Market Data and Reporting

• Trade data

• Settlement prices

• Cumulative volume

• Open Interest

• Block Trades

Cleared as OTC Products

Reporting

The following types of reporting are available to Clearing and Client Member firms.

Clearing Firm Reporting

CME Clearing makes available to Clearing Members numerous daily reports to assist with trade management, clearing, and settlement. Many of these reports are accessible through CME Group's Enterprise Reporting Portal (EREP). Please contact CME Clearing Services for assistance:

CAI500 Asset Inventory Trial Balance

This report provides a detailed account of all forms of collateral on deposit with CME group including the following information: type of collateral, PB value, PAR Value and USD equivalent Value (which applies to foreign securities). The report organizes information by Firm ID, Business function (either CLR for clearing or SECR for security deposit), account type and funds seg type code, CSEG is customer funds, NSEG is proprietary founds, currency, and finally by asset type. All respective banks that collateral is deposited at are noted along with all respective CUSIP/ISIN information for each piece of collateral (when applicable).

CST610 Recap Ledger - FNL Performance Bond Requirements

This report contains a higher level breakdown of performance bond on deposit with the exchange summarized by collateral type within each segregated fund type (CSEG, NSEG). The end of this report shows the total excess collateral on deposit as well as the Call/Release amount from the previous banking cycle. This report is generated after both banking cycles are completed each day and contains updated collateral holdings. This report also includes a breakdown of collateral.

CST620 Recap Ledger - Total Variation By Settlement

This report provides a summary of variation (the profit and loss of all positions in the portfolio since the previous banking cycle including the P/L of new positions in the portfolio) by product class. This report also shows the previous settlement amounts from the prior banking cycle and shows the current settlement amounts by currency, with a summary of the USD equivalent. This report also includes the total PB Cash on hand, and settlement amounts covered by PB cash on hand. 

CST680 Final Margin Accounts

This report provides Performance Bond (margin) requirements at each banking cycle across all currencies and breaks each requirement down by Core, Reserve, Concentration, and provides a summary. This report provides a detailed summary of all collateral types on deposit being applied to meet each Performance Bond increase, and showing the numbers in compared to the summary variation either paid or banked from each banking cycle. Included with the Margin requirements is the variation requirement from the current banking cycle. The report then breaks down all collateral on deposit from each segregated account type. The report shows a summary of total margin change since the previous observation while also showing any excess collateral that was applied to meet the margin call from the previous banking cycle. At the end of each page there is a summary of the data on that page, and at the end of the report there is a net summary which breaks down all collateral on deposit by Total margin on Deposit, Total margin Change, Total Margin in currency, T Bills, T Bonds, Excess Cash, Excess T Bills, Excess T Bonds, and a Total Excess number. If IEF 2 is on deposit, it will also be noted in this report. The report then shows the total collateral from letters of credit / government agencies by core and reserve, while also including IEF 5 funds being applied to core, reserve and concentration risk.

POS591 Daily Trade and Position Register

This report is the daily trade and position register. In that report is a detailed account of each trade executed. This includes the trade date, contract, contract month, price, opposite firm (where applicable), account to which the trade was booked, etc. Based on the contract and price all money amounts are provided – reset to par which is also referred to as trade variation, initial coupon, accrued coupon, mark from coupon, mark-to-market, etc. At the end of each of the contracts is a summary section **Product Totals** which provides the Total Banked Amount. The sum of each of these amounts, should equal the number on the POS593.

POS593 Daily Summary Report

This report provides an overall monetary credit or debit for each position account for each cycle for the variation margin composed of the initial/accrued coupons and deal/position mark-to-market.

POS520 Gross Position Change (PC) Listing

Provides a summary of all positions by contract/contract month clearing recognizes and as the member reported. Clearing attempts to reconcile to the same number the member submits, but on occasion Clearing has to display a different (the true) number. This report has the sum total of contracts for that date in the "TRADES" column, as well as the sum total across all applicable dates that the position has been held in "Gross Position".

End Client Reporting

Client Member Firms have various types of client reports available. Some of the reports are customized based on client requirements. 

CME BaCE

CME BaCE provides Executing Trading Firms with cross-broker trade confirmation for Energy products across CME Globex (NYMEX and DME), CME ClearPort and ICE cleared trades.