This topic provides the descriptions of three CSV-format reports which CME Group will be producing for clearing firms participating in the new cross-margin program with the Fixed Income Clearing Corporation (FICC), a subsidiary of the Depository Trust Clearing Corporation (DTCC.) The new program is expected to go live in early 2023. The three reports are produced in the CME Group New Release testing environment, for all firms which are participants in the existing agreement.
The reports are available via New Release Enterprise Reporting Portal (EREP):
- NR_XMFICCCUSIP – shows positions in individual treasury securities as allocated to the program by DTCC
- NR_XMFICCPOSN – shows positions as allocated to the program by FICC, converted to futures-equivalent for processing in SPAN
- NR_XMFICCMARGINSAVINGS – shows the savings from the program at each cycle, together with all numbers needed to follow the logic
The following cycle codes will be provided in the NR_XMFICCCUSIP and NR_XMFICCPOSN reports:
- ITD - intraday – positions as allocated to the program by DTCC to be used in intraday settlement cycles at both DTCC and CME Group
- EOD – preliminary end-of-day positions as allocated to the program by DTCC, to be used in the end-of-day settlement cycle at CME Group
- EODXM – final end-of-day positions as allocated to the program by DTCC, used to adjust the margin requirement provided in the end-of-day settlement cycle
- CUR - "current" – hourly files showing positions as allocated to the program at that point in time, beginning at approximately 7 a.m. CT. The 5 p.m. CT file can be used by participating clearing firms to determine the optimal set of Treasury futures to be allocated to the program in that day's end-of-day settlement cycle.
NR_XMFICCCUSIP - XM FICC CUSIP Firm Position Report
| Column | Description |
|---|---|
| BusDate | Business date as mm/dd/yyyy |
| Cycle | Cycle code, will be one of ITD, EOD, EODXM, CUR |
| Run | Run number, positive integer |
| RunTime | Timestamp |
| CO | Clearing organization -- CME |
| CMF | Clearing member firm ID – for example, 001 |
| PBA | Performance bond account ID – for example, 001XMFIC |
| Seg | Segregation type -- HOUS |
| FICC_ID | DTCC Participant ID |
| Exch | Exchange ID of the synthetic contract for margining – CBT |
| PFCode | Product code of the synthetic – for example, XM21 |
| PFType | Product type of the synthetic -- FUT |
| Period | Period code of the synthetic– for example 202209 |
| CUSIP | CUSIP of the individual Treasury security |
| MatDate | Maturity date of the Treasury security |
| Coupon | Coupon rate of the Treasury security, if applicable |
| Position | Notional position in this security, positive (long) or negative (short) |
| ConvFactor | Conversion factor for translating to futures-equivalent |
| Scalar | Contract size used for this conversion, either 100,000 or 200,000 |
| EquivPosition | Futures-equivalent position for margining, rounded to four decimals |
NR_XMFICCPOSN - XM FICC Equivalent Firm Position Report
| Column | Description |
|---|---|
| BusDate | Business date as mm/dd/yyyy |
| Cycle | Cycle code, will be one of ITD, EOD, EODXM, CUR |
| Run | Run number, positive integer |
| RunTime | Timestamp |
| CO | Clearing organization -- CME |
| CMF | Clearing member firm ID – for example, 001 |
| PBA | Performance bond account ID – for example, 001XMFIC |
| Seg | Segregation type -- HOUS |
| FICC_ID | DTCC Participant ID |
| PA | Position account ID |
| CME_TMF | Trade management firm ID for CME products |
| CBT_TMF | Trade management firm ID for CBOT products |
| Exch | Exchange ID of the synthetic contract for margining – CBT |
| PFCode | Product code of the synthetic – for example, XM21 |
| PFType | Product type of the synthetic -- FUT |
| Period | Period code of the synthetic– for example 202209 |
| LongPosn | Total notional long position for this bucket (two decimals) |
| ShortPosn | Total notional short position for this bucket (two decimals) |
| LongEquivPosn | Total long equivalent position |
| ShortEquivPosn | Total short equivalent position |
| NetEquivPosn | Net converted equivalent position for margining (integer) |
| FutAllocQty | Treasury Futures allocation quantity |
NR_XMFICCMARGINSAVINGS - XM FICC PB Requirements Report (ITD & EODXM)
| Column | Description |
|---|---|
| BusDate | Business date as mm/dd/yyyy |
| Cycle | Cycle code - ITD or EODXM |
| Run | Run number, normally 1 |
| CO | Clearing organization |
| CMF | Clearing member firm ID |
| SA | Settlement account |
| FSeg | Funds segregation type, always NSEG |
| PBA_XM | XM performance bond account ID |
| PBA_Main | Main (Non-XM) performance bond account ID |
| Seg | Segregation type – always HOUS |
| FICC_ID | DTCC participant ID |
| Ccy | Currency, always USD |
| Risk_CME_Allocated | Risk of CME positions in the Allocated acct as calculated by CME |
| Risk_CME_Unallocated | USD-equivalent risk on CME side for the Unallocated account |
| Risk_CME_Standalone | USD-equivalent risk on CME side in the main account assuming no allocation occurred |
| Savings_CME_Cycle | USD-equivalent XM savings on CME side at cycle time |
| Risk_CME_Cycle | USD-equivalent requirement on CME side at cycle time |
| Risk_FICC_Allocated | Risk of FICC positions in the Allocated acct as calculated by FICC |
| Risk_Combined_CME | Portfolio risk in the Allocation acct as calculated by CME Group |
| Risk_Combined_FICC | Portfolio risk in the Allocated acct as calculated by FICC |
| Savings_Pct_CME | Savings percentage for the Allocation acct using CME’s portfolio rqmnt |
| Savings_Pct_FICC | Savings percentage for the Allocation acct using FICC’s portfolio rqmnt |
| Min_Threshold_Pct | Minimum XM Savings Threshold Percentage |
| Max_Threshold_Pct | Maximum XM Savings Threshold Percentage |
| Savings_Pct_Applied | Final XM Savings Percentage i.e. minimum of Savings_Pct_CME and Savings_Pct_FICC |
| Risk_CME_Allocated_w_Savings | Total CME-side requirement in the Allocation acct after the credit has been adjusted |
| Risk_FICC_Allocated_w_Savings | Total FICC-side requirement in the Allocation acct after the credit has been adjusted |
| Risk_CME_XM | Total USD-equivalent requirement on CME-side that is sum of Unallocated acct and Allocation acct with credit adjustment |
| Risk_CME_Final | Total USD-equivalent requirement on CME side after adjustment |
| Adjustment_CME | CME-side XM Requirement adjustment amount |
| Savings_CME_Final | USD-equivalent XM savings on CME side after adjustment |
NR_XMFICCMARGINSAVINGS - XM FICC PB Requirements Report (EOD)
| Column | Description |
|---|---|
| BusDate | Business date as mm/dd/yyyy |
| Cycle | Cycle code - EOD |
| Run | Run number, normally 1 |
| CO | Clearing organization |
| CMF | Clearing member firm ID |
| SA | Settlement account |
| FSeg | Funds segregation type, always NSEG |
| PBA_XM | XM performance bond account ID |
| PBA_Main | Main (Non-XM) performance bond account ID |
| Seg | Segregation type – always HOUS |
| FICC_ID | DTCC participant ID |
| Ccy | Currency, always USD |
| Risk_CME_Allocated | Risk of CME positions in the Allocated acct as calculated by CME |
| Risk_CME_Unallocated | USD-equivalent risk on CME side for the Unallocated account |
| Risk_CME_Standalone | USD-equivalent risk on CME side in the main account assuming no allocation occurred |
| Savings_CME_Cycle | USD-equivalent XM savings on CME side at cycle time |
| Risk_CME_Cycle | USD-equivalent requirement on CME side at cycle time |
| Risk_FICC_Allocated | Risk of FICC positions in the Allocated acct as calculated by FICC |
| Risk_Combined_FICC | Portfolio risk in the Allocated acct as calculated by FICC |
| Savings_Pct_CME | Savings percentage for the Allocation acct using CME’s portfolio rqmnt |
| Min_Threshold_Pct | Minimum XM Savings Threshold Percentage |
| Max_Threshold_Pct | Maximum XM Savings Threshold Percentage |
| Risk_CME_Allocated_w_Savings | Total CME-side requirement in the Allocation acct after the credit has been adjusted |
| Risk_CME_XM | Total USD-equivalent requirement on CME-side that is sum of Unallocated acct and Allocation acct with credit adjustment |