Message AccountSummaryReport Scenario base

SYNOPSIS: 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).
ELABORATION: 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.

ID MsgType Abbr Flow
127CQAcctSumRpt

Pedigree

Added EP Updated EP Deprecated EP
FIX.5.0SP2117FIX.5.0SP2162

Responses

None

Members

AccountSummaryReport base members
ID Name Abbr Presence Description
1024StandardHeaderBaseHeaderrequiredSYNOPSIS: The standard FIX message header
ELABORATION:
1699AccountSummaryReportIDRptID required SYNOPSIS: Unique identifier for the AccountSummaryReport(35=CQ).
715ClearingBusinessDateBizDt required SYNOPSIS: The business date for which the trade is expected to be cleared.
15CurrencyCcy optional SYNOPSIS: Identifies currency used for price. Absence of this field is interpreted as the default for the security. It is recommended that systems provide the currency value whenever possible. See "Appendix 6-A: Valid Currency Codes" for information on obtaining valid values.
900TotalNetValueTotNetValu optional SYNOPSIS: 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)
899MarginExcessMgnExcess optional SYNOPSIS: Excess margin amount (deficit if value is negative)
716SettlSessIDSetSesID optional SYNOPSIS: Identifies a specific settlement session
717SettlSessSubIDSetSesSub optional SYNOPSIS: SubID value associated with SettlSessID(716)
60TransactTimeTxnTm optional SYNOPSIS: Timestamp when the business transaction represented by the message occurred.
2190SettlementAmountGrpSettlAmtoptionalSYNOPSIS: The Settlement Amount Group component block is a repeating group of settlement amounts for an account
ELABORATION:
2177MarginAmountMgnAmtoptionalSYNOPSIS:
ELABORATION:
1012PartiesPtyrequiredSYNOPSIS: The Parties component block is used to identify and convey information on the entities both central and peripheral to the financial transaction represented by the FIX message containing the Parties Block. The Parties block allows many different types of entites to be expressed through use of the PartyRole field and identifies the source of the PartyID through the the PartyIDSource.
ELABORATION:
2191CollateralAmountGrpCollAmtoptionalSYNOPSIS: The Collateral Amount Group component block is a repeating group that provides the current value of the collateral type on deposit. The currency of the collateral value may be optionally included.
ELABORATION:
2192PayCollectGrpPayColoptionalSYNOPSIS: The Pay Collect Group component block is a repeatable block intended to report individual pay/collect items to be considered when calculating net settlement.
ELABORATION: A Pay/Collect is a payment or collection of funds by the clearing house to/from a clearing firm for a specific reason. Pay/Collects are typically netted to a single amount and factored into the firm’s daily net settlement. Values are to be maintained by an external code list. The currency of the pay/collect amount may be optionally included.
1014PositionAmountDataAmtoptionalSYNOPSIS: The PositionAmountData component block is used to report netted amounts associated with position quantities. In the listed derivatives market the amount is generally expressing a type of futures variation or option premium. In the equities market this may be the net pay or collect on a given position.
ELABORATION:
1025StandardTrailerTrlroptionalSYNOPSIS: The standard FIX message trailer
ELABORATION: