Asset Balances and Transactions XML Datafile

The Asset Balance and Transaction XML Datafile will be made available once daily for firms that have requested it. The file will be ready at approximately 6 PM. The file will contain end-of-day balances and a listing of all transactions for that business day. For the time being, the file will supply only information on US and Canadian government-backed securities – reporting on stock and cash on deposit will continue to be supplied by custodial banks through existing reports. One file will be provided per CME Settlement Account - If your firm has more than one settlement account with CME, you will need to request the files for each settlement account.

Each file will contain basic header data under the root element of the document, Firm_Holdings_and_Txn_Statement, one set of Group information that identifies your firm and account information with the CME, and any number of sets of Detail information detailing asset balanced and transactions. Within a Group, all Asset Balance Detail records will be listed first, followed by all Transaction Detail records.

What follows is a data-type-definition of the XML file format, followed by a detailed description of each data element that will be transmitted in the file. All fields will be transmitted as-is, without any leading zeros, spaces, etc. added. To view the maximum lengths of the fields being transmitted, please refer to the Flat File / Comma Delimited File layout – the length of fields there may be assumed to be the maximum length of the corresponding fields in the XML file.

DTD:

<!ELEMENT Firm_Asset_Balance_and_Txn_Statement (FileCreateDate, FileCreateTime, SenderCode, SenderName, BusDate, Group)>

<!ELEMENT FileCreateDate (#PCDATA)>

<!ELEMENT FileCreateTime (#PCDATA)>

<!ELEMENT SenderCode (#PCDATA)>

<!ELEMENT SenderName (#PCDATA)>

<!ELEMENT BusDate (#PCDATA)>

<!ELEMENT Group (ClOrg, SettlAcct, CMF, BusFunc, Segregation, AssetAcct, CustodianBIC, CMFSettlAcctBIC, CMFSettlAcctNo, CMFSettlAcctNm, Detail+)>

<!ELEMENT ClOrg (#PCDATA)>

<!ELEMENT CMESettlAcct (#PCDATA)>

<!ELEMENT CMF (#PCDATA)>

<!ELEMENT BusFunc (#PCDATA)>

<!ELEMENT Segregation (#PCDATA)>

<!ELEMENT AssetAcct (#PCDATA)>

<!ELEMENT CustodianBIC (#PCDATA)>

<!ELEMENT CMFSettlAcctBIC (#PCDATA)>

<!ELEMENT CMFSettlAcctNo (#PCDATA)>

<!ELEMENT CMFSettlAcctNm (#PCDATA)>

<!ELEMENT Detail (DataType, DpWd, TranRefNo, AssetTyp, CUSIP, ISIN, ParVal, Currency)>

<!ELEMENT DataType (#PCDATA)>

<!ELEMENT TxnType (#PCDATA)>

<!ELEMENT TxnRefNo (#PCDATA)>

<!ELEMENT AssetTyp (#PCDATA)>

<!ELEMENT CUSIP (#PCDATA)>

<!ELEMENT ISIN (#PCDATA)>

<!ELEMENT ParVal (#PCDATA)>

<!ELEMENT Currency (#PCDATA)>

Element Descriptions:

Note: There will be one Group per file, so you will receive a separate file for each business function, segregation type, etc.

Ø Firm_Asset_Balance_and_Txn_Statement Root of the document

· FileCreateDate Current system date. Format is CCYYMMDD

· FileCreateTime Current system time. Format is HH:MM:SS.

— SenderCode “CME”

— SenderName “Chicago Mercantile Exchange Inc.”

· BusDate Business Date. Asset snapshot represents EOD values for the date. Format is CCYYMMDD

Ø Group (SenderCode, SenderName, BusDate, ClOrg, SettlAcct, CMF, BusFunc, Segregation, AssetAcct, CustodianBIC, CustodyAcctNo, CustodyAcctNm, CashAcctNo, CashAcctNm, Detail+)

— ClOrg “CME”

— SettlAcct CME Settlement Account – the # used in the CME’s internal clearing systems to identify your firm’s settlement account

— CMF CME Clearing Member Firm # - the # used in the CME’s internal clearing systems to identify your firm

— BusFunc CME Business Function (ex. CLR, SECR, etc.) – the business function of the account (Clearing Account, Security Deposit account, etc.)

— Segregation Account Segregation (CSEG = Customer accounts; NSEG = House accounts)

— AssetAcct CME Asset Account # - The # used in the CME’s internal clearing systems to identify your firm’s asset account

— CustodianBIC BIC of the Custodian bank

— CMFSettlAcctBIC BIC of the bank where the Firm’s Settlement Cash Acct (coupon payment account) is held

— CMFSettlAcctNo Firm’s Settlement Cash Acct (Custodian's Cash Account # for Coupon Payments)

— CMFSettlAcctNm Name describing the Firm’s Settlement Cash Account

Ø Detail (DataType, DpWd, TranRefNo, AssetTyp, CUSIP, ISIN, ParVal, Currency)

— DataType "H" for holding or "T" for transaction

— DpWd For transactions only: "DP" for deposit (pledge) or "WD" for withdrawal (release)

— TranRefNo For transactions only: Transaction reference number. This is an internal # generated in the CME’s clearing system, to uniquely identify transactions. These #s are recycled every few days, but should differentiate between different transactions made on the same day.

— AssetTyp 'TBILL','TBOND','TNOTE','FNMA','FHLMC', etc.

— CUSIP CUSIP of the security

— ISIN ISIN # of the security

— ParVal Par Value of the security.

— Currency Currency