Key information for Turquoise Derivative clearing members:
- Aggregation of client data into a single client account
- Different Member mnemonics on LCH.Clearnet and Turquoise Derivatives reports
- Settlement process
- Reporting structure
- Different underlying product codes for SPAN and BCS report
Client data reporting
- All client data is aggregated into one single account for a GCM (general clearing member)
- There will be netting within the GCM's client account of the individual client account positions
- SPAN margin reports produced by LCH.Clearnet will not show individual client account margin data
- ECL reports will show the resultant open positions due for delivery
Different member mnemonics
- Member mnemonics used in BCS reporting are different to the member mnemonics used in LCH.Clearnet reports
- Turquoise Derivatives Member codes, used in BCS reporting, are established at the point that the new member is set up on the exchange
- LCH.Clearnet Member codes, used in LCH.Clearnet reporting, are established at the point that the new member is approved by LCH.Clearnet for clearing
- A mapping table is maintained to ensure the Turquoise Derivatives member codes are correctly linked to the LCH.Clearnet member codes
- From the close of business on exercise/expiry date until settlement, all Turquoise Derivatives physically delivered underlyings become EquityClear contracts under the LCH.Clearnet Rules and Regulations.
- All Turquoise Derivatives Clearing members need to be an EquityClear member or use the services of an EquityClear GCM.
- The trades are margined the morning following exercise/expiry using Equity Risk Analysis (ERA) as currently used by the EquityClear service.
- Margin offsets and optional cross trade source netting are available on Turquoise Derivative Delivery positions.*
*Please note that due to the interoperability arrangements in place for Turquoise Derivatives Norwegian contracts, cross trade source netting is not currently available for these contracts.
- Turquoise Derivatives reports will be available from BCS and will contain all Variation Margin, Options Premiums and Net Liquidating Value data
- LCH.Clearnet Banking, SPAN, and EquityClear reports will be available via the LCH.Clearnet Member Reporting Website.
- SPAN reports will contain Initial Margin data on Turquoise Derivatives positions pre exercise/expiry.
- Turquoise Derivatives delivery positions will be shown within the EquityClear reports and made available under the EquityClear folder within Member Reporting.
- LCH.Clearnet Banking reports will contain margin requirements.
- The codes used for securities on the Turquoise Derivatives exchange are different to the codes used by LCH.Clearnet for margining
- BCS reports will display the Turquoise Derivatives codes, SPAN reports will display the LCH.Clearnet codes
- SPAN is set-up to accommodate only 3 letter codes for the contracts, Turquoise Derivatives codes have up to 6 characters
- The mapping of the Turquoise Derivatives codes to the LCH.Clearnet codes will be available to Members in the margin rate circular on the LCH.Clearnet website