Iso20022

CollateralAndExposureReportV03

colr.016.001.03

Scope The CollateralAndExposureReport message is sent:

The message definition is intended for use with the ISO20022 Business Application Header.

Usage The CollateralAndExposureReport is used to provide the details of the valuation of the collateral, that is, the valuation of securities collateral, cash collateral or other type of collateral, posted at a specific calculation date.

Message Construction

Every ISO20022 message has at the highest level what we call ‘building blocks’. Because the message is constructed as immutable records, the association is by composition. Below you can see the relationship between the message and its constituent building blocks: For comparison, see the ISO20022 official specification

classDiagram
     direction LR
%% CollateralAndExposureReportV03 recursion level 0 with max 0
CollateralAndExposureReportV03 *-- "1..1" ReportParameters5 : ReportParameters
CollateralAndExposureReportV03 *-- "0..1" Pagination : Pagination
CollateralAndExposureReportV03 *-- "1..1" Obligation4 : Obligation
CollateralAndExposureReportV03 *-- "0..1" Agreement4 : Agreement
CollateralAndExposureReportV03 *-- "1..1" Collateral13 : CollateralReport
CollateralAndExposureReportV03 *-- "0..1" SupplementaryData1 : SupplementaryData

Now, we will zero-in one-by-one on each of these building blocks.

ReportParameters building block

Provides information about the report such as the report identification, the report date and time or the report frequency. Provides the parameters of the report. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% ReportParameters5 recursion level 0 with max 1
class ReportParameters5{
    ReportIdentification IsoMax35Text
    Frequency EventFrequency6Code
    ReportCurrency ActiveCurrencyCode
    CalculationDate IsoISODateTime
}
ReportParameters5 *-- "1..1" IDateAndDateTimeChoice : ReportDateAndTime
%% IDateAndDateTimeChoice recursion level 1 with max 1

ReportParameters5 members

Member name Description Data Type / Multiplicity
ReportIdentification Unique identification of the report. IsoMax35Text - Required 1..1
ReportDateAndTime Date (and time) at which the report was created. IDateAndDateTimeChoice - Required 1..1
Frequency Frequency of the report. EventFrequency6Code - Required 1..1
ReportCurrency Indicates the currency used for the calculation of the guarantee fund. ActiveCurrencyCode - Required 1..1
CalculationDate Indicates the date of calculation of the deficit (if any). IsoISODateTime - Optional 0..1

Pagination building block

Specifies the page number and an indicator of whether it is the only or last page, or if there are additional pages.

Number used to sequence pages when it is not possible for data to be conveyed in a single message and the data has to be split across several pages (messages). For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% Pagination recursion level 0 with max 1
class Pagination{
    PageNumber IsoMax5NumericText
    LastPageIndicator IsoYesNoIndicator
}

Pagination members

Member name Description Data Type / Multiplicity
PageNumber Page number. IsoMax5NumericText - Required 1..1
LastPageIndicator Indicates the last page. IsoYesNoIndicator - Required 1..1

Obligation building block

Provides information like the identification of the party or parties associated with the collateral agreement, the exposure type and the valuation date. Provides information like the identification of the party or parties associated with the collateral agreement, the exposure type and the valuation date. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% Obligation4 recursion level 0 with max 1
class Obligation4{
    ExposureType ExposureType5Code
}
Obligation4 *-- "1..1" IPartyIdentification100Choice : PartyA
Obligation4 *-- "0..1" IPartyIdentification100Choice : ServicingPartyA
Obligation4 *-- "1..1" IPartyIdentification100Choice : PartyB
Obligation4 *-- "0..1" IPartyIdentification100Choice : ServicingPartyB
Obligation4 *-- "0..1" CollateralAccount2 : CollateralAccountIdentification
Obligation4 *-- "1..1" IDateAndDateTimeChoice : ValuationDate
%% IPartyIdentification100Choice recursion level 1 with max 1
%% IPartyIdentification100Choice recursion level 1 with max 1
%% IPartyIdentification100Choice recursion level 1 with max 1
%% IPartyIdentification100Choice recursion level 1 with max 1
%% CollateralAccount2 recursion level 1 with max 1
class CollateralAccount2{
    Identification IsoMax35Text
    Name IsoMax70Text
}
CollateralAccount2 *-- "0..1" ICollateralAccountIdentificationType2Choice : Type
%% IDateAndDateTimeChoice recursion level 1 with max 1

Obligation4 members

Member name Description Data Type / Multiplicity
PartyA Defines one of the entities associated with the collateral agreement. IPartyIdentification100Choice - Required 1..1
ServicingPartyA Specifies the party that is acting on behalf of party A and that offers collateral management services. IPartyIdentification100Choice - Optional 0..1
PartyB Defines the other entity associated with the collateral agreement. IPartyIdentification100Choice - Required 1..1
ServicingPartyB Specifies the party that is acting on behalf of party B and that offers collateral management services. IPartyIdentification100Choice - Optional 0..1
CollateralAccountIdentification Provides additional information on the collateral account of the party delivering/receiving the collateral. CollateralAccount2 - Optional 0..1
ExposureType Specifies the underlying business area or type of trade causing the collateral movement. ExposureType5Code - Optional 0..1
ValuationDate Indicates the close of business date on which the initiating party is valuing the margin call. IDateAndDateTimeChoice - Required 1..1

Agreement building block

Agreement details for the over the counter market. Agreement details for the over the counter market. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% Agreement4 recursion level 0 with max 1
class Agreement4{
    AgreementDetails IsoMax140Text
    AgreementIdentification IsoMax140Text
    AgreementDate IsoISODate
    BaseCurrency ActiveCurrencyCode
}
Agreement4 *-- "0..1" IAgreementFramework1Choice : AgreementFramework
%% IAgreementFramework1Choice recursion level 1 with max 1

Agreement4 members

Member name Description Data Type / Multiplicity
AgreementDetails Full details of the supporting legal agreement under which the margin call can be issued and/or governed. IsoMax140Text - Required 1..1
AgreementIdentification Common reference to the agreement between the two counterparties. IsoMax140Text - Optional 0..1
AgreementDate Date on which the collateral agreement was signed. IsoISODate - Required 1..1
BaseCurrency Denomination currency as specified in the collateral agreement. ActiveCurrencyCode - Required 1..1
AgreementFramework Specifies the underlying master agreement. IAgreementFramework1Choice - Optional 0..1

CollateralReport building block

Provides details on the collateral report. Provides for each collateral account the report summary and the valuation of each piece of collateral. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% Collateral13 recursion level 0 with max 1
Collateral13 *-- "1..1" CollateralAccount2 : AccountIdentification
Collateral13 *-- "1..1" Summary1 : ReportSummary
Collateral13 *-- "0..0" CollateralValuation5 : CollateralValuation
%% CollateralAccount2 recursion level 1 with max 1
class CollateralAccount2{
    Identification IsoMax35Text
    Name IsoMax70Text
}
CollateralAccount2 *-- "0..1" ICollateralAccountIdentificationType2Choice : Type
%% Summary1 recursion level 1 with max 1
class Summary1{
    ExposedAmountPartyA IsoActiveCurrencyAndAmount
    ExposedAmountPartyB IsoActiveCurrencyAndAmount
    ExposureType ExposureType1Code
    TotalValueOfCollateral IsoActiveCurrencyAndAmount
    NetExcessDeficit IsoActiveCurrencyAndAmount
    NetExcessDeficitIndicator ShortLong1Code
    ValuationDateTime IsoISODateTime
    RequestedSettlementDate IsoISODate
}
Summary1 *-- "0..1" SummaryAmounts1 : SummaryDetails
%% CollateralValuation5 recursion level 1 with max 1
class CollateralValuation5{
    CollateralIdentification IsoMax35Text
    CollateralType CollateralType1Code
    SettlementStatus SettlementStatus2Code
    NumberOfDaysAccrued IsoNumber
    DayCountBasis InterestComputationMethod2Code
    ExchangeRate IsoBaseOneRate
    CurrencyHaircut IsoBaseOneRate
    AdjustedRate IsoBaseOneRate
}
CollateralValuation5 *-- "1..1" CollateralAmount1 : ValuationAmounts
CollateralValuation5 *-- "0..1" SecuritiesCollateral6 : SecuritiesCollateral
CollateralValuation5 *-- "0..1" CashCollateral4 : CashCollateral
CollateralValuation5 *-- "0..1" OtherCollateral6 : OtherCollateral

Collateral13 members

Member name Description Data Type / Multiplicity
AccountIdentification Provides information about the collateral account, that is the identification, the type and optionally the name. CollateralAccount2 - Required 1..1
ReportSummary Provides the summary of the collateral valuation report. Summary1 - Required 1..1
CollateralValuation Provides additionnal information about the collateral valuation that has been posted. CollateralValuation5 - Unknown 0..0

SupplementaryData building block

Additional information that can not be captured in the structured fields and/or any other specific block. Additional information that can not be captured in the structured fields and/or any other specific block. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% SupplementaryData1 recursion level 0 with max 1
class SupplementaryData1{
    PlaceAndName IsoMax350Text
}
SupplementaryData1 *-- "1..1" IsoSupplementaryDataEnvelope1 : Envelope
%% IsoSupplementaryDataEnvelope1 recursion level 1 with max 1

SupplementaryData1 members

Member name Description Data Type / Multiplicity
PlaceAndName Unambiguous reference to the location where the supplementary data must be inserted in the message instance. In the case of XML, this is expressed by a valid XPath. IsoMax350Text - Optional 0..1
Envelope Technical element wrapping the supplementary data. IsoSupplementaryDataEnvelope1 - Required 1..1

Extensibility and generalization considerations

To facilitate generalized design patterns in the system, the CollateralAndExposureReportV03 implementation follows a specific implementaiton pattern. First of all, CollateralAndExposureReportV03 impleemnts IOuterRecord indicating it is the outermost logical part of the message definition. Like all message wrappers, CollateralAndExposureReportV03Document implements IOuterDocument. Because CollateralAndExposureReportV03 implements IOuterDocument, it is a suitable template parameter for IOuterDocument, and causes the internal ‘Message’ to be of type CollateralAndExposureReportV03.

classDiagram
    class IOuterRecord
    CollateralAndExposureReportV03 --|> IOuterRecord : Implements
    CollateralAndExposureReportV03Document --|> IOuterDocument~CollateralAndExposureReportV03~ : Implements
    class IOuterDocument~CollateralAndExposureReportV03~ {
        CollateralAndExposureReportV03 Message
     }

Document wrapper for serialization

The only real purpose CollateralAndExposureReportV03Document serves is to cause the document to be serialized into the ‘urn:iso:std:iso:20022:tech:xsd:colr.016.001.03’ namespace. Therefore, it will probably be the usual practice to build the message and construct this wrapper at the last minute using CollateralAndExposureReportV03.ToDocument() method. The returned CollateralAndExposureReportV03Document value will serialize correctly according to ISO 20022 standards.

classDiagram
    CollateralAndExposureReportV03Document *-- CollateralAndExposureReportV03 : Document

Sample of message format

This is an abbreviated version of what the message should look like.

<Document xmlns="urn:iso:std:iso:20022:tech:xsd:colr.016.001.03">
    <CollAndXpsrRpt>
        <RptParams>
            <!-- ReportParameters inner content -->
        </RptParams>
        <Pgntn>
            <!-- Pagination inner content -->
        </Pgntn>
        <Oblgtn>
            <!-- Obligation inner content -->
        </Oblgtn>
        <Agrmt>
            <!-- Agreement inner content -->
        </Agrmt>
        <CollRpt>
            <!-- CollateralReport inner content -->
        </CollRpt>
        <SplmtryData>
            <!-- SupplementaryData inner content -->
        </SplmtryData>
    </CollAndXpsrRpt>
</Document>

Data from ISO specification

This is the technical data from the specification document.

<messageDefinition
  xmi:id="_XAW1sYFrEeWtPe6Crjmeug"
  nextVersions="_hsQPYQFmEeutW5-TpeYJhA"
  previousVersion="_6kjEkVnOEeSPgY23yCMQSQ"
  name="CollateralAndExposureReportV03"
  definition="Scope&#xD;&#xA;The CollateralAndExposureReport message is sent:&#xD;&#xA;- either by the collateral giver, or its collateral manager, to the collateral taker, or its collateral manager, or&#xD;&#xA;- or by the collateral taker, or its collateral manager to the collateral giver, or its collateral manager&#xD;&#xA;&#xD;&#xA;The message definition is intended for use with the ISO20022 Business Application Header.&#xD;&#xA;&#xD;&#xA;Usage&#xD;&#xA;The CollateralAndExposureReport is used to provide the details of the valuation of the collateral, that is, the valuation of securities collateral, cash collateral or other type of collateral, posted at a specific calculation date."
  registrationStatus="Registered"
  messageSet="_urpIICeJEeOCeO5e7islRQ"
  xmlTag="CollAndXpsrRpt"
  rootElement="Document"
  xmlns:xmi="http://www.omg.org/XMI">
  <messageBuildingBlock
    xmi:id="_XAW1s4FrEeWtPe6Crjmeug"
    nextVersions="_hsQPZwFmEeutW5-TpeYJhA"
    previousVersion="_6kjEk1nOEeSPgY23yCMQSQ"
    name="ReportParameters"
    definition="Provides information about the report such as the report identification, the report date and time or the report frequency."
    registrationStatus="Provisionally Registered"
    maxOccurs="1"
    minOccurs="1"
    xmlTag="RptParams"
    complexType="_XiWZ8YbFEeWguotXa4lFgg" />
  <messageBuildingBlock
    xmi:id="_XAW1tYFrEeWtPe6Crjmeug"
    nextVersions="_hsQPaQFmEeutW5-TpeYJhA"
    previousVersion="_6kjElVnOEeSPgY23yCMQSQ"
    name="Pagination"
    definition="Specifies the page number and an indicator of whether it is the only or last page, or if there are additional pages. &#xD;&#xA;"
    registrationStatus="Provisionally Registered"
    maxOccurs="1"
    minOccurs="0"
    xmlTag="Pgntn"
    complexType="_Q65gBdp-Ed-ak6NoX_4Aeg_-21330104" />
  <messageBuildingBlock
    xmi:id="_XAW1t4FrEeWtPe6Crjmeug"
    nextVersions="_hsQPawFmEeutW5-TpeYJhA"
    previousVersion="_EA8qMGNqEeSIWbZ6by9dnA"
    name="Obligation"
    definition="Provides information like the identification of the party or parties associated with the collateral agreement, the exposure type and the valuation date."
    registrationStatus="Provisionally Registered"
    maxOccurs="1"
    minOccurs="1"
    xmlTag="Oblgtn"
    complexType="_wtu2IYFvEeWtPe6Crjmeug" />
  <messageBuildingBlock
    xmi:id="_XAW1uYFrEeWtPe6Crjmeug"
    nextVersions="_hsQPbQFmEeutW5-TpeYJhA"
    previousVersion="_6kjEl1nOEeSPgY23yCMQSQ"
    name="Agreement"
    definition="Agreement details for the over the counter market."
    registrationStatus="Provisionally Registered"
    maxOccurs="1"
    minOccurs="0"
    xmlTag="Agrmt"
    complexType="_6T7_AYbEEeWguotXa4lFgg" />
  <messageBuildingBlock
    xmi:id="_XAW1u4FrEeWtPe6Crjmeug"
    nextVersions="_hsQPbwFmEeutW5-TpeYJhA"
    previousVersion="_6kjEoVnOEeSPgY23yCMQSQ"
    name="CollateralReport"
    definition="Provides details on the collateral report."
    registrationStatus="Provisionally Registered"
    minOccurs="1"
    xmlTag="CollRpt"
    complexType="_z0NexYFvEeWtPe6Crjmeug" />
  <messageBuildingBlock
    xmi:id="_XAW1vYFrEeWtPe6Crjmeug"
    nextVersions="_hsQPcQFmEeutW5-TpeYJhA"
    previousVersion="_6kjEo1nOEeSPgY23yCMQSQ"
    name="SupplementaryData"
    definition="Additional information that can not be captured in the structured fields and/or any other specific block."
    registrationStatus="Provisionally Registered"
    minOccurs="0"
    xmlTag="SplmtryData"
    complexType="_Qn0zC9p-Ed-ak6NoX_4Aeg_468227563" />
  <messageDefinitionIdentifier
    businessArea="colr"
    messageFunctionality="016"
    flavour="001"
    version="03" />
</messageDefinition>

ISO Building Blocks

The following items are used as building blocks to construct this message.