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Files

The Clearing Member activity will be informed by BME CLEARING through the files as follow:

  • Intraday (ID): With a frequency no longer than 10 min, when the Clearing Member have activity to report.
  • End of Day (EoD): Once the BME CLEARING close its activity for the session date, will send the files

 The files will be obtain on EoD through the SFTP access of BME CLEARING.

 

GROUP

FILE NAME

FILE CODE

DESCRIPTION

PUBLICATION TIME

TRADES

CPREREGISTER

REP-OP-001

Informs to   the Clearing Member and by Account level, all trades received by the CCPs   that have not been novated, indicating the status of Pending, Rejected or   Cancelled as well as events that have performed the operation spare Account.

ID and EoD

CREGISTER

REP-OP-002

Informs the   Clearing Member and by Account level all trades: receives and novated by the   CCP, new trades generated in the Post - Register Events as: Netting,   Transfer, Modified non-economic data, Maturity trades, all events that apply   over the trades and final trade status in the current session. This file   contain all the economics trade details as follow: Business date convention,   Day count fraction.

ID

CTRADES

REP-OP-003

Informs the   Clearing Member and by Account level all trades: receives and novated by the   CCP, new trades generated in the Post - Register Events as: Netting,   Transfer, Modified non-economic data, Maturity trades, all events that apply   over the trades and final trade status. This file non contain all the   economics trade details.

ID and EoD

CHISTORICREGISTER

REP-OP-004

Informs the   Clearing Member and by Account level all trades: receives and novated by the   CCP, new trades generated in the Post - Register Events as: Netting,   Transfer, Modified non-economic data, Maturity trades, all events that apply   over the trades and final trade status, the last 30 days.

EoD

CNETTINGPREVISION

REP-OP-005

Informs the   Clearing Member and by Account all elegibles trades for netting process and   the provision of the new position generated on EoD.

ID

CNETTINGTODAY

REP-OP-006

Informs the   Clearin Member and by Account level, all elegible trade for the Nettin   process in the EoD.

EoD

CBACKLOADINGPREVISION

REP-OP-007

Informs to   Clearing Members and by Account level the Initial Marin and Variation Margin   for all trade trades for the current Backloading process.

ID

CCONSIDERATIONS

REP-OP-008

Informs the   Clearing Member and by Account level the all futures upfront flows to   receive/pay by trade.

EoD

CCOUPONS

REP-OP-009

Informs the   Clearing Member and by Account level the details of the coupons amount for   all fixed and stimate flows to receive/pay by trade. This report   contain Swaps and Fras.

EoD

OPEN POSITION

COPINIRS

REP-OPIN-002

Informs the   Clearing Member and by Account level all Swap`s live trades details and trade   status.

EoD

COPINFRA

REP-OPIN-003

Informs the   Clearing Member and by Account level all FRA`s live trades details and trade   status.

EoD

CLIVETRADES

REP-OPIN-001

This files   has the same structure than CTRADES`s file, contain live trades only.

EoD

GENERAL DATA

CFIXING

REP-GENDAT-001

Informs the   fixings rate by Index reference for the last 12 month, included the current   session.

EoD and ID

CCALENDAR

REP-GENDAT-002

Informs the   non-working days, according to the Calendar specified by the eligibility   criteria.

EoD, DMP

CCURVES

REP-GENDAT-003

Informs the   Zero Rates curves used and discount Factor.

ID and EoD

MARGINS

CMARGINPARAMETERS

REP-MAR-001

Informs the   calculation Margin model.

EoD

CSCENARIOS

REP-MAR-002

Informs all   scenarios used for the margins calculations, included no VaR scaled scenario   table.

EoD

CSENSITIVITY

REP-MAR-003

Informs the   Clearing Member and by Account level, the sensitivities variations in the   interest rate.

EoD

CWORSTSCENARIOS

REP-MAR-004

Informs the   Clearing Member and by Account level the 10 (ten) worst-case scenarios and   loss scenarios.

EoD

CLIQUIDMARGIN

REP-MAR-005

Informs the   Clearing Members and by Account level, the hedge trades taken for the   liquidity margin calculation.

EoD

CTOTALINITIALMARGIN

REP-MAR-006

Informs the   Clearing Member and by Account level, Total IM calculated today , current   calculation method, current NPV, current VM,    calculation method from d-1, Total IM from D-1, NPV from D-1, VM from   D-1.

ID and EoD

CSTRESSTESTING

REP-MAR-008

Informs the   Clearing Member and by Account level, the Stress test results.

EoD

CBACKTESTING

REP-MAR-009

Informs the   Clearing Members and by Account level, the Back test results.

EoD

RESULTS

CNPV

REP-RES-001

Informs the   Clearing Member by trade and Account level the NPV value, Variation Margin   and PAI for all products type (IRS and PAI).

ID and EoD

CPLEDGES

REP-RES-003

Informs the   Clearing Member and by Account level, the valuation of the pledged postings   as a collateral detailed per asset in the CCP on a session date.

EoD

CMARGINSCLM

REP-RES-004

Informs the   Clearing Member, the margins requires details by concepts. Inform all type   of Collateral in CCP

EoD

CALLOCATION

REP-RES-005

Informs the   Clearing Member and by Account the assigned Collateral once the multilateral   settlement done.

EoD

CCASHMOVCLM

REP-RES-006

Informs the   Clearing Member the cash movements, including the Margin Calls intraday and   extraordinaries.

ID and EoD

CACCOUNTSETTLEMENT

REP-RES-007

Informs the   Clearing Member and by Account level all the settlement concepts for the   current session: Total IM, VM, PAI, Considerations, Coupons, Margin Calls Intraday   refund.

EoD

 

 

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