LME Clear. Clearing Member Reports Overview. Please respond to: LME.COM/CLEAR

Transcription

1 LME Clear Clearing Member Reports Overview Please respond to: LME CLEAR LIMITED 10 Finsbury Square, London EC2A 1AJ Tel +44 (0) A private limited company. Registered in England no Registered office as above. LME.COM/CLEAR

2 Table of Contents 1. Introduction 4 2. General Report Principles 5 3. Base 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 Interest Statement Report Compression Report LMECCOMPR Compression Report Non Cash Warrant Collateral Report LMECWCDAR LME Clear Non Cash Warrant Collateral Daily Activity Report LMEprecious LME Clear Clearing Member Reports Decimal Places 35 Page 2

3 4.2 Position Report LMECFUTPR - Futures Position Report Close Out Report Trade Reports LMECFUMTR Futures Matched Trade Report Settlement Reports LMECIAASR Invoice and Account Sales Report LMECPRFSR Failed Settlement 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 LMECFUDFP Future Delivery for Prompt Report Member Fee & Interest Reports LMECMMFIR Monthly Member Fee Invoice LMECMMISR Monthly Interest Statement Report Reporting Of Unallocated House Account Data 49 Page 3

4 1 Introduction This document provides an overview of the LMEmercury generated reports. Reports are generated as part of the end of day process and can also be generated intraday from the LMEmercury GUI [further information is available in the LMEmercury Quick Guide]. The reports are available in PDF and CSV format. In addition to the Member reports contained within this document, LME Clear provides data files. Data files contain market, LMEmercury static and member data in CSV and XML format. 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 report hierarchy is shown below: Position Reports Forwards Position Report Futures Position Report Options Position Report Forwards Position Summary Report Close Out Report Failed Settlement Report Trade Reports Forwards Matched Trade Report Futures Matched Trade Report Options Matched Trade Report Compression Report Settlement Report Invoice and Account Sales Report Banking Reports Financial Summary Report Financial Activity Report Financial Pending Activity Report Non Cash Collateral Balance Report Non Cash Collateral Daily Activity Report Cover Distribution Report Non Cash Warrant Collateral Daily Activity 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 Page 4

5 TAPO Expiry Report SWAP Expiry Report LMEmini Expiry Report Forward Delivery For Prompt Report Future Delivery for Prompt Report Japanese Yen Advice Listing Report 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 Compression Report Compression Report Non Cash Warrant Collateral Report Non Cash Warrant Collateral Daily Activity Report 2 General Report Principles Member reports are scheduled to be available 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 will be dated and time stamped. The reports will be available in the following formats: PDF CSV All generated reports will be available via the LMEmercury GUI and SFTP for retrieval. Member reports will be available in the following location: /<root>/<member mnemonic>/<business date>/standard/reports Additional reports that members have subscribed to will be available in the following location: /<root>/<member mnemonic>/<business date>/subscription/reports Page 5

6 3 Base 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

7 3.1.2 LMECFUTPR - Futures Position Report Page 7

8 3.1.3 LMECOPTPR - Options Position Report Page 8

9 3.1.4 LMECFOPSR Forwards Position Summary Report Page 9

10 3.2 Trade Reports The LME Clear Trade Reports contain a full audit trail of a Members daily trading activity and the respective status of those activities i.e. cleared, accepted, pending, cancelled or rejected. Please note that the trade status for a cleared trade will be shown as Accepted instead of Cleared following the adoption of the Open Offer clearing model. Examples of these reports are shown below: LMECFOMTR Forwards Matched Trade Report _ Page 10

11 3.2.2 LMECFUMTR Futures Matched Trade Report Page 11

12 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 12

13 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 13

14 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. Page 14

15 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 15

16 3.4.4 LMECCODAR Non Cash Collateral Daily Activity Report The Non Cash Collateral Daily Activity report will show all Non Cash Collateral movements for a member. Page 16

17 3.4.5 LMECFIPAR Financial Pending Activity Report The Financial Daily Pending Activity report will show the pending cash activities for each member and account. Example transactions include all forward dated cash lodge and withdrawal requests. Page 17

18 3.4.6 LMECCODSR Cover Distribution Report The purpose of this report is to provide members with their margin amounts, collateral value and excess/deficit amount, on a daily basis. Page 18

19 3.5 Risk Reports LMECINVMR NLV and Variation Margin Report The NLV and Variation Margin Report will show the Members margins summarized and total per Position account. Page 19

20 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: Page 20

21 3.5.3 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 21

22 3.6 Expiry Reports LMECAEXBR Auto Exercise ATM Strike Price and Boundaries Report 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: 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). This report will show only positions that are to be automatically exercised. An example of this report is shown below: Page 22

23 Page 23

24 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 24

25 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 25

26 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 26

27 3.6.6 LMECTAPER TAPO Expiry Report 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: Page 27

28 3.6.8 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 28

29 3.6.9 LMECFDFPR Forward Delivery for Prompt Report The purpose of this report is to show the number of lots that have gone to delivery for each metal 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 29

30 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: 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. Page 30

31 3.7.1 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 31

32 3.7.2 LMECMMISR Monthly Interest Statement Report This report is produced on the first working day of the following month and shows the collateral interest for the previous month. The report is available in USD, GBP, EUR and JPY. Page 32

33 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 33

34 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 34

35 4 LMEprecious LME Clear Clearing Member Reports LME Clear Limited (LMEC) and the LME, intend to launch a new set of LMEprecious contracts in early This new service will be in collaboration with EOS Precious Metals Limited (EOS), a consortium of four banks working together with the World Gold Council. The new contracts will operate as an additional product suite to the existing LME products; they will be traded on the LME platforms and cleared via the LME Clear systems. Technology changes will be implemented across both the LME and LME Clear to support the LMEprecious products. 4.1 Decimal Places The pricing of Gold and Silver will be as defined as below within the reports: Trade Price: Gold prices will be quoted in USD to 3 decimal places Silver prices will be quoted in USD to 5 decimal places Close Price: Gold prices will be quoted in USD to 1 decimal place Silver prices will be quoted in USD to 3 decimal places 4.2 Position Report The Futures report is applicable for Precious and includes the day s trading activity in order to reflect the movement from brought forward balances to the closing balances. Example of the report is shown below: Page 35

36 4.2.1 LMECFUTPR - Futures Position Report 4.3 Close Out Report The Close Out report shows the instruments that have been closed out during the day. The report code is LMECCLOSR. The report will be available in PDF and CSV formats and will contain the following fields: Field Event Account Tradeable Instrument Closed out Description Will be set to Closed Position Account Example: AAA Instrument ID for the closed out position. Example: AUD Quantity closed out by the instruction. Example: 10 Page 36

37 Filename Filename for file that created the transaction. 4.4 Trade Reports The LME Clear Trade Reports contain a full audit trail of a Members daily trading activity and the respective status of those activities i.e. cleared, accepted, pending, cancelled or rejected. Please note that the trade status for a cleared trade will be shown as Accepted instead of Cleared following the adoption of the Open Offer clearing model LMECFUMTR Futures Matched Trade Report Page 37

38 4.5 Settlement Reports LMECIAASR Invoice and Account Sales Report The report contains the details of trades that have been cash settled (Profit and Loss) and warrant delivery values by Member position account. The format of the report is defined in section LMECPRFSR Failed Settlement Report The report will show the details of any positions that have not or will not be settled on the prompt date, in the event there are failed delivery positions for a member. 4.6 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. Page 38

39 4.6.2 LMECFINAR Financial Activity Report The LME Clear Financial Activity Report shows the details behind the monetary movements for the Member on a business day. Page 39

40 4.6.3 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. Page 40

41 Page 41

42 4.6.4 LMECCODAR Non Cash Collateral Daily Activity Report The Non Cash Collateral Daily Activity report will show all Non Cash Collateral movements for a member. Page 42

43 4.6.5 LMECFIPAR Financial Pending Activity Report The Financial Daily Pending Activity report will show the pending cash activities for each member and account. Example transactions include all forward dated cash lodge and withdrawal requests LMECCODSR Cover Distribution Report The purpose of this report is to provide members with their margin amounts, collateral value and excess/deficit amount, on a daily basis. Page 43

44 4.7 Risk Reports LMECINVMR NLV and Variation Margin Report The NLV and Variation Margin Report will show the Members margins summarized and total per Position account 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: Page 44

45 4.7.3 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 45

46 4.8 Expiry Reports LMECFUDFP Future Delivery for Prompt Report The purpose of this report is to show the number of lots that have gone to delivery for each metal. Page 46

47 4.9 Member Fee & Interest Reports 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 47

48 4.9.2 LMECMMISR Monthly Interest Statement Report This report is produced on the first working day of the following month and shows the collateral interest for the previous month. The report is available in USD, GBP, EUR and JPY. Page 48

49 5 Reporting Of Unallocated House Account Data Within the following member reports, data on an Unallocated House account will be shown under their linked House-account: Report Name Auto Prepared Traded Option Report for Automatic Exercise Compression Report Cover Distribution Report Forwards Matched Trades Report Forwards Position Report Forwards Position Summary Report Futures Position Report Index & Steel Expiry Report LMEmini Expiry Report Margin Summary Report Futures Matched Trade Report NLV and Variation Margin Report Report Code LMECAPOER LMECCOMPR LMECCODSR LMECFOMTR LMECFORPR LMECFOPSR LMECFUTPR LMECFUTER LMECMINER LMECMSUMR LMECFUMTR LMECINVMR Page 49

50 Options Position Report Options Matched Trades Report Traded Option Exercise Report Traded Option Summary Report LMECOPTPR LMECOPMTR LMECTOPER LMECTOESR Page 50