MT507 — Collateral Status and Processing Advice

The status acknowledgment for collateral messages. Used to confirm matching of a previous instruction, signal a rejection, or formalise a dispute — the last gate before compliance and risk management escalation.

Purpose

MT507 is the status advice on the collateral cycle. Four main statuses carried in :25D::COLL//:

• MTCH — Matched. Previous instructions are aligned, settlement will proceed.
• CANC — Cancelled. Explicit cancellation of a prior instruction (before matching).
• REJT — Rejected. Final reject of an instruction (ineligible security, invalid parameter…).
• DISP — Disputed. Disagreement on valuation, haircut, exposure: stops automatic settlement and triggers dispute resolution.

Disputes (DISP) are the critical operating mode: counterparties exchange their valuations (EXPN, COVR) face-to-face, the reason is traced in :24B: and a narrative in :70E::DISP//. Resolution must occur within the contractual timeframe (1-5 days per CSA), beyond which the gap is typically settled by arbitration or escalation to credit officers.

Sequence structure

• GENL — General Information: reference (SEME), linked message reference (RELA), :25D::COLL// status.
• COLLPRTY — Collateral Parties.
• DISPDET — Dispute Details (present only if status DISP): reason and quantified valuations from each party.

Block 4 tags

Real-world example

BNP Paribas (exposed) issues an MT507 DISP against the 17 May MT504 (Deutsche Bank proposed OAT 2032 with 3% haircut). BNP refutes: per its CSA annex, the applicable haircut is 3.5% not 3%. Consequence: Deutsche's post-haircut value (255,000 EUR DCOV after recalculation) is insufficient:

{1:F01BNPAFRPPAXXX0000000000}{2:I507DEUTDEFFXXXXN}{3:{108:CSA20260517002}}{4:
:16R:GENL
:20C::SEME//CSA20260517002
:20C::RELA//CP20260517001
:23G:NEWM
:98A::PREP//20260517
:22F::COLA//MARG
:25D::COLL//DISP
:16S:GENL
:16R:COLLPRTY
:95P::PTYA//BNPAFRPPXXX
:95P::PTYB//DEUTDEFFXXX
:97A::SAFE//CSA-2024-001
:16S:COLLPRTY
:16R:DISPDET
:24B::DISP/PRPV/HRCT
:19A::EXPN//EUR250000,00
:19A::COVR//EUR180000,00
:19A::DCOV//EUR255000,00
:19A::MARG//EUR70000,00
:19A::DMRG//EUR0,00
:70E::DISP//OAT32 HAIRCUT 3.5% PER CSA ANNEX SCHEDULE
:16S:DISPDET}

• :25D::COLL//DISP — Dispute status.
• :24B::DISP/PRPV/HRCT — reason: disagreement on applied haircut.
• :19A::EXPN//EUR250000,00 and :19A::COVR//EUR180000,00 — BNP-held valuation.
• :19A::DCOV//EUR255000,00 — coverage as recalculated by BNP after haircut adjustment.
• :70E::DISP// — narrative referring to the CSA annex schedule to justify the 3.5% haircut.

Common pitfalls

• Missing RELA — an MT507 without :20C::RELA// cannot be matched to the original message; the ETL quarantines it.
• DISP without DISPDET — a DISP status must always come with the DISPDET sequence (reason, disputed valuation). Without it, the recipient cannot drive resolution.
• Wrong 24B qualifier — using a DISP/… code not documented in the CSA prevents the ETL from routing the dispute to the right resolver (front office vs middle).
• Premature MTCH — issuing MTCH before checking collateral eligibility is risky: if the security is rejected in J+1 at settlement, erasing the MTCH breaks straight-through processing.
• No explicit cancellation — to cancel a prior instruction (before matching), issue an MT507 CANC rather than a new MT503 / MT504 with REVR. CANC is audit-traced, REVR less so.

ISO 20022 equivalent

• colr.011 — Margin Call Status Advice.
• colr.005 / colr.006 — Margin Call Dispute Notification (covers disputes more formally).

Related messages

• MT503, MT504, MT505 — collateral instruction messages.
• MT506 — Collateral and Exposure Statement (reconciliation basis).
• ISO 20022: colr family.