| Tag | Name | Type | AssociatedDataTag | AbbrName | BaseCategory | BaseCategoryAbbrName | NotReqXML | EnumDatatype | UnionDataType | Description | Elaboration |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2084 | PreviousClearingBusinessDate | LocalMktDate | PrevBizDt | 0 | The date of the previous clearing business day. | ||||||
| 2085 | ValuationDate | LocalMktDate | ValDt | 0 | The date the valuation is to take place. | ||||||
| 2086 | ValuationTime | LocalMktTime | ValTm | 0 | The time the valuation is to take place. | ||||||
| 2087 | ValuationBusinessCenter | String | ValBizCtr | 0 | Identifies the business center whose calendar is used for valuation, e.g. "GLOB". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values. | ||||||
| 2088 | MarginAmtFXRate | float | FxRt | 0 | Foreign exchange rate used to compute the MarginAmt(1645) from the MarginAmtCcy(1646) and the Currency(15). | ||||||
| 2089 | MarginAmtFXRateCalc | char | FxRtCalc | 0 | 1046 | Specifies whether or not MarginAmtFXRate(2088) should be multipled or divided. | |||||
| 2090 | CollateralFXRate | float | FxRt | 0 | Foreign exchange rate used to compute the CurrentCollateralAmount(1704) from the CollateralCurrency(1646) and the Currency(15). | ||||||
| 2091 | CollateralFXRateCalc | char | FxRtCalc | 0 | 1046 | Specifies whether or not CollateralFXRate(2090) should be multipled or divided. | |||||
| 2092 | CollateralAmountMarketSegmentID | String | MktSegID | 0 | Market segment associated with the collateral amount. | ||||||
| 2093 | CollateralAmountMarketID | String | MktID | 0 | Market associated with the collateral amount. | ||||||
| 2094 | PayCollectFXRate | float | FxRt | 0 | Foreign exchange rate used to compute the PayAmount(1710) or CollectAmount(1711) from the PayCollectCurrency(1709) and the Currency(15). | ||||||
| 2095 | PayCollectFXRateCalc | char | FxRtCalc | 0 | 1046 | Specifies whether or not PayCollectFXRate(2094) should be multipled or divided. | |||||
| 2096 | PosAmtStreamDesc | String | StrmDesc | 0 | Corresponds to the value in StreamDesc(40051) in the StreamGrp component. | ||||||
| 2097 | PositionFXRate | float | FxRt | 0 | Foreign exchange rate used to compute the PosAmt(708) from the PositionCurrency(1055) and the Currency (15). | ||||||
| 2098 | PositionFXRateCalc | char | FxRtCalc | 0 | 1046 | Specifies whether or not PositionFXRate(2097) should be multipled or divided. | |||||
| 2099 | PosAmtMarketSegmentID | String | MktSegID | 0 | Market segment associated with the position amount. | ||||||
| 2100 | PosAmtMarketID | String | MktID | 0 | Market associated with the position amount. | ||||||
| 2101 | TerminatedIndicator | Boolean | TrmtdInd | 0 | Indicates if the position has been terminated. |
| Tag | Value | SymbolicName | Group | Sort | Description | Elaboration |
|---|---|---|---|---|---|---|
| 703 | CFE | CashFuturesEquivalentQuantity | 35 | Cash futures equivalent quantity | ||
| 707 | SACPN | StartOfDayAccruedCoupon | 20 | Start-of-day accrued coupon | ||
| 707 | NPV | NetPresentValue | 21 | Net present value | ||
| 707 | SNPV | StartOfDayNetPresentValue | 22 | Start-of-day net present value | ||
| 707 | NCF | NetCashFlow | 23 | Net cash flow | ||
| 707 | PVFEES | PresentValueOfFees | 24 | Present value of all fees | ||
| 707 | PV01 | PresentValueOneBasisPoints | 25 | Present value of one basis points | Change in value if yield curve shifts 0.01%. | |
| 707 | 5YREN | FiveYearEquivalentNotional | 26 | The five year equivalent notional amount | ||
| 707 | UMTM | UndiscountedMarkToMarket | 27 | Undiscounted mark-to-market | ||
| 1644 | 26 | SpreadResponseMargin | 26 | Spread response margin | Risk factor component associated with spread moves, curve shape changes and recovery rates. | |
| 1644 | 27 | SystemicRiskMargin | 27 | Systemic risk margin | Risk factor component to capture parallel shift of credit spreads. | |
| 1644 | 28 | CurveRiskMargin | 28 | Curve risk margin | Risk factor captures curve shifts based on portfolio. | |
| 1644 | 29 | IndexSpreadRiskMargin | 29 | Index spread risk margin | Risk factor component associated with risks due to widening/tightening spreads of CDS indices relative to each other. | |
| 1644 | 30 | SectorRiskMargin | 30 | Sector risk margin | Risk factor component to capture sector risk. | |
| 1644 | 31 | JumpToDefaultRiskMargin | 31 | Jump-to-default risk margin | Risk factor component to capture extreme widening of credit spreads of a reference entity. Also known as Idiosyncratic Risk. | |
| 1644 | 32 | BasisRiskMargin | 32 | Basis risk margin | Risk factor component to capture basis risk between index and index constituent reference entities. | |
| 1644 | 33 | InterestRateRiskMargin | 33 | Interest rate risk margin | Risk factor component associated with parallel shift movements in interest rates. | |
| 1644 | 34 | JumpToHealthRiskMargin | 34 | Jump-to-health risk margin | Risk factor component to capture extreme narrowing of credit spreads of a reference entity. Also known as Idiosyncratic Risk. | |
| 1644 | 35 | OtherRiskMargin | 35 | Other risk margin | Any other risk factors include in the Margin Model. | |
| 40213 | 11 | SettlementPayment | 11 | Settlement payment |
| MsgType | ComponentID | Name | CategoryID | SectionID | AbbrName | NotReqXML | Description | Elaboration | Deprecated |
|---|---|---|---|---|---|---|---|---|---|
| CQ | The AccountSummaryReport is provided by the clearinghouse to its clearing members on a daily basis. It contains margin, settlement, collateral and pay/collect data for each clearing member level account type. Clearing member account types will be described through use of the Parties component and PtysSubGrp sub-component. In certain usages, the clearing members can send the AccountSummaryReport message to the clearinghouse as needed. For example, clearing members can send this message to the clearinghouse to identify the value of collateral for each customer (to satisfy CFTC Legally Segregated Operationally Commingled (LSOC) regulatory reporting obligations). Clearing organizations can also send the AccountSummaryReport message to regulators to meet regulatory reporting obligations. For example, clearing organizations can use this message to submit daily reports for each clearing member (“CM”) by house origin and by each customer origin for all futures, options, and swaps positions, and all securities positions held in a segregated account or pursuant to a cross margining agreement, to a regulator (e.g. to the CFTC to meet Part 39, Section 39.19 reporting obligations). |
| ComponentID | ComponentType | CategoryID | Name | AbbrName | NotReqXML | Volume | Description | Elaboration | Deprecated |
|---|---|---|---|---|---|---|---|---|---|
| 2220 | Common | ||||||||
| 2221 | Common | ||||||||
| 2222 | Common |
| ComponentID | TagText | Indent | Position | Reqd | Description |
|---|---|---|---|---|---|
| 2177 | 1646 | Can be used to specify the base settlement currency if Currency(15) is not specified. | |||
| 2191 | 1705 | Can be used to specify the base settlement currency if Currency(15) is not specified. | |||
| 2192 | 1709 | Can be used to specify the base settlement currency if Currency(15) is not specified. |
| ComponentID | TagText | Indent | Position | Reqd | Description |
|---|---|---|---|---|---|
| 127 | 15 | 0 | 3.1 | 0 | Identifies the base reporting currency used in this report. |
| 127 | PositionAmountData | 0 | 10.1 | 0 | Can be used to identify mark to market information for the position. |
| 75 | 2084 | 0 | 9.1 | 0 | The business date previous to the clearing business date referred to by this maintenance request. |
| 75 | 2101 | 0 | 11.7 | 0 | |
| 75 | 64 | 0 | 17.1 | 0 | Position Settlement Date |
| 75 | 1592 | 0 | 20.02 | 0 | For a forward position this is an appropriate value to discount the mark to market amount from the contract’s maturity date back to present value. |
| 75 | 2085 | 0 | 20.03 | 0 | Valuation date of the position(s) in this report |
| 75 | 2086 | 0 | 20.04 | 0 | Valuation time of the position(s) in this report |
| 75 | 2087 | 0 | 20.05 | 0 | Business center of ValuationDate(2085) and ValuationTime(2086). Single value only. |
| 75 | RegulatoryTradeIDGrp | 0 | 28.1 | 0 | |
| 75 | PaymentGrp | 0 | 28.2 | 0 | |
| 72 | 2084 | 0 | 9.01 | 0 | The business date previous to the clearing business date referred to by this maintenance request. |
| 72 | 2085 | 0 | 9.02 | 0 | Valuation date of the position(s) in this report. |
| 72 | 2086 | 0 | 9.03 | 0 | Valuation time of the position(s) in this report. |
| 72 | 2087 | 0 | 9.04 | 0 | Business center of ValuationDate(2085) and ValuationTime(2086). Single value only. |
| 72 | 1592 | 0 | 9.05 | 0 | For a forward position this is an appropriate value to discount the mark to market amount from the contract’s maturity date back to present value. |
| 72 | 2101 | 0 | 11.7 | 0 | |
| 72 | 64 | 0 | 17.01 | 0 | |
| 72 | RegulatoryTradeIDGrp | 0 | 27.1 | 0 | The source, value and relationship of multiple trade identifiers for the same trade, e.g. Unique Swap Identifiers. |
| 72 | PaymentGrp | 0 | 27.2 | 0 | Additional payments or bullet payments. |
| 73 | 64 | 0 | 16.1 | 0 | |
| 71 | 64 | 0 | 7.1 | 0 | |
| 2177 | 2088 | 1 | 4.1 | 0 | |
| 2177 | 2089 | 1 | 4.2 | 0 | |
| 2191 | 2090 | 1 | 3.1 | 0 | |
| 2191 | 2091 | 1 | 3.2 | 0 | |
| 2191 | 2092 | 1 | 4.1 | 0 | |
| 2191 | 2093 | 1 | 4.2 | 0 | |
| 2192 | 2094 | 1 | 3.1 | 0 | |
| 2192 | 2095 | 1 | 3.2 | 0 | |
| 1014 | 2096 | 1 | 3.01 | 0 | Used when the PosAmt(708) value corresponds to a specific stream in of a swap. |
| 1014 | 2097 | 1 | 3.2 | 0 | |
| 1014 | 2098 | 1 | 3.3 | 0 | |
| 1014 | 2099 | 1 | 4.1 | 0 | |
| 1014 | 2100 | 1 | 4.2 | 0 |