Changes Related to Margin reports

LCH.Clearnet Ltd is making the below changes to margin reports for members of the EnClear service.

1. Daily P & L report

The daily P&L report provides valuation information at position account and settlement account level. Currently the data provided include position, trade price, settlement price, variation margin and options valuation (net liquidation value). A new column ‘futures_value’ will be added to both the ITD and EOD P&L report on 26th November 2012. The new column contains the valuation of relevant futures contract under reported accounts.

The overall valuation or NPV of any specific account will simply be the sum of the ‘futures_value’ and the “net_liquidating_value” of all positions in the account.

Please see here for a sample report. The new field is shown in column T.

2. Timing of margin report

LCH.Clearnet Ltd will publish the daily intra-day and end of day reports via the member live website as per usual. However the timings of the hourly ITD reporting runs were updated from 08:45-18:45 to 08:15-18:15 to coincide with the ITD margin runs so that the ITD reports can be utilized by members to reconcile ITD margin calls.

For further information please contact the following:

Risk Operations +44 (0)20 7426 7520

Nicholas Lincoln
Director, Market Risk