CME CLearing Collateral API

CME Clearing
Collateral API – CSV format
Updated December 31, 2014
Introduction
In 2014, CME deployed its API for clearing firms to accomplish collateral transactions – deposits,
withdrawals, substitutions, etc. The API has been implemented both for CME Clearing and CME Clearing
Europe.
The API is offered either via a file-based approach or a true message-based approach. The file-based
approach uses a simple CSV (“comma-separated values”) format. The message-based approach uses the
industry-standard FIXML format. This document explains the CSV format.
For the CSV format, each file contains a row of column headers which will then be followed by any
number of data records.
The firm submits a Request file to its Incoming directory, and shortly thereafter receives a Response file
to its Outgoing directory. The response file format is a superset of the request file.
In addition we publish a Collateral Transaction File three times daily, as well as on-demand,
enumerating the status of all collateral transactions, whether done through the API or requested
through the Asset Management user interface.
Request File naming convention:
Colat.API.CME.nnn.01.csv
for the production environment
NR.Colat.API.CME.nnn.01.csv for the New Release testing environment
Where
Colat.API
CME.nnn
01, 02, etc.
csv
identifies the file as containing collateral API transactions
identifies the file as being for clearing firm nnn of clearing organization CME
(use CCE for CME Clearing Europe)
is for use if the firm wishes to submit multiple files at the same time – for
example, for different lines of business or different guarantee funds
indicates that the file contains data in CSV format, with a row of column headers
followed by any number of data rows
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Response file naming convention:
The response files are created upon processing of the set of transaction requests in a request file, and
represent the immediate state of each transaction after initial processing. The naming convention is:
Colat.API.Rpt.CME.nnn.01.yyyymmdd-hhmmss.csv
for the production environment
NR.Colat.API.Rpt.CME.nnn.01. yyyymmdd-hhmmss.csv for the New Release environment
Where
Colat.API.Rpt identifies the file as containing a report on collateral API transactions
CME.nnn
identifies the file as being for clearing firm nnn of clearing organization CME
(use CCE for CME Clearing Europe)
01, 02, etc.
is for use if the firm wishes to submit multiple files at the same time – for
example, for different lines of business or different guarantee funds
yyyymmdd-hhmmss is a system-generated timestamp identifying the time of the report
csv
indicates that the file contains data in CSV format, with a row of column headers
followed by any number of data rows
Collateral transaction file naming convention:
The Collateral Transaction Files provide a cumulative dataset of all collateral transactions the firm has
requested or performed for the current business date, up to the point in time where the transaction file
is produced. The naming convention is:
Colat.TxnRpt.CME.nnn.ccc.yyyymmdd-hhmmss.csv
for the production environment
NR.Colat.TxnRpt.CME.nnn.ccc.yyyymmdd-hhmmss.csv for the New Release environment
As with the response files, nnn represents the clearing firm number. The ccc value will be one of ITD,
PM, EOD or OND.
The ITD file is produced immediately after the completion of the intraday settlement cycle.
The PM file is produced at approximately 6:00pm Eastern.
The EOD file is produced at approximately 11:00pm Eastern, after the completion of the end-ofday settlement cycle.
The OND file (“on demand”) file is produced upon request.
To obtain an on-demand transaction file, the firm should submit a request file to its Incoming directory
named as follows:
Colat.TxnRpt.Req.CME.nnn.csv
NR.Colat.TxnRpt.Req.CME.nnn.csv
for the production environment
for the New Release environment
where nnn is the firm number. The request file contents are not checked and the file may be empty.
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File format:
Fields that are common to both the request file and the response file:
Column
Description
Bus_Date
ReqID
Business Date as mm/dd/yyyy
Request ID – reference number for this request provided by submitting firm,
CME will quote this reference on the response file so firms can reconcile
Transaction Type (DP for deposit or WD for withdrawal)
(or TFRDP for a Transfer Deposit or TFRWD for Transfer Withdrawal –
valid for IEF2, IEF4, TRPY only)
Action Code (A for Add, C for Change, or D for Delete)
Clearing Organization – CME or CCE (CME Clearing Europe)
Clearing Member Firm ID
Asset Account ID
Funds Segregation Type (CSEG, CNSEG, COTC, NSEG)
Account Type (PB or SECR)
Business Function (CLR, XMOCC or SECR)
Guarantee Fund (optional – IRS, CDS or DFLT)
Asset Type (CASH, SECURITY, IEF2, IEF5, TRPY or IEF4)
TRPY is for tri-party custody arrangements and
IEF4 is for tri-party corporate securities
Asset Identifier (required for non-cash transactions)
Asset Identifier Type (CUSIP, ISIN, TICKER - required for non-cash transactions)
ISO currency code for the asset
Instruction Code (optional – deposit/withdrawal profile; if left blank system will
use default instruction on file with CH)
Par Amount (face value) of asset transaction (always positive)
Value Date for deposit or withdrawal (optional - mm/dd/yyyy format, response
file will overwrite this field with the value date assigned by the clearing system)
BIC code of Clearing House asset custodian or bank for deposit/withdrawal (See
Exhibit 1)
Transaction timestamp in UTC format (not needed on input file, will be supplied
on response file)
Instruction Reference ID – Provide a Fed Reference number for CME to track
incoming funds at the receiving bank (required for all cash deposits)
All or None indicator (Y or N)
Optional field for FX securities transactions when Trade_Date is different than
current business date
Lockup Amount – for investment programs such as IEF4, specifies the desired
absolute amount of value to be locked up.
Specify a value of OTHER to indicate that a transaction instruction text is
provided in the following field.
Allows the firm to specify particular instructions for the transaction disposition.
Only 50 characters of text may be specified.
TxnTyp
Actn
CO
CMF
AA
Fseg
Acct_Type
Bus_Func
Guar_Fund
Asset_Type
Asset_ID
ID_Type
Ccy
Instr_Code
Par_Amt
Value_Date
Custodian
Txn_Time
Wire_Ref
All_None
Trade_Date
Lockup_Amt
Txn_Instr_Code
Txn_Instr_Text
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Additional fields in the Response file:
Rpt_ID
Asset_Type_Dtl
Unique identifier for this report
Asset Type Detail – provides the detailed asset type code in the CME clearing
System for each specific security
Outgoing_ Ref
Outgoing instruction reference – the ID of the instruction sent by the Clearing
House to the bank or custodian
PB_Amt
Haircutted market value determined at the time of acceptance of the request
Status
Request Status code
Reason
If the request was rejected, the rejection reason
Txn_ID
Transaction ID for the request as assigned by the clearing system
Last_Update_Time
Timestamp for the last time the transaction was updated or status changed
Last_Update_User_ID The user ID who last modified the transaction (FTPCSV – initial upload ID)
Create_User_ID
The user ID who initially created the transaction
Fund_Name
For transactions in the IEF-2 (Money Market Fund) program, specifies the full
name of the fund.
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Notes:
The business date (Bus_Date) must match the business date of the clearing cycle into which the
transaction is submitted.
The request ID (ReqID) is a required alphanumeric value (no spaces of special chars) which the
submitting firm provides to identify its asset transaction request. Response file will maintain the ReqID
for firms to tie back to.
The transaction type (TxnTyp) is either DP for a deposit or WD for a withdrawal.
The funds segregation type (Fseg) is one of CSEG (customer segregated – used for customer collateral
for futures for CME and for CME Clearing Europe); CNSEG (used by CME Clearing Europe for customer
accounts in the “omnibus net” customer protection regime); COTC (customer cleared swaps for CME,
previously known as “cleared OTC customer sequestered”); or NSEG (house or proprietary, ie, nonsegregated business.)
The account type (Acct_Type) is either PB for collateral deposited to meet normal performance bond
(initial margin) requirements, or SECR for collateral deposited to meet guarantee fund (security deposit)
requirements.
The business function (Bus_Func) is one of CLR (for collateral deposited to meet normal performance
bond (initial margin) requirements, XMOCC (for collateral deposited to meet initial margin requirements
for the cross-margin agreement between CME and OCC), or SECR (for collateral deposited to meet
guarantee fund (security deposit) requirements.
The guarantee fund (Guar_Fund) is optional. Where collateral is held in an asset account which may be
used to meet margin obligations across guarantee funds, it should be omitted. Where collateral is held
in an asset account which is used only for a single guarantee fund, it may be provided, and if so should
be one of CDS (for the CDS guarantee fund), IRS (for the IRS guarantee fund), or DFLT (for the base
guarantee fund which is used for futures and swaps other than IRS or CDS).
The asset type (Asset_Type) is either CASH or SECURITY for non-cash assets whether equity or debt
securities. Other values are IEF2, IEF4, TRPY, IEF5. These are for the IEF-2 (Money Market Fund)
program, the IEF4, Tri-Party and IEF5 programs respectively.
The asset ID (Asset_ID) is the identifier for a non-cash asset, either the CUSIP, ISIN or Ticker. If the
transaction is cash, this is a blank field. For IEF2 purchases and redemptions, the CUSIP of the Fund must
be specified.
The ID Type (ID_Type) identifies the type of Asset ID supplied, either CUSIP, ISIN or Ticker. If the
transaction is cash or IEF5, this is a blank field.
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The instruction code (Instr_Code) is the value which identifies the transaction instruction profile to be
used. Not required for cash (which always uses the firm’s settlement bank account) or equities (which
are processed through DTCC.)
For deposits, identifies the clearing firm’s bank or custody account which is the source of the
deposit.
For withdrawals, identifies the clearing firm’s bank or custody account to which the asset should
be released.
If not provided, the firm’s default instruction code on file with the CH will be used.
The par amount (Par_Amt) is the face value of the asset deposit or withdrawal request. It should always
be provided as a positive number, in the asset’s currency of denomination.
The value date ( Value_Date) is optional, and if provided should be either the current clearing business
date or a future business date:

If provided for a deposit, it should indicate the expected value date on which the asset will be
received. Regardless of the value provided, however, credit for the asset will be given as soon
as the receipt of the asset is confirmed, even if this is earlier than the specified value date.

If provided for a withdrawal request, it should indicate the expected value date of the asset
release, presuming that the release is approved. Regardless of the value provided, however, the
actual value date of the release is driven by the point in time at which the release was approved.

The response file will overwrite this field with the value date assigned by the clearing system
The Custodian (Custodian) field identifies BIC codes of the Clearing House’s bank or custodian– either
the bank to which the asset is being deposited, or the bank from which the release is expected. See
Exhibit 1 for a list of BIC codes. Note that Custodian is not required for IEF2 transactions; instead the
Fund CUSIP number must be specified.
The transaction timestamp (Txn_Time) is an optional value which may be provided by the firm to
identify the time of the request. If provided, it must be in valid UTC format. The response file will
overwrite this field with the time the transaction was created in the clearing system.
For deposits, the wire reference field (Wire_Ref) captures the reference ID of the wire instruction used
to transmit the asset from the firm’s account to the Clearing House account. For example, for USD cash
being deposited via FedWire, this would provide the FedWire reference number for that wire. This field
is required for all cash deposits.
The All or None indicator (All_None) allows a firm to elect how transactions are processed if any of them
are deemed to be invalid. If Y, no transactions will be processed if any of them are deemed to be
invalid. If N or any other value, valid transactions will be processed while invalid ones will be skipped.
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On the response file
The Report ID (Rpt_ID) is a unique identifier for each transaction line in that particular response file.
The Asset Type Detail field (Asset_Type_Dtl) will supply the asset type code in the clearing system which
will also match firm’s collateral reports (for example TBILL, TNOTE, GSEOTH, FNMA, etc.)
The Outgoing Reference field (Outgoing_Ref) will contain the reference number assigned to the wire
sent by CME to the bank or custodian instructing them to deliver or expect to receive the asset.
The Transaction ID (Txn_ID) field contains the transaction ID assigned by the clearing system.
The Last Update Time (Last_Update_Time) field will reflect the last time that particular transaction was
updated, ie a change in status.
The Last Update and Create User ID (Last_Update_User_ID and Create_User_ID) will contain the user ID
for the individual who first created the transaction, and the last user to modify the transaction in any
way, including change of state (ie Pending status changed to Verified). A user ID of ‘FTPCSV’ means the
transaction was from a bulk upload file.
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Exhibit 1
When creating CSV files and posting to you firm’s FTP site the following BIC(s) are to be used in the
Custodian column.
Note for USD Cash, use the same BIC that corresponds to your firm’s settlement bank & account. For
foreign cash you must supply the BIC for CME’s concentration bank and not necessarily the same bank
where your firm banks that currency.
Cash
AUD – CHASGB2L
CAD – CITIGB2L
CHF – CHASGB2L
CNH – CITIGB2L
CZK – CITIGB2L
DKK – CITIGB2L
EUR – CITIGB2L
GBP – CHASGB2L
HKD – CHASGB2L
HUF – CITIGB2L
JPY – CITIGB2L, FTBCUS3C, CHASGB2L, BBHCUS33, HATRUS44 (all acceptable)
MXN – HATRUS44
NOK – CHASGB2L
NZD – CHASGB2L
PLN – CITIGB2L
SEK – CHASGB2L
SGD – CHASGB2L
TRY – CHASGB2L
ZAR – CHASGB2L
USD – CHASUS33, LBANUS41, HATRUS44, FTBCUS3C, BBHCUS33, CITIUS33, BOFAUS3N, IRVTUS3N
Securities
USD (Except Guarantee Fund – SECR) – HATRUS44, BBHCUS33, CHASUS33, IRVTUS3N, FTBCUS3C,
LBANUS41
USD for Base Guarantee Fund – SBOSUS3U
USD for IRS Guarantee Fund – SBOSUS3UIRS
USD for CDS Guarantee Fund – SBOSUS3UCDS
JPY, GBP, EUR, SEK – CITIGB2L
CAD – CITIUS33
Stock
All equities are pledged via DTCC – DTCYUS33
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Exhibit 2
For IEF2 Transactions
When creating CSV files and posting to you firm’s FTP site the following CUSIP(s) are to be used in the
Asset_ID column.
CUSIP
066922543
09248U700
09248U619
23337T201
147539670
26200V104
261908107
60934N203
36085P304
38141W364
38141W232
40428X107
404281172
4812A0367
61747C707
61747C715
74926P753
784924797
85749P101
90262Y869
90262Y877
94984B793
Fund Name
BlackRock Prime
BlackRock Fed Fund
BlackRock Temp Fund
DWS Money Market Series
DWS Government & Agency Institutional
Dreyfus Institutional Cash Advantage
Dreyfus Treasury Cash Management
Federated Prime Obligations Fund
FFI Select Institutional Fund
Goldman Prime Obligations
Goldman Money Market Fund
HSBC Investor U.S. Government Money Market
HSBC Investor Fund
JP Morgan Prime Money Market
Morgan Stanley Institutional Liquidity Government
Morgan Stanley Institutional Liquidity Prime
RBC Prime Money Market Fund
SSGA Prime Money Market Fund
State Street Institutional Liquid Reserves
UBS Select Prime Preferred
UBS Select Treasury Preferred
Wells Fargo Heritage Money Market Fund
For IEF5 Transactions
When creating CSV files and posting to you firm’s FTP site the following BIC(s) are to be used in the
Custodian column.
DEUTUS33
FTBCUS3CCUS
CHASUS33
WFBIUS6S
Deutsche Bank
Fifth Third
JP Morgan Chase
Wells Fargo
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