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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
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 thebuyer.
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 thebuyer.
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/ 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
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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The prompt date for which this trade was executed.LotsS
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, 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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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 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
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 forTAPOS 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 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
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, 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.
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 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
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 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
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 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
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 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
The following details are displayed:
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
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) orfalling (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 (figureunderneath).
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.
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
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 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
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) orfalling (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 (figureunderneath).
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).
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
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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 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
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 theportfolios, 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 (figureunderneath.
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 (figureunderneath).
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).
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).
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
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 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
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 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
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).
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
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 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
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 - 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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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 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.
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 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
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 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
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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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