LME Clear Clearing Member Reports Overview Please respond to: lmeclearing@lme.com LME CLEAR LIMITED 10 Finsbury Square, London EC2A 1AJ Tel +44 (0)20 7113 8888 A private limited company. Registered in England no 07611628. Registered office as above. LME.COM/CLEAR
Table of Contents 1. Introduction 4 2. General Report Principles 5 3. Base LME Clear Clearing Member Reports 6 3.1 Position Reports 6 3.1.1 LMECFORPR - Forwards Position Report 6 3.1.2 LMECFUTPR - Futures Position Report 7 3.1.3 LMECOPTPR - Options Position Report 8 3.1.4 LMECFOPSR Forwards Position Summary Report 9 3.2 Trade Reports 10 3.2.1 LMECFOMTR Forwards Matched Trade Report 10 3.2.2 LMECFUMTR Futures Matched Trade Report 11 3.2.3 LMECOPMTR Options Matched Trade Report 12 3.3 Settlement Report 12 3.3.1 LMECIAASR Invoice and Account Sales Report 12 3.4 Banking Reports 13 3.4.1 LMECFINSR Financial Summary Report 13 3.4.2 LMECFINAR Financial Activity Report 14 3.4.3 LMECNCCBR Non Cash Collateral Balance Report 15 3.4.4 LMECCODAR Non Cash Collateral Daily Activity Report 16 3.4.5 LMECFIPAR Financial Pending Activity Report 17 3.4.6 LMECCODSR Cover Distribution Report 18 3.5 Risk Reports 19 3.5.1 LMECINVMR NLV and Variation Margin Report 19 3.5.2 LMECMSUMR Margin Summary Report 20 3.5.3 LMECMEDFR Member Default Fund Report 21 3.6 Expiry Reports 22 3.6.1 LMECAEXBR Auto Exercise ATM Strike Price and Boundaries Report 22 3.6.2 LMECAPOER Auto Prepared Traded Option Report for Automatic Exercise 22 3.6.3 LMECTOPER Traded Option Exercise Report 24 3.6.4 LMECTOPAR Traded Option Assignment Report 25 3.6.5 LMECTOESR Traded Option Expiry Summary Report 26 3.6.6 LMECTAPER TAPO Expiry Report 27 3.6.7 LMECSWAER SWAP Expiry Report 27 3.6.8 LMECMINER LMEmini Expiry Report 28 3.6.9 LMECFDFPR Forward Delivery for Prompt Report 29 3.6.10 LMECJYALR Japanese Yen Advice Listing 29 3.6.11 LMECFUTER Index Futures and Steel Expiry Report 30 3.7 Member Fee & Interest Reports 30 3.7.1 LMECMMFIR Monthly Member Fee Invoice 31 3.7.2 LMECMMISR Monthly Interest Statement Report 32 3.8 Compression Report 33 3.8.1 LMECCOMPR Compression Report 33 3.9 Non Cash Warrant Collateral Report 34 3.9.1 LMECWCDAR LME Clear Non Cash Warrant Collateral Daily Activity Report 34 4. LMEprecious LME Clear Clearing Member Reports 35 4.1 Decimal Places 35 Page 2
4.2 Position Report 35 4.2.1 LMECFUTPR - Futures Position Report 36 4.3 Close Out Report 36 4.4 Trade Reports 37 4.4.1 LMECFUMTR Futures Matched Trade Report 37 4.5 Settlement Reports 38 4.5.1 LMECIAASR Invoice and Account Sales Report 38 4.5.2 LMECPRFSR Failed Settlement Report 38 4.6 Banking Reports 38 4.6.1 LMECFINSR Financial Summary Report 38 4.6.2 LMECFINAR Financial Activity Report 39 4.6.3 LMECNCCBR Non Cash Collateral Balance Report 40 4.6.4 LMECCODAR Non Cash Collateral Daily Activity Report 42 4.6.5 LMECFIPAR Financial Pending Activity Report 43 4.6.6 LMECCODSR Cover Distribution Report 43 4.7 Risk Reports 44 4.7.1 LMECINVMR NLV and Variation Margin Report 44 4.7.2 LMECMSUMR Margin Summary Report 44 4.7.3 LMECMEDFR Member Default Fund Report 45 4.8 Expiry Reports 46 4.8.1 LMECFUDFP Future Delivery for Prompt Report 46 4.9 Member Fee & Interest Reports 47 4.9.1 LMECMMFIR Monthly Member Fee Invoice 47 4.9.2 LMECMMISR Monthly Interest Statement Report 48 5. Reporting Of Unallocated House Account Data 49 Page 3
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
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
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: 3.1.1 LMECFORPR - Forwards Position Report Page 6
3.1.2 LMECFUTPR - Futures Position Report Page 7
3.1.3 LMECOPTPR - Options Position Report Page 8
3.1.4 LMECFOPSR Forwards Position Summary Report Page 9
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: 3.2.1 LMECFOMTR Forwards Matched Trade Report _ Page 10
3.2.2 LMECFUMTR Futures Matched Trade Report Page 11
3.2.3 LMECOPMTR Options Matched Trade Report 3.3 Settlement Report 3.3.1 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
3.4 Banking Reports 3.4.1 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
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
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
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
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
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
3.5 Risk Reports 3.5.1 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
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
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
3.6 Expiry Reports 3.6.1 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: 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). This report will show only positions that are to be automatically exercised. An example of this report is shown below: Page 22
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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
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
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
3.6.6 LMECTAPER TAPO Expiry Report 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: Page 27
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
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. 3.6.10 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
3.6.11 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
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
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
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: 3.8.1 LMECCOMPR Compression Report Page 33
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: 3.9.1 LMECWCDAR LME Clear Non Cash Warrant Collateral Daily Activity Report Page 34
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 2017. 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
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: AUD280217 Quantity closed out by the instruction. Example: 10 Page 36
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. 4.4.1 LMECFUMTR Futures Matched Trade Report Page 37
4.5 Settlement Reports 4.5.1 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 3.3.1. 4.5.2 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 4.6.1 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
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
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
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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
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. 4.6.6 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 43
4.7 Risk Reports 4.7.1 LMECINVMR NLV and Variation Margin Report The NLV and Variation Margin Report will show the Members margins summarized and total per Position account. 4.7.2 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 44
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
4.8 Expiry Reports 4.8.1 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
4.9 Member Fee & Interest Reports 4.9.1 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 47
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
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
Options Position Report Options Matched Trades Report Traded Option Exercise Report Traded Option Summary Report LMECOPTPR LMECOPMTR LMECTOPER LMECTOESR Page 50