lch-collateral-reporting

name	lch-collateral-reporting
description	Generates governed, structured cross-currency collateral valuations and multi-jurisdiction rate audits for LCH Group members using the MCP API Gateway facade.

LCH Ltd: Collateral Analysis & Reporting Skill

Use this skill when the user asks to analyze member collateral holdings, calculate haircuts, cross-reference interest rates, translate multi-currency collateral, or compile formal compliance and margin valuation reports.

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1. Trigger Conditions

Activate this skill automatically when user queries involve:

• "Show collateral holdings for member X"
• "Generate a margin/collateral report"
• "Calculate net collateral valuation after haircuts"
• "Audit collateral against UK/US/EU reference rates"

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2. Information Gathering Workflow

When triggered, follow this deterministic sequence to compile data. Do not skip steps or make up/hallucinate data points. Every figure must come from a tool call — all served through the single governed janus-gateway facade:

1. Retrieve Collateral Portfolio: Call lch_get_non_cash_collateral with the specified member_id to get active assets, ISIN codes, market values, and haircut percentages.
2. Retrieve Multi-Jurisdiction Rate Baselines:
   • ustreasury_get_avg_interest_rates — U.S. Treasury marketable average rates.
   • boe_get_bank_rate — the official UK Bank of England Bank Rate (CSV; take the latest value).
   • eurostat_get_hicp_inflation (geo EA) — euro-area HICP annual inflation (real-value context for EUR sovereign collateral).
3. Retrieve Cross-Currency FX: Call fx_get_reference_rates (base EUR, symbols USD,GBP) for the ECB euro reference rates; use them to translate the multi-currency portfolio into a single GBP reporting value. ecb_get_usd_eur_rate may corroborate the USD/EUR rate.
4. Perform Valuations: For each asset, calculate Net Collateral Value = Market Value × (1 − Haircut% / 100). Accumulate totals grouped by asset type and currency, then convert to a common GBP reporting value using the ECB FX rates from step 3.

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3. Reporting and Document Generation Templates

Format all outputs as high-quality, professional markdown. Avoid casual phrasing. Use the following outline:

Structure

LCH Ltd: Cross-Currency Collateral Valuation & Multi-Jurisdiction Rate Audit

Date: [Insert Current Date] Member ID: [Insert Member ID] Reporting currency: GBP · Status: [ACTIVE | ACTION REQUIRED]

1. Executive Summary

Summarize the member's position: total market value, total net collateral (after haircuts), and the consolidated GBP value after FX translation.

[!NOTE] State whether the net collateral valuation satisfies the clearing house's minimum margin threshold. Note that the margin requirement (IM/VM) is not exposed by the available tools.

2. Collateral Portfolio Breakdown

Asset Name	ISIN	Type	Ccy	Market Value	Haircut	Net Collateral Value
[Name]	[ISIN]	[Type]	[Ccy]	[Value]	[H %]	[Calculated Net]

3. Cross-Currency Translation (ECB reference rates)

State the ECB EUR→USD and EUR→GBP rates used, then present each position and the portfolio total converted to GBP.

• EUR/USD: [rate] · EUR/GBP: [rate] (source: ECB via gateway)
• Consolidated collateral (GBP): [value]

4. Multi-Jurisdiction Rate & Macro Audit

Reference	Value	Source (via gateway)
US Treasury avg (Notes)	[%]	U.S. Treasury
UK Bank Rate	[%]	Bank of England
Euro-area HICP inflation	[%]	Eurostat

Comment on the collateral's coupon vs. the relevant reference rate and any inflation drag on the EUR sovereign position.

5. Compliance & Risk Statement

This report is API-mediated and dynamically generated. Collateral is sourced from LCH Ltd clearing systems; rates and FX are sourced from the U.S. Treasury, the Bank of England, the ECB, and Eurostat — all mediated through the janus governed gateway. All calls are audit-logged and deterministic; the LLM never touches downstream credentials.