LME Systems User Guide For Members

LME Systems User Guide For Members LCH.
CLEARNET LIMITED
LCH.Clearnet Ltd
SECTION 6
Reports
REPORTS Various reports are available to members via the Print/Browser facility (see Section 7). Although all are available from the one area some are LME Matching and Clearing system reports and some are LCH.Clearnet Ltd Banking reports. The banking reports are the same as those available to members via TRS/CPS. This section covers all reports available to a member and gives a brief description.
6.1
LME MATCHING AND CLEARING SYSTEM REPORTS With the exception of the Open Position Report all of the Matching and Clearing reports are created automatically and have a lead page showing member name and address in the following format (Figure 1).
Figure 1 6.1.1 End of Day Outstanding Alleged Trades (MM122) This report shows a members alleged t ades made against them that r were outstanding at the end of the previous business day. These trades
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have been deleted from the system and any members agreeing these trades should contact the alleging counterparty directly and agree if the trade is to be re-input to the LME system the next business day. This report is in Commodity/Trade date order and shows all futures (Figure 2), followed by all carries (Figure 3), followed by all traded options (Figure 4) followed by all TAPO trades. Details are then shown in subtotals per counterparty. Futures Page For futures the following details are shown on this report (Figure 2):
Figure 2 Member The member for whom the report was produced. Trade Date The trade date for which this trade was alleged. Lots The number of lots alleged for this trade. Price The price at which this trade was alleged.
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Prompt Date The prompt date for which this trade was alleged. Seller If the operating member is alleged to be the buyer this field shows the seller. Buyer If the operating member is alleged to be the seller this field shows the buyer. Acc The alleged sub-account for this field. Trade Time The time that the trade was executed. Trade Type The trade type code for which the trade was executed. The Carries Page For carries the following details are shown on this report (Figure 3).
Figure 3
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Member The member for whom the report was produced. Trade Date The trade date for which this trade was alleged. Lots The number of lots alleged for this trade. Price The price at which this trade was alleged. Prompt Date The prompt date for which this trade was alleged. Seller If the operating member is alleged to be the buyer this field shows the seller. Buyer If the operating member is alleged to be the seller this field shows the buyer. Acc The alleged sub-account for this field. Trade Time The time that the trade was executed. Trade Type The trade type code for which the trade was executed. The Options Pages Identical details are shown for both Traded and TAPO options, however for traded options the heading End of Day Outstanding Alleged Trades Options will be displayed at the top of the page, and for TAPOS End of Day Outstanding Alleged Trades TAPOS will be shown. For options the following details are shown on this report:
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Figure 4 Member The member for whom the report was produced. Trade Date The trade date for which this trade was alleged. C/P C to represent an alleged call trade, P to represent a put. Lots The number of lots alleged for this trade. Premium The premium at which this trade was alleged. Strike Price The strike price at which this trade was alleged to have been executed. Month The expiry month for which this trade was alleged.
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Seller If the operating member is alleged to be the buyer this field shows the seller. Buyer If the operating member is alleged to be the seller this field shows the buyer. Acc The alleged sub-account for this field. Trade Time The time that the trade was executed. Trade Type The trade type code for which the trade was executed. 6.1.2 End of Day Matched Trades (MM120) This report shows a member all their matched trades as registered at the end of a given business day in commodity/counterparty member/ trade date order. It shows futures (Figure 5), followed by carries (Figure 6), followed by traded options Figure 7) followed by all TAPO trades. The Futures Pages For futures the following details are shown on this report:
Figure 5
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Member The member for whom the report was produced. Mem With The member with whom the trade was executed. Trade Date The date for which the trade was executed. Prompt Date The prompt date for which this trade was executed. Lots S The number of sold lots for this trade, zero if it was a buy. B The number of bought lots, zero if it was a sell. Price The price at which this trade was executed. Match No. The unique matched number assigned by the system to this trade. Sub Acc The account for which this trade was executed. Trade Time The time that the trade was executed. Trade Type The trade type code for which this trade was executed. Acceptance Status Y if this was an LCH.Clearnet Ltd accepted trade (see Section 4.2).
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Private Reference The optional free format 10 character field input on the trade. Public Reference The free format 5 character field visible to the counterparty member on their Matched Trades report. The Carries Pages For carries the following details are shown on this report:
Figure 6 Member The member for whom the report was produced. Mem With The member with whom the trade was executed. Trade Date The date for which the trade was executed. Prompt Date
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The prompt date for which this trade was executed. Lots S The number of sold lots for this trade, zero if it was a buy. B The number of bought lots, zero if it was a sell. Price The price at which this trade was executed. Match No. The unique matched number assigned by the system to this trade. Sub Acc The account for which this trade was executed. Trade Time The time that the trade was executed. Trade Type The trade type code for which this trade was executed. Acceptance Status Y if this was an LCH.Clearnet Ltd accepted trade (see Section 4.2). Private Reference The optional free format 10 character field input on the trade. Public Reference The free format 5 character field visible to the counterparty member on their Matched Trades report. The Options Pages Identical details are shown for both traded and TAPO options, however for traded options the heading End of Day Matched Trades Options will be displayed at the top of the page, and for TAPOS End of Day Matched Trades TAPOS will be shown.
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For options the following details are shown on this report:
Figure 7 Member The member for whom the report was produced. Mem With The member with whom the trade was executed. Trade Date The date for which the trade was executed. Prompt Month The expiry month for which this trade was executed. C/P C to represent a call trade, P to represent a put. Lots S The number of sold lots for this trade, zero if it was a buy.
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B The number of bought lots, zero if it was a sell. Premium The premium at which this trade was executed. Strike Price The strike price at which this trade was executed. Match No. The unique matched number assigned by the system to this trade. Sub Acc The account for which this trade was executed. Trade Time The time that the trade was executed. Trade Type The trade type code for which this trade was executed. Acceptance Status Y if this was an LCH.Clearnet Ltd accepted trade (see Section 4.2). Private Reference The optional free format 10 character field input on the trade. Public Reference The free format 5 character field visible to the counterparty member on their Matched Trades report. 6.1.3 End of Day Suspended Trades not Accepted (MM123) This report shows all suspended trades that matched but were not accepted by LCH.Clearnet Ltd, dropped from the system and not registered at the end of the given business day. Trades will be suspended if their lottage or price is outside the predefined limits (see Section 1.5.12 and 1.5.13).
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This report is in commodity/counterparty/trade date order and shows futures (Figure 8) followed by carries (Figure 9), followed by traded options (Figure 10) followed by TAPO options. The Futures Pages For futures the following details are shown on this report:
Figure 8 Member The member for whom the report was produced. Trade Date The date for which the trade was executed. Prompt Date The prompt date for which this trade was executed. Lots The number of lots for this trade. Price The price at which this trade was executed.
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Seller The seller that the operating member executed this trade with. Buyer The buyer that the operating member executed this trade with. Sub Acc The account for which this trade was alleged. Trade Time The time that the trade was executed. Trade Type The trade type code for which this trade was executed. The Carries Pages For carries the following details are shown on this report:
Figure 9 Member The member for whom the report was produced.
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Trade Date The date for which the trade was executed. Prompt Date The prompt date for which this trade was executed. Lots The number of lots for this trade. Price The price at which this trade was executed. Seller The seller that the operating member executed this trade with. Buyer The buyer that the operating member executed this trade with. Sub Acc The account for which this trade was alleged. Trade Time The time that the trade was executed. Trade Type The trade type code for which this trade was executed. The Options Pages For options the following details are shown on this report:
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Figure 10 Identical details are shown for both traded and TAPO options, however for traded options the heading End of Day Suspended Trades Not Accepted Options will be displayed at the top of the page, and for TAPOS End of Day Suspended Trades Not Accepted TAPOS will be shown. Member The member for whom the report was produced. Trade Date The trade date for which this trade was executed. C/P C to represent an unaccepted call trade, P to represent a put. Lots The number of lots for this trade. Premium The premium at which this trade was executed.
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Strike Price The strike price at which this trade was executed. Month The expiry month for which this trade was executed. Seller The seller that the operating member executed this trade with. Buyer The buyer that the operating member executed this trade with. Acc The alleged sub-account for this field. Trade Time The time that the trade was executed. Trade Type The trade type code for which the trade was executed. 6.1.4 End of Day Outstanding Unmatched Trades (MM121) This report shows a member all trades that remained unmatched at the end of a given business day because details enabling a match to occur were not input. These are automatically deleted from the system. The next business day members should contact their counterparty directly and agree if the trade is to be re-input into the system. This report is in commodity/ trade date order and shows all future (Figure 11) followed by all carries (Figure 12), followed by all traded options (Figure13) followed by all TAPO trades. The Futures Pages For futures the following details are shown on this report:
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Figure 11 Member The member for whom the report was produced. Trade Date The trade date for which this trade was alleged. Lots The number of lots alleged for this trade. Price The price at which this trade was alleged. Prompt Date The prompt date for which this trade was alleged. Seller The seller that the operating member is alleging this trade to. Buyer The buyer that the operating member is alleging this trade to.
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Acc The alleged sub-account for this field. Trade Time The time that the trade was executed. Trade Type The trade type code for which the trade was executed. The Carries Page For carries the following details are shown on its report (Figure 12):
Figure 12 Member The member for whom the report was produced. Trade Date The trade date for which this trade was executed. Lots The number of lots alleged for this trade.
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Price The price at which this trade was alleged. Prompt Date The prompt date for which this trade was alleged. Seller The seller that the operating member is alleging this trade to. Buyer The buyer that the operating member is alleging this trade to. Acc The alleged sub-account for this field. Trade Time The time that the trade was executed. Trade Type The trade type code for which the trade was executed. The Options Pages Identical details are shown for both traded and TAPO options, however for traded options the heading End of Day Outstanding Unmatched Trades Options will be displayed at the top of the page, and for TAPOS End of Day Outstanding Unmatched Trades TAPOS will be shown. For options the following details are shown on this report:
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Figure 13 Member The member for whom the report was produced. Trade Date The trade date for which this trade was alleged. C/P C to represent an unmatched call trade, P to represent a put. Lots The number of lots unmatched for this trade. Premium The premium at which this trade was alleged. Strike Price The strike price at which this trade was alleged to have been executed. Month The expiry month for which this trade was alleged.
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Seller The seller that the operating member is alleging this trade to. Buyer The buyer that the operating member is alleging this trade to. Acc The alleged sub-account for this field. Trade Time The time that the trade was executed. Trade Type The trade type code for which the trade was executed. 6.1.5 JPY Advices This shows the net bought/sold lots for Yen for the next days prompt (Figure 14).
Figure 14 For each currency the following details are displayed.
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Commodity A three character commodity code (see Section 1.5.2). Bought Lots The number of bought lots. Sold Lots The number of sold lots. Net Lots The net number of lots for this commodity. Settlement Price The settlement price at which the position will be valued. Settlement Amount The prompt settlement amount. Delivery Value Settlement price multiplied by the net lots multiplied by the tonnes per lot. Net Contract The delivery value added to the settlement amount. 6.1.6 Invoice and Account Sales This shows the long and short lots by metal/currency for the days prompt, debit/credit invoice amounts and any currency offsets that can be performed. This would be used to see a flow of monies through the banking system for deliveries. This is a screen version of the report available during the previous afternoon. Details are shown one currency per page in the order of GBP, USD, JPY, EUR. The following details will be displayed on this report (Figure 15).
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Figure 15 Curr A three character currency code. Metal A two character currency code. Settlement Price The settlement price pertaining to this delivery. Lots Bought/Sold The net number of lots, bought or sold, due for delivery today. As this is a net delivery position one side will always be zero. Invoice Value DR The monetary value of the debits that will be called via PPS. This is payment for the warrants that the member is buying later today. Account Sales Value - CR The monetary value of the credits that will be paid to the member via PPS once they have fulfilled their delivery commitments for day.
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Account Sales Posted Credits that will be paid into the members bank account via PPS. These amounts will only appear on the USD and GBP pages, and are where the member has a debit invoice value in the same metal but another currency. Account Sales Deferred Lots The number of lots for which payment will be made to the member via PPS. This will show the lots bought/sold field minus the number of lots to which the amount in the Account Sales Posted field equates. Account Sales Deferred Value The monetary value of the number of lots shown in the previous field. Exchange Rates The exchange rates used to calculate all details across this report. 6.1.7 Member Financial Summary This shows the initial and variation margin figures by commodity and also any cover account postings from the banking system (Figure 16).
Figure 16 For each currency the following details are shown:
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Commodity A tradable commodity for this currency. Cover Account Posting The amount posted to the members cover account shown as either a debit or a credit. PD Net Del Credit Deferred Any net delivery credit amount that has been deferred. Variation Margin Futures The amount of variation margin for current open futures positions as a credit or debit. Traded Options The amount of variation margin for current open traded options positions as a credit or debit. TAPOS The amount of variation margin for current open TAPO positions as credit or debit. Initial Margin The amount of initial margin. These details are repeated for each commodity, followed by a total for each currency showing the same fields except variation margin is shown net for futures and options. 6.1.8 Prompt Date Settlement This shows, in sub-account/commodity/contract price order, long and short lots comprising net delivery positions (Figure 17). Its also shows the profit and loss of these compared to the settlement price and gives the delivery value and a commodity total.
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Figure 17 The following details are shown: Sub-Account H for House, C for Client. Commodity A three character commodity code. Sold Lots The multi-lotted sold lots shown as a number greater than zero or blank. Bought Lots The multi-lotted bought lots shown as a number greater than zero or blank. Contract Price The price at which this trade was executed and subsequently registered. Settlement Price The settlement price for this commodity. DR/CR Amount The amount of profit or loss on this trade and the delivery value.
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Cover Account Postings The amount posted to a members cover account for the given settlement date. 6.1.9 Member Registration Statement This report shows, in sub-account/commodity/type/trade date order the lots traded for futures and options and the current value of each trade (Figure 18). A member can use this to reconcile the number of matched lots during the day.
Figure 18 For each commodity the following details are displayed: Commodity A three character commodity code. Type Futr for a future, TC for a traded call, TP for a traded put, AC for a TAPO call, AP for a TAPO put. Source This shows whether this is new business, option declarations or a transfer. Prompt Date The prompt date at which this trade was registered.
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Price The price at which this trade was executed and subsequently registered. Sold Lots A whole number greater than zero or blank. Bought Lots A whole number greater than zero or blank. Premium The premium at which the trade was registered. Execution Date The trade date for which this trade was executed and subsequently registered. Contract Value For futures only the value of this trade calculated by price multiplied by lots multiplied by tonnes per lot. Blank for options. DR/CR Amount For options only the value of this trade calculated by premium multiplied by lots multiplied by tonnes per lot. Blank for futures. Cover Account Posting For options only, the amount posted to a members cover account for the given trades. 6.1.10 Auto-Exercise ATM Strike Prices and Boundaries This report is available for only one day per month, at open of business on traded option declaration day. It shows, for each commodity, the at the money strike the system based auto-prepared declarations on and the call and put strike prices that formed the boundaries (Figure 19).
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Figure 19 The following information is displayed: Commodity A three character commodity code. Reference Price The closing price for the given commodity. At-The-Money Strike Price The at the money price defined by the system for this commodity (see Section 5.5). Auto-Exercise Gradation Boundaries (inclusive) Calls - Up to The strike price and below for which exercise instructions will have been automatically prepared by the system for open call positions. Puts From The strike price and above for which exercise instructions will have been automatically prepared by the system for open put positions. 6.1.11 Auto-Prepared Options for Exercise Report This report is only available one day a month, at open of business on traded option declaration day.
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This report provides confirmation to members of their option positions which have been automatically prepared for declaration by the system (Figure 20).
Figure 20 The following information is displayed: Commodity A three character commodity code. Contract Type Traded call or traded put. Strike Price The strike price of the option position. Lots Auto-Exercised The number of lots automatically prepared for exercise by the system. 6.1.12 Option Exercise and Assignment Activity This report provides daily confirmation of a members option declaration activity. This report is not restricted to the current month and shows at a glance information of all exercised and assigned lots. The information is displayed in member/sub-account/commodity/month order. This is a single consolidated form of information also available within the Member Registration Statement (Figure 21).
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Figure 21 The following information is displayed: Commodity A three character commodity code. Month The month to which the exercise or abandonment pertained. Contract Type Call or put. Strike Price The strike price of the exercise or assignment. *--------Exercised--------* Exercised The number of lots exercised. Abandoned The number of potential exercise lots that were abandoned.
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Open The number of potential exercise lots still open. *--------Assignments--------* Exercised The number of lots exercised. Abandoned The number of potential exercise lots that were abandoned. Open The number of potential exercise lots still open. 6.1.13 Open Position Report The Open Position report is not produced unless specifically requested (see Section 5.3). This report shows details of gross open positions registered on the system for the given business day and selection criteria. As the criteria can differ the resultant details will be displayed in a different order. For a full explanation of these criteria see Section 5.3.1. Where both sub-accounts are selected the client positions will be displayed first. Where all commodities are requested each one will be displayed sequentially within the report with a separate total per commodity shown. The first page of all open position reports will display the selection criteria for which this report has been produced (Figure 22).
Figure 22
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Different information is displayed for futures and options. The Futures Pages The example shows the details for futures and fits the criteria and sort sequence requested (Figure 23).
Figure 23 For futures the following details are shown: Prompt Date The prompt date for which the position is registered. Price The original price at which the position was registered. Trade Date The date for which the position was executed. Lots Sold The number of sold lots registered. Bought Lots The number of bought lots registered.
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Original Contract Value The original contract value of the net position registered. Closing Price The previous days closing price at which the position will be valued. Current Contract Value The current contract value of the net open position registered. Profit/Loss The profit or loss between the original and current contract values. The Options Pages Traded options are shown first then TAPOs, and within this calls are followed by puts. Identical details are shown for both option types with the Contract Type at the top of each page indicating which is being detailed (Figure 24).
Figure 24 The following details are shown for both option types: Month The expiry month for which the position is registered.
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Strike Price The strike price of this position. Lots Sold The number of sold lots registered. Lots Bought The number of bought lots registered. Closing Premium The previous days closing premium at which the position will be valued. Current Contract Value The current contract value of the net open position registered. Profit/Loss The current profit or loss for this position. 6.1.14 Summary Lots Activity Report This shows the brought forward consolidated position, within prompt date and month, of a members open position (by lots) that have changed during the last business day. It is in member/sub-account/commodity order. Any changes affected by LCH.Clearnet Ltd will be shown within that section. The report will show futures followed by options. An example futures page is shown below (Figure 25).
Figure 25
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For information on the details contained in this report see Sections 5.4.1 and 5.4.5, Futures by Commodity and Option Open Position. 6.1.15 XXX Closing Premiums (MM110) This is a series of reports where XXX denotes the name of the metal for which the closing option premiums are available. Each report can be requested for printing separately and shows all traded options closing prices in currency order (Figure 26).
Figure 26 The following information is displayed: Commodity The full commodity name (see Section 1.5.2). Futures Price The underlying futures closing price for the option that is being displayed. Prompt The option settlement date to which the futures price applies. Interest Rate The 3 month interest rate.
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Days in Year The number of trading days in current year. Days to Expiry The number of days to expiry of this option. Call/Put Indicates whether this price is for a call or put. Month The option month to which this volatility applies. Closing Premium The closing premium for this strike price. Risk Factor (or Delta Factor) This is an old field that was used by LCH.Clearnet Ltd during Delta margining. It is no longer relevant within LCH.Clearnet Ltd margining systems. Short Add on Rate This is an old field that was used by LCH.Clearnet Ltd during Delta margining. It is no longer relevant within LCH.Clearnet Ltd margining systems. Volatility % The volatility as input by LCH.Clearnet Ltd. Input/Calc I indicates that this premium was derived by the volatility input by the LME, C shows that this is a system interpolated price. TAPO prices will be displayed a the end of the report after traded t options. The only difference in the detail is that the average price will be displayed at the top of the page rather than the futures price (Figure 27).
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Figure 27 6.1.16 Closing Prices (MM110) This shows all futures closing and settlement prices in commodity order (figure 28).
Figure 28 A single line at the top of the report will display the following:
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Commodity The full commodity name (see Section 1.5.2). Settlement Price The settlement Price (official quotations) for this commodity. MASP/MMAP This field is only relevant for TAPO trading commodities, for all others it will show N/A. It will show the Monthly Average Settlement Price (MASP) on the last day of the month and the Monthly Moving Average Price (MMAP) for every other day of the month. For every valid prompt date for this commodity the following will then be shown: Prompt The prompt date to which the price applies. Price The closing price (evening evaluation) for this prompt. Input/Calc I to indicate that this is a price input by the LME, C to indicate that this price was interpolated by the system. 6.1.17 Closing Exchange Rates (MM110) This shows all exchange rates, including those input by the LME and those interpolated by the system, in currency order for all valid prompt dates out to 63 months (Figure 29).
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Figure 29 The following details will be displayed: Date The date to which the rate pertains. XXX Exchange Rate (XXX denotes the currency against Sterling) The exchange rate for the given date. Input/Calc I to indicate that this is a rate input by the LME, C to indicate that this rate was calculated by the system. 6.1.18 Notional Average Prices This shows all notional average prices interpolated by the system. These are averages of the rates derived from those input by the LME and those extrapolated between the input dates. They are only available for TAPO trading commodities and show all valid prompt dates out to 27 months (Figure 30).
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Figure 30 The following details will be displayed: Month The month to which this rate pertains. Price The notional average price for the given month. 6.2 LONDON SPAN REPORTS SPAN was originally produced by the CME and evolved by LCH.Clearnet Ltd into London SPAN. This has been further enhanced to produce London SPAN for the LME. These facts mean that much of the terminology used within these reports is cross exchange and not always LME specific. A list of the most frequently used SPAN specific terms is listed below with their LME equivalent term. London SPAN Description and Concepts Expiry Date Spot Date Scanning Range Scanning Risk Net Liquidation Value Discount Factor
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LME Description or Equivalent
Prompt date. Prompt date or range of prompt dates attracting additional margin charges. Full deposit margin rate. First component of initial margin without additional charges and rebates. The present value of variation margin. A multiplier used to calculate todays value forward
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Tier No.
Spread Priority
Margin Group Combined Contract Expiry Group
cash flows. A number representing an inter-month spread tier. Each tier is defined by LCH.Clearnet Ltd and contains single, or a series of, prompt dates to which charge is attached. Number denoting the order in which spread tiers are selected in the margin calculation. The number of spread priorities is directly related to the number of tiers used as it is the maximum number of combinations. For example for 5 tiers there are 15 spread priorities; 1-1, 2-2, 3-3, 4-4, 5-5, 1-2, 1-3 etc. Grouping of contracts for the offset of net liquidating value. Presently LME contracts form a margin group. Currencies for a given metal.
Defines how delta should be apportioned to prompt dates for options contracts. For traded options this is normally a single date. For TAPOs, delta is apportioned to valid prompt dates in the fixing period. This is a configurable LCH.Clearnet Ltd parameter. Generic Type or Contract Type. CT Report Production In some instances reports are produced for client and house account details within SPAN. Access to these is as normal via the Print/Browser facility and within that system it is clearly marked which report contains which information. If a report is set up to automatically print, where relevant, both reports will be printed. Initial Margin Reporting The high level detail of the composition of initial margin is shown in the Summary Margin Report by Combined Currency. The logical map of where information is gathered from is as follows:
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Field Names Within Summary Margin Report by Combined Currency

Scanning Risk Intermonth Spread Charge
Spot Month Charge
Fed by totals from Summary Scanning Risk Report Fed by totals from Summary Value Losses Report
Fed by totals from Intermonth Spread Change Report Spread deltas fed from Span Delta Charge Report
Fed by totals from Spot Month Charge Report
Options lines fed by totals from Option Value Losses Report
6.2.1
SPAN Delta Charges Report This report shows the deltas by prompt date within their tier. These figure are used in delta based charges, such as inter-prompt spreads, and where appropriate rebates. Details are displayed by metal with the client positions shown first followed by house positions (figure 31).
Figure 31 For each metal the following details are displayed:

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Tier No. A number as defined by the SPAN parameter file (record type 31). Each tier relates to a prompt or series of prompt dates. The date ranged may change daily as they relate to, for example, cash to one month which is a rolling range which will encapsulate different prompt dates on each business day. On any business day details of the full date range each tier represents can be found in the SPAN Initial Margin Rate report (see Section 6.2.11). Prompt Date The prompt date for which the underlying options positions are held. Long Delta (USD, GBP, JPY, EUR) Displayed one per currency; the delta for all long positions for the given prompt date. The delta being the number of futures that the system has calculated correspond to the options and futures position held. Long Total The total long delta across all five currencies for a given prompt date. Short Delta (USD,GBP, JPY, EUR) Displayed one per currency; the delta for all short positions for the given prompt date. The delta being the number of futures that the system has calculated correspond to the options and futures position held. Short Total The total short delta across all five currencies for a given prompt date. At the end of each tier sub-totals will be shown Total Long The total long delta across all prompts and all currencies for a given tier. Total Short The total short delta across all prompts and all currencies for a given tier. 6.2.2 Discounted Variation Margin Report This report shows the variation margin calculated for each prompt followed by the discount factor and the results of applying it to the total figure. Details are shown one section per commodity, with house account details and client account details being produced in separate reports (Figure 32).
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Figure 32 Expiry Date The prompt date to which the margin pertains. Traded Price A field used within PC London SPAN. This will always be zero for this report. Variation Margin The total calculated variation margin pertaining to the given prompt date. Discount Factor The discount factor pertaining to the given prompt date. Discount Amount The calculated value of the discount. Discounted Variation Margin The variation margin amount after the discount factor has been applied. These figures are repeated for all prompt dates where a position is held. Totals for Contract XXX
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This is displayed at the end of each commodity and shows the total discounted variation margin across all prompt dates. For all currencies the amount is shown as a USD equivalent as well. This is listed along with the exchange rate used to convert it. Note: For JPY to USD figures the Yen amount is shown in 100s but the USD is shown as a true amount. Totals for Combined Contract XX This is displayed at the end of each metal and shows the total discounted variation margin across all currencies for the specified combined contract. The amount is displayed in USD. These figures are repeated for every metal and on the final page of the report a total for all metals is shown (Figure 33).
Figure 33 6.2.3 SPAN Expiry Group Where a member hols TAPO positions for the current month this report shows the delta apportionment over all remaining prompt dates until TAPO settlement day (month end plus two business days). Separate sections will be shown for each of the TAPO tradable commodities. House account details and client account details are shown on separate reports.
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For Example: If today is the second trading day of the month and the delta for the current TAPO is 0.9998 the system will deem that because the option is an average of all prompts. The delta should be split accordingly and each day given their own portion of that delta. In its most simplistic form it can be viewed that if there are 19 trading days left until settlement the system will divide 0.9998 by 19 and assign an equal value to each day. If the delta is not exactly divisible by the number of days the remaining delta is apportioned to the last day. Delta values are calculated within the risk array generation processing and can be seen on the SPAN Parameter Report. This report will show more information earlier in the month as at that point there will be many more remaining prompt days than at the end of the month when the days remaining to expiry will be far fewer (Figure 34).
Figure 34 For each remaining prompt date to TAPO settlement the following details are Expiry Date The current months TAPO prompt date. Expiry Group The prompt date for which the delta apportionment pertains to.
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Delta The amount of delta apportioned to the prompt date (see expiry group). A negative amount indicates a net short position, positive a net long position. If this amount is zero it can indicate either that the TAPO is deep out of the money and has an overall delta of zero causing the apportioned amount to also be zero, or, that the overall net delta position is zero but it could be made up of underlying long and short positions. It should be noted that the delta value is not shown on this report, purely the apportionment values. 6.2.4 SPAN Intermonth Spread Charge Report This report shows how the delta is consumed across the bands and the charges to be applied to the different spread bands in which the positions fall. House account details and client account details are shown in separate reports, details are shown one page per metal (Figure 35).
Figure 35 Spread Priority The order of priority in which the spreading occurs. The highest priority being one. Number of Legs This field is not currently relevant for London SPAN for the LME as it will always be two. However, for other markets it could be anything up to four.
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Tier VS Tier VS Tier VS Tier This shows which tier has been offset against which other tier. Again, for the LME it will always show two tiers as, although offsetting in London SPAN is possible across multiple tiers, this is not currently a features of London SPAN for the LME. The A and B following the tier numbers are an indication of a long or short position. Again as only two tiers are being used it is not relevant as the offset must always be between a long and a short position, or an A and B. Delta Consumed The amount of delta equivalent lots used in offsets within this band. Charge Rate The spread rate for this band. Intermonth Charge The margin charged for this spread position calculated as a delta consumed multiplied by the charge rate. Note: Figures are charged as rounded amounts with 0.5 and above being rounded up and below 0.5 being rounded down. Residual Data The amount of delta left, at this spread priority, that can potentially be passed into a lower priority for further spreading. A negative value represents a remaining short position, a positive value remaining long position. Total Intermonth Charge The total margin for all spread positions. 6.2.5 SPAN Net Liquidation Value Report This reports shows variation margin by strike for all option and TAPO positions. Details are displayed alphabetically by metal, with all TAPO details followed by traded option calls then traded option puts (Figure 36).
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Figure 36 House account details and client account details are shown in separate reports. The following details are displayed: Expiry Date The prompt date for which the relevant position is held. CT C for traded option call, P for traded option put, AC for TAPO call, AP for TAPO put. Strike Price The strike price at which the relevant position is held. Number of Lots A negative number for a short position, a positive for a long position. Closing Price The input or interpolated price for this position. Net Liquidation Value The net liquidation value for this position (number of lots x lot size x closing price).
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Total Net Liquidation Value for DDMMMYYYY This field will appear twice for each commodity where both traded and average price options are held. Once at the end of the TAPOs section and again at the end of the traded option section. Total Net Liquidation Value for Combined Contract XX The total within a metal of both TAPO and traded options net liquidation value. Total Net Liquidation Value This is shown on the last page of the report and is the total option net liquidation value across all contracts. 6.2.6 SPAN Option Value Losses This report details the 16 risk scenarios for all option positions held in strike and prompt order. Risk scenarios are based on scanning ranges (full margin rates). An example is shown here (Figure 37). House account details and client account details are shown in separate reports.
Figure 37 The following details are displayed: Expiry Date The prompt date for which the risk scenario applies.
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CT C for traded option call, P for traded option put, AC for TAPO option call, AP for TAPO option put. Strike The strike price at which the scenario applies. Net Pos A negative number for a short position, positive for a long. Delta Number of futures the system has calculated correspond to the option position held. The following figures represent the amount (quoted in contract currency) of net liquidating value required per lot if the given scenarios occurs. F Extreme Futures price falls (minus) and extreme amount (more than one deposit). F3/3 Vol up/dn Futures price falls (minus) three thirds (one whole) of a scanning range (full deposit). E.g. 1750. Coupled with volatility rising (top figure) or falling (figure underneath). F-2/3 Vol up/dn Futures price falls (minus) two thirds of scanning range (full deposit). E.g. -((1750/3)x2). Coupled with volatility rising (top figure) or falling (figure underneath. F-1/3 Vol up/dn Futures price falls (minus) one third of scanning range (full deposit). E.g. -(1750/3). Coupled with volatility rising (top figure) or falling (figure underneath). F+0 Vol up/dn Futures price remains constant, coupled with volatility rising (top figure) or volatility falling (figure underneath). F+1/3 Vol up/dn Futures price rises (plus) one third of scanning range (full deposit). E.g. -(1750/3). Coupled with volatility rising (top figure) or falling (figure underneath).
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F+2/3 Vol up/dn Futures price rises (plus) two thirds of scanning range (full deposit). E.g. ((1750/3)x2). Coupled with volatility rising (top figure) or falling (figure underneath). F+3/3 Vol up/dn Futures prices rising (plus) three thirds (one whole) of a scanning range (full deposit). E.g. +1750. Coupled with volatility rising (top figure) or falling (figure underneath). F+ Extreme Futures price rises (plus) and extreme amount (more than one deposit). For each commodity a total will be shown of all fields. This total will also be shown in the Summary value losses report. 6.2.7 SPAN Summary Value Losses Report This is s summary report showing loss scenarios for all future, option and TAPO positions by prompt. Details are shown by commodity with, for each prompt date, on line for futures and on line for options (Figure 38).
Figure 38 The following details are displayed: Expiry Date/Dis. Fact. The prompt date for which the scenario applies with the relevant discount factor if this is a futures position line.
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GT F for futures, O for options. Net Pos A negative number for a short position, a positive for a long position. Delta For a futures position, the net open position multiplied by the discount factor. For an option line, the net aggregate number of futures the system has calculated correspond to the option position held. For the component parts of an option line see Option Value Losses Report, Section 6.2.6. The following figures represent the amount (quoted in contract currency)of variation margin per lot if the given scenario occurs. F Extreme Futures price falls (minus) and extreme amount (more than one deposit). F3/3 Vol up/dn Futures price falls (minus) three thirds (one whole) of a scanning range (full deposit). E.g. 1750. Coupled with volatility rising (top figure) or falling (figure underneath). F-2/3 Vol up/dn Futures price falls (minus) two thirds of scanning range (full deposit). E.g. -((1750/3)x2). Coupled with volatility rising (top figure) or falling (figure underneath. F-1/3 Vol up/dn Futures price falls (minus) one third of scanning range (full deposit). E.g. -(1750/3). Coupled with volatility rising (top figure) or falling (figure underneath). F+0 Vol up/dn Futures price remains constant, coupled with volatility rising (top figure) or volatility falling (figure underneath). F+1/3 Vol up/dn Futures price rises (plus) one third of scanning range (full deposit). E.g. -(1750/3). Coupled with volatility rising (top figure) or falling (figure underneath).
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F+2/3 Vol up/dn Futures price rises (plus) two thirds of scanning range (full deposit). E.g. ((1750/3)x2). Coupled with volatility rising (top figure) or falling (figure underneath). F+3/3 Vol up/dn Futures prices rising (plus) three thirds (one whole) of a scanning range (full deposit). E.g. +1750. Coupled with volatility rising (top figure) or falling (figure underneath). F+ Extreme Futures price rises (plus) and extreme amount (more than one deposit). For each commodity a total will be shown of all fields. This total will also be shown in the Summary value losses report. Where the commodity is USD based this total will be carried into the Summary Scanning Risk Report. Where the commodity is not USD based this total is converted into USD. This is done twice, once using a FX rate that assumes an upward movement from todays rate and again using a FX rate that assumes a downward movement. The worse case of these will be shown again as a final downward total and carried into the Summary Scanning Risk Report (Figure 39).
Figure 39
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6.2.8
SPAN Summary Margin This report shows the total initial margin by metal with a high level summary of its component parts (Figure 40). House account details and client account details are shown in separate reports.
Figure 40 The following details are displayed: Combined Contract Two character metal code. Currency Three character currency code denominating the margin currency. Scanning Risk The total margin required to cover all worse case scenarios, ie the initial margin. Intermonth Spread Charge The total spread margin. Details of how this is calculated can be found in the SPAN Intermonth Spread Charge Report (see Section 6.2.4). Spot Month Charge The total additional spot month charges. Details of how this is calculated can be found in the SPAN Spot Month Charge Report (see Section 6.2.9).
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Intercontract Credit This field is not presently used for the LME, but is available for markets where positions in one contract are permitted for offset against another contract for margining purposes. F Extreme Futures price falls (minus) and extreme amount (more than one deposit). F3/3 Vol up/dn Futures price falls (minus) three thirds (one whole) of a scanning range (full deposit). E.g. 1750. Coupled with volatility rising (top figure) or falling (figure underneath). F-2/3 Vol up/dn Futures price falls (minus) two thirds of scanning range (full deposit). E.g. -((1750/3)x2). Coupled with volatility rising (top figure) or falling (figure underneath. F-1/3 Vol up/dn Futures price falls (minus) one third of scanning range (full deposit). E.g. -(1750/3). Coupled with volatility rising (top figure) or falling (figure underneath). F+0 Vol up/dn Futures price remains constant, coupled with volatility rising (top figure) or volatility falling (figure underneath). F+1/3 Vol up/dn Futures price rises (plus) one third of scanning range (full deposit). E.g. -(1750/3). Coupled with volatility rising (top figure) or falling (figure underneath). F+2/3 Vol up/dn Futures price rises (plus) two thirds of scanning range (full deposit). E.g. ((1750/3)x2). Coupled with volatility rising (top figure) or falling (figure underneath). F+3/3 Vol up/dn Futures prices rising (plus) three thirds (one whole) of a scanning range (full deposit). E.g. +1750. Coupled with volatility rising (top figure) or falling (figure underneath). F+ Extreme
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Futures price rises (plus) and extreme amount (more than one deposit). For each commodity a total will be shown of all fields. This total will also be shown in the Summary value losses report. Short Options The number of net short option lots held. Charge The short option minimum charge rate. This is a Dollar amount charged per lot for certain deep out of the money options portfolios which would otherwise have zero margin. Short Option Minimum The number of short options multiplied by the short option minimum charge rate. Initial Margin The total initial margin made up of the scanning risk, inter-month spread charge and spot charge. If this total is less than the short option minimum charge, the short option minimum will be charged and shown here. A total is given at the bottom of the initial margin column showing the initial margin for all contracts. 6.2.9 SPAN Spot Month Charge Spot month charge is margin payable for positions held on specific prompt dates or periods highlighted by LCH.Clearnet Ltd as of higher risk than the spread or outright rate normally charged would imply. This is an optional charge levied by LCH.Clearnet Ltd during times of high volatility and can be invoked without prior notice. House account details and client account details are shown in separate reports. This report shows the spot month charges which are to be applied to the initial margin broken down by position within metal. Details of parameters and rates are shown in the SPAN Initial Margin Rate report. The following are displayed: Spot Month Prompt date for which an extra margin charge has been deemed applicable by LCH.Clearnet Ltd. Delta Sign S for short, L for long or B for both. This signifies which type of delta position is affected by the charge.
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Spreads Consumed The amount of delta position for the specified prompt date that was spread with other positions during margining. Spread Rate The additional margin rate levied per spread lot for the specific prompt date. Spread Charge The total additional spread margin to be levied, ie spreads consumed multiplied by spread rate. No. of Outrights The amount of delta position for the specified prompt date that was not spread against any other positions during margining. Outright Rate The additional margin rate levied per outright lot for the specified prompt date.
Outright Charge The total additional outright margin to be levied, ie outright position multiplied by outright rate. Spot Charge The total of the spread charge and the outright charge. A total spread charge is shown for each metal but a total across all metals is not. 6.2.10 SPAN Summary Scanning Risk Report The report shows a summary of all the commodity and metal total fields from the Summary Value Losses Report. All figures are the aggregates for each of the 16 scenarios contained within the Risk Arrays (Figure 42). The worse case forms an element of total initial margin (seen in the scanning risk column of the Summary Margin Report by Combined Currency).
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Figure 42 The following details are displayed: Contract Three character commodity code. Currency The margin currency for the LME this will always be USD. The following figures represent the amount (quoted in contract currency) of aggregated variation margin required across all positions in the portfolios, if the given scenarios occur. F Extreme Futures price falls (minus) and extreme amount (more than one deposit). F3/3 Vol up/dn Futures price falls (minus) three thirds (one whole) of a scanning range (full deposit). E.g.1750. Coupled with volatility rising (top figure) or falling (figure underneath). F-2/3 Vol up/dn Futures price falls (minus) two thirds of scanning range (full deposit). E.g. -((1750/3)x2). Coupled with volatility rising (top figure) or falling (figure underneath. F-1/3 Vol up/dn
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Futures price falls (minus) one third of scanning range (full deposit). E.g. -(1750/3). Coupled with volatility rising (top figure) or falling (figure underneath). F+0 Vol up/dn Futures price remains constant, coupled with volatility rising (top figure) or volatility falling (figure underneath). F+1/3 Vol up/dn Futures price rises (plus) one third of scanning range (full deposit). E.g. -(1750/3). Coupled with volatility rising (top figure) or falling (figure underneath). F+2/3 Vol up/dn Futures price rises (plus) two thirds of scanning range (full deposit). E.g. ((1750/3)x2). Coupled with volatility rising (top figure) or falling (figure underneath). F+3/3 Vol up/dn Futures prices rising (plus) three thirds (one whole) of a scanning range (full deposit). E.g. +1750. Coupled with volatility rising (top figure) or falling (figure underneath). F+ Extreme Futures price rises (plus) and extreme amount (more than one deposit). After all commodities are shown for a given contract a contract total of these will be shown. Largest Loss Scenario/Scanning Risk The description of the worse case aggregate out of all those detailed followed by the amount. This figure is used as the scanning risk amount for initial margin. 6.2.11 SPAN Initial Margin Rates This report shows, per metal, all rate details used to calculate the initial margin values (Figure 43)
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Figure 43 For each contract the following details are shown: Short Option Minimum Charge The USD rate per lot at which certain short option positions are charged. Spread Tiers Tier The tier number From/To The inclusive date range that the tiers represent. Spread Priorities Priority The priority number. Tier/With/Tier Which tier is spread against which other tier. Spread Charges Rates A matrix showing the spread rates per lot across the various tier combinations.
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Contract Scanning Ranges The scanning range (full deposit rate) by commodity. Volatility Shifts These fields are used to calculate the risk array values for the columns Vol up/dn. Contract The contract to which the shift applies. Type F for futures, O for option, A for TAPO. From/To The date range for which the shift range applies. Up/Down The shift range to use when calculating scanning arrays. Prompt Date Charge Rates Details of dates for which additional margin is to be applied (see SPAN Spot Month Charge Report). None indicates no additional charges are in place. Date From/ Date To Date range for which the additional margin applies. Spread Charge Spread rate to be applied to relevant positions.
Outright Charge Outright rate to be applied to relevant positions. Delta Sign Indicator of whether long, short or both types of open positions attract the additional charges. 6.2.12 SPAN Parameter Report This report details all parameters and details used in calculating risk arrays and London SPAN margins along with full detail of every scenario calculated.
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There are three main sections:The first shows details of the currency conversion details used across all commodities (Figure 44) for the conversion of risk array into USD.
Figure 44 The second is repeated for each contract and shows general details (Figures 45 and 46). The tier, spread priority and spot month charge detail is a repeat of parameter information shown in the SPAN Initial Margin Rates Report (see Section 6.2.11).
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Figure 45 The fields shown here that are not displayed in other reports are listed below: Extreme Price Shift The multiple of scanning ranges used as the extreme movement when calculating risk arrays. i.e. 2 represents two times the current scanning range. Loss Covered The percentage of the extreme movement calculation that is shown in the report, ie the figure for F+extreme/F-Extreme is calculated and then haircut to 35% of its value. Intermonth Spread Method/Spot Month Method An indicator as to whether or not these two functions are activated within the system,. 10 indicating activated, 1 indicating dormant. The third section shows the detail of every SPAN scenario for every position. The aggregate per prompt date of these forms the basis of the details in the SPAN Summary Value Losses Report (Figure 47).
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Figure 46 6.2.13 Interest Rates/Disc Factors This shows all interest rates, including those input by the LME and those interpolated by the system. In currency order for all valid prompt dates (Figure 48).
Figure 47 The following will be displayed:
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Date The date to which this rate pertains. Interest Rate The interest for the given date. Discount Factor The discount factor for the given date. Input/Calc I to indicate that this is a rate input by the LME, C to indicate that this was calculated by the system. 6.2.14 Inter Contract Spread Credit Report SPAN offers credits for allowable intercontract spreads. These credits recognise cases where offsetting positions in related contracts reduce overall portfolio risk. These spread credits will therefore reduce the amount of margin required (Figure 48).
ZYI MEMBER
Figure 48
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The following will be displayed: Combined Contract The two letter commodity code to which the credit refers. Scanning Risk The total margin required to cover all worse case scenarios, i.e. the initial margin. Paired Line The Scanning Risk for the scenario that is the paired scenario for the worst-case loss scenario. The paired scenario reflects the same volatility move in the opposite direction, the same forward price move, and the same time passing. Time Risk The Risk on a portfolio attributable to time passing. Volatility Risk The Risk on a portfolio attributable to change in volatility. Futures Price Risk The Risk on the portfolio attributable to change in futures price. Commodity Net Delta The overall net position for the selected commodity. Weighted Futures Price Risk The Futures Price Risk per delta 6.3 LME EXCHAN GE STATISTICS REPORT Every morning at 9:30 three statistical reports are released by the London Metal Exchange and made available to members over the LME Print/Browser facility. 6.3.1 Futures Open Interest Summary For the given business days this report provides details, for each prompt date and commodity, of the traded lots (Excluding the cash today prompt) and the total net open interest. A total is given at the end of each commodity (Figure 49).
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Figure 49 The following details will be displayed: Date The date for which, at the close of business, the details pertain. Commodity Code Three letter commodity code. Prompt Date The prompt date for which the open interest applies. Note: If a valid prompt date is omitted from this report the open position is zero. Todays Trades Sold/Bought The gross lots traded for the prompt date on the given date at the top of the report (both bought and sold are always identical). Note: This starts with the cash prompt date not cash today so the total per commodity is not necessarily the volume traded for that day. Open Interest Bought/Sold The total for the prompt date of every members net open position including todays trades (both bought and sold are always identical).
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At the end of each commodity a total will be printed for both of the above fields. 6.3.2 Options Open Interest Summary For the given day this report provides details, for each strike and commodity of the traded lots, the change it represented and the total net open interest. A total is given at the end of each commodity (Figure 50).
Figure 50 The following details will be displayed. Date The date for which, at close of business, the details pertain. Commodity The full commodity name. Call/Put C to represent a Call trade, P to represent a Put trade. Prompt Date The month for which the open interest applies. Price The strike price for which the open interest pertains.
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Note: If a valid strike price is not listed on this report the open position for that strike on the given month is zero. Todays Trades Bought/Sold The gross lots traded for the strike price/month on the date given at the top of the report (both bought and sold are always identical).
Note: This starts with the cash prompt date not cash today; therefore the total per commodity is not necessarily the volume traded for that day. C/Fwd Open Pos. Short/Long The total for the month/strike price of every members net open position including todays trades (both bought and sold are always identical). Open Pos. Change Short/Long The net change/affect to the open position due to todays trades (both bought and sold are always identical). At the end of each commodity a sub total will be printed for the above fields. LME Open Interest and Turnovers Summary by Commodity For the given day this report provides details, for each period stated, of that days traded lots and the total net open interest. This is a summary of the previous two reports. A total is given at the end of each commodity (Figure 51).
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Figure 51 The following details will be displayed: Close of Business Date The date for which, at the close of business, the details pertain. The following details are displayed. Commodity The commodity code and full commodity name. Futures Period To The specific period for which the next two fields apply. These will be: CASH TODAY - Cash today trading. C-DD/MM - Cash to next 3rd Wednesday. DD/MM DD/MM-Next business day after 3rd Wednesday above to 3r d Wednesday of the following month (ie month 1 to 2). DD/MM DD/MM-Next business day after 3rd Wednesday above to 3r d Wednesday of the following month (ie month 2 to 3). DD/MM DD/MM-Next business day after 3rd Wednesday above to 3r d month date. 3RD MONTH - Next business day after 3 month date to the last date of the third month. 4 15 MTHS INC - All dates throughout the 4th month to the 15th month. 16 27 MTHS INC- Where tradable, all dates throughout the 16th month to the 27th month.
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28 63 MTHS INC - Where tradable, all dates throughout the 28th month to the 63rd month. For each of the above periods the following details will be shown: Open Interest The total of net open interest. Note: No open interest is shown for Cash Today as it will already have settled. Turnover Total lots traded, on the given business day, for the quoted period. Options Month The trading month for which the next two fields apply (15 or 27 as applicable). Open Interest (Call/Put) Two net open interest figures, one for calls one for puts across all strikes for the given month. Turnover (Call/Put) Two turnover figures, one for calls one for puts, showing the lots traded on the given business day across all strikes for the quoted month. At the end of each commodity a total will be printed for open interest and turnover for all tradable periods. 6.4 6.4.1 BANKING SYSTEM REPORTS Statement of Account This monthly report is produced on the last day of each month and is automatically sent to members. It is available via print browser on the first and second day of the month only. On the first day of the month it is available in the list of todays reports, on the second it can be found in the list of yesterdays reports. This report provides information of cash receipts and payments etc, by account type and currency (Figure 52).
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ZYI MEMBER ZYII SHORT NAME
Figure 52 The following details are displayed: Member The member for whom this report was produced. Sub-Account One character sub-account code (see Section 9.7.6). Currency Three letter currency code (see Section 9.7.2). Type of Account Cover or Tender. Value Date Value date of credit/debit posted to account. Posting Date Date item was posted. Type Description of posting (see Section 9.7.3).
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Com Contract code if applicable. Exc Exchange code if applicable. Reference LCH.Clearnet Ltd reference e.g. Bank code or delivery month. Debit Debit amounts posted to account. Credit Credit amounts posted to account. Balance Running total of postings. 6.4.2 Collateral by Member (CLM) This provides details of collateral held within sub-account, type and currency. Details are shown one page per collateral type and within that, relevant details such as, holding custodian or bank, cover value and expiry date are displayed (Figure 58).
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ZYI H
ZYI MEMBER ZYII SHORT NAME
Figure 58 At the top section of each page the following data will be displayed: Member The member for whom the report was produced. Sub-Account H for house account or C for client. Collateral Group The group type of this collateral (see Section 9.7.5). For each collateral item within the group the following details are displayed: Ccy Currency code (see Section 9.7.2) indicating the currency of the collateral.
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Bank The full name of the issuing bank for Guarantees or Custodian for other collateral. Price The market price LCH.Clearnet Ltd use to value stock. These prices are updated daily at around 4pm for use in that days overnight processing and are obtained from Reuters. For items such as guarantees this is not applicable and N/A will appear in this field. Cover Value Value of posting by LCH.Clearnet Ltd i.e. Nominal value multiplied by price minus the LCH.Clearnet Ltd haircut. Nominal Value The number of units of collateral lodged. Expiry Date The last date on which LCH.Clearnet Ltd will allow use of this collateral as cover. Collref Internal reference code used by LCH.Clearnet Ltd. 6.4.3 Commodity Group Total Report (CMG) This is in member, sub-account, currency and commodity group order and details the total liability by commodity group, initial, variation and spot margin, followed by the overall cumulative group total. This is followed by international margin offsets, i.e. debit variation margin in one currency offset by credit variation margin in another. LME members may utilise up to 80% of the surplus credit variation margin in order to reduce the initial margin. The process is performed across all possible currencies. Details are produced in two sections. The first displays commodity group offsets by member, sub-account and currency and ends with the total initial and surplus variation margin amounts (after offsets). The second shows the amounts to be offset and the appropriate exchange rate utilised. Part 1 The following example shows a possible scenario of data that may appear in the first section of this report (Figure 59).
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ZYI
Figure 59 The following details will be displayed: Member The member for whom this report was produced. Sub-Account H for house account, C for client. Currency Three character currency code (see Section 9.7.2). Commodity Group Three letter commodity group code (see Section 9.7.4) Liability Type of liability which can be either: Futures Initial Margin Variation Margin/NLV Spot Margin/Cont - This shows the total initial margin. - This shows the total variation margin. - This shows total spot variation margin.
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Amount The amount of liability by type, i.e. the margin amounts before any offsetting. Cumulative Totals Running total of liability and offset. Group Total Overall total for group. International Margin Offsets These fields are displayed if an offset amount is present and shows the amounts of margin that have been offset between variation margin across currencies or between variation and initial margin as a result of international margin offset (IMO) or inter-currency spreading. These all fall into the following criteria: Variation Margin Offsetting After Variation Margin If a debit amount results between offsetting of variation margin and variation margin of other offsetting/utilised liabilities then the following headings and amounts will be displayed: IMO Var/Var Utilised- Surplus margin after IMO (variation margin plus IMO Var/Var util). If a credit amount results from the above the following will be displayed: IMO Var/Var Received Initial Margin Offset After Variation Margin If a credit amount results between offsetting of initial margin and variation margin of other offsetting/utilised liabilities in the same currency then the following headings and amounts will be displayed: Init/Var Margin Offset Variation Margin Offsetting After Initial Margin Comm Groups If a debit amount results between variation margin and initial margin of other offsetting/utilised liabilities in a different currency then the following headings and amounts will be displayed:
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Group Total Overall Net result of the cumulative totals of each liability and the international margin offsets and the margin amounts left after offsetting. Initial Margin After Offset This will only be shown if there is a value of remaining initial margin after offset, in which case that will be displayed. There will then be a display, if relevant, of any remaining variation margin after offset. If there is and it is a debit then it will be displayed along with the following heading: Variation Margin After Offset If there is and it is a credit then it will be shown as, Surplus Variation Margin (After Offset) Part 2 Details of International Margin Offsets This section shows the amounts to be offset and the appropriate exchange rate utilised. It can show varied information depending on the summed offsets displayed in Part 1. Figure 60 shows two of the possible three display scenarios, the other being IMO Var/Var Utilised instead of the received example at the bottom of this display.
Figure 60
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LCH.Clearnet Ltd
The following details will be displayed: Exchange Rate to Sterling This is the exchange rate of the currency shown at the top of Part 1 against Sterling. After this there will then be one of the following displays: IMO Var/Var Received This is a breakdown of the amount of debit variation margin offset across currencies. It is the same as its equivalent field in Part 1 but shows its component parts. IMO Var/Var Utilised This is a breakdown of the amount of credit variation margin offset across currencies. It is the same as its equivalent field in Part 1 but shows its component parts. IMO Init/Var Received & Utilised This is a breakdown of the amount of debit and credit initial/variation margin offsets. It is the same as its equivalent field in Part 1 but shows its component parts. 6.4.4 Cover Calling Summary This is a summarised version of the information provided on the Overnight Cover Distribution report (Figure 61).
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LCH.Clearnet Ltd
Figure 61 This report is produced at an earlier stage of the overnight processing than the main banking reports and will be accessible via the print/browser utility in the event of any delay in the main reports being available. The following details will be displayed: Ccy The currency code for the detail line. GBP Ex. Rate The exchange rate used in the overnight cover process against Sterling. Total Liability The total net liability for the given currency. i.e. the total of initial margin and any LME variation margin, contingent variation margin or net liquidating values. If this is a credit amount it will not be shown. Cash Cover The net cash balance after cash postings have been taken into account. Cash postings may arise from settlements, premium payments, fees etc.
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Net Shortage Protected Payment The protected payment amount being called through PPS (Protected Payment System). If this, through prior arrangement with LCH.Clearnet Ltd, is being made in a different currency, that currency will be noted beside the amount. Utilised Cash Remaining unutilised cash. If desired a member may withdraw this from LCH.Clearnet Ltd following confirmation of the morning PPS call(s). Auto-repay Y or N, indicating whether or not the member has requested that any surpluses are automatically repaid. GBP Equivalent Unutilised Collateral The Sterling equivalent of any non cash collateral held but unutilised. 6.4.5 Overnight Cover Distribution Report This report provides one page per currency and shows how cover lodged at LCH.Clearnet Ltd is utilised to secure a members overnight liability (Figure 62). It shows todays cash cover balance, total liability by exchange traded and the application of cover held (cash, guarantees, bonds etc) as per the clearing members predefined selection. Finally the report displays amounts which have been called by PPS and amounts of excess cash and collateral.
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LCH.Clearnet Ltd
Figure 62 At the top of the report the following details will be displayed: Member The member for whom this report was produced. Sub-account Valid sub-account code (see Section 9.7.6). Currency Three character currency code (see Section 9.7.2). For all other fields on this report the following two amounts will be shown: Amount Value of liability and cover. Net Total Net value of liability and cover. Cash Cover Balance This line will be printed even if the balance is zero. If the total is present either CREDIT or DEBIT will be printed showing cash cover balance held at LCH. Comm Group The commodity group which has produced a liability. Liability There are thirteen possible types of cover for which a detail line may be displayed. They may appear in any combination and are as follows: Bonds Sterling certificate of deposit Equities Gilts MDF (only valid in GBP) US Dollar treasury bills Bunds Dollar certificate of deposit Forward dated cash
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Guarantees Treasury bills Foreign currency Other cash
For all relevant liability types the daily total of cover held will be displayed. Liability Shortage (XXX) Shortage of cover vs liability where XXX denotes the currency in which the shortage occurs. Total Net Shortage (XXX) Total PPS call by currency. Overall Unutilised XXXXXXX (XXX) XXXXXXX will specify what item is unutilised, such as cash or guarantee. (XXX) will denote the currency in which the unutilised item is held. The amount of this item will then be displayed. 6.4.6 Yesterdays Cover Account Postings This report shows details in member/ sub-account and currency combination and is produced in two sections. The first part provides a breakdown of the previous days transactions by currency and details yesterdays cash call balance, any amounts which were paid or received and, finally, the closing balance upon which interest or accommodation charges will be levied. The second section details yesterdays interest and distribution balance followed by a breakdown of items posted to the account such as settlements, fees, interest, CR notes etc. The report ends with Todays At Call Cover Balance. This is the balance utilised in the cover call process in order to secure a members current liability with LCH.Clearnet Ltd. Part 1 At the top of the report the following details will be displayed (Figure 63).
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Figure 63 Member The member for whom this report was produced. Sub-account Valid sub-account code (see Section 9.7.6). Currency Three character currency code (see Section 9.7.2). Yesterdays Call Balance Yesterdays cover call balance. For each items on the system with the above combination of parameters the following details are shown: Description Description of transaction such as settlement, debit note, prompt, PPS call, PPS payment, Sett futures, set options etc. Com Contract code.
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Exc Three letter exchange code. Reference Six figure LCH.Clearnet Ltd bank code. Val Date Value date of posting. Post Date Date of posting. Debit Any negative value postings or blank. Credit Any positive value postings or blank. Total Running total calculated cumulatively starting with the figure shown in the Yesterdays Call Balance field. Yesterday I and D Balance Yesterdays interest and distribution balance, the final figure from the total field. Part 2 This is very similar to Part 1 except that all figures are calculated from the Yesterdays Interest and Distribution Balance and finalised in the todays at call cover balance. 6.4.7 Yesterdays Posting Totals This is a summarised version of the information provided on Part 2 of the Yesterdays Cover Account Postings report (see Section 6.4.7). It shows subtotals for each posting type by exchange and currency, and then overall by exchange.
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LCH.Clearnet Ltd
Figure 64 The following details will be displayed at the top of the report. Member The member for whom the report was produced. Sub-account H for house, C for client. For each sub-account a separate page will be produced showing the following details: Currency Three character currency code (see Section 9.7.2). Exchange Three letter exchange code Description A valid posting type (see Section 9.7.3). Total Itemised posting total for the posting type described above.
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LCH.Clearnet Ltd
At the end of all detail lines for a given exchange the following fields will be displayed. Exchange Total Total of all Total fields for a given exchange. At the end of all detail lines for all exchanges for one currency the following field will be displayed: XXX Currency Total (where XXX is the currency code) Total of all Exchange Total fields for a given currency. 6.4.8 Initial and Variation Margin Report This report provides details of initial, variation, spot credit and additional margins for each contract by member, sub-account, currency and commodity group and ends with overall totals of initial, variation and spot margins. One page per sub-account, currency, commodity group combination is printed (Figure 65).
Figure 65 At the top of the page the following details will be displayed:
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Mnemonic The member for whom the report was produced. Sub-account H for House, C for Client. Currency Three character currency code (see Section 9.7.2). Commodity Group Three letter exchange code. For each contract within the above combination the following details are displayed: Contract Commodity code followed by Future, Fut/Opt headings. Both headings will be displayed but details will only be on the relevant line. Initial Margin Value of initial margin by contract. Variation Margin Value of variation (contingent style) margin by contract. Spot Margin Value of spot margin by contract. Total Initial Margin Total initial margins by currency commodity group. Total Variation Margin Total variation margins by currency commodity group. Total Spot Margin Total spot margins DR/CR by currency commodity group.
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6.4.9
Mem.Def.Fund Contribution This report shows all details of a members contribution to the Member Default Fund (MDF) and is a hard copy of the details shown in the screen of the same name (Figure 66).
ZYI H
Figure 66 At the top of the page the following details will be displayed: Mnemonic The member mnemonic for whom this report was produced. Sub-account F for the MDF account. Currency Three character currency code (see Section 9.7.2). The following details will be displayed: Required MDF Contribution The members contribution to the MDF fund for the given period.
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Start Date/End Date MDF interest rates and contributions are reset on a quarterly basis. These two dates show the start and end date of the current MDF quarter. Interest Rate The interest rate payable on these monies. This rate is set quarterly by LCH.Clearnet Ltd and will not be less than the three month LIBOR plus 1%. Accrued Interest The current value of accrued interest payable on the MDF contribution. This amount is accrued daily at the given rate, but payable in arrears. This amount will be credited to members accounts on the Reset Day for this quarter (end date). Tax Deducted The current tax due on the accrued interest amount. This amount is calculated daily at the given flat rate, but chargeable in arrears. This amount will be debited from members accounts on the Reset Day each quarter where the member is not a UK bank or a UK branch of a foreign bank. Where payable this amount will be reported to the Inland Revenue and an annual certificate of withholding will be issued to all relevant members. Final Interest Payment Due The total interest that will be paid for the quarter on Reset Day. Tax Deducted The tax that will be due on the final interest amount. Payment Due On Date on which interest payments will be made (minus tax charges where relevant) for the given quarters MDF.
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LME Systems User Guide For Members

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LME Systems User Guide For Members LCH.

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

For options the following details are shown on this report:

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

Figure 14 For each currency the following details are displayed.

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

Figure 16 For each currency the following details are shown:

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Description or Equivalent

LME Systems User Guide For Members LCH.CLEARNET LIMITED

Margin Group Combined Contract Expiry Group

LME Systems User Guide For Members LCH.CLEARNET LIMITED

Field Names Within Summary Margin Report by Combined Currency

Spot Month Charge

Fed by totals from Spot Month Charge Report

Options lines fed by totals from Option Value Losses Report

Figure 31 For each metal the following details are displayed:

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED

LME Systems User Guide For Members LCH.CLEARNET LIMITED