LME Systems User Guide for Members

8/2/2019 LME Systems User Guide for Members

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LME Systems User Guide For Members LCH.Clearnet LtdLCH.CLEARNET LIMITED

22/06/05 1 Issue No.2

SECTION 6

Reports

6 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 andClearing 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 trades made against them thatwere 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 thetrade 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


Trade Date


Lots


Price


Prompt Date


Seller


seller.

Buyer

If the operating member is alleged to be the seller this field shows thebuyer.

Acc


Trade Time


Trade Type


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


Trade Date


C/P

C to represent an alleged call trade, P to represent a put.

Lots


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


seller.

Buyer

If the operating member is alleged to be the seller this field shows thebuyer.

Acc


Trade Time


Trade Type


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/ tradedate 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


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


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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The prompt date for which this trade was executed.LotsS


B


Price


Match No.


Sub Acc


Trade Time


Trade Type


Acceptance Status


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, howeverfor 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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Figure 7

Member


Mem With

The member with whom the trade was executed.

Trade Date


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



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B


Premium

The premium at which this trade was executed.

Strike Price

The strike price at which this trade was executed.

Match No.


Sub Acc


Trade Time


Trade Type


Acceptance Status


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 notaccepted by LCH.Clearnet Ltd, dropped from the system and not

registered at the end of the given business day. Trades will besuspended if their lottage or price is outside the predefined limits (see

Section 1.5.12 and 1.5.13).


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Trade Date


Prompt Date

The prompt date for which this trade was executed.

Lots

The number of lots for this trade.

Price


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


Trade Type


The Options Pages



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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 forTAPOS End of Day Suspended Trades Not Accepted TAPOS will be

shown.

Member


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


Trade Time


Trade Type


6.1.4 End of Day Outstanding Unmatched Trades (MM121)

This report shows a member all trades that remained unmatched at theend 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 counterpartydirectly 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 (Figure11) 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


Trade Date


Lots


Price


Prompt Date


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


Trade Time


Trade Type


The Carries Page

For carries the following details are shown on its report (Figure 12):

Figure 12

Member


Trade Date

The trade date for which this trade was executed.

Lots



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Price


Prompt Date


Seller


Buyer


Acc


Trade Time


Trade Type


The Options Pages

Identical details are shown for both traded and TAPO options, howeverfor traded options the heading End of Day Outstanding Unmatched

Trades Options will be displayed at the top of the page, and forTAPOS End of Day Outstanding Unmatched Trades TAPOS will be

shown.



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Figure 13

Member


Trade Date


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


Buyer


Acc


Trade Time


Trade Type


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 thebanking 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 ispayment 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 PPSonce they have fulfilled their delivery commitments for day.


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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 adebit 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 acredit or debit.

Traded Options

The amount of variation margin for current open traded options positionsas a credit or debit.

TAPOS

The amount of variation margin for current open TAPO positions as creditor debit.

Initial Margin

The amount of initial margin. These details are repeated for eachcommodity, followed by a total for each currency showing the same fieldsexcept 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 settlementprice and gives the delivery value and a commodity total.


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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 subsequentlyregistered.

Contract Value

For futures only the value of this trade calculated by price multiplied bylots 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 thegiven trades.

6.1.10 Auto-Exercise ATM Strike Prices and Boundaries

This report is available for only one day per month, at open of businesson traded option declaration day. It shows, for each commodity, the at themoney 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 (seeSection 5.5).

Auto-Exercise Gradation Boundaries (inclusive)

Calls - Up to

The strike price and below for which exercise instructions will have beenautomatically prepared by the system for open call positions.

Puts From

The strike price and above for which exercise instructions will have beenautomatically 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 ontraded option declaration day.


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This report provides confirmation to members of their option positionswhich have been automatically prepared for declaration by the system(Figure 20).

Figure 20


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 declarationactivity. This report is not restricted to the current month and shows at aglance information of all exercised and assigned lots. The information isdisplayed in member/sub-account/commodity/month order.

This is a single consolidated form of information also available within theMember Registration Statement (Figure 21).


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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 positionsregistered on the system for the given business day and selection criteria.

As the criteria can differ the resultant details will be displayed in adifferent order. For a full explanation of these criteria see Section 5.3.1.

Where both sub-accounts are selected the client positions will bedisplayed first. Where all commodities are requested each one will be

displayed sequentially within the report with a separate total percommodity shown.

The first page of all open position reports will display the selection criteriafor 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 sortsequence 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 arefollowed by puts. Identical details are shown for both option types with theContract 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 dateand month, of a members open position (by lots) that have changedduring the last business day. It is in member/sub-account/commodity

order. Any changes affected by LCH.Clearnet Ltd will be shown withinthat section. The report will show futures followed by options. An examplefutures page is shown below (Figure 25).

Figure 25


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For information on the details contained in this report see Sections 5.4.1and 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 forwhich the closing option premiums are available. Each report can berequested for printing separately and shows all traded options closingprices in currency order (Figure 26).

Figure 26


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 Deltamargining. It is no longer relevant within LCH.Clearnet Ltd marginingsystems.

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 marginingsystems.

Volatility %

The volatility as input by LCH.Clearnet Ltd.

Input/Calc

I indicates that this premium was derived by the volatility input by theLME, C shows that this is a system interpolated price.

TAPO prices will be displayed at the end of the report after tradedoptions. The only difference in the detail is that the average price will bedisplayed 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 itwill 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 beshown:

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 andthose interpolated by the system, in currency order for all valid promptdates 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 ratewas 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 andthose extrapolated between the input dates. They are only available forTAPO trading commodities and show all valid prompt dates out to 27months (Figure 30).


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Figure 30


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 byLCH.Clearnet Ltd into London SPAN. This has been further enhanced toproduce London SPAN for the LME. These facts mean that much of theterminology used within these reports is cross exchange and not alwaysLME specific. A list of the most frequently used SPAN specific terms islisted below with their LME equivalent term.

London SPANDescription andConcepts

LME Description or Equivalent

Expiry Date Prompt date.Spot Date Prompt date or range of prompt dates attracting

additional margin charges.Scanning Range Full deposit margin rate.Scanning Risk First component of initial margin without additional

charges and rebates.Net Liquidation

Value

The present value of variation margin.

Discount Factor A multiplier used to calculate todays value forward


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cash flows.Tier No. A number representing an inter-month spread tier.

Each tier is defined by LCH.Clearnet Ltd andcontains single, or a series of, prompt dates towhich charge is attached.

Spread Priority Number denoting the order in which spread tiers areselected in the margin calculation. The number ofspread priorities is directly related to the number oftiers used as it is the maximum number ofcombinations. For example for 5 tiers there are 15spread priorities; 1-1, 2-2, 3-3, 4-4, 5-5, 1-2, 1-3 etc.

Margin Group Grouping of contracts for the offset of net liquidatingvalue. Presently LME contracts form a margingroup.

CombinedContract

Currencies for a given metal.

Expiry Group Defines how delta should be apportioned to prompt

dates for options contracts. For traded options thisis normally a single date. For TAPOs, delta isapportioned to valid prompt dates in the fixingperiod. This is a configurable LCH.Clearnet Ltdparameter.

Generic Type orCT

Contract Type.

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/Browserfacility and within that system it is clearly marked which report contains

which information. If a report is set up to automatically print, whererelevant, 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

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, andwhere 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:

Scanning Risk Intermonth Spread

Charge Spot Month Charge

Fed by totals from

Summary Scanning

Risk Report

Fed by totals from

Intermonth Spread

Change Report

Fed by totals from

Spot Month Charge

Report

Fed by totals from

Summary Value

Losses Report

Spread deltas fed from

Span Delta Charge

Report

Options lines fed by

totals from Option

Value Losses Report


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Tier No.

A number as defined by the SPAN parameter file (record type 31). Eachtier 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 arolling range which will encapsulate different prompt dates on each

business day. On any business day details of the full date range each tierrepresents 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 givenprompt date. The delta being the number of futures that the system hascalculated 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 givenprompt date. The delta being the number of futures that the system hascalculated 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 promptfollowed by the discount factor and the results of applying it to the totalfigure.

Details are shown one section per commodity, with house account detailsand 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 thisreport.

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 totaldiscounted variation margin across all prompt dates. For all currenciesthe amount is shown as a USD equivalent as well. This is listed alongwith the exchange rate used to convert it.

Note:For JPY to USD figures the Yen amount is shown in 100s but theUSD is shown as a true amount.

Totals for Combined Contract XX

This is displayed at the end of each metal and shows the total discountedvariation 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 thereport 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 reportshows the delta apportionment over all remaining prompt dates untilTAPO settlement day (month end plus two business days). Separatesections will be shown for each of the TAPO tradable commodities.House account details and client account details are shown on separatereports.


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For Example: If today is the second trading day of the month and thedelta for the current TAPO is 0.9998 the system will deemthat because the option is an average of all prompts. Thedelta should be split accordingly and each day given their

own portion of that delta. In its most simplistic form it canbe viewed that if there are 19 trading days left untilsettlement the system will divide 0.9998 by 19 and assignan equal value to each day. If the delta is not exactlydivisible by the number of days the remaining delta isapportioned to the last day. Delta values are calculatedwithin the risk array generation processing and can beseen on the SPAN Parameter Report.

This report will show more information earlier in the month as at that pointthere will be many more remaining prompt days than at the end of themonth when the days remaining to expiry will be far fewer (Figure 34).

Figure 34

For each remaining prompt date to TAPO settlement the following detailsare

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). Anegative amount indicates a net short position, positive a net longposition. If this amount is zero it can indicate either that the TAPO is deepout of the money and has an overall delta of zero causing theapportioned amount to also be zero, or, that the overall net delta positionis 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, purelythe apportionment values.

6.2.4 SPAN Intermonth Spread Charge Report

This report shows how the delta is consumed across the bands and thecharges to be applied to the different spread bands in which the positionsfall.

House account details and client account details are shown in separatereports, details are shown one page per metal (Figure 35).

Figure 35

Spread Priority

The order of priority in which the spreading occurs. The highest prioritybeing 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 TierVS Tier VS Tier

This shows which tier has been offset against which other tier. Again, forthe LME it will always show two tiers as, although offsetting in LondonSPAN is possible across multiple tiers, this is not currently a features ofLondon SPAN for the LME.

The A and B following the tier numbers are an indication of a long orshort position. Again as only two tiers are being used it is not relevant asthe offset must always be between a long and a short position, or an Aand 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 deltaconsumed multiplied by the charge rate.

Note: Figures are charged as rounded amounts with 0.5 and abovebeing rounded up and below 0.5 being rounded down.

Residual Data

The amount of delta left, at this spread priority, that can potentially bepassed into a lower priority for further spreading. A negative valuerepresents a remaining short position, a positive value remaining longposition.

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 TAPOpositions.

Details are displayed alphabetically by metal, with all TAPO detailsfollowed 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 separatereports.

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 forTAPO 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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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 optionposition 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 (figureunderneath.

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 (figureunderneath).


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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 (figureunderneath).

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) orfalling (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 andTAPO positions by prompt. Details are shown by commodity with, foreach prompt date, on line for futures and on line for options (Figure 38).

Figure 38


Expiry Date/Dis. Fact.

The prompt date for which the scenario applies with the relevant discountfactor 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 discountfactor. For an option line, the net aggregate number of futures the systemhas calculated correspond to the option position held. For the componentparts 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


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) orfalling (figure underneath).

F-2/3 Vol up/dn


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 (figureunderneath).

F+0 Vol up/dn


F+1/3 Vol up/dn



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F+2/3 Vol up/dn


F+3/3 Vol up/dn


F+ Extreme


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 intoUSD. This is done twice, once using a FX rate that assumes an upwardmovement from todays rate and again using a FX rate that assumes adownward movement. The worse case of these will be shown again as afinal 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 levelsummary of its component parts (Figure 40).

House account details and client account details are shown in separatereports.

Figure 40


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 initialmargin.

Intermonth Spread Charge

The total spread margin. Details of how this is calculated can be found inthe 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 Section6.2.9).


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Intercontract Credit

This field is not presently used for the LME, but is available for marketswhere positions in one contract are permitted for offset against anothercontract for margining purposes.

F Extreme


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) orfalling (figure underneath).

F-2/3 Vol up/dn


F-1/3 Vol up/dn


F+0 Vol up/dn


F+1/3 Vol up/dn


F+2/3 Vol up/dn


F+3/3 Vol up/dn


F+ Extreme


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For each commodity a total will be shown of all fields. This total will alsobe 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 chargedper lot for certain deep out of the money options portfolios which wouldotherwise have zero margin.

Short Option Minimum

The number of short options multiplied by the short option minimumcharge rate.

Initial Margin

The total initial margin made up of the scanning risk, inter-month spreadcharge and spot charge. If this total is less than the short option minimumcharge, the short option minimum will be charged and shown here.

A total is given at the bottom of the initial margin column showing theinitial margin for all contracts.

6.2.9 SPAN Spot Month Charge

Spot month charge is margin payable for positions held on specificprompt dates or periods highlighted by LCH.Clearnet Ltd as of higher riskthan the spread or outright rate normally charged would imply. This is anoptional charge levied by LCH.Clearnet Ltd during times of high volatilityand can be invoked without prior notice.

House account details and client account details are shown in separatereports. This report shows the spot month charges which are to beapplied to the initial margin broken down by position within metal.

Details of parameters and rates are shown in the SPAN Initial MarginRate report. The following are displayed:

Spot Month

Prompt date for which an extra margin charge has been deemedapplicable by LCH.Clearnet Ltd.

Delta Sign

S for short, L for long or B for both. This signifies which type of deltaposition is affected by the charge.


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Spreads Consumed

The amount of delta position for the specified prompt date that wasspread with other positions during margining.

Spread Rate

The additional margin rate levied per spread lot for the specific promptdate.

Spread Charge

The total additional spread margin to be levied, ie spreads consumedmultiplied by spread rate.

No. of Outrights

The amount of delta position for the specified prompt date that was notspread against any other positions during margining.

Outright Rate

The additional margin rate levied per outright lot for the specified promptdate.

Outright Charge

The total additional outright margin to be levied, ie outright positionmultiplied 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 allmetals is not.

6.2.10 SPAN Summary Scanning Risk Report

The report shows a summary of all the commodity and metal total fieldsfrom the Summary Value Losses Report. All figures are the aggregatesfor each of the 16 scenarios contained within the Risk Arrays (Figure 42).

The worse case forms an element of total initial margin (seen in thescanning risk column of the Summary Margin Report by CombinedCurrency).


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Figure 42


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 theportfolios, if the given scenarios occur.

F Extreme


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


F-1/3 Vol up/dn


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F+0 Vol up/dn


F+1/3 Vol up/dn


F+2/3 Vol up/dn


F+3/3 Vol up/dn


F+ Extreme


After all commodities are shown for a given contract a contract total ofthese will be shown.

Largest Loss Scenario/Scanning Risk

The description of the worse case aggregate out of all those detailedfollowed by the amount. This figure is used as the scanning risk amountfor initial margin.

6.2.11 SPAN Initial Margin Rates

This report shows, per metal, all rate details used to calculate the initialmargin 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 columnsVol 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 SPANSpot 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 attractthe additional charges.

6.2.12 SPAN Parameter Report

This report details all parameters and details used in calculating riskarrays and London SPAN margins along with full detail of every scenariocalculated.


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There are three main sections:-

The first shows details of the currency conversion details used across allcommodities (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 chargedetail is a repeat of parameter information shown in the SPAN InitialMargin 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 listedbelow:

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 scanningrange.

Loss Covered

The percentage of the extreme movement calculation that is shown in thereport, ie the figure for F+extreme/F-Extreme is calculated and thenhaircut 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 everyposition. The aggregate per prompt date of these forms the basis of thedetails 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 thoseinterpolated 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 wascalculated by the system.

6.2.14 Inter Contract Spread Credit Report

SPAN offers credits for allowable intercontract spreads. These creditsrecognise cases where offsetting positions in related contracts reduceoverall portfolio risk. These spread credits will therefore reduce theamount of margin required (Figure 48).

Figure 48

ZYI MEMBER


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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. theinitial margin.

Paired Line

The Scanning Risk for the scenario that is the paired scenario for theworst-case loss scenario. The paired scenario reflects the same volatilitymove in the opposite direction, the same forward price move, and thesame 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 EXCHANGE STATISTICS REPORT

Every morning at 9:30 three statistical reports are released by the London

Metal Exchange and made available to members over the LMEPrint/Browser facility.

6.3.1 Futures Open Interest Summary

For the given business days this report provides details, for each promptdate 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


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 positionis zero.

Todays Trades Sold/Bought

The gross lots traded for the prompt date on the given date at the top ofthe report (both bought and sold are always identical).

Note:This starts with the cash prompt date not cash today so the totalper 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 abovefields.

6.3.2 Options Open Interest Summary

For the given day this report provides details, for each strike andcommodity of the traded lots, the change it represented and the total netopen 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 positionfor 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 thetop of the report (both bought and sold are always identical).

Note:This starts with the cash prompt date not cash today; thereforethe total per commodity is not necessarily the volume traded forthat 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 (bothbought and sold are always identical).

At the end of each commodity a sub total will be printed for the abovefields.

LME Open Interest and Turnovers Summary by Commodity

For the given day this report provides details, for each period stated, ofthat days traded lots and the total net open interest. This is a summary ofthe previous two reports.

A total is given at the end of each commodity (Figure 51).


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Figure 51


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 3rdWednesday of the following month (ie month 1 to 2).

DD/MM DD/MM-Next business day after 3rd Wednesday above to 3rdWednesday of the following month (ie month 2 to 3).

DD/MM DD/MM-Next business day after 3rd Wednesday above to 3rdmonth date.

3RD MONTH - Next business day after 3month 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 monthto the 27th month.


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Figure 52


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).

ZYI MEMBER ZYII SHORT NAME


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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 andcurrency. 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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Figure 58

At the top section of each page the following data will be displayed:

Member


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 thecollateral.

ZYI ZYI MEMBER ZYII SHORT NAMEH


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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 areupdated 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 byprice 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 collateralas 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 orderand details the total liability by commodity group, initial, variation and spot

margin, followed by the overall cumulative group total. This is followed byinternational 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 initialmargin. The process is performed across all possible currencies. Details

are produced in two sections. The first displays commodity group offsetsby member, sub-account and currency and ends with the total initial and

surplus variation margin amounts (after offsets). The second shows theamounts 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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Figure 59


Member


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 - This shows the total initial margin.Variation Margin/NLV - This shows the total variation margin.

Spot Margin/Cont - This shows total spot variation margin.

ZYI


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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 acrosscurrencies 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 andvariation 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 thefollowing 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 followingheadings 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 afteroffset, in which case that will be displayed.

There will then be a display, if relevant, of any remaining variation marginafter 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 thesummed 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 bottomof this display.

Figure 60


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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 itscomponent 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/variationmargin 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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Figure 61

This report is produced at an earlier stage of the overnight processingthan 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.


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 marginand any LME variation margin, contingent variation margin or netliquidating 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.ClearnetLtd, 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 anysurpluses 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 lodgedat LCH.Clearnet Ltd is utilised to secure a members overnight liability

(Figure 62).

It shows todays cash cover balance, total liability by exchange tradedand 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 cashand collateral.


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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 bycurrency 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 balancefollowed 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 currentliability 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


Sub-account

Valid sub-account code (see Section 9.7.6).

Currency


Yesterdays Call Balance

Yesterdays cover call balance.

For each items on the system with the above combination of parametersthe 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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Figure 64

The following details will be displayed at the top of the report.

Member


Sub-account

H for house, C for client.

For each sub-account a separate page will be produced showing the

following details:

Currency


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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At the end of all detail lines for a given exchange the following fields willbe 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 grou

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