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ISO 15022
Data Field Dictionary

Note

The use of this message type requires Message User Group (MUG) registration.

MT527 Scope

This message is sent by a trading party to its triparty agent to instruct the agent to perform a specific action on a collateral management transaction.

It is also sent by an account owner to an account servicer where the account servicer manages the account at the triparty agent on behalf of the trading party. The account owner may be a global custodian which manages an account with a triparty agent on behalf of their client or an investment management institution or a broker/dealer which has an account with their custodian.

This message is also used to request the cancellation of a previously sent Triparty Collateral Instruction.

The message may also be used to:

  • re-send a message previously sent (Subfunction of the message is DUPL)

  • provide a third party with a copy of the message for information (Subfunction of the message is COPY)

  • re-send to a third party a copy of the message for information (Subfunction of the message is CODU)

MT527 Format Specifications

The instruction contains four sequences:

  • Sequence A General Information provides general information about the instruction, that is, the function of the message, the identification of the collateral transaction, the references of the linked messages, the identification of the parties, the safekeeping account, the reason for which collateral is needed (the exposure type), the identification of the collateral action and the agent-specific information.

  • Sequence B Deal Transaction Details contains the deal transaction details.

  • Repetitive sequence C Securities Movement contains the securities movements.

  • Repetitive sequence D Cash Movement contains the cash movements.

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

----->

M

98a

4!c

Date/Time

(see qualifier description)

A, C, or E

5

-----|

----->

M

22a

4!c

Indicator

(see qualifier description)

F or H

6

-----|

----->

O

13B

4!c

Number Identification

(see qualifier description)

:4!c/[8c]/30x

7

-----|

----->

O

17B

4!c

Flag

(see qualifier description)

:4!c//1!a

8

-----|

O

25D

REST

Status Code

Response Status

:4!c/[8c]/4!c

9

-----> Mandatory Repetitive Subsequence A1 Collateral Parties

M

16R

 

 

Start of Block

COLLPRTY

10

----->

M

95a

4!c

Party

(see qualifier description)

L, P, Q, or R

11

-----|

O

97a

4!c

Account

(see qualifier description)

A, B, or D

12

O

22F

TRCA

Indicator

Party Capacity Indicator

:4!c/[8c]/4!c

13

M

16S

 

 

End of Block

COLLPRTY

14

-----| End of Subsequence A1 Collateral Parties

----->

O

70E

4!c

Narrative

(see qualifier description)

:4!c//10*35x

15

-----|

-----> Optional Repetitive Subsequence A2 Linkages

M

16R

 

 

Start of Block

LINK

16

O

13a

LINK

Number Identification

Linked Message

A or B

17

M

20a

4!c

Reference

(see qualifier description)

C or U

18

M

16S

 

 

End of Block

LINK

19

-----| End of Subsequence A2 Linkages

M

16S

 

 

End of Block

GENL

20

End of Sequence A General Information

Optional Sequence B Deal Transaction Details

M

16R

 

 

Start of Block

DEALTRAN

21

O

94a

TRAD

Place

Place of Trade

B or L

22

----->

O

17B

4!c

Flag

(see qualifier description)

:4!c//1!a

23

-----|

----->

O

99B

4!c

Number Count

(see qualifier description)

:4!c//3!n

24

-----|

M

98a

TERM

Date/Time

Closing Date/Time

A, B, or C

25

----->

O

19A

4!c

Amount

(see qualifier description)

:4!c//[N]3!a15d

26

-----|

-----> Optional Repetitive Subsequence B1 Amount Breakdown

M

16R

 

 

Start of Block

BREAK

27

M

13B

LOTS

Number Identification

Lot Number

:4!c/[8c]/30x

28

M

19A

SPIA

Amount

Split Amount

:4!c//[N]3!a15d

29

M

16S

 

 

End of Block

BREAK

30

-----| End of Subsequence B1 Amount Breakdown

----->

O

92a

4!c

Rate

(see qualifier description)

A or C

31

-----|

O

11A

PRIC

Pricing Rate Currency

Pricing Rate Currency

:4!c//3!a

32

----->

O

22a

4!c

Indicator

(see qualifier description)

F or H

33

-----|

M

16S

 

 

End of Block

DEALTRAN

34

End of Sequence B Deal Transaction Details

-----> Optional Repetitive Sequence C Securities Movement

M

16R

 

 

Start of Block

SECMOVE

35

M

22H

INOU

Indicator

In/Out Indicator

:4!c//4!c

36

M

35B

 

 

Identification of the Financial Instrument

[ISIN1!e12!c]
[4*35x]

37

M

36a

QSEC

Quantity of Financial Instrument

Quantity of Securities

B or D

38

M

17B

COLL

Flag

Collateral Flag

:4!c//1!a

39

O

97a

4!c

Account

(see qualifier description)

A, B, or D

40

O

20C

CSMV

Reference

Client's Securities Movement Reference

:4!c//16x

41

M

16S

 

 

End of Block

SECMOVE

42

-----| End of Sequence C Securities Movement

-----> Optional Repetitive Sequence D Cash Movement

M

16R

 

 

Start of Block

CASHMOVE

43

M

22H

INOU

Indicator

In/Out Indicator

:4!c//4!c

44

M

19A

CASH

Amount

Cash Amount

:4!c//[N]3!a15d

45

O

17B

COLL

Flag

Collateral Flag

:4!c//1!a

46

O

97a

CASH

Account

Cash Account

A or E

47

O

20C

CCMV

Reference

Client's Cash Movement Reference

:4!c//16x

48

M

16S

 

 

End of Block

CASHMOVE

49

-----| End of Sequence D Cash Movement

-----> Optional Repetitive Sequence E Additional Information

M

16R

 

 

Start of Block

ADDINFO

50

----->

O

95a

4!c

Party

(see qualifier description)

C, L, P, Q, or R

51

-----|

M

16S

 

 

End of Block

ADDINFO

52

-----| End of Sequence E Additional Information

MT527 Network Validated Rules

  • C1 In sequence A, if the value of field :23G:<Function> subfield 1 is REPL, then sequence B is not allowed, otherwise it is mandatory.

    Sequence A

    if value of field :23G:4!c[/4!c] subfield 1 is ...

    Then sequence B is ...

    REPL

    Not allowed

    NEWM

    Mandatory

    CANC

    Mandatory

  • C2 If sequence A field :22a::COLA// is other than SLEB and sequence B is present, then field :19A::TRAA must be present..

    If sequence B is ...

    And sequence A

    field :22a::COLA is ...

    Then sequence B

    field :19A::TRAA is ...

    Present

    SLEB

    Optional

    Not SLEB (1)

    Mandatory

    Not present

    Not applicable

    Not applicable
    (1) if the Data Source Scheme is present in field :22F::COLA// then the conditional rule does not apply.

  • C3 In sequence A, all qualifiers of field 98a are optional, but at least one (any one) must be present.

  • C4 In each occurrence of subsequence A1, if field :95L::ALTA is present, then field :95a::ACOW must be present.

    In each occurrence of sequence E, if field :95a::ALTE is present, then field :95a:: must be present with only one other qualifier (ISSU or INVE only) in the same occurrence of the sequence.

  • C5 When in sequence B field :22F::OFRF is present, then in sequence B field :99B::FFRD must not be present.

MT527 Usage Rules

Triparty Scenario's

The triparty collateral management service is used by two trading parties at the agreement of a business transaction (for example, a repo, a securities loan, ... ) when they want to secure the transaction with collateral. The management of this collateral (that is, agreeing on quantity and type, marking to market, ... ) is done by a third party, the triparty collateral manager.

Before starting to use these services, the three parties will first sign a contract in which they stipulate the rules of the agreement.

There are three types of triparty collateral management:

  1. collateral management without settlement,

  2. collateral management with settlement of the collateral on the books of the agent,

  3. collateral management with external settlement.

In the first scenario the triparty agent will calculate the necessary quantity of collateral and instruct the trading parties on which movements need to occur. For example, party A and party B closed a repo deal for 1,000,000 USD. They inform the triparty agent of the deal details. The agent will then calculate which pieces of collateral need to be moved to cover the 1,000,000 USD exposure and will inform the trading parties. Parties A and B then settle the movements as instructed by the agent.

In the second scenario the triparty agent will also execute the settlement. By servicing a safekeeping account for both parties, the agent will not only calculate the necessary movements but will also settle them internally on its books.

The third scenario is only a slight deviation from the second one. In this case the agent has the authority to move securities from party A's and B's safekeeping accounts with their respective subcustodians.

Triparty Definitions

Collateral Management Transaction

The triparty agent will create this transaction on receipt of the deal information from the two trading parties. For example, when party A and B have agreed on a securities loan and have reported this information to the triparty agent, the agent will create a collateral management transaction to manage this securities loan on its internal systems.

A transaction is created, can be changed and is terminated.

Collateral Management Instruction

The trading parties will request the triparty manager to perform certain instructions on the collateral management transaction. An instruction can be to initiate a transaction, modify the terms of a transaction, or close a transaction (non-exhaustive list of instructions). The triparty agent will send feedback on the requested instruction.

Lifecycle of Collateral Management Transaction

When a transaction is initiated, agreed on by both parties, accepted and declared valid by the triparty agent, the lifecycle of the transaction starts. The transaction will normally last as long as the underlying deal. At the end of its lifecycle a transaction is closed.

Lifecycle of Collateral Management Instruction

The lifecycle of a collateral management instruction starts when the user of the triparty service sends an instruction message. At receipt of the instruction message, the triparty agent will process the instruction and assign a status (that is, valid or rejected). At each step in the lifecycle of an instruction a different status will be assigned. For example, an instruction can be valid for processing or rejected because it is incorrect. If an instruction needs to be matched (for example, two initiation- instructions from party A and B need to match) it can have a status matched or unmatched. Other statuses describe the sufficiency or eligibility of the collateral.

Delivery by Value (DBV) Scenario

A Delivery by Value (DBV) is a collateral mechanism whereby the collateral giver and collateral taker do not specify specific securities, but supply a value and a category of securities to the third party, for example, a CSD, which then allocates an appropriate basket of securities to the DBV transaction.

Collateral is automatically returned from the taker to the giver the next day, due to automated transactions created by the CSD in response to the DBV instruction. Each return transaction is created against a proportional payment of the original consideration of the DBV transaction (which may differ from the value of the basket of securities). This return is executed using regular settlement confirmation messages.