Beginning on Monday April 22, clearing firms may obtain at any time, an up-to-date datafile enumerating each specific collateral asset on deposit with CME Clearing. For each asset, in addition to face value, the report provides haircutted market value both in the currency of denomination and converted to USD-equivalent.
We expect that clearing firms will find this capability useful for collateral reconciliation and LSOC collateral value reporting.
Currently, this datafile is available three times daily: (a) the “intraday file”, produced at approximately 1pm Eastern, and reflecting amounts on deposit as of the completion of the intraday settlement cycle, (b) the “evening file”, produced at approximately 6pm, and reflecting collateral on deposit after all intraday collateral transactions and revaluations, and (c) the “end-of-day file”, produced at approximately 11pm Eastern, and reflecting amounts on deposit as they will be after the completion of the end-of-day settlement cycle.
With the new “on-demand” ability, firms will be able, at any time during the window for collateral transactions, be able to obtain an up-to-date file as of the point they request it.
Full technical details, including file format and request mechanism, are available at:
For more information or to request that your firm be set up for on-demand collateral files, please contact CME Clearing at 312-207-2525 or firstname.lastname@example.org.
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