CME
Layout for Results

The following table provides the record layout for the Cross Margin Results file which will be made available on request by CME® to clearing members participating in the CME-LCH Cross Margining program.

The file will be made available by CME at the end of each night's end-of-day clearing cycle. Firms may also elect to receive a file produced after CME's intraday clearing cycle.

Assuming that the clearing member has exactly one performance bond account participating in the program (as will typically be the case at program inception), the file will contain exactly two records. For the file produced at CME's end-of-day cycle:

  • One record will contain the results of that day's LCH end-of-day cycle.  The delta available for spreading on this record will be used by CME for that day's end-of-day margin cycle and for the next day's intraday cycle.  The transmitting clearing organization on this record will be LCH.
  • The other record will contain the results of that day's CME end-of-day cycle. The transmitting clearing organization will be CME.

For the file produced at CME's intraday cycle:

  • One will contain the results of the previous day's LCH end-of-day cycle.  As before, the transmitting clearing organization on this record will be LCH.

  • The other record will contain the results of that day's CME intraday cycle.  The delta available for spreading on this record will be used by LCH for that day's end-of-day margin cycle. As before, the transmitting clearing organization on this record will be CME.
Field Start Field End Field Length Format Picture Field Name Description
1 8 8 N 9(8) Business Date CCYYMMDD
9 9 1 AN X(1) Execution Cycle "I" for Intraday, "S" for Settlement
10 14 5 AN X(5) Transmitting Clearing Org Clearing organization providing the spreadable delta
15 19 5 AN X(5) Receiving Clearing Org Clearing organization which will use (or which used) the delta
20 24 5 AN X(5) Clearing Member Clearing member firm ID
25 39 15 AN X(15) Clearing Account Id Performance bond account ID
40 40 1 AN X(1) Segregation Type Origin - "C" for CUST or "H" for HOUS
41 45 5 AN X(5) Product Group Code Product group for this combined commodity
46 50 5 AN X(5) Combined Commodity Code Combined commodity code at the transmitting clearing organization
51 53 3 AN X(3) Combined Commodity Performance Bond Currency Currency for which the PB requirement for this combined commodity is denominated
54 54 1 AN X(1) Sign of Delta "+" or "-"
55 67 13 N 9(9)V9(4) Cross Margin Spreadable Delta Delta available for spreading - the delta being provided by the transmitting clearing organization in this combined commodity to the receiving clearing organization, for use in intercommodity spreading for determination of cross-margin savings
68 68 1 AN X(1) Sign of Cross-Margin Savings "+" or "-"
69 83 15 N 9(13)V99 Cross Margin Savings Transmitting Clearing Org XM Savings - the savings at the prior cycle due to cross-margining which the transmitting clearing organization provided
84 100 17 - - Filler -

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