| 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.
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"
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:
- 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.
- 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).
- 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.
- 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.
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.
