MT506 — Collateral and Exposure Statement
The end-of-day bilateral collateral statement. A snapshot frozen at T0 of every open position between two counterparties under the same CSA, the contradictory basis for nightly reconciliation and raw material for ALM controls.
Purpose
MT506 delivers the frozen view at T0 (typically end of accounting day) of the bilateral collateral relationship:
- Summary — net exposure, collateral in place, remaining margin.
- Per-asset breakdown — each open collateral position with its ISIN, quantity, post-haircut value and deposit date.
- Cash collateral — separate from securities, with the current remuneration rate.
The recipient reconciles against its own ledger and issues a mirror MT506 the next day. Any discrepancy > tolerance triggers an MT507 dispute. MT506 is also the evidence document for regulators (EMIR, Dodd-Frank Title VII) to demonstrate daily variation margin execution.
Sequence structure
- GENL — General Information: reference, status (OPEN = open positions, CLOS = closed positions), snapshot date.
- COLLPRTY — Collateral Parties: party identifiers and CSA.
- SUMM — Summary: aggregated EXPN, COVR, MARG.
- COLLDET — Collateral Details (repeating): one block per asset (securities or cash).
Block 4 tags
| Tag | Name | Format | Usage |
|---|---|---|---|
:22F: | Indicator | :4!c/[8c]/4!c | STAT//OPEN (open positions), STAT//CLOS (closed positions). |
:98A: | Date | :4!c//8!n | PREP, STAT (statement reference date — typically the previous day). |
:19A: | Amount | :4!c//[N]3!a15d | EXPN, COVR, MARG, PSTV (per asset), HACC (cash collateral amount), MKTV. |
:35B: | Instrument | 4*35x | ISIN of the collateralised security, or CASH for the cash sequence. |
:36B: | Quantity | :4!c//4!c/15d | AGGR + FAMT (bonds) or AGGR + UNIT (equities). |
:97A: | Account | :4!c//35x | SAFE — CSA identifier. |
Real-world example
BNP Paribas → Deutsche Bank statement on 29 May 2026 on CSA-2024-001. Net exposure 320k€, collateral in place 315k€ (1 OAT + cash), remaining margin 5k€ (under MTAM, no call):
{1:F01BNPAFRPPAXXX0000000000}{2:I506DEUTDEFFXXXXN}{3:{108:CES20260530001}}{4:
:16R:GENL
:20C::SEME//CES20260530001
:23G:NEWM
:22F::STAT//OPEN
:98A::PREP//20260530
:98A::STAT//20260529
:16S:GENL
:16R:COLLPRTY
:95P::PTYA//BNPAFRPPXXX
:95P::PTYB//DEUTDEFFXXX
:97A::SAFE//CSA-2024-001
:16S:COLLPRTY
:16R:SUMM
:19A::EXPN//EUR320000,00
:19A::COVR//EUR315000,00
:19A::MARG//EUR5000,00
:16S:SUMM
:16R:COLLDET
:35B:ISIN FR0014007T87
OAT 0,50% 05/2032
:36B::AGGR//FAMT/80000,00
:19A::PSTV//EUR74496,00
:98A::SETT//20260521
:16S:COLLDET
:16R:COLLDET
:35B:CASH
:19A::HACC//EUR240504,00
:16S:COLLDET}:22F::STAT//OPEN— snapshot of open positions only.:98A::STAT//20260529— snapshot date (the day before at midnight).:19A::EXPN//EUR320000,00— net mark-to-market exposure.:19A::COVR//EUR315000,00— total collateral in place (74,496 OAT + 240,504 cash).:19A::MARG//EUR5000,00— remaining margin (5k < MTAM 50k → no call).- Two COLLDET blocks: 2032 OAT (PSTV) and 240,504 EUR cash (HACC).
Common pitfalls
- Inconsistent STAT date — snapshot date must be earlier than PREP. Setting STAT = PREP introduces a risk of including intra-day moves already covered by the previous statement.
- Cash collateral forgotten — many ETLs list only securities and forget the CASH line. The COVR total must always include the existing cash collateral.
- Mixed currency in COVR — all
:19A:values in SUMM must be converted to the CSA termination currency. Listing a USD cash next to an EUR PSTV without conversion biases reconciliation. - Closed positions in OPEN — verify that the day's substitutions have cleared the OLDCOLLs. An OLDCOLL listed in OPEN after a settled MT505 is a ledger bug.
- No materiality threshold — an MT506 with no posted tolerance triggers disputes on < 100 EUR gaps from haircut rounding. Agree on a bilateral threshold (typically 0.1% or an absolute amount).
ISO 20022 equivalent
- colr.009 — Collateral And Exposure Report (direct equivalent).
- colr.010 — Collateral Movement Report (intraday movements).