Segments

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.

GROUPFILE NAMEFILE CODEDESCRIPCTIONFORMAT
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. 
It also informs all hipotetical scenarios used for StressTest, 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.
If the Report destination Member is Clearing Member, the report shall include also the trades of other CCP members which are cleared by the Clearing Member.

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.
If the Report destination Member is Clearing Member, the report shall include also the trades of other CCP members which are cleared by the Clearing Member.

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.
If the Report destination Member is Clearing Member, the report shall include also the trades of other CCP members which are cleared by the Clearing Member.

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.
If the Report destination Member is Clearing Member, the report shall include also the trades of other CCP members which are cleared by the Clearing Member.

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.
If the Report destination Member is Clearing Member, the report shall include also the trades of other CCP members which are cleared by the Clearing Member.

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.
If the Report destination Member is Clearing Member, the report shall include also the accounts of other CCP members which are cleared by the Clearing Member.

CSV
CLIQUIDMARGIN REP-MAR-003

Informs the Clearing Members and by Account level, the hedge trades taken for the liquidity margin calculation.
If the Report destination Member is Clearing Member, the report shall include also the accounts of other CCP members which are cleared by the Clearing Member.

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.
If the Report destination Member is Clearing Member, the report shall include also other CCP members accounts which are cleared by the Clearing Member.

CSV
CSTRESSTESTING REP-MAR-005 Informs the   Clearing Member and by Account level, the Stress test results. CSV

 

 

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