Banking Reports Reference Guide
For FCM Clearing Members
LCH.Clearnet
This reference guide has been designed to aid FCM Clearing Members of both LCH.Clearnet Ltd and LCH.Clearnet LLC in understanding and reconciling their Banking reports.
LCH.Clearnet Ltd and LCH.Clearnet LLC will be referred to as LCH.Clearnet throughout the remainder of this guide.
1
COPYRIGHT
LCH.Clearnet Group Limited and its associated companies ("LCH.Clearnet") own the intellectual property rights (including copyright) in the
following/attached documentation (“the Documentation”).
The Documentation (or any part of it) may not be copied, reproduced, transmitted, or stored in electronic form without the prior express permission
of LCH.Clearnet. The Documentation is published for general information purposes only. It is not intended to be investment advice and you should
not read it, or any part of it, as such.
The contents of this document have been provided to you for informational purposes only and are intended as a broad overview. This document
does not, and does not purport to, contain a detailed description of its subject matter and has not been prepared for any specific person.
Accordingly, you must not rely upon the contents of this document and you should seek your own independent legal and other professional advice.
LCH.Clearnet (and each other member of the LCH.Clearnet group of companies) shall have no liability for any loss or damage, costs or expenses
(other than in respect of personal injury or death caused by the negligence of LCH.Clearnet (or other member of the LCH.Clearnet group, as the
case may be)) arising out of or in any way connected with the use of this documentation or any of the information contained in it.
© LCH.Clearnet Group Limited 2014
2
Introduction ......................................................................................................................................................................................... 6
Banking Reports for SwapClear .......................................................................................................................................................... 7
How to Access Reports ............................................................................................................................................................................................................... 9
Member Reporting Website (Extranet): ..................................................................................................................................................................................... 10
REP00030: Cover Calling Summary (Client Account) .............................................................................................................................................................. 11
REP00030: Cover Calling Summary (L Account) ..................................................................................................................................................................... 12
REP00021: Initial and Variation Margin (I) ................................................................................................................................................................................ 13
REP00021: Initial and Variation Margin (II) ............................................................................................................................................................................... 14
REP00022: Yesterday’s Cover Account Postings 1 (C Account) ............................................................................................................................................. 15
REP00022: Yesterday’s Cover Account Postings 2 (L Account) .............................................................................................................................................. 16
REP00022a: Today’s Non Cover Account Postings ................................................................................................................................................................. 17
REP00019: Overnight Cover Distribution.................................................................................................................................................................................. 18
REP00032: Member Default Fund ............................................................................................................................................................................................ 19
REP00033a: PPS Movement Detail .......................................................................................................................................................................................... 20
REP00017a: Interest Rate Report ............................................................................................................................................................................................ 21
Banking Reports for ForexClear ........................................................................................................................................................ 22
How to Access Reports ............................................................................................................................................................................................................. 23
LCH.Clearnet Portal .................................................................................................................................................................................................................. 25
REP00030: Cover Calling Summary (Client Account) .............................................................................................................................................................. 26
REP00030: Cover Calling Summary (L Account) ..................................................................................................................................................................... 27
REP00021: Initial and Variation Margin (I) ................................................................................................................................................................................ 28
REP00021: Initial and Variation Margin (II) ............................................................................................................................................................................... 29
REP00021: Initial and Variation Margin (II) ............................................................................................................................................................................... 29
REP00022: Yesterday’s Cover Account Postings: Client Account (I) ....................................................................................................................................... 30
REP00022: Yesterday’s Cover Account Postings: L Account (II) ............................................................................................................................................. 31
REP00019: Overnight Cover Distribution.................................................................................................................................................................................. 32
REP00032: Member Default Fund ............................................................................................................................................................................................ 33
3
REP00033a: PPS Movement Detail .......................................................................................................................................................................................... 34
Banking Reports for LCH EnClear OTC Services ............................................................................................................................. 35
How to Access Reports ............................................................................................................................................................................................................. 37
Member Reporting Website (Extranet): ..................................................................................................................................................................................... 38
REP00030: Cover Calling Summary ......................................................................................................................................................................................... 39
REP00030: Cover Calling Summary ......................................................................................................................................................................................... 40
REP00021: Initial and Variation Margin (I) ................................................................................................................................................................................ 41
REP00021: Initial and Variation Margin (II) ............................................................................................................................................................................... 42
REP00022: Yesterday’s Cover Account Postings (C Account) ................................................................................................................................................ 43
REP00022: Yesterday’s Cover Account Postings (U Account) ................................................................................................................................................ 44
REP00022: Yesterday’s Cover Account Postings (L Account) ................................................................................................................................................. 45
REP00019: Overnight Cover Distribution (C Account) ............................................................................................................................................................. 46
REP00019: Overnight Cover Distribution (U account) .............................................................................................................................................................. 47
REP00032: Member Default Fund ............................................................................................................................................................................................ 48
REP00033a: PPS Movement Detail .......................................................................................................................................................................................... 49
Banking Reports for the Nodal Exchange ......................................................................................................................................... 50
How to Access Reports ............................................................................................................................................................................................................. 52
Member Reporting Website (Extranet): ..................................................................................................................................................................................... 53
REP00030: Cover Calling Summary (Client Account) .............................................................................................................................................................. 54
REP00021: Initial and Variation Margin (I) ................................................................................................................................................................................ 55
REP00022: Yesterday’s Cover Account Postings: Client Account (I) ....................................................................................................................................... 56
REP00022: Yesterday’s Cover Account Postings: Client Account (II) ...................................................................................................................................... 57
REP00019: Overnight Cover Distribution.................................................................................................................................................................................. 62
REP00032: Member Default Fund ............................................................................................................................................................................................ 63
REP00033a: PPS Movement Detail .......................................................................................................................................................................................... 64
Additional Banking Reports ............................................................................................................................................................... 65
REP00017: Daily Base Rates ................................................................................................................................................................................................... 67
4
REP00018: Daily Exchange Rates ........................................................................................................................................................................................... 68
REP00018: Daily Exchange Rates ........................................................................................................................................................................................... 68
REP00036/REP00036a: Non Cash Collateral Holdings ........................................................................................................................................................... 69
REP00037: Statement of Account ............................................................................................................................................................................................ 70
REP00038: Interest and Accommodation ................................................................................................................................................................................. 71
Glossary of Terms ............................................................................................................................................................................. 73
Contacts ..................................................................................................................................................................................... Error! Bookmark not defined.
5
Introduction

This reference guide is designed to assist FCM Clearing Members with the reconciliation of cash flows between LCH.Clearnet’s
Banking system and their own system(s)

The Banking Reports sections provide specific examples detailing the postings and currencies relating to each market. These
include instructions on how to access the Banking reports

The Additional Banking Reports section provides details of the generic reports which relate to all markets

The Glossary of Terms provides a reference for all the terminology used on the reports
6
Banking Reports for SwapClear
7
SwapClear FCM
Banking Reports for SwapClear
 SwapClear Banking reports are accessible via the Member Reporting website (Extranet)
 This reference guide provides specific examples detailing postings and currencies for SwapClear – these are the minimum number of
reports required on a daily basis for reconciliation purposes
 These postings will be combined under commodity group SWP (for SwapClear Global FCMs) or SUS (for SwapClear US-Domiciled FCMs)
 Postings for all markets will be shown on the same report
Daily Banking Reports











REP00019
REP00020
REP00021
REP00022
REP00022a
REP00029
REP00030
REP00032
REP00033a
REP00036
REP00036a
-
Overnight Cover Distribution
Commodity Group Total*
Initial and Variation Margin
Yesterday’s Cover Account Postings
Today’s Non Cover Account Posting
Yesterday’s Postings Total* (1)
Cover Calling Summary
Member Default Fund
ITD PPS Movement Detail
Non-Cash Collateral Holdings
SOD Non-Cash Collateral Holdings* (2)
Monthly Banking Reports
 REP00037
 REP00038
- Statement of Account
- Interest and Accomodation Charge Report
Public Folder Banking Reports
 REP00017
 REP00017a
 REP00018
- Daily Base Rates (LDR)
- CDR Interest Rate (applicable to client clearing business only)
- Daily Exchange Rates
* Not included in this reference guide; (1) The same information can be viewed in more detail in REP00022; (2) This is an overnight report, and as such
contains less information than the intraday REP00036
8
SwapClear FCM
How to Access Reports
Instructions on how to access Banking reports from the Member Reporting website (Extranet):
1. Open Internet Explorer and enter https://memberlive.lch.com
2. Click on 'User Directories' to access the password screen
3. Enter your User Name and Password
4. Select ‘Banking’ from the folder option list
5. Upon opening, a list of the reports available and the time that they were produced will be displayed. Two types of files are available; .pdf and .txt
files

The .pdf files are viewable and printable from most computer systems

The .txt files are text versions for downloading report data

Any report listed can be accessed by clicking on the name

Select the required date from the main menu to access historical reports. Reports are available for five days

For Fees, Risk or Trade reports select the appropriate folder from the main menu list
9
SwapClear FCM
Member Reporting Website (Extranet):
Any issues with missing reports or
problems accessing the Member Reporting
website (Extranet) should be directed to the
LCH.Clearnet Service Desk:
-
UK Tel: +44 (0) 20 7426 7200
US Tel: +1 (212) 513 5624
Email: [email protected]
10
SwapClear FCM
REP00030: Cover Calling Summary (Client Account)



This report provides a summary of the overnight process. As shown in the below screen shot, the report displays the total liability and any excess
cash for the C account
The liabilities include PPS calls and pays, which for SwapClear FCM Clearing Members are always in USD
Further details can be found in the other Banking reports detailed in this reference guide
Date
Member
Account
Ccy
USD
This will
list all the
currencies
in which
liabilities or
balances
are held
1
2
14/05/20XX
ABC
C
Exchange
Rate
1.574630
This rate is
used in the
cover
distribution
process
BANK of ABC
Total Liability
-427,660,849.93
SwapClear Global Service
Clearing Members’ cover
distribution is converted from GBP
to USD. SwapClear US-Domiciled
Clearing Members’ cover
distribution is calculated in USD
Cash Cover
221,738,017.95
Net Shortage
Protected
Payment
0.00
This equates to
total initial margin
and unallocated
excess1 in USD
This is the
opening cash
balance after all
calls and pays
have been applied
from the previous
day. Also includes
unallocated
excess2
The currency
that has been
changed from
the original
liability amount
at the Clearing
Member’s
instruction.
FCMs may
only post USD
See
REP00021
See
REP00022
See
REP00019
Converted
Currency
This is actually a USD figure
for LLC business
Auto-repay is not available
to FCM Clearing Members,
and is always ‘No’ (N)
Converted
Cash Call
0.00
The amount of
the call that has
been changed in
the currency of
the Clearing
Member’s
preference.
FCMs may only
post USD
Unutilised
Cash
41,161,704.94
Auto
Repay
N
Only displays
excess non cash
collateral. For
excess non cash
collateral holdings,
see REP00036
GBP
Equivalent
0.00
This is the
amount of
cash after the
cash cover
balance and
any collateral
has been fully
utilised. This
will be debited
from your PPS
bank account
Represents
unutilised cash
after liability
has been
covered
FCM
Clearing
Members
cannot
select
automatic
repayment
of all excess
cash
Unutilised
non-cash
collateral after
cover
distribution
process.
All displayed
in GBP
equivalent
See
REP00019
See
REP00019
See
REP00019
See
REP00036
See SOC LIABILITY in REP00019
See SOC OTHER CASH in REP00019
11
SwapClear FCM
REP00030: Cover Calling Summary (L Account)



This report provides a summary of the overnight process. As shown in the below screen shot, the report displays the total liability and any excess
cash for the L account
The liabilities include PPS calls and pays, which for SwapClear FCM Clearing Members are always in USD
Further details on each row of the report can be found in other Banking reports detailed in this reference guide
Date
Member
Account
Ccy
EUR
USD
This will
list all the
currencies
in which
liabilities
or
balances
are held
14/05/20XX
ABC
L
Exchange
Rate
BANK of ABC
Total Liability
Cash Cover
Net Shortage
Protected
Payment
-3,673,590.61
0.00
.0739864
1.00
0.00
0.00
-3,673,590.61
14,625,825.97
This rate is
calculated at
16:00 daily
and is a
notional rate
used in the
cover
distribution
process
This equates to
total initial margin
This is the
opening cash
balance after all
variation margin
has been applied
from previous
day’s trading,
also includes
fees, interest,
and previous
day’s call/pay
The currency
that has been
changed from
the original
liability
amount at the
Clearing
Member’s
instruction
See
REP00021
See
REP00022
See
REP00019
Converted
Currency
Converted
Cash Call
0.00
0.00
The amount of
the call that has
been changed
in the currency
of the Clearing
Member’s
preference
Unutilised
Cash
Auto
Repay
GBP
Equivalent
0.00
14,625,825.97
Y
Y
0.00
0.00
This is the
amount of
cash after the
cash cover
balance and
any collateral
has been fully
utilised. This
will be
debited from
your bank
account
Represents
unutilised
cash after
liability has
been covered
Auto-repay
is always
‘Yes’ (Y)
Unutilised
securities and
guarantees
after cover
distribution
process.
All displayed
in GBP
equivalent
See
REP00019
See
REP00019
See
REP00019
See
REP00036
12
SwapClear FCM
REP00021: Initial and Variation Margin (I)

This report provides information on Clearing Members’ unallocated excess, and indicates the commodity group/commodity code
Date
Member
Account
Currency
Commodity Group
Contract
14/05/20XX
ABC
BANK of ABC
C
See Total Liability
USD
column in REP00030
SOC
Initial Margin
SLU Futures:
SLU Fut/Opt:
For SwapClear, variation margin is
detailed on REP00022
NLV/Variation
Margin
0.00
-76,412,505.56
These types of margin do not apply to
SwapClear business, and therefore these
columns will always display 0.00
Cont/Spot Margin
0.00
0.00
0.00
0.00
Additional Margin
0.00
0.00
SLU is the LCH.Clearnet code for unallocated
excess
There are no futures/options on SwapClear
Total
Total
Total
Total
Total
initial margin
variation margin
spot credit
spot debit
additional margin
:
:
:
:
:
-76,412,505.56
0.00
0.00
0.00
0.00
See REP00019
These types of margin do not apply to
SwapClear business, and therefore
these numbers will always be 0.00
13
SwapClear FCM
REP00021: Initial and Variation Margin (II)

This report provides information on the initial margin requirements, and indicates the commodity group/commodity code
Date
Member
Account
Currency
Commodity Group
Contract
14/05/20XX
ABC
C
USD
SWP
BANK of ABC
See Total Liability
column in REP00030
Initial Margin
SUS Swaps:
SUS Swaps:
For SwapClear, variation margin is
detailed on REP00022
NLV/Variation
Margin
-351,248,344.37
0.00
These types of margin do not apply to
SwapClear business, and therefore these
columns will always display 0.00
Cont/Spot Margin
0.00
0.00
0.00
0.00
Additional Margin
0.00
0.00
For the SwapClear Global Service, SGB will be displayed
(S = SwapClear + GB = currency (GBP))
For the SwapClear US-Domiciled Service, SUS will be displayed
Total
Total
Total
Total
Total
initial margin
variation margin
spot credit
spot debit
additional margin
:
:
:
:
:
-351,248,344.37
0.00
0.00
0.00
0.00
See REP00019
These types of margin do not apply to
SwapClear business, and therefore
these numbers will always be 0.00
14
SwapClear FCM
REP00022: Yesterday’s Cover Account Postings 1 (C Account)

This report provides details of the previous day’s:
 cash transactions (cover) by currency
 cash call balance
 any amounts which were paid or received
 closing balance upon which interest or accommodation charges will be levied
Date
Member
Account
Currency
14/05/20XX
ABC
C
USD
Postings 1
BANK of ABC
This is the previous day/start
of day balance
Yesterday’s Call Balance: 244,892,670.11
These columns are always blank for
PPS calls and pays on Postings 1
Description
PPS CALL
PPS PAYMENT
PPS PAYMENT
This column
displays the type of
movements on the
account: PPS pay
(credit) or PPS call:
(debit)
Com Exc
This column
defaults to today’s
date
Reference
This column displays the
date on which the funds
are posted to Banking
Negative postings: debit
to Clearing Members’
account with
LCH.Clearnet
Value Date
Post Date
Debit
13-May-20XX
13-May-20XX
Totals for Com:
310002
310002
This is an
LCH.Clearnet
reference number
Yesterday’s I & D Balance: 221,738.017.95
0.00
0.00
Positive postings:
credit to Clearing
Members’ account
with LCH.Clearnet
This column
displays the
difference between
the credit and debits
Credit
Total
19,000,000.00
19,000,000.00
19,000,000.00
13-May-20XX 13-May-20XX
6,502,310.85
13-May-20XX 13-May-20XX
35,652,341.31
Totals for Com: 42,154,652.16
0.00
0.00
0.00
-42,154,652.16
Total for Postings 1 42,154,652.16
19,000,000.00
-23,154,652,16
This row displays the total value of movements across the account
This is yesterday’s end-of-day balance.
Interest on this balance will be applied at a
rate calculated by LCH.Clearnet
15
SwapClear FCM
REP00022: Yesterday’s Cover Account Postings 2 (L Account)

This report provides details of all overnight postings, such as variation margin, fees, interest and coupons.
Date
Member
Account
Currency
14/05/20XX
ABC
L
USD
Yesterday’s Call Balance:
0.00
Postings 2
BANK of ABC
This column
displays the date
on which the funds
are posted to
Banking
This column
defaults to
today’s date
Negative postings:
debit to Clearing
Members’ account
with LCH.Clearnet
Com Exc Reference Value Date
Post Date
CONSIDERATN
SUS
13-May-20XX
161,102,056.00
0.00
Total for Com SUS:
161,102,056.00
0.00
13-May-20XX
2,429.17
0.00
Total for Com SUS:
2,429.17
0.00
13-May-20XX
0.00
175,722,382.29
Total for Com SUS:
0.00
175,722,382.29
13-May-20XX
0.00
7,928.85
Total for Com SUS:
0.00
7,928.85
7,928.85
Totals for Postings 2:
161,104,485.17
175,730,311.14
14,625,825.97
14-May-20XX
Up-front/termination fees
COUPON
SUS
SUS
14-May-20XX
Coupons are a trade-generated cash flow
NPV CHANGE
SUS
SUS
14-May-20XX
NPV = Net present value
PR AL INTST
SUS
SUS
14-May-20XX
Price alignment interest
Displays the contract
code:
‘SUS’ for SwapClear
FCMs
This column displays the
commodity group: ‘SWP’
for SwapClear Global
Service, and ‘SUS’ for
SwapClear US-Domiciled
service
Today’s At Call Cover Balance: 14,625,825.97
Credit
This column
displays the
difference
between the credit
and debits
Description
SUS
Debit
Positive postings:
credit to Clearing
Members’ account
with LCH.Clearnet
Total
-161,102,056.00
2,429.17
175,722,382.29
This will be displayed as the opening
cash cover balance on REP00019
16
SwapClear FCM
REP00022a: Today’s Non Cover Account Postings
 This report provides details of the current day’s:
 cash transactions (non-cover) by currency
 the start of day cash balance
 any amounts which were paid or received
 the closing balance
 Any balance shown on the report will not be utilised in the cover call process and cannot be offset against a Clearing Member’s current liability
 Under most circumstances, transactions will pass through the account and therefore the balance will remain zero
Date
Member
Account
Currency
05/03/20XX
ABC
C
USD
Balance At Start Of Day:
0.00
This column displays the type of
movements on the account: PPS pay
(debit) or PPS call: (credit)
Description
COUPON
Com
SUS
Exc
SUS
Not applicable
– always blank
Reference
SwapClear coupon
NPV CHANGE
SUS
NPV = Net present value
PPS CALL
PPS PAYMENT
SUS
This column displays the
commodity group: ‘SWP’
for SwapClear Global
Service, and ‘SUS’ for
SwapClear US-Domiciled
service
Displays the contract code:
S = SwapClear
GB = Currency (GBP)
‘SUS’ for SwapClear US-Domiciled service
Balance At End Of Day:
Postings 1
BANK of ABC
This column
displays the date
on which the funds
are posted to
Banking
Negative postings:
debit to the
Clearing Member’s
account with
LCH.Clearnet
Value Date
Post Date
13-May-20XX 13-May-20XX
Totals for Com SGB:
Debit
24,472.33
24,472.33
13-May-20XX 13-May-20XX
Totals for Com SGB:
This column
defaults to
today’s date
Positive postings:
credit to the
Clearing Member’s
account with
LCH.Clearnet
Credit
This column
displays the
difference
between the credit
and debits
Total
0.00
0.00
-24,472.33
0.00
0.00
24,280.21
24,280.21
24,280.21
13-May-20XX 13-May-20XX
Totals for Com:
0.00
0.00
24,472.33
24,472.33
24,472.33
13-May-20XX 13-May-20XX
Totals for Com:
24,280.21
24,280.21
0.00
0.00
24,280.21
Totals for Postings 1:
48,752.54
48,752.54
0.00
This row displays the total value of postings to the account
0.00
17
SwapClear FCM
REP00019: Overnight Cover Distribution

This report provides details on how overnight liabilities are covered, and any excesses, or shortfalls. Shortfalls result in a margin call
Date
Member
Account
Currency
14/05/20XX
ABC
BANK OF ABC
C
Screen currency
USD
Cash Cover Balance:
CREDIT
Comm Group
SUS USD
Comm Group:
SOC USD
Liability Shortage USD
LIABILITY
T Bills
US T Bonds
Other Cash
LIABILITY
Other Cash
Total Net Shortage of USD
Opening cash balance
See REP00036
i.e. cash cover balance
Displays the commodity group and currency, e.g.
‘SWP GBP’ for SwapClear Global Service, and ‘SUS
USD’ for SwapClear US-Domiciled service
Amount
221,738,017.95
-351,428,344.37
19,135,348.90
227,949,188.02
104,163,807.45
-76,412,505.56
-76,412,505.56
Total
221,738,017.95
This would be
debited overnight
0.00
See REP00030, (net shortage
protected payment column), which
would display a margin call for any
amount shown here
0.00
0.00
0.00
0.00
SOC is the LCH.Clearnet code for unallocated excess
Overall Unutilised
Other Cash (USD)
Amount
41,161,704.94
Excess cash
Total
41,161,704.94
These figures represent
the screen currency
equivalent
18
SwapClear FCM
REP00032: Member Default Fund





This report displays the Default Fund contribution by Clearing Member
The SwapClear Default Fund for the SwapClear US-Domiciled Service is paid in USD and is recalculated on a monthly basis
The SwapClear Default Fund for the SwapClear Global Service is paid in GBP and is recalculated on a monthly basis
Interest is paid in arrears at the end of the month
The interest rate, final interest and payment due date are indicated on the report, for one day - the day after the maturity date of the last period
Date
Member
Account
Currency
07/11/20XX
ABC
F
USD
Displays the minimum required
contribution to the Default Fund
BANK of ABC
Displays the amount of interest
accrued over the period, in GBP for
SwapClear Global Service, and USD
for SwapClear US-Domiciled Service.
This will only be displayed on
‘Payment Due On’ date +1
USD for SwapClear USDomiciled Service, and GBP
for SwapClear Global Service
Displays the date on which the Default Fund adjustment is
made so that LCH.Clearnet calls or pays back money as
appropriate. Interest will be posted to the account and will
be included in the call or pay figure
Fund
Required MDF
Contribution
Start Date
End Date
Interest Rate
Accrued
Interest
Final Interest
Payment
Payment Due
On
SDF
39,504,686.00
04 Oct 20XX
05 Nov 20XX
0.32730
9,105.49
0.00
06 Nov 20XX
SDF
44,818,686.00
06 Nov 20XX
04 Dec 20XX
Three letter identifier for the type of
segregated fund:
‘SDF’ for the SwapClear Global Service
Default Fund, and ‘UDF’ for SwapClear
US-Domiciled Service Default Fund
Displays the date
range for the
recalculation period
Displays the
rate of interest
for the period
Displays the amount of interest payable for the period, in GBP for
SwapClear Global Service, and USD for SwapClear US-Domiciled
Service. This will only be displayed on ‘Payment Due On’ date +1
19
SwapClear FCM
REP00033a: PPS Movement Detail



This report shows the total amount of PPS calls and pays broken down into the individual movements by currency throughout the day
SwapClear Global Services Clearing Members are advised to check this report daily at 14:30 and 16:00 (UK Time), and save a copy of the reports
each
SwapClear US-Domiciled Service Clearing Members are advised to check this report daily at 16:00 (NY Time), and save a copy of the reports each
day
Date
Member
Account
14/05/20XX
ABC
C
Ldg = ledger
COV = cover account
This shows intraday
liability, resulting in
intraday PPS call
PPS pays will occur,
and be displayed here,
if a Clearing Member
has requested call of
excess
Displays the time,
in 24 hour clock,
that the PPS call
was made
Currency Ldg
PPS Call
PPS Pay
Value Date Timesent
USD
COV
1,352,880.17
14/05/20XX
11:19
USD
COV
2,691,578.33
14/05/20XX
15:19
5,000,000.00 14/05/20XX
USD
Total:
Displays the currency
of the PPS call or PPS
pay
All amounts are
displayed by time,
in ascending order.
PPS calls have a
time stamp
4,044,458.50 5,000,000.00
Displays the value
of the PPS call in
the currency shown
in the column to
the left
Displays the value of
the PPS payment in
the currency shown in
the column to the left
The value date is
the date on which
a cash posting
can be used for
cover purposes
20
SwapClear FCM
REP00017a: Interest Rate Report
This report is only applicable to SwapClear client clearing business.
The Client Deposit Rate (CDR) is applied to cash which has been posted to cover client-driven margin requirements. The rate is based on USD Fed
Effective minus 5 bps
Currency
Name
USD
CDR
Rate
Effectivedate
0.0900 13/05/20XX
21
ForexClear FCM
Banking Reports for ForexClear
22
ForexClear FCM
Banking Reports for ForexClear
 ForexClear Banking reports are accessible via the LCH.Clearnet Portal
 This reference guide provides specific examples detailing postings and currencies for ForexClear – these are the minimum number
of reports required on a daily basis for reconciliation purposes
 These postings will be combined under commodity group FXC or FUS
 Postings for all markets will be shown on the same report
Daily Banking Reports










REP00019
REP00020
REP00021
REP00022
REP00029
REP00030
REP00032
REP00033a
REP00036
REP00036a
-
Overnight Cover Distribution
Commodity Group Total*
Initial and Variation Margin
Yesterday’s Cover Account Postings
Yesterday’s Postings Total (1)
Cover Calling Summary
Member Default Fund
ITD PPS Movement Detail
Non-Cash Collateral Holdings
SOD Non-Cash Collateral Holdings (2)
Monthly Banking Reports
 REP00037
 REP00038
- Statement of Account
- Interest and Accomodation Charge Report
Public Folder Banking Reports
 REP00017
 REP00018
- Daily Base Rates (LDR)
- Daily Exchange Rates
* Not included in this reference guide; (1) The same information can be viewed in more detail in REP00022; (2) This is an overnight report, and as such
contains less information than the intraday REP00036
How to Access Reports
23
ForexClear FCM
Instructions on how to access Banking reports via the LCH.Clearnet Portal:
1. Open Internet Explorer and enter https://clearingservices.lchclearnet.com/.
2. Enter your Username and Password, and select ‘Log In’.
3. Answer the security question and select ‘Submit’. The Portal homepage will be displayed.
4. Select the ForexClear tab to display the main ForexClear Portal page.
5. Select the Reports link to display the Reports folders.
6. Banking reports are available in a subfolder, under the main folder marked with your organisation’s ForexClear mnemonic. Select the
Banking subfolder.
7. Select the Download link to view the required Banking report.

The .pdf files are viewable and printable from most computer systems.

The .txt files are text versions for downloading report data.

Any report listed can be accessed by selecting the name.

Select the required date from the main menu to access historical reports. Reports are available for five days.

For Fees, Risk or Trade reports select the appropriate folder from the main menu list.
24
ForexClear FCM
LCH.Clearnet Portal
Any issues with missing reports or
problems accessing the LCH.Clearnet
Portal should be directed to the
LCH.Clearnet Service Desk:
-
UK Tel: +44 (0) 20 7426 7200
US Tel: +1 (212) 513 5624
Email: [email protected]
25
ForexClear FCM
REP00030: Cover Calling Summary (Client Account)



This report provides a summary of the overnight process. As shown in the below screen shot, the report displays the total liability and any
excess cash for the C account
The liabilities include PPS calls and pays, which for ForexClear FCM Clearing Members are always in USD
Further details on each row of the report can be found in the other Banking reports detailed in this reference guide
Date
Member
Account
14/05/20XX
ABC
C
ABC INTERNATIONAL
ForexClear Clearing Members’ cover
distribution is calculated in USD
3
4
Ccy
Exchange
Rate
Total Liability
Cash Cover
USD
1.574630
-427,660,849.93
221,738,017.95
This will
list all the
currencies
in which
liabilities or
balances
are held
This rate is
calculated at
16:00 daily
and is a
notional rate
used in the
cover
distribution
process
This equates to
total initial margin
and unallocated
excess3 in USD
See
REP00021
Only displays excess
non cash collateral.
For excess non cash
collateral holdings,
see REP00036
Auto-repay is not
available to ForexClear
Clearing Members, and
is always ‘No’ (N)
Net
Shortage
Protected
Payment
0.00
Converted
Currency
This is the
opening cash
balance after all
calls and pays
have been
applied from the
previous day.
Also includes
unallocated
excess4
The currency
that has been
changed from
the original
liability amount
at the Clearing
Member’s
instruction
The amount of
the call that has
been changed in
the currency of
the Clearing
Member’s
preference
See
REP00022
See
REP00019
Converted
Cash Call
0.00
Unutilised
Cash
Auto
Repay
41,161,704.94
N
GBP
Equivalent
0.00
This is the
amount of
cash after the
cash cover
balance and
any collateral
has been fully
utilised. This
will be debited
from your
bank account
Represents
unutilised cash
after liability
has been
covered
FCM
Clearing
Members
cannot
select
automatic
repayment
of all excess
cash
Unutilised
securities and
guarantees
after cover
distribution
process.
All displayed
in GBP
equivalent
See
REP00019
See
REP00019
See
REP00019
See
REP00036
See SOC LIABILITY in REP00019
See SOC OTHER CASH in REP00019
26
ForexClear FCM
REP00030: Cover Calling Summary (L Account)



This report provides a summary of the overnight process. As shown in the below screen shot, the report displays the total liability and any
excess cash for the L account
The liabilities include PPS calls and pays, which for ForexClear FCM Clearing Members are always in USD
Further details on each row of the report can be found in the other Banking reports detailed in this reference guide
Date
Member
Account
14/05/20XX
ABC
L
Ccy
Exchange
Rate
USD
1.574630
This will
list all the
currencies
in which
liabilities
or
balances
are held
This rate is
calculated
at 16:00
daily and is
a notional
rate used in
the cover
distribution
process
ABC INTERNATIONAL
Total Liability
0.00
Cash Cover
14,625,825.97
Net
Shortage
Protected
Payment
0.00
Converted
Currency
The amount of
the call that has
been changed
in the currency
of the Clearing
Member’s
preference
This equates to
total initial margin
This is the
opening cash
balance after all
variation
margin has
been applied
from previous
day’s trading,
also includes
fees, interest,
and previous
day’s call/pay
The currency
that has been
changed from
the original
liability amount
at the Clearing
Member’s
instruction
See
REP00021
See
REP00022
See
REP00019
Converted
Cash Call
0.00
Unutilised
Cash
Auto
Repay
14,625,825.97
Y
GBP
Equivalent
0.00
This is the
amount of
cash after the
cash cover
balance and
any collateral
has been fully
utilised. This
will be
debited from
your bank
account
Represents
unutilised
cash after
liability has
been covered
Auto-repay
is always
‘Yes’ (Y)
Unutilised
securities and
guarantees
after cover
distribution
process.
All displayed
in GBP
equivalent
See
REP00019
See
REP00019
See
REP00019
See
REP00036
27
ForexClear FCM
REP00021: Initial and Variation Margin (I)

This report provides information on Clearing Members’ unallocated excess, and indicates the commodity group/commodity code
Date
Member
Account
Currency
Commodity Group
Contract
14/05/20XX
ABC
C
USD
XOC
ABC INTERNATIONAL
For ForexClear, variation margin is
detailed on REP00022
Initial Margin
NLV/Variation
Margin
These types of margin do not apply to ForexClear business,
and therefore these columns will always display 0.00
Cont/Spot Margin
Additional Margin
FUS Futures
0.00
0.00
0.00
0.00
FUS Fut/Opt
-76,412,505.56
0.00
0.00
0.00
F = ForexClear +
US = currency (USD)
Total
Total
Total
Total
Total
See Total Liability column
in REP00030
initial margin
variation margin
spot credit
spot debit
additional margin
:
:
:
:
:
-76,412,505.56
0.00
0.00
0.00
0.00
See REP00019
These types of margin do not apply
to ForexClear business, and
therefore these will always be 0.00
28
ForexClear FCM
REP00021: Initial and Variation Margin (II)

This report provides information on the initial margin requirements, and indicates the commodity group/commodity code
Date
Member
Account
Currency
Commodity Group
Contract
14/05/20XX
ABC
C
USD
FXC
ABC INTERNATIONAL
For ForexClear, variation margin is
detailed on REP00022
Initial Margin
NLV/Variation
Margin
These types of margin do not apply to ForexClear business,
and therefore these columns will always display 0.00
Cont/Spot Margin
Additional Margin
FUS Futures
-351,248,344.37
0.00
0.00
0.00
FUS Fut/Opt
0.00
0.00
0.00
0.00
F = ForexClear +
US = currency (USD)
Total
Total
Total
Total
Total
initial margin
variation margin
spot credit
spot debit
additional margin
See Total Liability column
in REP00030
:
:
:
:
:
-351,248,344.37
0.00
0.00
0.00
0.00
See REP00019
These types of margin do not apply
to ForexClear business, and
therefore these will always be 0.00
29
ForexClear FCM
REP00022: Yesterday’s Cover Account Postings: Client Account (I)

This report provides details of the previous day’s:
 cash transactions (cover) by currency
 cash call balance
 any amounts which were paid or received
 closing balance upon which interest or accommodation charges will be levied
Date
Member
Account
Currency
14/05/20XX
ABC
C
USD
ABC INTERNATIONAL
This is previous day/start
of day balance
Yesterday’s Call Balance: 244,892,670.11
These columns are always blank for
PPS calls and pays on Postings 1
Description
PPS CALL
Com Exc
PPS PAYMENT
PPS PAYMENT
This column displays
the type of movements
on the account: PPS
pay (credit) or PPS call:
(debit)
This column defaults
to today’s date
Reference
Postings 1
This column displays the
date on which the funds
are posted to Banking
Negative postings: debit
to Clearing Members’
account with
LCH.Clearnet
Value Date
Post Date
Debit
13-May-20XX
13-May-20XX
Totals for Com:
310002
310002
This is an
LCH.Clearnet
reference number
Yesterday’s I & D Balance: 221,738,017.95
Positive postings: credit
to Clearing Members’
account with
LCH.Clearnet
This column displays
the difference
between the credit
and debits
Credit
Total
0.00
19,000,000.00
0.00 19,000,000.00 19,000,000.00
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
Totals for Com:
6,502,310.85
35,652,341.31
42,154,652.16
0.00
0.00
0.00
42,154,652.16
Totals for Postings 1:
42,154,652.16
19,000,000.00
23,154,652.16
This row displays the total value of movements across the account
This is yesterday’s end-of-day balance.
Interest on this balance will be applied at a
rate calculated by LCH.Clearnet
30
ForexClear FCM
REP00022: Yesterday’s Cover Account Postings: L Account (II)

This report provides details of all overnight postings, such as variation margin, fees, interest and coupons.
Date
Member
Account
Currency
14/05/20XX
ABC
L
USD
Yesterday’s Call Balance: 0.00
Description
VM EOD Post
Com Exc Reference
FUS FXC
Postings 2
ABC INTERNATIONAL
This column
defaults to
today’s date
This column displays
the date on which the
funds were posted to
Banking
Negative postings:
debit to Clearing
Members’ account
with LCH.Clearnet
Positive postings:
credit to Clearing
Members’ account
with LCH.Clearnet
Value Date
Post Date
Debit
Credit
14-May-20XX
13-May-20XX
161,102,056.00
Total for Com FUS: 161,102,056.00
This column displays
the difference between
the credits and debits
Total
0.00
0.00
-161,104,485.17
Net Settlem
FUS
FXC
14-May-20XX
13-May-20XX
Total for Com FUS:
0.00
0.00
175,722,382.29
175,722,382.29
PR AL INTST
FUS
FXC
14-May-20XX 13-May-20XX
Total for Com FUS:
0.00
0.00
7,928.85
7,928.85
7,928.85
Total for Postings 2:
161,104,485.17
175,730,311.14
14,625,825.97
This column displays
the contract code: FUS
= ForexClear US
Displays the commodity
group:
FXC = ForexClear
Today’s At Call Cover Balance: 14,625,825.97
This will be displayed as the opening
cash cover balance on REP00019
31
ForexClear FCM
REP00019: Overnight Cover Distribution

This report provides details on how overnight liabilities are covered, and any excesses, or shortfalls. Shortfalls result in a margin call
Date
Member
Account
Currency
14/05/20XX
ABC
C
USD
Cash Cover Balance:
CREDIT
Comm Group
FXC USD
Comm Group
XOC USD
LIABILITY
T Bills
US T Bonds
Other Cash
ABC INTERNATIONAL
Screen currency
Opening cash balance
Amount
221,738,017.95
-351,248,344.37
19,135,348.90
227,949,188.02
104,163,807.45
See REP00036
LIABILITY
Other Cash
Total
221,738,017.95
Amount here would
be debited
overnight
-76,412,505.56
-76,412,505.56
0.00
0.00
i.e. cash cover balance
Liability Shortage USD
Total Net Shortage of USD
Overall Unutilised
Displays the commodity group and
currency, e.g. ‘FXC USD’
‘XOC’ is the ForexClear code for
unallocated excess
Other Cash (USD)
See REP00030, (net shortage protected
payment column), which will show a
margin call for any amount shown here
0.00
0.00
Amount
Total
41,161,704.94
41,161,704.94
Excess cash
These figures represent the
screen currency equivalent
32
ForexClear FCM
REP00032: Member Default Fund




This report displays the Default Fund contribution by Clearing Member
The ForexClear Default Fund is paid in USD and is recalculated on a monthly basis
Interest is paid in arrears at the end of the month
The interest rate, final interest and payment due date are indicated on the report, for one day - the day after the maturity date of the last
period
Date
Member
Account
Currency
07/08/20XX
ABC
F
USD
ABC INTERNATIONAL
Displays the amount of interest accrued
over the period, in USD. This will only be
displayed on ‘Payment Due On’ date +1
Displays the minimum required
contribution to the Default Fund
Displays the date on which the Default Fund adjustment
is made so that LCH.Clearnet calls or pays back money
as appropriate. Interest will be posted to the account
and will be included in the call or pay figure
Fund
Required MDF
Contribution
Start Date
End Date
Interest
Rate
Accrued Interest
Final Interest
Payment
Payment Due On
FDF
24,480,000.00
04 Oct 20XX
05 Nov 20XX
0.09000
2102.10
2102.10
07 Nov 20XX
FDF
29,794,000.00
06 Nov 20XX
04 Dec 20XX
Three letter identifier for the type
of segregated fund:
FDF = ForexClear Default Fund
Displays the date
range for the
recalculation period
Displays the
rate of interest
for the period
Displays the amount of interest payable for the
period, in USD. This will only be displayed on
‘Payment Due On’ date +1
33
ForexClear FCM
REP00033a: PPS Movement Detail


This report shows the total amount of PPS calls and pays broken down into the individual movements by currency throughout the day
Clearing Members are advised to check this report daily at 14:30 and 16:00, and save a copy of the reports each day
Date
Member
Account
14/05/20XX
ABC
H
Ldg = ledger
COV = cover account
Currency
USD
USD
This shows intraday
liability, resulting in
intraday PPS call
Displays the time,
in 24 hour clock,
that the PPS call
was made
PPS pays will occur,
and be displayed here,
if a Clearing Member
has requested call of
excess
Ldg
PPS Call
PPS Pay
Value Date
Timesent
COV
1,352,880.17
14/05/20XX
11:19
COV
2,691,578.33
14/05/20XX
15:21
5,000,000.00
14/05/20XX
Total: 4,044,458.50 5,000,000.00
Displays the
currency of the PPS
call or PPS pay
Displays the
value of the PPS
call in the
currency shown
in the column to
the left
Displays the
value of the PPS
payment in the
currency shown
in the column to
the left
All amounts are
displayed by time, in
ascending order.
PPS calls have a
time stamp
The value date is
the date on which
a cash posting
can be used for
cover purposes
34
LCH EnClear OTC Services FCM
Banking Reports for LCH EnClear OTC Services
35
LCH EnClear OTC Services FCM
Banking Reports for LCH EnClear OTC Services
 LCH EnClear OTC Services Banking reports are accessible via the Member Reporting website (Extranet)
 This reference guide provides specific examples detailing postings and currencies for LCH EnClear OTC Services: Freight,
Emissions, and Precious Metals divisions – these are the minimum number of reports required on a daily basis for reconciliation
purposes
 These postings will be amalgamated under commodity group EDX. Postings for all markets will be shown on the same report
Daily Banking Reports










REP00019
REP00020
REP00021
REP00022
REP00029
REP00030
REP00032
REP00033a
REP00036
REP00036a
-
Overnight Cover Distribution
Commodity Group Total*
Initial and Variation Margin
Yesterday’s Cover Account Postings
Yesterday’s Postings Total* (1)
Cover Calling Summary
Member Default Fund
ITD PPS Movement Detail
Non-Cash Collateral Holdings
SOD Non-Cash Collateral Holdings* (2)
Monthly Banking Reports
 REP00037
 REP00038
- Statement of Account
- Interest and Accomodation Charge Report
Public Folder Banking Reports
 REP00017
 REP00018
- Daily Base Rates (LDR)
- Daily Exchange Rates
* Not included in this reference guide; (1) The same information can be viewed in more detail in REP00022; (2) This is an overnight report, and as such
contains less information than the intraday REP00036
36
LCH EnClear OTC Services FCM
How to Access Reports
Instructions on how to access Banking reports from the Member Reporting website (Extranet):
1. Open Internet Explorer and enter https://memberlive.lch.com
2. Click on 'User Directories' to access the password screen
3. Enter your User Name and Password
4. Select ‘Banking’ from the folder option list
5. Upon opening, a list of the reports available and the time that they were produced will be displayed. Two types of files are available; .pdf
and .txt files

The .pdf files are viewable and printable from most computer systems

The .txt files are text versions for downloading report data

Any report listed can be accessed by clicking on the name

Select the required date from the main menu to access historical reports. Reports are available for five days

For Fees, Risk or Trade reports select the appropriate folder from the main menu list
37
LCH EnClear OTC Services FCM
Member Reporting Website (Extranet):
Any issues with missing reports or
problems accessing the Member Reporting
website (Extranet) should be directed to the
LCH.Clearnet Service Desk:
-
UK Tel: +44 (0) 20 7426 7200
US Tel: +1 (212) 513 5624
Email: [email protected]
38
LCH EnClear OTC Services FCM
REP00030: Cover Calling Summary



This report provides a summary of the overnight process. As shown in the below screen shot, the report displays the total liability and any
excess cash for the C account
The liabilities include PPS calls and pays, which for LCH EnClear OTC Services are always in USD
Further details on each row of the report can be found in the other Banking reports detailed in this reference guide
Date
Member
Account
14/05/20XX
ABC
C
Auto-repay is not
available to FCM
Clearing Members,
and is always ‘No’
(N)
ABC COMMODITIES
LCH EnClear Clearing Members’
cover distribution is calculated in USD
Ccy
USD
This will
list all the
currencies
in which
liabilities
or
balances
are held
Exchange
Rate
Total Liability
Cash Cover
Net
Shortage
Protected
Payment
-11,410.79
1.668400
-6,610,490.81
6,599,080.02
This rate is
calculated at
16:00 daily
and is a
notional rate
used in the
cover
distribution
process
This equates to:
total initial margin
+
delivery margin
This is the
opening cash
balance after all
variation margin
has been applied
from previous
day’s trading,
also includes
fees, interest,
and previous
day’s call/pay
The currency
that has been
changed from
the original
liability
amount at the
Clearing
Member’s
instruction
See
REP00021
See
REP00022
See
REP00019
Converted
Currency
The amount of
the call that has
been changed
in the currency
of the Clearing
Member’s
preference
Converted
Cash Call
Only displays excess
non cash collateral.
For excess non cash
collateral holdings,
see REP00036
Unutilised
Cash
Auto
Repay
N
GBP
Equivalent
0.00
0.00
0.00
This is the
amount of
cash after the
cash cover
balance and
any collateral
has been fully
utilised. This
will be
debited from
your bank
account
Represents
unutilised cash
after liability
has been
covered
FCM
Clearing
Members
cannot
select
automatic
repayment
of all
excess
cash
Unutilised
securities
and
guarantees
after cover
distribution
process.
All
displayed in
GBP
equivalent
See
REP00019
See
REP00019
See
REP00019
See
REP00036
39
LCH EnClear OTC Services FCM
REP00030: Cover Calling Summary



This report provides a summary of the overnight process. As shown in the below screen shot, the report displays the total liability and any
excess cash for the U account
The liabilities include PPS calls and pays, which for LCH EnClear OTC Services are always in USD
Further details on each row of the report can be found in the other Banking reports detailed in this reference guide
Date
Member
Account
14/05/20XX
ABC
U
Auto-repay is not
available to FCM
Clearing Members,
and is always ‘No’
(N)
ABC COMMODITIES
LCH EnClear Clearing Members’
cover distribution is calculated in USD
Ccy
USD
Exchange
Rate
Total Liability
Cash Cover
Net
Shortage
Protected
Payment
0.00
1.668400
0.00
61,659,846.34
This rate is
calculated at
16:00 daily
and is a
notional rate
used in the
cover
distribution
process
This equates to:
total initial margin
+
delivery margin
This is the
opening cash
balance after all
variation margin
has been applied
from previous
day’s trading,
also includes
fees, interest,
and previous
day’s call/pay
The currency
that has been
changed from
the original
liability
amount at the
Clearing
Member’s
instruction
See
REP00021
See
REP00022
See
REP00019
Converted
Currency
Converted
Cash Call
This is
actually a
USD figure for
LCH.Clearnet
LLC
Only displays excess
non cash collateral.
For excess non cash
collateral holdings,
see REP00036
Unutilised
Cash
Auto
Repay
GBP
Equivalent
0.00
61,659,846.34
N
This is the
amount of
cash after the
cash cover
balance and
any collateral
has been fully
utilised. This
will be
debited from
your bank
account
Represents
unutilised cash
after liability
has been
covered
FCM
Clearing
Members
cannot
select
automatic
repayment
of all
excess
cash
Unutilised
securities
and
guarantees
after cover
distribution
process.
All
displayed in
GBP
equivalent
See
REP00019
See
REP00019
See
REP00019
See
REP00036
0.00


This will
list all the
currencies
in which
liabilities
or
balances
are held
The amount of
the call that has
been changed
in the currency
of the Clearing
Member’s
preference
40
LCH EnClear OTC Services FCM
REP00021: Initial and Variation Margin (I)

This report provides information on the initial margin, and NLV or CVM requirements, and indicates the commodity group/commodity code
Date
Member
Account
Currency
Commodity Group
14/05/20XX
ABC
C
USD
EDX
Contract
ABC COMMODITIES
This column represents any NLV or debit CVM
on options that are traded
Initial Margin
NLV/Variation Margin
CTC Futures:
CTC Fut/Opt:
PTC Futures:
PTC Fut/Opt:
0.00
-7,094,867.89
0.00
-535,979.40
LCH EnClear OTC Services Contracts:
CTC = Dry Timecharter Basket Route:
Capesize TC Avg 4 routes
See Total Liability column in REP00030 for the
difference between these margin amounts
Total
Total
Total
Total
Total
initial margin
variation margin
spot credit
spot debit
additional margin
:
:
:
:
:
-7,630,847.29
1,501,241.00
0.00
0.00
0.00
These types of margin do not apply to LCH
EnClear OTC Services business, and therefore
these columns will always display 0.00
Cont/Spot Margin
0.00
1,501,241.00
0.00
0.00
0.00
0.00
0.00
0.00
Additional Margin
0.00
0.00
0.00
0.00
See REP00019
These do not apply to LCH EnClear OTC
Services business, and therefore will
always be displayed as 0.00
41
LCH EnClear OTC Services FCM
REP00021: Initial and Variation Margin (II)

This report provides information on Clearing Members’ unallocated excess, and indicates the commodity group/commodity code
Date
Member
Account
Currency
Commodity Group
14/05/20XX
ABC
C
USD
EOC
Contract
NLV/Variation Margin
0.00
-480,884.52
LCH EnClear OTC Services Contracts:
C4E Futures = Dry Voyage: Richards
Bay to Rotterdam
initial margin
variation margin
spot credit
spot debit
additional margin
This column represents any NLV or debit CVM
on options that are traded
Initial Margin
ELU Futures:
ELU Fut/Opt:
Total
Total
Total
Total
Total
ABC COMMODITIES
These types of margin do not apply to LCH
EnClear OTC Services business, and therefore
these columns will always display 0.00
Cont/Spot Margin
0.00
0.00
0.00
0.00
Additional Margin
0.00
0.00
See Total Liability column in REP00030 for the
difference between these margin amounts
:
:
:
:
:
-480,884.52
0.00
0.00
0.00
0.00
See REP00019
These do not apply to LCH EnClear OTC
Services business, and therefore will
always be displayed as 0.00
42
LCH EnClear OTC Services FCM
REP00022: Yesterday’s Cover Account Postings (C Account)

This report provides details of the previous day’s:
 cash transactions (cover) by currency
 cash call balance
 any amounts which were paid or received
 closing balance upon which interest or accommodation charges will be levied
Date
Member
Account
Currency
14/05/20XX
ABC
C
USD
ABC COMMODITIES
This is previous day/start
of day balance
Yesterday’s Call Balance: 9,340,786.82
These columns are always
blank on Postings 1
Description
TRN
Com Exc
Notes displayed here
are ad-hoc adjustments
to the cash ledger
Postings 1
This column
defaults to
today’s date
This column
displays the date on
which the funds are
posted to Banking
Negative postings:
debit to Clearing
Members’ account
with LCH.Clearnet
Positive postings:
credit to Clearing
Members’ account
with LCH.Clearnet
Reference Value Date
Post Date
Debit
Credit
TRF TO U 13-May-20XX
13-May-20XX
3,252,580.08
Totals for Com:
3,252,580.08
Shows a transfer of
unallocated excesses
to the U account
PPS CALL
This column displays
the type of movements
on the account: PPS
pay (credit) or PPS
call: (debit)
Yesterday’s I & D Balance: 6,599,080.02
This column displays
the difference
between the credit
and debits
Total
0.00
0.00
-3,252,580.08
13-May-20XX
13-May-20XX
Totals for Com:
0.00
0.00
510,873.28
510,873.28
510,873.28
Totals for Postings 1:
3,252,580.08
510,873.28
-2,741,706.80
This row displays the total value of movements across the account
This is yesterday’s end-of-day balance.
Interest on this balance will be applied at a
rate calculated by LCH.Clearnet
43
LCH EnClear OTC Services FCM
REP00022: Yesterday’s Cover Account Postings (U Account)

This report provides details of previous day’s changes in unallocated excess
Date
Member
Account
Currency
14/05/20XX
ABC
U
USD
Yesterday’s Call Balance: 58,407,266.26
These columns are always blank for
PPS calls and pays on Postings 1
Description
TRN
Com Exc
This column displays
the type of movements
on the account: PPS
pay (credit) or PPS
call: (debit)
Postings 1
ABC COMMODITIES
This column
defaults to
today’s date
This column
displays the date
on which the
funds are posted
to Banking
Negative postings:
debit to Clearing
Members’ account
with LCH.Clearnet
Reference
Value Date
Post Date
Debit
TRF FROM C
13-May-20XX
13-May-20XX
Totals for Com:
The reference column
will display a reference
number for credit or
debit notes
Yesterday’s I & D Balance: 61,659,846.34
Totals for Postings 1:
0.00
0.00
0.00
Positive postings:
credit to Clearing
Members’ account
with LCH.Clearnet
This column
displays the
difference between
the credit and
debits
Credit
Total
3,252,580.08
3,252,580.08
3,252,580.08
3,252,580.08
3,252,580.08
This row displays the total value of movements across the account
This is yesterday’s end-of-day balance.
Interest on this balance will be applied at a
rate calculated by LCH.Clearnet
44
LCH EnClear OTC Services FCM
REP00022: Yesterday’s Cover Account Postings (L Account)

This report provides details of previous day’s changes in unallocated excess
Date
Member
Account
Currency
14/05/20XX
ABC
L
USD
Postings 2
ABC COMMODITIES
Yesterday’s I & D Balance: 0.00
This column displays
the type of movements
on the account
The reference column
will display a reference
number for credit or
debit notes
Description
OPT PREMIUM
Com
CTC
Exc
EDX
SETT FUTURE
CTC
EDX
SETT FUTURE
PTC
This column displays the
contract code:
CTC = Dry Timecharter
Basket Route: Capesize
TC Avg 4 routes
Reference
EDX
This column displays the
commodity group: ‘SWP’
for SwapClear Global
Service, and ‘SUS’ for
SwapClear US-Domiciled
service
Today’s At Call Cover Balance: 799,600.00
This column
defaults to
today’s date
This column
displays the date
on which the
funds are posted
to Banking
Negative postings:
debit to Clearing
Members’ account
with LCH.Clearnet
Value Date
Post Date
Debit
14-May-20XX
13-May-20XX
Totals for Com CTC:
0.00
0.00
Positive postings:
credit to Clearing
Members’ account
with LCH.Clearnet
This column
displays the
difference between
the credit and
debits
Credit
Total
963,000.00
963,000.00
963,000.00
14-May-20XX
13-May-20XX
Totals for Com CTC:
164,000.00
164,000.00
0.00
0.00
-164,000.00
14-May-20XX
13-May-20XX
Totals for Com PTC:
0.00
0.00
600.00
600.00
600.00
Totals for Postings 2:
164,000.00
963,600.00
799,600.00
This row displays the total value of movements across the account
This will be displayed as the opening cash cover
balance on REP00019 for the same account
45
LCH EnClear OTC Services FCM
REP00019: Overnight Cover Distribution (C Account)



This report provides details on how overnight liabilities are covered, and any excesses, or shortfalls. Shortfalls result in a margin call
REP00019: C account displays the EOC liability, which is linked to the U account cash cover balance
Clearing Members must combine the C account EOC liability with the U account to determine the true unallocated excess for the day
Date
Member
Account
Currency
14/05/20XX
ABC
C
USD
Cash Cover Balance:
CREDIT
Comm Group
EDX USD
Comm Group
EOC USD
LIABILITY
Other Cash
LIABILITY
Other Cash
Screen currency
Opening cash balance
See REP00036
i.e. cash cover balance
Amount
6,599,080.02
-6,129,606.29
6,129,606.29
-480,884.52
469,473.73
Total
6,599,080.02
This will be debited
overnight
-11,410.79
Displays the commodity group and currency, e.g. ‘EDX USD’
‘EOC’ is the LCH EnClear OTC Services code for unallocated excess
Liability Shortage USD
Total Net Shortage of USD
Overall Unutilised
See REP00030, (net shortage
protected payment column), which
shows a margin call for this amount
Amount
Excess cash
-11,410.79
0.00
-11,410.79
Total
Figures displayed
here represent the
screen currency
equivalent
46
LCH EnClear OTC Services FCM
REP00019: Overnight Cover Distribution (U account)



This report provides details on how overnight liabilities are covered, and any excesses, or shortfalls. Shortfalls result in a margin call
For the EOC liability, see REP00019: C account
Clearing Members must combine the C account EOC liability with the U account to determine the true unallocated excess for the day
Date
Member
Account
Currency
14/05/20XX
ABC
U
USD
Cash Cover Balance:
CREDIT
Screen currency
Amount
61,659,846.34
Liability Shortage USD
Total
61,659,846.34
0.00
0.00
0.00
Total Net Shortage of USD
Overall Unutilised
Other Cash (USD)
Amount
61,659,846.34
Total
61,659,846.34
47
LCH EnClear OTC Services FCM
REP00032: Member Default Fund




This report displays the Default Fund contribution by Clearing Member
The Commodities Default Fund is paid in USD and is recalculated on the first business day of each month
Interest is paid in arrears at the end of the month
The interest rate, final interest and payment due date are indicated on the report, for one day - the day after the maturity date of the last
period
Date
Member
Account
Currency
05/08/20XX
ABC
F
USD
ABC COMMODITIES
Displays the amount of
interest accrued over the
period, in USD. This will
only be displayed on
‘Payment Due On’ date +1
Displays the date on which the Default
Fund adjustment is made so that
LCH.Clearnet calls or pays back money
as appropriate. Interest will be posted
to the account and will be included in
the call or pay figure
Fund
Required MDF
Contribution
Start Date
End Date
Interest Rate
Accrued
Interest
Final Interest
Payment
Payment Due On
CDF
24,480,000.00
04 Oct 20XX
05 Nov 20XX
0.09000
412.50
412.50
07 Nov 20XX
CDF
29,794,000.00
06 Nov 20XX
04 Dec 20XX
Three letter identifier for the type of
segregated fund:
CDF = Commodities Default Fund:
Displays the date
range for the
recalculation period
Displays the
rate of interest
for the period
Displays the amount of interest payable for the
period, in USD. This will only be displayed on
‘Payment Due On’ date +1
Includes Nodal, LME and EnClear
business
48
LCH EnClear OTC Services FCM
REP00033a: PPS Movement Detail


This report shows the total amount of PPS calls and pays broken down into individual movements by currency throughout the day
Clearing Members are advised to check this report daily at 14:30 and 16:00, and save a copy of the reports each day
Date
Member
Account
Ldg = ledger
COV = cover account
14/05/20XX
ABC
C
This shows intraday
liability, resulting in
intraday PPS call
PPS pays will occur,
and be displayed here,
if a Clearing Member
has requested call of
excess
Currency Ldg
PPS Call
PPS Pay
USD
COV
138,069.60
USD
COV 2,000,000.00
USD
Total: 2,138,069.60
Displays the currency
of the PPS call or
PPS pay
Displays the value of
the PPS calls in the
currency shown in
the column to the left
Displays the value of
the PPS payment in
the currency shown in
the column to the left
Displays the time,
in 24 hour clock,
that the PPS call
was made
Value Date Timesent
14/05/20XX
02:48
14/05/20XX
13:55
All amounts are displayed
by time, in ascending
order.
PPS calls have a time
stamp.
The value date is the
date on which a cash
posting can be used
for cover purposes
49
Nodal Exchange FCM
Banking Reports for the Nodal Exchange
50
Nodal Exchange FCM
Banking Reports for the Nodal Exchange
 Nodal Exchange Banking reports are accessible via the Member Reporting website (Extranet)
 This reference guide provides specific examples detailing postings and currencies for the Nodal Exchange – these are the minimum
number of reports required on a daily basis for reconciliation purposes
 These postings will be amalgamated under the exchange code NEX
 Postings for all markets will be shown on the same report
Daily Banking Reports










REP00019
REP00021
REP00020
REP00022
REP00029
REP00030
REP00032
REP00033a
REP00036
REP00036a
-
Overnight Cover Distribution
Initial and Variation Margin
Commodity Group Total*
Yesterday’s Cover Account Postings
Yesterday’s Postings Total (1)
Cover Calling Summary
Member Default Fund
ITD PPS Movement Detail
Non-Cash Collateral Holdings
SOD Non-Cash Collateral Holdings (2)
Monthly Banking Reports
 REP00037
 REP00038
- Statement of Account
- Interest and Accomodation Charge Report
Public Folder Banking Reports
 REP00017
 REP00018
- Daily Base Rates (LDR)
- Daily Exchange Rates
* Not included in this reference guide; (1) The same information can be viewed in more detail in REP00022; (2) This is an overnight report, and as such
contains less information than the intraday REP00036
51
Nodal Exchange FCM
How to Access Reports
Instructions on how to access Banking reports from the Member Reporting website (Extranet):
1. Open Internet Explorer and enter https://memberlive.lch.com
2. Click on 'User Directories' to access the password screen
3. Enter your User Name and Password
4. Select ‘Banking’ from the folder option list
5. Upon opening, a list of the reports available and the time that they were produced will be displayed. Two types of files are available; .pdf
and .txt files

The .pdf files are viewable and printable from most computer systems

The .txt files are text versions for downloading report data

Any report listed can be accessed by clicking on the name

Select the required date from the main menu to access historical reports. Reports are available for five days

For Fees, Risk or Trade reports select the appropriate folder from the main menu list
52
Nodal Exchange FCM
Member Reporting Website (Extranet):
Any issues with missing reports or
problems accessing the Member Reporting
website (Extranet) should be directed to the
LCH.Clearnet Service Desk:
-
UK Tel: +44 (0) 20 7426 7200
US Tel: +1 (212) 513 5624
Email: [email protected]
53
Nodal Exchange FCM
REP00030: Cover Calling Summary (Client Account)



This report provides a summary of the overnight process. As shown in the below screen shot, the report displays the total liability and any
excess cash
The liabilities include PPS calls and pays, which for the Nodal Exchange are always in USD
Further details on each row of the report can be found in the other Banking reports detailed in this reference guide
Date
Member
Account
14/05/20XX
ABC
C
Auto-repay is not
available to FCM
Clearing Members,
and is always ‘No’
(N)
ABC ENERGY CLEARING
Nodal Exchange Clearing Members’
cover distribution is calculated in USD
Ccy
USD
This will
list all the
currencies
in which
liabilities
or
balances
are held
Exchange
Rate
Total Liability
Cash Cover
Net
Shortage
Protected
Payment
1.675800
-15,971,545.00
14,677,419.96
This rate is
calculated at
16:00 daily
and is a
notional rate
used in the
cover
distribution
process
This equates to
total initial margin
This is the
opening cash
balance after all
variation margin
has been applied
from previous
day’s trading,
also includes
fees, interest,
and previous
day’s call/pay
The currency
that has been
changed from
the original
liability
amount at the
Clearing
Member’s
instruction
See
REP00021
See
REP00022
See
REP00019
Converted
Currency
-1,294,125.04
Converted
Cash Call
0.00
The amount of
the call that has
been changed
in the currency
of the Clearing
Member’s
preference
Only displays excess
non cash collateral.
For excess non cash
collateral holdings,
see REP00036
Unutilised
Cash
0.00
Auto
Repay
N
GBP
Equivalent
0.00
This is the
amount of
cash after the
cash cover
balance and
any collateral
has been fully
utilised. This
will be
debited from
your bank
account
Represents
unutilised
cash after
liability has
been covered
FCM
Clearing
Members
cannot
select
automatic
repayment
of all
excess
cash
Unutilised
securities and
guarantees
after cover
distribution
process.
All displayed
in GBP
equivalent
See
REP00019
See
REP00019
See
REP00019
See
REP00036
54
Nodal Exchange FCM
REP00021: Initial and Variation Margin (I)

This report provides information on the initial margin and variation margin requirements, and indicates the commodity group/commodity
code
Date
Member
Account
Currency
Commodity Group
Contract
14/05/20XX
ABC
C
USD
NEX
ABC ENERGY CLEARING
These types of margin do apply to Nodal
business, as options are not currently offered
Initial Margin
NLV/Variation
Margin
These types of margin do apply to Nodal business, so these
columns will always be blank
Cont/Spot Margin
Additional Margin
NEX Futures:
0.00
0.00
0.00
0.00
NEX Fut/Opt:
-15,971,545.00
0.00
0.00
0.00
Contract code:
NEX (exchange code) Fut
(futures) / Opt (options)
Total
Total
Total
Total
Total
initial margin
variation margin
spot credit
spot debit
additional margin
See Total Liability column in
REP00030 for the difference
between margin amounts
shown here
:
:
:
:
:
-15,971,545.00
0.00
0.00
0.00
0.00
See REP00019
55
Nodal Exchange FCM
REP00022: Yesterday’s Cover Account Postings: Client Account (I)

This report provides details of the previous day’s:
 cash transactions (cover) by currency
 cash call balance
 any amounts which were paid or received
 closing balance upon which interest or accommodation charges will be levied
Date
Member
Account
Currency
14/05/20XX
ABC
C
USD
ABC ENERGY CLEARING
Yesterday’s Call Balance: 16,238,444.66
This column
defaults to
today’s date
These columns are always blank for
PPS calls and pays on Postings 1
Description
PPS CALL
PPS CALL
Com Exc
Reference
Postings 1
This column
displays the date on
which the funds are
posted to Banking
Negative postings:
debit to Clearing
Members’ account
with LCH.Clearnet
Positive postings:
credit to Clearing
Members’ account
with LCH.Clearnet
Value Date
Post Date
Debit
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
Totals for Com:
0.00
0.00
0.00
73,149.34
249,411.23
322,560.57
322,560.57
Totals for Postings 1:
0.00
322,560.57
322,560.57
This column displays the
type of movements on the
account: PPS pay (credit)
or PPS call: (debit)
Yesterday’s I & D Balance: : 16,561.005.23
Credit
This column displays
the difference
between the credit
and debits
Total
Interest on this balance will be
applied at a rate calculated by
LCH.Clearnet
56
Nodal Exchange FCM
REP00022: Yesterday’s Cover Account Postings: Client Account (II)

This report provides details of all overnight postings, such as variation margin, fees, and interest
Date
Member
Account
Currency
14/05/20XX
ABC
C
USD
Yesterday’s Call Balance:
16,561.005.23
Description
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
SETT FUTURE
Com
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
Exc
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
Postings 2
ABC ENERGY CLEARING
This column
defaults to
today’s date
This column
displays the
date on which
the funds are
posted to
Banking
Negative
postings: debit to
Clearing
Members’
account with
LCH.Clearnet
Positive
postings: credit
to Clearing
Members’
account with
LCH.Clearnet
This column
displays the
difference
between the
credit and debits
Reference
Value Date
Post Date
Debit
Credit
Total
APR 2014 14 –May-20XX 13-May-20XX
219,143.63
0.00
APR 2015 14 –May-20XX 13-May-20XX
0.00
13,149.38
APR 2016 14 –May-20XX 13-May-20XX
19.01
0.00
APR 2017 14 –May-20XX 13-May-20XX
895.20
0.00
AUG 2014 14 –May-20XX 13-May-20XX
26,761.13
0.00
AUG 2015 14 –May-20XX 13-May-20XX
0.00
14,542.96
AUG 2016 14 –May-20XX 13-May-20XX
1,763.06
0.00
AUG 2017 14 –May-20XX 13-May-20XX
131.60
0.00
DEC 2014 14 –May-20XX 13-May-20XX
9,761.58
0.00
DEC 2015 14 –May-20XX 13-May-20XX
0.00
6,767.10
DEC 2016 14 –May-20XX 13-May-20XX
0.00
12.44
DEC 2017 14 –May-20XX 13-May-20XX
137.80
0.00
FEB 2014 14 –May-20XX 13-May-20XX
0.00
57,049.17
FEB 2015 14 –May-20XX 13-May-20XX
0.00
16,078.30
FEB 2016 14 –May-20XX 13-May-20XX
0.00
63.72
FEB 2017 14 –May-20XX 13-May-20XX
117.74
0.00
JAN 2015 14 –May-20XX 13-May-20XX
0.00
16,264.51
JAN 2016 14 –May-20XX 13-May-20XX
0.00
76.53
JAN 2017 14 –May-20XX 13-May-20XX
0.00
7.96
57
Nodal Exchange FCM
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NOP
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
JUL
JUL
JUL
JUL
JUN
JUN
JUN
JUN
MAR
MAR
MAR
MAR
MAY
MAY
MAY
MAY
NOV
NOV
NOV
NOV
OCT
OCT
OCT
OCT
SEP
SEP
SEP
SEP
2014
2015
2016
2017
2014
2015
2016
2017
2014
2015
2016
2017
2014
2015
2016
2017
2014
2015
2016
2017
2014
2015
2016
2017
2014
2015
2016
2017
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
–May-20XX 13-May-20XX
31,907.23
–May-20XX 13-May-20XX
0.00
–May-20XX 13-May-20XX
1,764.26
–May-20XX 13-May-20XX
153.79
–May-20XX 13-May-20XX
14,470.46
–May-20XX 13-May-20XX
0.00
–May-20XX 13-May-20XX
39.74
–May-20XX 13-May-20XX
133.58
–May-20XX 13-May-20XX
95,502.35
–May-20XX 13-May-20XX
0.00
–May-20XX 13-May-20XX
0.00
–May-20XX 13-May-20XX
227.25
–May-20XX 13-May-20XX
218,431.16
–May-20XX 13-May-20XX
0.00
–May-20XX 13-May-20XX
55.69
–May-20XX 13-May-20XX
1,070.16
–May-20XX 13-May-20XX
16,082.86
–May-20XX 13-May-20XX
0.00
–May-20XX 13-May-20XX
26.76
–May-20XX 13-May-20XX
143.60
–May-20XX 13-May-20XX
15,016.50
–May-20XX 13-May-20XX
0.00
–May-20XX 13-May-20XX
0.00
–May-20XX 13-May-20XX
147.39
–May-20XX 13-May-20XX
35,099.71
–May-20XX 13-May-20XX
0.00
–May-20XX 13-May-20XX
54.91
–May-20XX 13-May-20XX
177.20
Totals for Com NOP: 689,235.05
0.00
14,528.26
0.00
0.00
0.00
20,170.08
0.00
0.00
0.00
13,580.60
76.88
0.00
0.00
72.50
0.00
0.00
0.00
5,026.13
0.00
0.00
0.00
7,459.76
36.72
0.00
0.00
9,646.46
0.00
0.00
194,609.46
-494,625.59
58
Nodal Exchange FCM
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
APR
APR
APR
APR
APR
AUG
AUG
AUG
AUG
AUG
DEC
DEC
DEC
DEC
DEC
FEB
FEB
FEB
FEB
FEB
JAN
JAN
JAN
JAN
JUL
JUL
JUL
JUL
JUL
JUN
JUN
JUN
2014
2015
2016
2017
2018
2014
2015
2016
2017
2018
2014
2015
2016
2017
2018
2014
2015
2016
2017
2018
2015
2016
2017
2018
2014
2015
2016
2017
2018
2014
2015
2016
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
51,301.54
13,273.22
0.00
2,700.80
0.00
30,554.50
17,970.46
0.00
1,976.16
0.00
5,968.69
5,458.99
0.00
1,024.00
0.00
289,339.52
20,242.88
297.53
1,324.80
1,640.00
26,729.30
3.68
954.24
9,446.80
74.179.25
20,626.40
0.00
1,716.80
0.00
35,581.06
14,048.50
0.00
0.00
0.00
720.55
0.00
1,113.00
0.00
0.00
969.13
0.00
1,978.00
0.00
0.00
537.10
0.00
1,912.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
831.68
0.00
1,806.00
0.00
0.00
971.52
59
Nodal Exchange FCM
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
SETT
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
FUTURE
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NPP
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
NEX
JUN
JUN
MAR
MAR
MAR
MAR
MAR
MAY
MAY
MAY
MAY
MAY
NOV
NOV
NOV
NOV
NOV
OCT
OCT
OCT
OCT
OCT
SEP
SEP
SEP
SEP
SEP
2017
2018
2014
2015
2016
2017
2018
2014
2015
2016
2017
2018
2014
2015
2016
2017
2018
2014
2015
2016
2017
2018
2014
2015
2016
2017
2018
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
14
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
–May-20XX
Totals
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
13-May-20XX
for Com NPP:
1,584.00
0.00
531,181.22
15,302.14
651.73
1,166.56
1,174.80
23,941.34
11,489.28
0.00
3,189.12
0.00
6,544.36
8,772.96
54.10
1,261.68
0.00
10,016.78
11,202.58
0.00
1,399.20
0.00
26,511.91
11,788.22
0.00
1,417.60
0.00
1,295,008.70
0.00
1,150.80
0.00
0.00
0.00
0.00
0.00
0.00
0.00
962.14
0.00
990.00
0.00
0.00
0.00
0.00
1,360.80
0.00
0.00
869.40
0.00
1,039.60
0.00
0.00
942.82
0.00
908.20
19,062.74
-1,275,945.96
60
Nodal Exchange FCM
SETT FUTURE
SETT FUTURE
NOS
NOS
This column displays the
contract code:
e.g. NOS = Non-Discounted
Off-Peak Eastern Standard
Time
NEX
NEX
FEB 2014
MAR 2014
This column displays the
commodity group: NEX
for the Nodal Exchange
Today’s At Call Cover Balance: 14,677,419.96
14 –May-20XX 13-May-20XX
14 –May-20XX 13-May-20XX
Totals for Com NOS:
12,260.16
100,753.56
113,013.72
0.00
0.00
0.00
-113,013.72
Totals for Postings 2:
2,097,257.47
213,672.20
-1,883,585.27
This row displays the total value of postings to the account
This will be displayed as the opening
cash cover balance on REP00019
61
Nodal Exchange FCM
REP00019: Overnight Cover Distribution

This report provides details on how overnight liabilities are covered, and any excesses, or shortfalls. Shortfalls result in a margin call
Date
Member
Account
Currency
14/05/20XX
ABC
C
ABC ENERGY CLEARING
USD
Screen currency
Cash Cover Balance:
CREDIT
Comm Group
NEX USD
LIABILITY
Other Cash
Opening cash balance
See REP00036
i.e. cash cover balance
Amount
14,677,419.96
Total
14,677,419.96
-15,971.545.00
14,677,419.96
-1,294,125.04
Displays the commodity group and
the currency, e.g. ‘NEX USD’ for
Nodal Exchange and USD
Liability Shortage USD
Total Net Shortage of USD
Overall Unutilised
Any amount here
would be debited
overnight
See REP00030, (net shortage protected
payment column), which displays a margin
call for any amount shown here
Amount
Excess cash = zero
-1,294,125.04
0.00
-1,294,125.04
Total
Figures shown here
represent the screen
currency equivalent
62
Nodal Exchange FCM
REP00032: Member Default Fund




This report displays the Default Fund contribution by Clearing Member
The Commodities Default Fund is paid in USD and is recalculated on the first business day of every month
Interest is paid in arrears at the end of the month
The interest rate, final interest and payment due date are indicated on the report, for one day - the day after the maturity date of the last
period
Date
Member
Account
Currency
05/08/20XX
ABC
F
GBP
ABC ENERGY CLEARING
Displays the amount of
interest accrued over the
period, in USD. This will only
be displayed on ‘Payment
Due On’ date +1
Displays the minimum required
contribution to the Default Fund
Fund
CDF
CDF
Displays the date on which the Default Fund
adjustment is made so that LCH.Clearnet
calls or pays back money as appropriate.
Interest will be posted to the account and will
be included in the call or pay figure
Required MDF Contribution
Start Date
End Date
Interest
Rate
Accrued
Interest
Final Interest
Payment
Payment Due On
24,480,000.00
04 Oct 20XX
05 Nov 20XX
0.09000
412.50
412.50
07 Nov 20XX
29,794,000.00
06 Nov 20XX
04 Dec 20XX
Three letter identifier for the type of
segregated fund:
CDF = Commodities Default Fund:
Displays the date
range for the
recalculation period
Displays the
rate of interest
for the period
Displays the amount of interest payable for the
period, in USD. This will only be displayed on
‘Payment Due On’ date +1
Includes Nodal, LME and EnClear
business
63
Nodal Exchange FCM
REP00033a: PPS Movement Detail


This report shows the total amount of PPS calls and pays broken down into individual movements by currency throughout the day
Clearing Members are advised to check this report daily at 14:30 and 16:00, and save a copy of the reports each day
Date
Member
Account
Ldg = ledger
COV = cover account
14/05/20XX
ABC
C
This shows intraday
liability, resulting in
intraday PPS call
PPS pays will occur,
and be displayed here,
if a Clearing Member
has requested call of
excess
Currency Ldg
PPS Call
PPS Pay
USD
COV
1,294,125.04
USD
Total:
1,294,125.04
Displays the currency
of the PPS call or
PPS pay
Displays the value of
the PPS call in the
currency shown in the
column to the left
Displays the value of
the PPS payment in the
currency shown in the
column to the left
Displays the time,
in 24 hour clock,
that the PPS call
was made
Value Date Timesent
14/05/20XX
07:55
All amounts are displayed
by time, in ascending order.
PPS calls have a time
stamp.
The value date is the
date on which a cash
posting can be used for
cover purposes
64
Additional Banking Reports
Additional Banking Reports
65
Additional Banking Reports
Additional Banking Reports
These are generic reports and are available for information purposes. This section provides instructions on how to access additional Banking
reports by market.
Market
System
Daily Base
Rates Report
Daily Exchange
Rates
Non Cash
Collateral
Holdings
Statement of
Account
Interest and
Accomodation
LCH EnClear OTC Services
Nodal Exchange
SwapClear
Member Reporting
Website (Extranet)
REP00017
REP00018
REP00036
REP00036a
REP00037
REP00038
ForexClear
LCH.Clearnet Portal
REP00017
REP00018
REP00036
REP00036a
REP00037
REP00038
Located in the Public folder: Banking
Located in the Clearing Member folder: Banking
66
Additional Banking Reports
REP00017: Daily Base Rates

This report displays the interest rate paid on cash at LCH.Clearnet, by currency, and is used to calculate Clearing Members’ interest

This is known as the LDR (London Deposit Rate)

This report is updated between 10:00 and 10:30 daily

Market published rates for USD is minus 20 bps
Currency
USD
Currency Name
US DOLLAR
Base Rate
-0.13000
67
Additional Banking Reports
REP00018: Daily Exchange Rates
From Currency
Currency Name
To Currency
Currency Name
AUD
CAD
CHF
CZK
DKK
EUR
GBP
HKD
HUF
JPY
NOK
NZD
PLN
SEK
SGD
USD
ZAR
AUD
CAD
CHF
CZK
DKK
EUR
GBP
HKD
HUF
JPY
Australian Dollars
Canadian Dollars
Swiss Franc
Czech Koruna
Danish Krone
Euro
British Pound
Hong Kong Dollar
Hungarian Forint
Japanese Yen
Norwegian Krone
New Zealand Dollar
Polish Zloty
Swedish Krona
Singapore Dollar
United States Dollar
South African Rand
Australian Dollars
Canadian Dollars
Swiss Franc
Czech Koruna
Danish Krone
Euro
British Pound
Hong Kong Dollar
Hungarian Forint
Japanese Yen
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
Euro
Euro
Euro
Euro
Euro
Euro
Euro
Euro
Euro
Euro
Euro
Euro
Euro
Euro
Euro
Euro
Euro
British
British
British
British
British
British
British
British
British
British
Pound
Pound
Pound
Pound
Pound
Pound
Pound
Pound
Pound
Pound
Exchange rate
1.540545
1.543274
1.213342
27.359648
7.462993
1.000000
0.836154
10.801039
311.860216
140.886752
8.308577
1.629636
4.224378
1.758825
1.390650
14.863615
1.842420
1.845680
1.451100
32.720800
8.925380
1.195950
1.000000
12.917500
372.970000
168.494000
9.936660
68
Additional Banking Reports
REP00036/REP00036a: Non Cash Collateral Holdings
REP00036 is an intraday report, which provides details on Clearing Members’ collateral holdings. REP00036a is an overnight report, and as such
contains less information than the intraday report.
Date
Member
Sub Acc
06/08/20XX
ABC
H
Securities
ISIN
CCY
Nominal
US912XXXXXX
USD
19,000,000.00
US912XXXXXX
USD
225,000,000.00
Haircut
Cover
Calling Price
Pay Down
Factor
Cover Value
Expiry Date
Custodian & Acc No.
X.XX
100.7123626
1.000000
19,135,398.90
09/09/20XX
BONY FCM US OWNER
A/C 735138
0.00
101.3107
1.000000
57,785,184.00
12/10/20XX
CITI
Triparty
CCY
Nominal
Cover Value
Value Date
Expiry Date
Custodian
Lodgement Ref
Triparty is not applicable to
FCMs; as a result, this section will
be blank on this report
Nominal Value – for Mortgage Backed Securities the Nominal displayed is the original Nominal prior to adjustment for pay down factors.
Cover Value – the calculation has taken into account haircuts and any nominal adjustments due to pay down factors.
69
Additional Banking Reports
REP00037: Statement of Account


This report provides a cumulative statement of all business activity for the previous month
The below screen shot is an example from the SwapClear market
Member
Subaccount
Currency
Type of Account
B/F Balance
Value date of
posting or
cash
movement
ABC
BANK of ABC
C
Brought forward balance
USD
COV
9,911,594.51CR
Displays the
This column
displays the date
on which the
funds are posted
to Banking
contract code
and currency
S=
SwapClear +
EU = Euro
This column
displays the
type of ledger
posting
This column
displays the
commodity group:
‘SWP’ for
SwapClear Global
Service, and ‘SUS’
for SwapClear USDomiciled service
Negative
postings: debit
to the Clearing
Member’s
account with
LCH.Clearnet
Value Date
Posting date Type
Com
Exchange
13-May-20XX
12-May-20XX
COUPON
SUS
SUS
2,312,119.03
13-May-20XX
12-May-20XX
NPV CHANGE
SUS
SUS
7,199,324.89
13-May-20XX
12-May-20XX
PR AL INTST
SUS
SUS
Sum of the brought
forward balance, plus
all debits and credits
Com
Reference
This column
may display
an
LCH.Clearnet
reference
number
Debit
Positive
postings: credit
to the Clearing
Member’s
account with
LCH.Clearnet
Credit
Balance
8,513.57
Total
9,511,443.92
8,513.57
Balance at 13 May 20XX
Exchange
This column
displays net
of all credits
and debits
408,664.16CR
Value Date
Posting date Type
13-May-20XX
13-May-20XX
PPS CALL
Reference Debit
470007
13-May-20XX
13-May-20XX
PPS PAYMENT
310002
13-May-20XX
13-May-20XX
PPS PAYMENT
310002 35,652,341.31
Total
9,502,930.35DR
Credit
Balance
19,000,000.00
6,502,310.85
42,154,652.16
19,000,000.00
23,154,652.16DR
This figure is cumulative
to date for the month
70
REP00038: Interest and Accommodation
MONTHLY INTEREST RECEIVABLE/PAYABLE AND ACCOMODATION CHARGES INVOICE
This report
provides
information on
previous months’
interest and fees
related to
collateral and
custody services
GB 524 922 449
ABC
DATE AND TAX POINT
ABC BANK
Non-cash collateral utilisation
charge, including VAT
C
USD
01/02/XX
USD
Accommodation charges that
have not had VAT applied
INTEREST RECEIVABLE/PAYABLE AND ACCOMODATION CHARGES FOR THE MONTH 31/01/XX
Accommodation
INTEREST ON:
Initial Margin Covered by Other Cash
Accrued interest on cash balance
held as cover
VAT Exempt
Interest
Interest accrual on
cash collateral
balances
42,480.16 CR
Variation Margin Covered by Other Cash
866,74 CR
Excess Credit Oth Cash Covering foreign var marg
299.17 CR
Excess Credit Other Cash
ACCOMODATION CHARGES ON:
Initial Margin Covered by Gilts
Initial Margin Covered by Treasury Bills
27,598.50 CR
Accommodation
charges for all noncash collateral (not
applicable to ‘C’
accounts)
19,890.05 DR
13,332.10 DR
Initial Margin Covered by European Gov’t Bonds
8,747.17 DR
Initial Margin Covered by US Treasury Bonds
448.74 DR
Variation Margin Covered by European Gov’t Bonds
37.94 DR
Variation Margin Covered by Gilts
18.25 DR
Variation Margin Covered by Treasury Bills
362.50 DR
SUB TOTAL INT/ACCOM
0.00
42,836.75 DR
71,244.57 CR
VAT APPLICABLE AT
0.00
EXEMPT
N/A
GBP
28,407.82 CR
GBP
0.00
20.00%
NET INTEREST AND ACCOMODATION POSTED
VAT POSTED
Total interest,
accommodation and
VAT for the account
71
72
Glossary of Terms
Glossary of Terms
73
Glossary of Terms
Glossary of Terms
Term
Definition
Account
Account will identify house or client business. See subaccount.
Accrued Interest
Interest earned on the Default Fund contribution, calculated to date.
Amount
The value of the posting by currency.
Auto Repay
The automatic repayment of excess cash to Clearing Members’ PPS bank accounts.
Base Rate
The rate of interest paid by LCH.Clearnet to Clearing Members on cash initial margin, which
is calculated daily.
Bonds
Type of security lodged to cover Clearing Members’ liabilities.
A full list of acceptable securities can be found on LCH.Clearnet’s website:


LCH.Clearnet Group - Risk Management - LLC- Acceptable Collateral
LCH.Clearnet Group - Risk Management - Ltd - Acceptable Collateral
Cash Cover
The opening cash balance after the following deductions/additions, for example:
 profit/loss (variation margin) from previous day's trading
 fees
 interest
 previous day's PPS call/pay
Cash Cover Balance
See Cash Cover.
Ccy
Abbreviation for currency.
74
Glossary of Terms
Term
Definition
Collateral
Acceptable securities and cash. A full list can be found on the LCH.Clearnet website –


http://www.lchclearnet.com/risk_management/llc/acceptable_collateral.asp
LCH.Clearnet Group - Risk Management - Ltd - Acceptable Collateral
Non Cash Collateral Holdings Report
The report which details a Clearing Member's collateral holdings.
Commodity Code
The three letter code that denotes the contract referred to on the report.
A full list can be obtained from the Collateral Operations department.
Commodity Group
The reference to the exchange or market on which a contract is traded, for example:
SUS - SwapClear
SOC – SwapClear (Unallocated Excess)
FUS – ForexClear
XOC – ForexClear (Unallocated Excess)
EDX - EnClear
EOC – Enclear (Unallocated Excess)
NEX - Nodal
Contingent Variation Margin (CVM)
CVM is calculated as the Dollar value of the difference between the traded price and the
current closing price daily at gross level.
75
Glossary of Terms
Term
Definition
Contract Code
The code that denotes the contract referred to on the report.
A full list can be obtained from the Collateral Operations department.
Coupon
The fixed or floating interest amount due to be paid or received on a swap.
Cover
Transactions posted to the cover account include, but are not limited to:











PPS payments and receipts
option premiums
interest and accommodation charges
currency purchases and sales
fees, charges and rebates
exchange fees, levies and rebates
SwapClear coupon payments
SwapClear coupon adjustments
net present value (NPV)
price alignment interest (PAI)
consideration
Cover Account Postings
Postings to the cover account.
Cover Calling Summary
The report which provides a summary version of the following reports:
 Initial and Variation Margin
 Yesterday’s Cover Account Postings
 Overnight Cover Distribution
 Collateral by Member
Cover Value
The value of securities after haircut and pricing.
76
Glossary of Terms
Term
Definition
Credit
A positive figure.
Currency
A denomination of cash from a particular country. Currencies accepted by LCH.Clearnet
are:
 AUD – Australian Dollar
 JPY – Japanese Yen
 CAD – Canadian Dollar
 NOK – Norwegian Kroner
 CHF – Swiss Franc
 NZD – New Zealand Dollar
 CZK – Czech Koruna
 PLN – Polish Zloty
 DKK – Danish Krone
 SEK – Swedish Krona
 EUR – Euro
 SGD – Singapore Dollar
 GBP – Sterling
 USD – US Dollar
 HKD – Hong Kong Dollar
 ZAR – South African Rand
 HUF – Hungarian Forint
(NB. Not all may be used to cover liabilities)
77
Glossary of Terms
Term
Definition
Currency Name
The name given to a denomination of cash, for example Hong Kong Dollar.
Daily Base Rates
This report displays the interest rate, by currency, used to calculate Clearing Members’
interest. This is known as the LDR (London Deposit Rate). This report is updated daily at
approximately 15:00.
Date
The day the figures on the report relate to i.e. today’s date.
Debit
A negative figure.
Default Fund
Clearing Members contribute to a Default Fund in proportion to their cleared business. This
would be used to deal with the consequences of a Clearing Member default, if the default
exceeded the margin held.
Description
An explanation of the posting.
End Date
The final date in the calculation period for interest earned on the Default Fund.
Excess
Unutilised cash after liabilities have been covered.
Exchange Code
LCH.Clearnet’s code for the market in which the contract is traded:




EDX – LCH EnClear OTC Services
FXC – ForexClear
NEX – Nodal Exchange
SWP – SwapClear
78
Glossary of Terms
Term
Definition
Exchange Rate
The rate LCH.Clearnet uses to convert currencies. This rate is calculated at 17:00 (UK
Time) daily and then reported before end of day. It is a notional rate used in the cover
distribution process.
Expiry Date
The date on which collateral can no longer be used as cover.
Final Interest Payment
The interest amount paid to the Clearing Member at the end of the Default Fund interest
calculation period.
GBP Equivalent
The sterling equivalent of unutilised cash or collateral after liabilities have been covered. For
LCH.Clearnet LLC business, this is actually a USD figure.
Haircut
A discount applied by LCH.Clearnet to securities to cover price volatility.
Initial and Variation Margin Report
The report which displays a breakdown of a Clearing Member's margin liability including:





initial margin
contingent variation margin
net liquidation value (NLV)
delivery margin
spot margin
Initial Margin
A Clearing Member must lodge a 'good faith' deposit (initial margin) with LCH.Clearnet to
cover potential losses for the closing out of open positions in the event of a Clearing
Member default.
Interest
Monthly interest and accommodation charge postings.
Interest Rate
The rate used to calculate interest earned from the Default Fund contribution.
79
Glossary of Terms
Term
Definition
ITD PPS Movement Detail Report
This report shows the total amount of PPS calls and pays broken down into individual
movements by currency throughout the day.
LCH.Clearnet Group Limited
The London Clearing House (LCH) and Clearnet merged on 22 December 2003 to create
Europe’s leading provider of clearing and central counterparty services.
On 15 August 2012, LCH.Clearnet Group acquired sole ownership of International
Derivatives Clearing Group, LLC creating a U.S. operating subsidiary renamed
LCH.Clearnet LLC.
On 01 May 2013, London Stock Exchange Group completed a transaction to become a
majority shareholder in LCH.Clearnet Group Limited, holding 57.8%.
The remaining 42.2 % is owned by the Exchanges (22.5%) and Clearing Members (77.5%).
LCH.Clearnet Ltd
LCH.Clearnet Ltd is a Recognised Clearing House (RCH) under the BoE and is responsible
for the clearing and settlement of:



Derivative transactions on Exchanges
Cash equities and CFDs on EquityClear
OTC products, including commodity, repo and swap products (ForexClear, LCH
EnClear OTC Services, RepoClear and SwapClear)
LCH.Clearnet LLC
Ldg
Abbreviation of ledger.
Ledger
The type of account used at LCH.Clearnet. This will be either cover or tender.
80
Glossary of Terms
Term
Definition
Liability
This can include the following:



initial margin
net liquidation value (NLV)
spot margin
Liability Shortage
The amount owed by Clearing Members in cash after cash/collateral has been utilised. This
will be called via PPS from a Clearing Member’s bank account.
LIBOR - London Inter Bank Offered Rate
The rate at which leading banks offer to make deposits on the Euromarkets with other
leading banks. The rate at which leading banks offer to make deposits on the Euromarkets
with other leading banks.
London Deposit Rate (LDR)
The rate of interest paid/charged by LCH.Clearnet to Clearing Members on cash initial
margin, which is calculated daily for each currency by 10:00 hours. It is derived from bid
rates for overnight funds quoted by selected money brokers and /or major banks.
Member Default Fund Report
This report displays the Default Fund contribution by Clearing Member.
Member
The mnemonic or name of the Clearing Member.
Mnemonic
A three letter code identifying each Clearing Member firm to LCH.Clearnet.
Net Liquidation Value (NLV)
Unrealised profit/loss.
Net Present Value (NPV)
The mark-to-market value of a swap transaction. Also known as variation margin.
81
Glossary of Terms
Term
Definition
Net Shortage
The amount owed by the Clearing Member in cash after cash/collateral has been utilised.
This will be called via PPS from a Clearing Member's bank account.
Net Total
The total of all debits and credits.
Nominal Value
The amount lodged before pricing.
Other Cash
The cash cover balance used to cover Clearing Members' liabilities. This can also include
balances in all currencies accepted by LCH.Clearnet.
Overall Unutilised
The total of unutilised cash.
Overnight Cover Distribution Report
This report displays how cash and collateral have been utilised as well as detailing the PPS
margin call.
Payment Due On
This is the date on which the Default Fund adjustment is made so that LCH.Clearnet calls or
pays back money as appropriate. Interest will be posted to the account and will be included
in the call or pay figure.
Post Date
The date on which the posting was made e.g. trade date.
Price
Refers to Collateral Price.
Price Alignment Interest (PAI)
The overnight interest paid or received on cumulative variation margin balances.
Protected Payments System (PPS)
The automated payments system operated by LCH.Clearnet for the collection and payment
of margin. LCH.Clearnet has a mandate over its Clearing Members' bank accounts, and can
therefore pass instructions for margin monies to be electronically transferred from Clearing
Members' accounts to its own account to cover margin calls. In addition it can electronically
credit Clearing Members' bank accounts with variation margin credits and the return of initial
margin.
82
Glossary of Terms
Term
Definition
Price Alignment Interest (PAI)
The overnight interest paid or received on cumulative variation margin balances.
Protected Payments System (PPS)
The automated payments system operated by LCH.Clearnet for the collection and payment
of margin. LCH.Clearnet has a mandate over its Clearing Members' bank accounts, and can
therefore pass instructions for margin monies to be electronically transferred from Clearing
Members' accounts to its own account to cover margin calls. In addition it can electronically
credit Clearing Members' bank accounts with variation margin credits and the return of initial
margin.
PPS Call
Debit from a Clearing Member’s bank account to LCH.Clearnet.
PPS Pay
Credit from LCH.Clearnet to a Clearing Member’s bank account.
PPS Movement Totals
This report shows the total amount of PPS calls and pays at the time specified on the report.
This is updated throughout the working day and includes intraday margin calls.
Required MDF Contribution
The total amount of Default Fund that each Clearing Member is required to contribute.
Screen Currency
Refers to the currency on the screen or report.
Spot Margin
The margin applied to certain contracts under delivery.
Start Date
The date on which the Default Fund contribution is reset.
83
Glossary of Terms
Term
Definition
Subaccount
This refers to different types of cover account and could be one of the following:
B House Buffer account (House business)
C Segregated client account
E Client Buffer account (Client business)
F Default Fund account
H House account
I non-cover postings (House business)
L non-cover postings (Client business)
X Buyers security account (Client business)
Z Buyers security account (House business)
Tender
Transactions posted to the tender account include but are not limited to:



PPS payments and receipts
coupon payments relating to a Clearing Member’s House business (I account)
coupon payments relating to a Clearing Member’s Client business (L account)
Today's At Call Cover Balance
The opening cash balance after all entries have been posted.
Total Liability
The total of the following:



initial margin
net liquidation value (NLV)
spot margin
Total Net Shortage
The amount of cash which will be called from a Clearing Member’s PPS account.
Unutilised Cash
Unutilised cash after liabilities have been covered.
84
Glossary of Terms
Term
Definition
Variation Margin
Two types:


Yesterday's Call Balance
Previous day's balance before PPS call/pay has been included.


Yesterday's Cover Account Postings
PPS payments and receipts
coupon payments relating to a Clearing Member’s collateral
The report which details items posted to a Clearing Member’s cover account:


Yesterday's I & D Balance
realised profit/loss otherwise known as 'settlement' i.e. marked-to-market and
settled-to-market
unrealised profit/loss otherwise known as contingent variation margin or net
liquidation value (NLV) i.e. marked-to-market.
part one shows previous day's PPS call/pay
part two shows all overnight postings:
 profit/loss (variation margin) from previous day's trading
 fees
 interest
Previous day's closing cash balance. LCH.Clearnet will pay/charge interest at LDR on this
amount.
85
Contacts
Contacts and Documents
Team
Email
Telephone
Group Contact (Intraday margin calls, BAU)
+44 (0) 20 7426 7505
+1 (212) 513 5620
[email protected]
[email protected]
Group Contact (On-boarding, General enquiries)
+44 (0) 20 7426 7593
[email protected]
Group Contact (Non-Cash Collateral)
+44 (0) 20 7426 7593
+1 (212) 513 5620
[email protected]
[email protected]
Member Training
+44 (0) 20 7392 1817
+1 (212) 513 5650
[email protected]
[email protected]
Service Desk
+44 (0) 20 7426 7200
+1 (212) 513 5624
[email protected]
86