SWIFT ISO 20022 - Message description - Margin Report (secl.005.001)

Scope

The MarginReport message is sent by the central counterparty (CCP) to a clearing member to report on:

• the exposure resulting from the trade positions
• the value of the collateral held by the CCP (market value of this collateral) and
• the resulting difference representing the risk encountered by the CCP.

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

Usage

There are four possibilities to report the above information. Indeed, the margin report may be structured as follows:

• per clearing member: the report will only show the information for the clearing member, or
• per clearing member and per financial instrument: the report will show the information for the clearing member, structured by security identification, or
• per clearing member and per non clearing member: the report will show the information for the clearing member (that is for global clearing member only) structured by non clearing member(s), or
• per clearing member and per non clearing member and per security identification: the report will show the information for the clearing member (global clearing member only) structured by non clearing member(s) and by security identification.

MrgnRpt