DefaultFundContributionReportV02

secl.006.001.02

Scope The DefaultFundContributionReport message is sent by the central counterparty (CCP) to a Clearing member to report on the calculation of the default fund contribution and the potential net excess or deficit.

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

Usage CCPs require participants to post assets in a clearing fund that can be used in the event of a default by a participant, to compensate non-defaulting participants for losses they suffer due to this default. The CCP evaluates each participant risk level based on their positions (monthly or daily) and calculate the excess of deficit of the default fund contribution. The DefaultFundContributionReport is usually sent on a monthly basis.

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
%% DefaultFundContributionReportV02 recursion level 0 with max 0
DefaultFundContributionReportV02 *-- "1..1" ReportParameters2 : ReportParameters
DefaultFundContributionReportV02 *-- "1..1" IPartyIdentification35Choice : ClearingMember
DefaultFundContributionReportV02 *-- "1..1" DefaultFundReport1 : ReportDetails
DefaultFundContributionReportV02 *-- "0..1" SupplementaryData1 : SupplementaryData
  

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

ReportParameters building block

Provides details about the report such as the report identification, the calculation date, the value date. Provides the parameters of the report. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% ReportParameters2 recursion level 0 with max 1
class ReportParameters2{
    ReportIdentification IsoMax35Text
    Frequency EventFrequency6Code
    ReportCurrency CurrencyCode
    CalculationDate IsoISODateTime
}
ReportParameters2 *-- "1..1" IDateAndDateTimeChoice : ReportDateAndTime
%% IDateAndDateTimeChoice recursion level 1 with max 1
  

ReportParameters2 members

ClearingMember building block

Provides the identification of the account owner, that is the clearing member (individual clearing member or general clearing member). Choice of identification of a party. The party can be identified by giving a BIC or a proprietary code. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% IPartyIdentification35Choice recursion level 0 with max 1
  

PartyIdentification35Choice members

ReportDetails building block

Provides details on the default fund report. Provides details on the calculation of the default fund and the collateral that has been posted by the clearing member. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% DefaultFundReport1 recursion level 0 with max 1
DefaultFundReport1 *-- "1..0" DefaultFund1 : DefaultFundCalculation
DefaultFundReport1 *-- "1..0" Collateral3 : CollateralDescription
DefaultFundReport1 *-- "1..1" AmountAndDirection21 : NetExcessOrDeficit
%% DefaultFund1 recursion level 1 with max 1
class DefaultFund1{
    TotalDefaultFundAmount IsoActiveCurrencyAndAmount
    IncreaseCoverageAmount IsoActiveCurrencyAndAmount
}
DefaultFund1 *-- "1..1" IAccountIdentification4Choice : DefaultFundAccount
DefaultFund1 *-- "0..0" Contribution1 : Contribution
%% Collateral3 recursion level 1 with max 1
class Collateral3{
    PostHaircutValue IsoActiveCurrencyAndAmount
    MarketValue IsoActiveCurrencyAndAmount
    CollateralType CollateralType2Code
}
%% AmountAndDirection21 recursion level 1 with max 1
class AmountAndDirection21{
    Amount IsoActiveOrHistoricCurrencyAndAmount
    CreditDebitIndicator CreditDebitCode
}
  

DefaultFundReport1 members

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

Extensibility and generalization considerations

To facilitate generalized design patterns in the system, the DefaultFundContributionReportV02 implementation follows a specific implementaiton pattern. First of all, DefaultFundContributionReportV02 impleemnts IOuterRecord indicating it is the outermost logical part of the message definition. Like all message wrappers, DefaultFundContributionReportV02Document implements IOuterDocument. Because DefaultFundContributionReportV02 implements IOuterDocument, it is a suitable template parameter for IOuterDocument, and causes the internal ‘Message’ to be of type DefaultFundContributionReportV02.

classDiagram
    class IOuterRecord
    DefaultFundContributionReportV02 --|> IOuterRecord : Implements
    DefaultFundContributionReportV02Document --|> IOuterDocument~DefaultFundContributionReportV02~ : Implements
    class IOuterDocument~DefaultFundContributionReportV02~ {
        DefaultFundContributionReportV02 Message
     }
  

Document wrapper for serialization

The only real purpose DefaultFundContributionReportV02Document serves is to cause the document to be serialized into the ‘urn:iso:std:iso:20022:tech:xsd:secl.006.001.02’ namespace. Therefore, it will probably be the usual practice to build the message and construct this wrapper at the last minute using DefaultFundContributionReportV02.ToDocument() method. The returned DefaultFundContributionReportV02Document value will serialize correctly according to ISO 20022 standards.

classDiagram
    DefaultFundContributionReportV02Document *-- DefaultFundContributionReportV02 : 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:secl.006.001.02">
    <DfltFndCntrbtnRpt>
        <RptParams>
            <!-- ReportParameters inner content -->
        </RptParams>
        <ClrMmb>
            <!-- ClearingMember inner content -->
        </ClrMmb>
        <RptDtls>
            <!-- ReportDetails inner content -->
        </RptDtls>
        <SplmtryData>
            <!-- SupplementaryData inner content -->
        </SplmtryData>
    </DfltFndCntrbtnRpt>
</Document>

Data from ISO specification

This is the technical data from the specification document.

<messageDefinition
  xmi:id="_-hesiaMOEeCojJW5vEuTEQ_-1558125935"
  name="DefaultFundContributionReportV02"
  definition="Scope&#xD;&#xA;The DefaultFundContributionReport message is sent by the central counterparty (CCP) to a Clearing member to report on the calculation of the default fund contribution and the potential net excess or deficit.&#xD;&#xA;&#xD;&#xA;The message definition is intended for use with the ISO20022 Business Application Header.&#xD;&#xA;&#xD;&#xA;Usage&#xD;&#xA;CCPs require participants to post assets in a clearing fund that can be used in the event of a default by a participant, to compensate non-defaulting participants for losses they suffer due to this default. The CCP evaluates each participant risk level based on their positions (monthly or daily) and calculate the excess of deficit of the default fund contribution. The DefaultFundContributionReport is usually sent on a monthly basis."
  registrationStatus="Registered"
  messageSet="_vZbScWwCEeSvG_1tXIrsqQ"
  xmlTag="DfltFndCntrbtnRpt"
  rootElement="Document"
  xmlns:xmi="http://www.omg.org/XMI">
  <messageBuildingBlock
    xmi:id="_-hesiqMOEeCojJW5vEuTEQ_-2028070464"
    name="ReportParameters"
    definition="Provides details about the report such as the report identification, the calculation date, the value date."
    registrationStatus="Provisionally Registered"
    maxOccurs="1"
    minOccurs="1"
    xmlTag="RptParams"
    complexType="_QlcNadp-Ed-ak6NoX_4Aeg_1490476160" />
  <messageBuildingBlock
    xmi:id="_-hesi6MOEeCojJW5vEuTEQ_2103498306"
    name="ClearingMember"
    definition="Provides the identification of the account owner, that is the clearing member (individual clearing member or general clearing member)."
    registrationStatus="Provisionally Registered"
    maxOccurs="1"
    minOccurs="1"
    xmlTag="ClrMmb"
    complexType="_QPYd4dp-Ed-ak6NoX_4Aeg_-1523931735" />
  <messageBuildingBlock
    xmi:id="_-hodgKMOEeCojJW5vEuTEQ_-78589152"
    name="ReportDetails"
    definition="Provides details on the default fund report."
    registrationStatus="Provisionally Registered"
    minOccurs="1"
    xmlTag="RptDtls"
    complexType="_-ddILaMOEeCojJW5vEuTEQ_1402285716" />
  <messageBuildingBlock
    xmi:id="_-hodgaMOEeCojJW5vEuTEQ_-1828123252"
    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="secl"
    messageFunctionality="006"
    flavour="001"
    version="02" />
</messageDefinition>

ISO Building Blocks

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