FRAMES | NO FRAMES

AccountSummaryReport (MsgType = CQ, FIXML = AcctSumRpt)

The AccountSummaryReport is provided by the clearinghouse to its clearing members on a daily basis. It contains margin, settlement, collateral and pay/collect data for each clearing member level account type. Clearing member account types will be described through use of the Parties component and PtysSubGrp sub-component.

In certain usages, the clearing members can send the AccountSummaryReport message to the clearinghouse as needed. For example, clearing members can send this message to the clearinghouse to identify the value of collateral for each customer (to satisfy CFTC Legally Segregated Operationally Commingled (LSOC) regulatory reporting obligations).

Clearing organizations can also send the AccountSummaryReport message to regulators to meet regulatory reporting obligations. For example, clearing organizations can use this message to submit daily reports for each clearing member (“CM”) by house origin and by each customer origin for all futures, options, and swaps positions, and all securities positions held in a segregated account or pursuant to a cross margining agreement, to a regulator (e.g. to the CFTC to meet Part 39, Section 39.19 reporting obligations).

The Parties component and PtysSubGrp sub-component are used to describe the clearing member number and account type for that report. Net settlement amount or amounts are provided using the SettlementAmountGrp component. Margin requirement amounts are provided using the MarginAmountData component.

The current collateral values for each valid collateral type is provided using the CollateralAmountGrp component. Likewise pay/collect information is provided using the PayCollectGrp component. Margin and pay/collect amounts can optionally be tied to markets and market segments for clearing houses that support multiple markets and market segments.

Tag Field Name FIXML Req'd Comments
<Standard Message Header> Y MsgType = CQ
<ApplicationSequenceControl> N
1699 AccountSummaryReportID @RptID Y

Unique identifier for the AccountSummaryReport(35=CQ).
715 ClearingBusinessDate @BizDt Y

The business date for which the trade is expected to be cleared.
15 Currency @Ccy N

Identifies the base reporting currency used in this report.
900 TotalNetValue @TotNetValu N

TotalNetValue is determined as follows:

At the initial collateral assignment TotalNetValue is the sum of (UnderlyingStartValue * (1-haircut)).

In a collateral substitution TotalNetValue is the sum of (UnderlyingCurrentValue * (1-haircut)).

For listed derivatives clearing margin management, this is the collateral value which equals (Market value * haircut)
899 MarginExcess @MgnExcess N

Excess margin amount (deficit if value is negative)
716 SettlSessID @SetSesID N

Identifies a specific settlement session
717 SettlSessSubID @SetSesSub N

SubID value associated with SettlSessID(716)
60 TransactTime @TxnTm N

Timestamp when the business transaction represented by the message occurred.
<SettlementAmountGrp> N

Minimum price increment for a given exchange-traded instrument. Could also be used to represent tick value.
<MarginAmount> N

This is an optional qualifying attribute of LegSettlementRateIndex(2176) such as the delivery zone for an electricity contract.
<Parties> Y

Used to identify the parties for the account (clearing organization, clearing firm, account type, etc.)
<CollateralAmountGrp> N

Minimum price increment amount associated with the LegMinPriceIncrement(2190). For listed derivatives, the value can be calculated by multiplying LegMinPriceIncrement(2190) by LegContractMultiplier(614).

<PayCollectGrp> N

Settlement method for a contract or instrument. Additional values may be used with bilateral agreement.
<PositionAmountData> N

Can be used to identify mark to market information for the position.
<Standard Message Trailer> Y

FRAMES | NO FRAMES