Daily Collateral Statement Report

Daily Collateral Statement Report Summary

The Daily Collateral Statement Report is available to clearing participants to identify all cash and noncash collateral lodged with ASX Clear for their daily cash market margin. The Daily Collateral Statement Report is available each business day when the clearing participant has cash or non-cash collateral for cash market margining lodged with ASX Clear.

Details on how to access this report via ASX FTP will be provided directly to Clearing Participants. The report filename will contain business date to help identify the correct business day’s report.

The report naming convention is structured as follows:

  • DailyCMMCollateralStatement<ReportGenerationDate><FirmCode>.PDF; and

  • DailyCMMCollateralStatementFile<ReportGenerationDate><FirmCode>.CSV, where:

    • <FirmCode> is the 4 character code representing the firm.

    • <ReportGenerationDate> is the date of report generation in yyMMdd format.

Daily Collateral Statement Report Process Flow

Daily Collateral Statement Report Process

Step

Description

Party

Recipient

Message Reference

Step

Description

Party

Recipient

Message Reference

1

Clearing Participants are required to request access to receive the Daily Collateral Statement Report. Once opted-in to receive this report, the report will be made available daily on an unsolicited basis.

Further details regarding the on-boarding process will be made available in a subsequent release.

The End of Day process is triggered to perform report generation.

ASX Clear

-

-

2

ASX generates the Daily Collateral Statement Report.

ASX Clear

-

-

3

The Daily Collateral Statement Report is made available via FTP to the Clearing Participant.

ASX Clear

Clearing Participant

Daily Collateral Statement Report

Business Values and Rules

Daily Collateral Statement Report

The Daily Collateral Statement Report is made available via FTP to the Clearing Participant.

ASX Element Name

Data Type

Guidelines

ASX Element Name

Data Type

Guidelines

Ledger Code

String

Indicates the ledger associated to the Clearing Participant.

Currency Code

String

Indicates the currency code applicable. In this case, Australian Dollars (AUD) is present.

CP Code

String

Indicates the 4 character Clearing Participant identifier.

Account Code

String

Indicates the type of account, either:

  • House (HOUSE); or

  • Client (CLIENT).

Lodgement Date

Date (dd-Mmm-yy)

Indicates the applicable date for which collateral statement report is requested.

Collateral Type

String

Indicates the classification of the collateral by ASX.

ISIN

String

Indicates the Financial Product for which the Daily Collateral Statement is being reported. Further details of International Securities Identification Numbers (ISIN) are detailed here.

Coupon Rate

Decimal (Percentage)

Indicates the interest rate earned on the lodged bond (currently only applicable to ASXCLF).

Maturity Date

Date (dd-Mmm-yy)

Indicates the maturity date of the bond (currently only applicable to ASXCLF).

Stock Code

String

Indicates the stock code applicable.

Units

Integer

Identifies the number of units of the security lodged as collateral.

Expected Face Value

Integer

Indicates the expected face value of the bond that has been approved and not deployed by ASX.

Confirmed Face Value

Integer

Indicates the actual face value balance of the bond.

Price

Decimal

Indicates the price of the security lodged as collateral.

Expected Market Value

Integer

Indicates the current market value of the collateral.

Confirmed Market Value

Integer

Indicates the market value of the collateral at end of day.

Haircut

Decimal (Percentage)

Indicates the percentage discount applied to the market value of securities that was used to determine the collateral value.

Collateral Value

Decimal

Indicates the value of the collateral determined by ASX Clear after a haircut is applied to the current Market Value.

Total Collateral Value

Decimal

Indicates the total calculated collateral value after haircut.

Exchange Collateral Value

Decimal

Indicates the Currency converted total calculated collateral value.

Breach Code

Boolean

Indicates the breach of an internal ASX Collateral restriction for the collateral.

Exchange Currency

String

Indicates the Currency of the exchange. In this case, Australian Dollar (AUD) will be present.

Exchange Rate

Decimal (Percentage)

Indicates the percentage of the applicable exchange rate.

CH Code

String

Indicates the Clearing House (CH) code.

Calc Type

String

Indicates the calculation methodology applied.

Currency Haircut

Decimal (Percentage)

Indicates the percentage discount applied to the currency exchange rate that was used to determine the collateral value.