	4!c	Amount	(see qualifier description)	:4!c//[N]3!a15d	86 85
-----|
M	16S			End of Block	ADDINFO	87 86
-----| End of Sequence E Additional Information
M = Mandatory O = Optional