Iso20022

NetPositionV03

secl.004.001.03

Scope The Net Position Report message is sent by the central counterparty (CCP) to a clearing member to confirm the net position of all trade legs reported during the day.

The message definition is intended for use with the ISO 20022 Business Application Header.

Usage The central counterparty (CCP) nets all the positions per clearing account and sends the Net Position report message to the Clearing member.

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
%% NetPositionV03 recursion level 0 with max 0
NetPositionV03 *-- "1..1" ReportParameters1 : ReportParameters
NetPositionV03 *-- "1..1" Pagination : Pagination
NetPositionV03 *-- "1..1" IPartyIdentification35Choice : ClearingMember
NetPositionV03 *-- "0..1" IPartyIdentification35Choice : ClearingSegment
NetPositionV03 *-- "1..1" NetPosition3 : NetPositionReport
NetPositionV03 *-- "0..1" SupplementaryData1 : SupplementaryData

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

ReportParameters building block

Provides parameters of the margin report such as the creation date and time, the report currency or the calculation date and time. Parameters related to the net position. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% ReportParameters1 recursion level 0 with max 1
class ReportParameters1{
    NetPositionIdentification IsoMax35Text
    UpdateType StatementUpdateType1Code
    Frequency EventFrequency6Code
    ReportNumber IsoExact5NumericText
    ActivityIndicator IsoYesNoIndicator
}
ReportParameters1 *-- "1..1" IDateAndDateTimeChoice : ReportDateAndTime
%% IDateAndDateTimeChoice recursion level 1 with max 1

ReportParameters1 members

Member name Description Data Type / Multiplicity
NetPositionIdentification After netting, reference that is common to a net transaction to settle and all its underlying trades. IsoMax35Text - Required 1..1
ReportDateAndTime Date and time of the net position report. IDateAndDateTimeChoice - Required 1..1
UpdateType Indicates whether the statement is complete or contains changes only. StatementUpdateType1Code - Required 1..1
Frequency Frequency of the report. EventFrequency6Code - Required 1..1
ReportNumber Sequential number of the report. IsoExact5NumericText - Optional 0..1
ActivityIndicator Indicates whether there is activity or information update reported in the statement. IsoYesNoIndicator - Required 1..1

Pagination building block

Provides information about the number of used 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

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

Member name Description Data Type / Multiplicity

ClearingSegment building block

Clearing organisation that will clear the trade.

Note: This field allows Clearing Member Firm to segregate flows coming from clearing counterparty’s clearing system. Indeed, Clearing Member Firms receive messages from the same system (same sender) and this field allows them to know if the message is related to equities or derivatives. 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

Member name Description Data Type / Multiplicity

NetPositionReport building block

Provides the net position details such as the average deal price and net quantity. Provides the net positions details. For comparison, see the ISO20022 official specification

classDiagram
   direction tb
%% NetPosition3 recursion level 0 with max 1
class NetPosition3{
    SecuritiesMovementType ReceiveDelivery1Code
    TradingCapacity TradingCapacity5Code
    TradeDate IsoISODate
}
NetPosition3 *-- "1..1" SecuritiesAccount18 : ClearingAccount
NetPosition3 *-- "0..1" PartyIdentificationAndAccount31 : NonClearingMember
NetPosition3 *-- "0..1" SecuritiesAccount19 : DeliveryAccount
NetPosition3 *-- "1..1" SecurityIdentification14 : FinancialInstrumentIdentification
NetPosition3 *-- "0..1" AmountAndDirection21 : InitialPositionAmount
NetPosition3 *-- "1..1" AmountAndDirection21 : NetPositionAmount
NetPosition3 *-- "0..1" AmountAndDirection21 : AccruedInterestAmount
NetPosition3 *-- "0..1" Price4 : AverageDealPrice
NetPosition3 *-- "1..1" IFinancialInstrumentQuantity1Choice : NetQuantity
NetPosition3 *-- "1..1" IPartyIdentification34Choice : Depository
NetPosition3 *-- "0..1" MarketIdentification20 : PlaceOfTrade
NetPosition3 *-- "0..1" IDateFormat15Choice : SettlementDate
NetPosition3 *-- "0..0" TradeLeg10 : TradeLegDetails
%% SecuritiesAccount18 recursion level 1 with max 1
class SecuritiesAccount18{
    Identification IsoMax35Text
    Type ClearingAccountType1Code
    Name IsoMax70Text
}
%% PartyIdentificationAndAccount31 recursion level 1 with max 1
PartyIdentificationAndAccount31 *-- "1..1" IPartyIdentification33Choice : Identification
PartyIdentificationAndAccount31 *-- "0..1" AlternatePartyIdentification4 : AlternateIdentification
PartyIdentificationAndAccount31 *-- "0..1" PartyTextInformation1 : AdditionalInformation
PartyIdentificationAndAccount31 *-- "0..1" SecuritiesAccount18 : ClearingAccount
%% SecuritiesAccount19 recursion level 1 with max 1
class SecuritiesAccount19{
    Identification IsoMax35Text
    Name IsoMax70Text
}
SecuritiesAccount19 *-- "0..1" GenericIdentification30 : Type
%% SecurityIdentification14 recursion level 1 with max 1
class SecurityIdentification14{
    ISIN IsoISINIdentifier
    Description IsoMax140Text
}
SecurityIdentification14 *-- "0..0" OtherIdentification1 : OtherIdentification
%% AmountAndDirection21 recursion level 1 with max 1
class AmountAndDirection21{
    Amount IsoActiveOrHistoricCurrencyAndAmount
    CreditDebitIndicator CreditDebitCode
}
%% AmountAndDirection21 recursion level 1 with max 1
class AmountAndDirection21{
    Amount IsoActiveOrHistoricCurrencyAndAmount
    CreditDebitIndicator CreditDebitCode
}
%% AmountAndDirection21 recursion level 1 with max 1
class AmountAndDirection21{
    Amount IsoActiveOrHistoricCurrencyAndAmount
    CreditDebitIndicator CreditDebitCode
}
%% Price4 recursion level 1 with max 1
class Price4{
    Type PriceValueType7Code
}
Price4 *-- "1..1" IPriceRateOrAmountChoice : Value
%% IFinancialInstrumentQuantity1Choice recursion level 1 with max 1
%% IPartyIdentification34Choice recursion level 1 with max 1
%% MarketIdentification20 recursion level 1 with max 1
MarketIdentification20 *-- "0..1" IMarketIdentification1Choice : Identification
MarketIdentification20 *-- "1..1" IMarketType8Choice : Type
%% IDateFormat15Choice recursion level 1 with max 1
%% TradeLeg10 recursion level 1 with max 1
class TradeLeg10{
    TradeLegIdentification IsoMax35Text
    TradeIdentification IsoMax35Text
    TradeExecutionIdentification IsoMax35Text
    OrderIdentification IsoMax35Text
    AllocationIdentification IsoMax35Text
    TradeDate IsoISODate
    TransactionDateAndTime IsoISODateTime
    TradingCurrency CurrencyCode
    BuySellIndicator Side1Code
    TradeType TradeType1Code
    DerivativeRelatedTrade IsoYesNoIndicator
    TradeRegistrationOrigin IsoMax35Text
    TradingCapacity TradingCapacity5Code
    TradePostingCode TradePosting1Code
}
TradeLeg10 *-- "1..1" IDateFormat15Choice : SettlementDate
TradeLeg10 *-- "1..1" IFinancialInstrumentQuantity1Choice : TradeQuantity
TradeLeg10 *-- "1..1" Price4 : DealPrice
TradeLeg10 *-- "0..1" AmountAndDirection21 : GrossAmount
TradeLeg10 *-- "1..1" MarketIdentification84 : PlaceOfTrade
TradeLeg10 *-- "0..1" MarketIdentification85 : PlaceOfListing
TradeLeg10 *-- "0..1" PartyIdentificationAndAccount100 : Broker
TradeLeg10 *-- "1..1" IPartyIdentification35Choice : TradingParty
TradeLeg10 *-- "0..1" SecuritiesAccount19 : TradingPartyAccount
TradeLeg10 *-- "0..1" ISafekeepingPlaceFormat7Choice : SafekeepingPlace
TradeLeg10 *-- "0..1" SecuritiesAccount19 : SafekeepingAccount

NetPosition3 members

Member name Description Data Type / Multiplicity
ClearingAccount Identifies the clearing member account at the Central counterparty through which the trade must be cleared (sometimes called position account). SecuritiesAccount18 - Required 1..1
NonClearingMember Provides the identification for the non-clearing member. PartyIdentificationAndAccount31 - Optional 0..1
DeliveryAccount An account opened by the central counterparty in the name of the clearing member or its settlement agent within the account structure, for settlement purposes (gives information about the clearing member/its settlement agent account at the central securities depository). SecuritiesAccount19 - Optional 0..1
FinancialInstrumentIdentification Provides details about the security identification. SecurityIdentification14 - Required 1..1
InitialPositionAmount Provides the initial position amount. AmountAndDirection21 - Optional 0..1
NetPositionAmount Provides the net position amount. AmountAndDirection21 - Required 1..1
AccruedInterestAmount Interest that has accumulated on a bond since the last interest payment up to, but not including, the settlement date. AmountAndDirection21 - Optional 0..1
AverageDealPrice This is the price of the trade. Price4 - Optional 0..1
NetQuantity Identifies the quantity of the trade leg. IFinancialInstrumentQuantity1Choice - Required 1..1
SecuritiesMovementType Indicates the securities movement direction, that is, whether this is a delivery or return. ReceiveDelivery1Code - Required 1..1
Depository Place at which a trade settles. IPartyIdentification34Choice - Required 1..1
TradingCapacity Identifies the trading capacity of the seller. TradingCapacity5Code - Optional 0..1
PlaceOfTrade Place at which the security is traded. MarketIdentification20 - Optional 0..1
TradeDate Provides the date of the trade. IsoISODate - Optional 0..1
SettlementDate Provides the contractual settlement date. IDateFormat15Choice - Optional 0..1
TradeLegDetails Provides the trade leg details such as trade leg identification and trade type. TradeLeg10 - 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 NetPositionV03 implementation follows a specific implementaiton pattern. First of all, NetPositionV03 impleemnts IOuterRecord indicating it is the outermost logical part of the message definition. Like all message wrappers, NetPositionV03Document implements IOuterDocument. Because NetPositionV03 implements IOuterDocument, it is a suitable template parameter for IOuterDocument, and causes the internal ‘Message’ to be of type NetPositionV03.

classDiagram
    class IOuterRecord
    NetPositionV03 --|> IOuterRecord : Implements
    NetPositionV03Document --|> IOuterDocument~NetPositionV03~ : Implements
    class IOuterDocument~NetPositionV03~ {
        NetPositionV03 Message
     }

Document wrapper for serialization

The only real purpose NetPositionV03Document serves is to cause the document to be serialized into the ‘urn:iso:std:iso:20022:tech:xsd:secl.004.001.03’ namespace. Therefore, it will probably be the usual practice to build the message and construct this wrapper at the last minute using NetPositionV03.ToDocument() method. The returned NetPositionV03Document value will serialize correctly according to ISO 20022 standards.

classDiagram
    NetPositionV03Document *-- NetPositionV03 : 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.004.001.03">
    <NetPos>
        <RptParams>
            <!-- ReportParameters inner content -->
        </RptParams>
        <Pgntn>
            <!-- Pagination inner content -->
        </Pgntn>
        <ClrMmb>
            <!-- ClearingMember inner content -->
        </ClrMmb>
        <ClrSgmt>
            <!-- ClearingSegment inner content -->
        </ClrSgmt>
        <NetPosRpt>
            <!-- NetPositionReport inner content -->
        </NetPosRpt>
        <SplmtryData>
            <!-- SupplementaryData inner content -->
        </SplmtryData>
    </NetPos>
</Document>

Data from ISO specification

This is the technical data from the specification document.

<messageDefinition
  xmi:id="_9C7fsS0lEeSRe9rElPHBfg"
  name="NetPositionV03"
  definition="Scope&#xD;&#xA;The Net Position Report message is sent by the central counterparty (CCP) to a clearing member to confirm the net position of all trade legs reported during the day.&#xD;&#xA;&#xD;&#xA;The message definition is intended for use with the ISO 20022 Business Application Header.&#xD;&#xA;&#xD;&#xA;Usage&#xD;&#xA;The central counterparty (CCP) nets all the positions per clearing account and sends the Net Position report message to the Clearing member."
  registrationStatus="Registered"
  messageSet="_vZbScWwCEeSvG_1tXIrsqQ"
  xmlTag="NetPos"
  rootElement="Document"
  xmlns:xmi="http://www.omg.org/XMI">
  <messageBuildingBlock
    xmi:id="_9C7fsy0lEeSRe9rElPHBfg"
    name="ReportParameters"
    definition="Provides parameters of the margin report such as the creation date and time, the report currency or the calculation date and time."
    registrationStatus="Provisionally Registered"
    maxOccurs="1"
    minOccurs="1"
    xmlTag="RptParams"
    complexType="_Qk_hd9p-Ed-ak6NoX_4Aeg_937619716" />
  <messageBuildingBlock
    xmi:id="_9C7ftS0lEeSRe9rElPHBfg"
    name="Pagination"
    definition="Provides information about the number of used pages."
    registrationStatus="Provisionally Registered"
    maxOccurs="1"
    minOccurs="1"
    xmlTag="Pgntn"
    complexType="_Q65gBdp-Ed-ak6NoX_4Aeg_-21330104" />
  <messageBuildingBlock
    xmi:id="_9C7fty0lEeSRe9rElPHBfg"
    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="_9C7fuS0lEeSRe9rElPHBfg"
    name="ClearingSegment"
    definition="Clearing organisation that will clear the trade.&#xD;&#xA;&#xD;&#xA;Note: This field allows Clearing Member Firm to segregate flows coming from clearing counterparty's clearing system. Indeed, Clearing Member Firms receive messages from the same system (same sender) and this field allows them to know if the message is related to equities or derivatives."
    registrationStatus="Provisionally Registered"
    maxOccurs="1"
    minOccurs="0"
    xmlTag="ClrSgmt"
    complexType="_QPYd4dp-Ed-ak6NoX_4Aeg_-1523931735" />
  <messageBuildingBlock
    xmi:id="_9C7fuy0lEeSRe9rElPHBfg"
    name="NetPositionReport"
    definition="Provides the net position details such as the average deal price and net quantity."
    registrationStatus="Provisionally Registered"
    minOccurs="1"
    xmlTag="NetPosRpt"
    complexType="_Hkd7wS6aEeSQQqw1BT_aMg" />
  <messageBuildingBlock
    xmi:id="_9C7fvS0lEeSRe9rElPHBfg"
    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="004"
    flavour="001"
    version="03" />
</messageDefinition>

ISO Building Blocks

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