Iso20022

CollateralAndExposureReportV04

colr.016.001.04

Scope The CollateralAndExposureReport message is sent by:

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
%% CollateralAndExposureReportV04 recursion level 0 with max 0
CollateralAndExposureReportV04 *-- "1..1" ReportParameters6 : ReportParameters
CollateralAndExposureReportV04 *-- "0..1" Pagination1 : Pagination
CollateralAndExposureReportV04 *-- "1..1" Obligation6 : Obligation
CollateralAndExposureReportV04 *-- "0..1" Agreement4 : Agreement
CollateralAndExposureReportV04 *-- "1..1" Collateral43 : CollateralReport
CollateralAndExposureReportV04 *-- "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. Parameters of the report. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% ReportParameters6 recursion level 0 with max 1
class ReportParameters6{
    ReportIdentification IsoMax35Text
    Frequency EventFrequency6Code
    ReportCurrency ActiveCurrencyCode
    CalculationDate IsoISODateTime
}
ReportParameters6 *-- "1..1" IDateAndDateTime2Choice : ReportDateAndTime
%% IDateAndDateTime2Choice recursion level 1 with max 1

ReportParameters6 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. IDateAndDateTime2Choice - Required 1..1
Frequency Frequency of the report. EventFrequency6Code - Required 1..1
ReportCurrency Currency used for the calculation of the guarantee fund. ActiveCurrencyCode - Required 1..1
CalculationDate 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
%% Pagination1 recursion level 0 with max 1
class Pagination1{
    PageNumber IsoMax5NumericText
    LastPageIndicator IsoYesNoIndicator
}

Pagination1 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. General information about the collateral agreement. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% Obligation6 recursion level 0 with max 1
class Obligation6{
    ExposureType ExposureType5Code
}
Obligation6 *-- "1..1" PartyIdentification242 : PartyA
Obligation6 *-- "0..1" IPartyIdentification178Choice : ServicingPartyA
Obligation6 *-- "1..1" PartyIdentification242 : PartyB
Obligation6 *-- "0..1" IPartyIdentification178Choice : ServicingPartyB
Obligation6 *-- "0..1" CollateralAccount3 : CollateralAccountIdentification
Obligation6 *-- "1..1" IDateAndDateTime2Choice : ValuationDate
%% PartyIdentification242 recursion level 1 with max 1
class PartyIdentification242{
    CCPMemberType CCPMemberType1Code
}
PartyIdentification242 *-- "1..1" IPartyIdentification178Choice : Identification
%% IPartyIdentification178Choice recursion level 1 with max 1
%% PartyIdentification242 recursion level 1 with max 1
class PartyIdentification242{
    CCPMemberType CCPMemberType1Code
}
PartyIdentification242 *-- "1..1" IPartyIdentification178Choice : Identification
%% IPartyIdentification178Choice recursion level 1 with max 1
%% CollateralAccount3 recursion level 1 with max 1
class CollateralAccount3{
    Identification IsoMax35Text
    Name IsoMax70Text
}
CollateralAccount3 *-- "0..1" ICollateralAccountIdentificationType3Choice : Type
%% IDateAndDateTime2Choice recursion level 1 with max 1

Obligation6 members

Member name Description Data Type / Multiplicity
PartyA One of the entities associated with the collateral agreement and type of the CCP membership type where the counterparty is a CCP. PartyIdentification242 - Required 1..1
ServicingPartyA Party that is acting on behalf of party A and that offers collateral management services. IPartyIdentification178Choice - Optional 0..1
PartyB Other entity associated with the collateral agreement and type of the CCP membership type where the counterparty is a CCP. PartyIdentification242 - Required 1..1
ServicingPartyB Party that is acting on behalf of party B and that offers collateral management services. IPartyIdentification178Choice - Optional 0..1
CollateralAccountIdentification Provides additional information on the collateral account of the party delivering/receiving the collateral. CollateralAccount3 - Optional 0..1
ExposureType Underlying business area or type of trade causing the collateral movement. ExposureType5Code - Optional 0..1
ValuationDate Close of business date on which the initiating party is valuing the margin call. IDateAndDateTime2Choice - 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

Details of the collateral. 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
%% Collateral43 recursion level 0 with max 1
Collateral43 *-- "1..1" CollateralAccount3 : AccountIdentification
Collateral43 *-- "1..1" Summary2 : ReportSummary
Collateral43 *-- "0..0" CollateralValuation12 : CollateralValuation
%% CollateralAccount3 recursion level 1 with max 1
class CollateralAccount3{
    Identification IsoMax35Text
    Name IsoMax70Text
}
CollateralAccount3 *-- "0..1" ICollateralAccountIdentificationType3Choice : Type
%% Summary2 recursion level 1 with max 1
class Summary2{
    ExposedAmountPartyA IsoActiveCurrencyAndAmount
    ExposedAmountPartyB IsoActiveCurrencyAndAmount
    ExposureType ExposureType8Code
    TotalValueOfCollateral IsoActiveCurrencyAndAmount
    NetExcessDeficit IsoActiveCurrencyAndAmount
    NetExcessDeficitIndicator ShortLong1Code
    ValuationDateTime IsoISODateTime
    RequestedSettlementDate IsoISODate
}
Summary2 *-- "0..1" SummaryAmounts2 : SummaryDetails
%% CollateralValuation12 recursion level 1 with max 1
class CollateralValuation12{
    CollateralIdentification IsoMax35Text
    CollateralType CollateralType8Code
    CollateralDirection CollateralDirection1Code
    SettlementStatus SettlementStatus3Code
    AppliedExcessIndicator CollateralAppliedExcess1Code
    NumberOfDaysAccrued IsoNumber
    DayCountBasis InterestComputationMethod2Code
    ExchangeRate IsoBaseOneRate
    CurrencyHaircut IsoBaseOneRate
    AdjustedRate IsoBaseOneRate
}
CollateralValuation12 *-- "1..1" CollateralAmount1 : ValuationAmounts
CollateralValuation12 *-- "0..1" SecuritiesCollateral9 : SecuritiesCollateral
CollateralValuation12 *-- "0..1" CashCollateral4 : CashCollateral
CollateralValuation12 *-- "0..1" OtherCollateral8 : OtherCollateral

Collateral43 members

Member name Description Data Type / Multiplicity
AccountIdentification Provides information about the collateral account, that is the identification, the type and optionally the name. CollateralAccount3 - Required 1..1
ReportSummary Summary of the collateral valuation. Summary2 - Required 1..1
CollateralValuation Additional information about the collateral valuation that has been posted. CollateralValuation12 - 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 CollateralAndExposureReportV04 implementation follows a specific implementaiton pattern. First of all, CollateralAndExposureReportV04 impleemnts IOuterRecord indicating it is the outermost logical part of the message definition. Like all message wrappers, CollateralAndExposureReportV04Document implements IOuterDocument. Because CollateralAndExposureReportV04 implements IOuterDocument, it is a suitable template parameter for IOuterDocument, and causes the internal ‘Message’ to be of type CollateralAndExposureReportV04.

classDiagram
    class IOuterRecord
    CollateralAndExposureReportV04 --|> IOuterRecord : Implements
    CollateralAndExposureReportV04Document --|> IOuterDocument~CollateralAndExposureReportV04~ : Implements
    class IOuterDocument~CollateralAndExposureReportV04~ {
        CollateralAndExposureReportV04 Message
     }

Document wrapper for serialization

The only real purpose CollateralAndExposureReportV04Document serves is to cause the document to be serialized into the ‘urn:iso:std:iso:20022:tech:xsd:colr.016.001.04’ namespace. Therefore, it will probably be the usual practice to build the message and construct this wrapper at the last minute using CollateralAndExposureReportV04.ToDocument() method. The returned CollateralAndExposureReportV04Document value will serialize correctly according to ISO 20022 standards.

classDiagram
    CollateralAndExposureReportV04Document *-- CollateralAndExposureReportV04 : 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.016.001.04">
    <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="_hsQPYQFmEeutW5-TpeYJhA"
  nextVersions="_J4Yk9ygrEeyB747fKu7_rw"
  previousVersion="_XAW1sYFrEeWtPe6Crjmeug"
  name="CollateralAndExposureReportV04"
  definition="Scope&#xD;&#xA;The CollateralAndExposureReport message is sent by:&#xD;&#xA;- the collateral giver, or its collateral manager, to the collateral taker, or its collateral manager, &#xD;&#xA;- the collateral taker, or its collateral manager to the collateral giver, or its collateral manager&#xD;&#xA;The message definition is intended for use with the ISO20022 Business Application Header.&#xD;&#xA;Usage&#xD;&#xA;The CollateralAndExposureReport message 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="_J0aB9KV_EeW0_oPI5GRpwg"
  xmlTag="CollAndXpsrRpt"
  rootElement="Document"
  xmlns:xmi="http://www.omg.org/XMI">
  <messageBuildingBlock
    xmi:id="_hsQPZwFmEeutW5-TpeYJhA"
    nextVersions="_J4YlAygrEeyB747fKu7_rw"
    previousVersion="_XAW1s4FrEeWtPe6Crjmeug"
    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="_MSIRAAynEeukOZYTbzKKxw" />
  <messageBuildingBlock
    xmi:id="_hsQPaQFmEeutW5-TpeYJhA"
    nextVersions="_J4YlBSgrEeyB747fKu7_rw"
    previousVersion="_XAW1tYFrEeWtPe6Crjmeug"
    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="_xhMHQa6XEees_ufOy2ci-g" />
  <messageBuildingBlock
    xmi:id="_hsQPawFmEeutW5-TpeYJhA"
    nextVersions="_J4YlBygrEeyB747fKu7_rw"
    previousVersion="_XAW1t4FrEeWtPe6Crjmeug"
    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="_OH70CAGOEeutW5-TpeYJhA" />
  <messageBuildingBlock
    xmi:id="_hsQPbQFmEeutW5-TpeYJhA"
    nextVersions="_J4YlCSgrEeyB747fKu7_rw"
    previousVersion="_XAW1uYFrEeWtPe6Crjmeug"
    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="_hsQPbwFmEeutW5-TpeYJhA"
    nextVersions="_J4YlCygrEeyB747fKu7_rw"
    previousVersion="_XAW1u4FrEeWtPe6Crjmeug"
    name="CollateralReport"
    definition="Details of the collateral."
    registrationStatus="Provisionally Registered"
    minOccurs="1"
    xmlTag="CollRpt"
    complexType="_otPoFAF1EeutW5-TpeYJhA" />
  <messageBuildingBlock
    xmi:id="_hsQPcQFmEeutW5-TpeYJhA"
    nextVersions="_J4YlDSgrEeyB747fKu7_rw"
    previousVersion="_XAW1vYFrEeWtPe6Crjmeug"
    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="04" />
</messageDefinition>

ISO Building Blocks

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