The Clearing Member activity will be informed by BME Clearing through the files as follow:
The files will be obtain on EoD through the SFTP access of BME Clearing.
GROUP | FILE NAME | FILE CODE | DESCRIPCTION | FORMAT |
---|---|---|---|---|
GENERAL DATA | CFIXING | REP-GENDAT-001 | Informs the fixings rate by Index reference for the last 12 month, included the current session. Also spot exchange rate for currencies other than the setllement one. | CSV |
CCALENDAR | REP-GENDAT-002 | Informs the non-working days, according to the Calendar specified by the eligibility criteria. | CSV | |
CCURVES | REP-GENDAT-003 | Informs the Zero Rates curves used and discount Factor. Also, it informs about the used rates for the curve building. | CSV | |
CLIQUIDITYMARGIN | REP-GENDAT-004 |
Informs the parameterization for the size position adjustment. it must contain as many parameterizations as kind of generics used for the ATP and Liquid Margin. |
CSV | |
CGENERICPRODUCTS | REP-GENDAT-005 |
Informs about the generic products used for the LiquidityMargin calculations. For each generic, the kind of risk asociated must be identified. |
CSV | |
CSCENARIOS | REP-GENDAT-006 |
Informs all scenarios used for the margins calculations, included no VaR scaled scenario table. |
CSV | |
TRADES | CBACKLOADINGPREVISION | REP-OP-001 |
Informs to Clearing Members and by Account level the Initial Margin and Variation Margin for all pending trades for the current Backloading process. |
CSV |
CTRADES | REP-OPIN-001 |
Informs the Clearing Member and by Account level all trades: received 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 does not contain all the economics trade details. |
CSV | |
OPEN POSITION | COPINIRSFRA | REP-OPIN-002 |
Informs the Clearing Member and by Account level all Swap`s and FRA`s live trades details and trade status. |
CSV |
CCOUPONS | REP-OPIN-003 |
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. |
CSV | |
CCONSIDERATIONS | REP-OPIN-004 |
Informs the Clearing Member and by Account level the all future and past upfront flows to receive/pay by trade. |
CSV | |
CMARGINPARAMETERS | REP-MAR-001 | Informs the calculation Margin model. | CSV | |
MARGINS | CSENSITIVITY | REP-MAR-002 |
Informs the Clearing Member and by Account level, the sensitivities variations in the interest rate. |
CSV |
CLIQUIDMARGIN | REP-MAR-003 |
Informs the Clearing Members and by Account level, the hedge trades taken for the liquidity margin calculation. |
CSV | |
CTOTALINITIALMARGIN | REP-MAR-004 |
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. |
CSV | |
CSTRESSTESTING | REP-MAR-005 | Informs the Clearing Member and by Account level, the Stress test results. | CSV |