Please respond to: Clearing Member Reports Overview v1.10 Classification: Public. Page 1

Transcription

1 Disclaimer: This document contains examples of Clearing Member End of Day system generated reports in their current development state. The content or headings may be subject to minor change. Please respond to: Page 1

2 Table of Contents 1 Introduction General Report Principles LME Clear Clearing Member Reports Position Reports LMECFORPR - Forwards Position Report LMECFUTPR - Futures Position Report LMECOPTPR - Options Position Report LMECFOPSR Forwards Position Summary Report Trade Reports LMECFOMTR - Forwards Matched Trade Report LMECFUMTR - Futures Matched Trade Report LMECOPMTR - Options Matched Trade Report Settlement Report LMECIAASR - Invoice and Account Sales Report Banking Reports LMECFINSR - Financial Summary Report LMECFINAR - Financial Activity Report LMECNCCBR - Non Cash Collateral Balance Report LMECCODAR - Non Cash Collateral Daily Activity Report LMECFIPAR - Financial Pending Activity Report LMECCODSR - Cover Distribution Report Risk Reports LMECINVMR - NLV and Variation Margin Report LMECMSUMR - Margin Summary Report LMECMEDFR - Member Default Fund Report Expiry Reports LMECAEXBR - Auto Exercise ATM Strike Price and Boundaries Report LMECAPOER - Auto Prepared Traded Option Report for Automatic Exercise LMECTOPER - Traded Option Exercise Report LMECTOPAR - Traded Option Assignment Report LMECTOESR - Traded Option Expiry Summary Report LMECTAPER - TAPO Expiry Report LMECSWAER - SWAP Expiry Report LMECMINER - LMEmini Expiry Report LMECFDFPR - Forward Delivery for Prompt Report LMECJYALR - Japanese Yen Advice Listing LMECFUTER Index Futures and Steel Expiry Report Member Fee & Interest Reports LMECMMFIR - Monthly Member Fee Invoice LMECMMISR - Monthly Member Interest Statement Compression Report LMECCOMPR Compression Report Non Cash Warrant Collateral Report LMECWCDAR - LME Clear Non Cash Warrant Collateral Daily Activity Report Page 2

3 1 Introduction This document provides an overview of the Clearing Member system generated end of day reports that are available as part of the LME Clear Service. Intraday reports are available from the Clearing GUI as well as mechanisms to export intraday data from the GUI [further information is available in the LMEmercury Quick Guide]. In addition to the Member reports contained within this document, LME Clear provides Member Data Files. The detail of the data files is contained in the LME Clear Data File Specification, which is available on request from LME Clear. LME Clear produces reports for trading activity, open positions, settlement, risk, expiry, fees and cash movement related activities. The Clearing System report hierarchy is shown below: Position Reports Trade Reports Settlement Report Banking Reports Forwards Position Report Futures Position Report Options Position Report Forwards Position Summary Report Forwards Matched Trade Report Futures Matched Trade Report Options Matched Trade Report Invoice and Account Sales Report Financial Summary Report Financial Activity Report Non Cash Collateral Balance Report Non Cash Collateral Daily Activity Report Financial Pending Activity Report Cover Distribution Report Risk Reports NLV and Variation Margin Report Margin Summary Report Member Default Fund Report Expiry Reports Auto Exercise ATM Strike Price and Boundaries Report Auto Prepared Traded Option Report for Automatic Exercise Traded Option Exercise Report Traded Option Assignment Report Traded Option Expiry Summary Report TAPO Expiry Report SWAP Expiry Report LMEmini Expiry Report Forward Delivery For Prompt Report Japanese Yen Advice Listing Index Futures and Steel Expiry Report Member Fee Invoices Monthly USD Member Fee Invoice Monthly GBP Member Fee Invoice Monthly EUR Member Fee Invoice Monthly JPY Member Fee Invoice Monthly USD Member Interest Statement Monthly GBP Member Interest Statement Monthly EUR Member Interest Statement Monthly JPY Member Interest Statement Monthly CNH Member Interest Statement Page 3

4 Compression Report Compression Report Non Cash Warrant Collateral Report Non Cash Warrant Collateral Daily Activity Report 2 General Report Principles All Member Clearing Report production will be complete by the end of the business day. Expiry Reports are produced intraday after the expiry event as well as at the end of day. Member reports will be Member specific and each will be dated and time stamped. The reports will be available to be subscribed to in the following formats: PDF CSV All generated reports will be available via the LME Clear Member GUI and SFTP for retrieval. The location of member reports is: /<root>/<member mnemonic>/<business date>/standard/<sub folder> sub folder is: Reports Page 4

5 3 LME Clear Clearing Member Reports 3.1 Position Reports These reports show details of Member s open positions and associated DCVM, VM, CCVM or NLV as at close of business. The reports are split to show Forwards, Futures and Options separately. The reports include the day s trading activity in order to reflect the movement from brought forward balances to the closing balances. The Options report also distinguishes between Traded Options and TAPO s and the attributes associated with Option trading such as Puts, Calls and Strike. Examples of these reports are shown below: LMECFORPR - Forwards Position Report Page 6

6 3.1.2 LMECFUTPR - Futures Position Report LMECOPTPR - Options Position Report Page 7

7 3.1.4 LMECFOPSR Forwards Position Summary Report Page 8

8 3.2 Trade Reports The LME Clear Trade Reports contain a full audit trail of a Members daily trading activity (this will include backdated trades if, for example, an OTC trade is brought on exchange) and the respective status of those activities i.e. cleared, accepted, pending, cancelled or rejected. Examples of these reports are shown below: LMECFOMTR - Forwards Matched Trade Report Page 9

9 3.2.2 LMECFUMTR - Futures Matched Trade Report Page 10

10 3.2.3 LMECOPMTR - Options Matched Trade Report 3.3 Settlement Report LMECIAASR - Invoice and Account Sales Report This report, for Forward contracts, contains the details of trades that have been cash settled (Profit and Loss) and warrant delivery values by Member position account. An example of this report is shown below: Page 11

11 3.4 Banking Reports LMECFINSR - Financial Summary Report The LME Clear Financial Summary Report shows the summary of the monetary movements for the Members transactions per value date. An example of this report is shown below: Page 12

12 3.4.2 LMECFINAR - Financial Activity Report The LME Clear Financial Activity Report shows the details behind the monetary movements for the Member on a business day. An example of this report is shown below: Page 13

13 3.4.3 LMECNCCBR - Non Cash Collateral Balance Report The LME Clear Non Cash Collateral Balance Report shows the summary of non-cash collateral that the Member has lodged. An example of this report is shown below: Page 14

14 3.4.4 LMECCODAR - Non Cash Collateral Daily Activity Report The LME Clear Non Cash Collateral Daily Activity Report contains all collateral movements that were initiated by either the Member or LME Clear and can be used in conjunction with the collateral balance report for reconciliation. An example of this report is shown below: Page 15

15 3.4.5 LMECFIPAR - Financial Pending Activity Report The LME Clear Financial Pending Activity Report shows transactions of all cash collateral transfers that are in pending status for a future value date (settled transactions will not be included). Example transactions include all forward dated cash lodge and withdrawal requests. An example of this report is shown below: Page 16

16 3.4.6 LMECCODSR - Cover Distribution Report The LME Clear Cover Distribution Report details the postings that the system has calculated as part of the nightly cover distribution process at an account level. An example of the report is shown below: Page 17

17 3.5 Risk Reports LMECINVMR - NLV and Variation Margin Report The NLV and Variation Margin Report shows the Members margins summarised and totalled at a contract level. An example of the report is shown below: Page 18

18 3.5.2 LMECMSUMR - Margin Summary Report The LME Clear Margin Summary Report details a Clearing Member s Initial, Variation, Contingent and Additional Margin. An example of the report is shown below: LMECMEDFR - Member Default Fund Report The LME Clear Member Default Fund Report shows details of the Member Default fund contribution. An example of this report is shown below: Page 19

19 3.6 Expiry Reports LMECAEXBR - Auto Exercise ATM Strike Price and Boundaries Report The LME Clear Auto exercise ATM and Boundaries report are produced at the end of day on the day before monthly Traded Option expiry (the first Tuesday). The report shows the auto exercise gradation boundaries and the at the money strike price therefore indicating which positions will be flagged to be automatically exercised by the system and which positions Members will need to declare for exercise themselves. An example of this report is shown below: Page 20

20 3.6.2 LMECAPOER - Auto Prepared Traded Option Report for Automatic Exercise The LME Clear Auto Prepared Traded Option Report for Automatic Exercise report is produced at the end of day on the business day before the declaration day for Traded Options (the first Tuesday), once a month. This report will show only positions that are to be automatically exercised. An example of this report is shown below: Page 21

21 3.6.3 LMECTOPER - Traded Option Exercise Report The LME Clear Traded Option Exercise Report is produced immediately after the Traded Option expiry deadline if an exercise has taken place for the Clearing Member involved on the day of option exercise. As these are American Style Options this can happen on any business day before expiry. An example of this report is shown below: Page 22

22 3.6.4 LMECTOPAR - Traded Option Assignment Report The LME Clear Traded Option Assignment Report is produced immediately after the Traded Option expiry deadline if an assignment has taken place for the Clearing Member involved on the day of option expiry. As these are American Style Options this can happen on any business day before expiry. An example of this report is shown below: Page 23

23 3.6.5 LMECTOESR - Traded Option Expiry Summary Report The LME Clear Traded Option Expiry Summary Report is produced immediately after the Traded Option expiry deadline if an exercise or assignment has taken place for the Clearing Member involved on the day of option expiry. This report will also detail the abandoned lots. As these are American Style Options this can happen on any business day before expiry. An example of this report is shown below: Page 24

24 3.6.6 LMECTAPER - TAPO Expiry Report The LME Clear TAPO Expiry Report is produced immediately after the TAPO option expiry on the day of exercise, once a month. This will also be produced at the end of the business day to reflect all activity that day. An example of this report is shown below: Page 25

25 3.6.7 LMECSWAER - SWAP Expiry Report The LME Clear SWAP Expiry Report is produced immediately after the SWAP expiry, once a month. This will also be produced at the end of the business day to reflect all activity that day. An example of this report is shown below: LMECMINER - LMEmini Expiry Report The LMEmini Expiry Report is produced on expiry date (usually the 3 rd Monday of the month), and details the resulting P&L derived from the expiration for the current month. If expiry date is on a holiday it will be basis the previous Monday. An example of this report is shown below: Page 26

26 3.6.9 LMECFDFPR - Forward Delivery for Prompt Report The LME Clear Forward Delivery for Prompt Report will be produced immediately after all prompt expiries and will show the number of lots that have gone to delivery for each metal. This will also be produced at the end of the business day to reflect all activity that day. An example of this report is shown below: LMECJYALR - Japanese Yen Advice Listing The LME Clear Japanese Yen Advice Listing report shows details of the JPY deliveries and profit or loss values and will be produced 2 days before a JPY prompt. An example of this report is shown below: Page 27

27 LMECFUTER Index Futures and Steel Expiry Report The LME Clear Index and Steel Expiry Report is produced immediately after the expiry of Index and Steel futures, once a month. This will also be produced at the end of the business day to reflect all activity that day. An example of this report is shown below: Page 28

28 3.7 Member Fee & Interest Reports Daily Fee information is available in the form of data file and the details concerning this are available in the LME Clear Data File Specification, which is available on request from LME Clear LMECMMFIR - Monthly Member Fee Invoice This report is produced on the first working day of the following month and shows Fee totals for the previous month. The report is available in USD, GBP, EUR and JPY. An example of the USD report is shown below: Page 29

29 3.7.2 LMECMMISR - Monthly Member Interest Statement This report is produced on the first day of the month and will show the interest a member has earned on the cash collateral held at LME Clear for the previous month. The report is available for USD, GBP, EUR, JPY and CNH. An example of the USD report is shown below: Page 30

30 3.8 Compression Report The LME Clear Compression report shows details of the trades of a member which have been compressed and which trades have been created by the LME Clear s compression service for the most current compressions performed. An example of this report is shown below: LMECCOMPR Compression Report Page 31

31 3.9 Non Cash Warrant Collateral Report The LME Clear Non Cash Warrant Collateral Daily Activity report shows all Warrant activities of a member that were settled or pending on the previous business day. An example of this report is shown below: LMECWCDAR - LME Clear Non Cash Warrant Collateral Daily Activity Report Page 32