Contract Specifications - FT MErcati
Transcript of Contract Specifications - FT MErcati
2 Overview
4 Futures
10 TAPOs (Traded Average Price Options)
11 Traded options
12 LMEminis
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Contents
The London Metal Exchange (LME) is the world’s premier industrial metals
market – more than two thirds of global non-ferrous futures and options
trading is conducted on the LME. The price derived from trading is used
as a reference price in the majority of the world’s physical metal markets.
Located in the City of London, the LME’s membership is global, with more
than 95% of the business conducted on its markets coming from outside
the United Kingdom.
The Exchange provides three core services which underpin all activity;
• Pricing
• Hedging
• Physicaldelivery(theLMEactsasamarketoflastresort)
The market itself can be accessed via three different trading platforms, the
Ring (open-outcry), LMEselect (electronic trading) and through 24-hour
inter-office telephone trading.
Overview
Daily prompt dates Weekly prompt dates Monthly prompts to 12, 15, 27, 63 or 123 months
Cash 3 months 6 months
LMEminis Tin, Molybdenum,
Cobalt & Steel Billet
Aluminium Alloy &
NASAAC
Lead, Nickel & Zinc
Aluminium& Copper
12 15 27 63 123
The LME’s physical delivery model allows the Exchange to offer a unique prompt date structure for futures contracts
which matches the requirements of physical industry for the pricing of physical material. A summary of this is shown below.
(1) Weekly contract settlement takes place every Wednesday
(2) Monthly contract settlement takes place every third Wednesday
LME Aluminium and LME Copper Daily: Cash to 3 months
Weekly (1): 4 months to 6 months
Monthly (2): 7 months to 123 months
LME Lead, LME Nickel and LME Zinc Daily: Cash to 3 months
Weekly (1): 4 months to 6 months
Monthly (2): 7 months to 63 months
LME Aluminium Alloy and Daily: Cash to 3 months
LME North American Special Weekly (1): 4 months to 6 months
Aluminium Alloy Contract (NASAAC) Monthly (2): 7 months to 27 months
LME Tin, LME Molybdenum, Daily: Cash to 3 months
LME Cobalt and LME Steel Billet Weekly (1): 4 months to 6 months
Monthly (2): 7 months to 15 months
LMEminis Monthly (2): Monthly to 12 months
Prompt date/settlement (delivery) date summary for LME contracts
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How do I access the market and trade on the LME?All trading on the LME takes place through LME member firms which include
the world’s leading financial institutions and physical trading companies.
Members are divided into specific categories, each with different privileges
(only category 1, 2 and 4 members are allowed to issue LME contracts, for
example). LME members buy and sell contracts on behalf of their customers
via the Exchange’s three trading platforms – the Ring, LMEselect and
inter-office telephone trading.
As a ‘principal-to-principal’ market, participants can only begin to trade and
access the LME’s delivery mechanism once an account with an LME member
firm has been opened and approved (subject to due diligence, Financial
Services Authority checks and specific trading requirements).
A full list of our members is available at www.lme.com/membership.
Further information regarding the Exchange, its contracts, services,
educational courses, data and latest news and events can be found
at www.lme.com.
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Futures Non-ferrous
QuotationUS dollars per tonne
Clearable currenciesUS dollars, Japanese yen, Sterling, Euro
Minimum price movementRing Outright $0.50* Carries $0.01
LMEselect Outright $0.25* Carries $0.01
Inter-office Outright $0.01 Carries $0.01
*Minimum price movement for LME Nickel and LME Tin for outright
on the Ring is $5.00 and on LMEselect is $1.00
LME Aluminium
Contract
Primary aluminium with impurities
no greater than in the registered
designation P1020A in the North
American and International
Registration Record entitled
“International Designations and
Chemical Composition Limits for
Unalloyed Aluminium” (revised
March 2007)
Contract/quality
25 tonnes (with a
tolerance of +/- 2%)
Lot size (warrant)
Ingots, T-bars, Sows
Form/shape
First prompt date is TOM which is the
next business day from today. The Cash
prompt date is two business days from
today followed by other daily prompts
up to three months. TOM, CASH and 3
MONTH prompts roll on a daily basis.
Weekly prompts on every Wednesday
of the month from 3 months to 6
months. Monthly prompts on every
third Wednesday from 7 months to
123 months.
Delivery/settlement dates
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LME Aluminium Alloy
LME Cobalt
Contract
Aluminium alloy conforming to
A380.1, 226 or AD12.1
A minimum of 99.30% purity.
Other elements are as specified
by producers of each brand in the
LME approved list
Contract/quality
20 tonnes (with a
tolerance of +/- 2%)
1 tonne (+/-2%)
Lot size (warrant)
Ingots, Small Sows,
Large Sows, T-bars
Cathodes (broken
or cut), Rounds,
Briquettes, Ingots
Form/shape
First prompt date is TOM which is the
next business day from today. The Cash
prompt date is two business days from
today followed by other daily prompts
up to three months. TOM, CASH and 3
MONTH prompts roll on a daily basis.
Weekly prompts on every Wednesday
of the month from 3 months to 6
months. Monthly prompts on every third
Wednesday from 7 months to 27 months.
First prompt date is TOM which is the
next business day from today. The Cash
prompt date is two business days from
today followed by other daily prompts
up to three months. TOM, CASH and 3
MONTH prompts roll on a daily basis.
Weekly prompts on every Wednesday
of the month from 3 months to 6
months. Monthly prompts on every third
Wednesday from 7 months to 15 months.
Delivery/settlement dates
LME Copper Grade A Copper conforming to
BS EN 1978:1998 (Cu-CATH-1)
25 tonnes (with a
tolerance of +/- 2%)
Cathodes First prompt date is TOM which is the
next business day from today. The Cash
prompt date is two business days from
today followed by other daily prompts
up to three months. TOM, CASH and 3
MONTH prompts roll on a daily basis.
Weekly prompts on every Wednesday
of the month from 3 months to 6
months. Monthly prompts on every
third Wednesday from 7 months to
123 months.
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LME Nickel
LME Lead
LME Molybdenum
Nickel of 99.80% purity (minimum)
conforming to B39-79 (2008)
Lead of 99.97% purity (minimum)
conforming to BS EN 12659:1999
Between 57 and 63%
molybdenum contained in roasted
molybdenum concentrate (RMC)
with maximum permissible
impurities of Cu 0.50%;
P 0.05%; Pb 0.05%; S 0.10%;
C 0.10%; H2O 0.1%
6 tonnes (with a
tolerance of +/- 2%)
25 tonnes (with a
tolerance of +/- 2%)
6 tonnes
molybdenum
(+/-5%) contained
in 10 tonnes of RMC
Full Plate Cathode,
Cut Cathodes,
Pellets, Briquettes
Ingots
Powder packed
in drums
First prompt date is TOM which is the
next business day from today. The Cash
prompt date is two business days from
today followed by other daily prompts
up to three months. TOM, CASH and 3
MONTH prompts roll on a daily basis.
Weekly prompts on every Wednesday
of the month from 3 months to 6
months. Monthly prompts on every third
Wednesday from 7 months to 63 months.
First prompt date is TOM which is the
next business day from today. The Cash
prompt date is two business days from
today followed by other daily prompts
up to three months. TOM, CASH and 3
MONTH prompts roll on a daily basis.
Weekly prompts on every Wednesday
of the month from 3 months to 6
months. Monthly prompts on every third
Wednesday from 7 months to 63 months.
First prompt date is TOM which is the
next business day from today. The Cash
prompt date is two business days from
today followed by other daily prompts
up to three months. TOM, CASH and 3
MONTH prompts roll on a daily basis.
Weekly prompts on every Wednesday
of the month from 3 months to 6
months. Monthly prompts on every third
Wednesday from 7 months to 15 months.
Contract Contract/quality Lot size (warrant) Form/shape Delivery/settlement dates
FuturesNon-ferrous
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LME North American Special Aluminium Alloy Contract (NASAAC)
LME Tin
LME Zinc
Aluminium alloy conforming to
the “LME NA380.1” specification
(an LME modification of The
Aluminium Association Inc. A380.1
specification (1989)
Tin of 99.85% purity (minimum)
conforming to BS EN 610:1996
Zinc of 99.995% purity (minimum)
conforming to BS EN 1179:2003
20 tonnes (with a
tolerance of +/- 2%)
5 tonnes (with a
tolerance of +/-2%)
25 tonnes (with a
tolerance of +/- 2%)
Ingots, Small Sows,
Large Sows, T-bars
Ingots
Ingots
First prompt date is TOM which is the
next business day from today. The Cash
prompt date is two business days from
today followed by other daily prompts
up to three months. TOM, CASH and 3
MONTH prompts roll on a daily basis.
Weekly prompts on every Wednesday
of the month from 3 months to 6
months. Monthly prompts on every third
Wednesday from 7 months to 27 months.
First prompt date is TOM which is the
next business day from today. The Cash
prompt date is two business days from
today followed by other daily prompts
up to three months. TOM, CASH and 3
MONTH prompts roll on a daily basis.
Weekly prompts on every Wednesday
of the month from 3 months to 6
months. Monthly prompts on every third
Wednesday from 7 months to 15 months.
First prompt date is TOM which is the
next business day from today. The Cash
prompt date is two business days from
today followed by other daily prompts
up to three months. TOM, CASH and 3
MONTH prompts roll on a daily basis.
Weekly prompts on every Wednesday
of the month from 3 months to 6
months. Monthly prompts on every third
Wednesday from 7 months to 63 months.
Contract Contract/quality Lot size (warrant) Form/shape Delivery/settlement dates
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FuturesLME Steel Billet
QuotationUS dollars per tonne
Clearable currencyUS dollars
Minimum price movementRing Outright $0.50 Carries $0.01
LMEselect Outright $0.10 Carries $0.01
Inter-office Outright $0.01 Carries $0.01
LME Steel Billet
1 0.08-0.13 0.10-0.30 0.30-0.60 0.05 0.04 0.40 0.20 0.20 0.012 –
2 0.10-0.15 0.15-0.30 0.50-0.80 0.045 0.045 0.40 0.20 0.20 0.009** –
3 0.14-0.22 0.05-0.15 0.40-0.65 0.05 0.04 0.40 0.30 0.30 0.012 –
4 0.14-0.22 0.15-0.30 0.40-0.65 0.05 0.04 0.40 0.30 0.30 0.012 –
5 0.15-0.22 0.15-0.30 0.60-1.00 0.05 0.05 0.50 0.20 0.20 0.012 0.50
6 0.17-0.25 0.40-0.80 1.20-1.60 0.045 0.045 0.50 0.20 0.20 – 0.52
7 0.28-0.37 0.05-0.15 0.50-0.80 0.05 0.04 0.40 0.30 0.30 0.012 –
8 0.28-0.37 0.15-0.30 0.50-0.80 0.05 0.04 0.40 0.30 0.30 0.012 –
9 0.36-0.42 0.15-0.30 1.00-1.40 0.05 0.05 0.50 0.20 0.20 – –
Contract
LME Grade C (%) Si (%) Mn (%) S (%) P (%) Cu (%) Ni (%) Cr (%) N (%) CEV*
65 tonnes (with
a tolerance of
+/- 3.5%)
Billet:
100mmx100mm
120mmx120mm
125mmx125mm
130mmx130mm
140mmx140mm
150mmx150mm
Lot size (warrant)
5,800mm – 6,000mm (+/-100mm)
11,700mm – 12,000mm (+/-100mm)
Lengths Delivery/settlement datesForm/shape
First prompt date is TOM which is the
next business day from today. The Cash
prompt date is two business days from
today followed by other daily prompts
up to three months. TOM, CASH and 3
MONTH prompts roll on a daily basis.
Weekly prompts on every Wednesday
of the month from 3 months to 6
months. Monthly prompts on every third
Wednesday from 7 months to 15 months.
All limits are max unless otherwise indicated.
*CEV (Carbon Estimated Value) = %C + %Mn/6 + (%Cr + %Mo + %V)/5 + (%Cu + %Ni)/15
**%Nmaxmayincreaseby0.001%forevery0.005%reductionin%P
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TAPOs (Traded Average Price Options)
Option typeAsian option
Last trading dayBusiness day preceding the declaration day for that option
before 18.00 (UK time)
Last matching and registration18.15 on the last trading day of the option
Declaration day/timeThelastbusinessdayoftheTAPOmonthat15.00(UKtime)
Premium tick size$0.01
Minimum strike price movement$1.00
Exercise of the optionAutoexercisebyLCH.ClearnetbasedontheMonthlyAverage
SettlementPrice
Contract Contract months
LME Aluminium Monthly out to 63 months
LME Aluminium Alloy Monthly out to 27 months
LME Copper Monthly out to 63 months
LME Lead Monthly out to 15 months
LME Nickel Monthly out to 27 months
LME NASAAC Monthly out to 27 months
LME Tin Monthly out to 15 months
LME Zinc Monthly out to 27 months
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Traded options
Option typeAmerican option
Last trading dayThe business day preceding the last declaration day for that option.
This is the Tuesday before the first Wednesday of the expiring option
month by 18.00 (UK time)
Last matching and registrationThe Tuesday before the first Wednesday of the option month
by 18.15 (UK time)
Last declaration day/timeThe first Wednesday of the expiring option month which is a business
day or, if not a business day, the next day which is a business day
Premium tick size*$0.01
Minimum strike price movement*$25 for strikes from $25 to $9,975
$50 for strikes from $10,000 to $19,950
$100 for all strikes over $20,000
Automatic exercise of options (for Clearing Members and their segregated accounts)LCH.Clearnetautomaticallyexerciseallin-the-moneyoptionsexceptfortwo
strikes above and below the at-the-money strikes. The at-the-money strike
is based on the closing price of the third Wednesday underlying futures
established on the last trading day of the expiry month. Exercise will result
in acquiring a third Wednesday future contract in the option month
AnExchangecalloptionwillbeautomaticallyexercisedbyLCH.Clearnet
if it is in-the-money with a strike price that is two gradations below the
at-the-money strike price
AnExchangeputoptionwillbeautomaticallyexercisedbyLCH.Clearnet
if it is in-the-money with a strike price that is two gradations above the
at-the-money strike price. All other strikes will be subject to manual
declaration by the buyer
On the last declaration day, any auto-exercised options can be undone
manually and the manual exercise of any strikes can be completed up
from 07.30 until 11.15
*Minimum strike movement and tick size for premiums available
in all clearable currencies
Contract Contract months
LME Aluminium Monthly out to 63 months
LME Aluminium Alloy Monthly out to 27 months
LME Copper Monthly out to 63 months
LME Lead Monthly out to 15 months
LME Nickel Monthly out to 27 months
LME NASAAC Monthly out to 27 months
LME Tin Monthly out to 15 months
LME Zinc Monthly out to 27 months
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LMEminisFutures
Contracts• LMEAluminium
• LMECopper
• LMEZinc
Lot size5 tonnes
Prompt dateThird Wednesday of each maturity month, subject to trading regulations
Maturity monthsMonthly for 12 months, unless the contract is made after the last trading time
(see settlement basis below) for the calendar month on which the contract
is made, in which case, 11 months
Trading platforms• LMEselect(electronic)
• 24-hourinter-officetelephonemarket
CurrencyUS dollars
Settlement basisCashsettledbasistheLMEOfficialSettlementPricefortheprompt
date of the relevant underlying metal
Cash settlementOn the prompt date
Minimum price movement$0.25; $0.01 for a carry
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Tel +44 (0)20 7264 5555 | Fax +44 (0)20 7680 0505 | Email [email protected] V4.0/0311
Nothing in this document constitutes an
offer or a solicitation of an offer to buy or sell
any security or other financial instrument
or constitutes any investment advice or
recommendation of any security or other
financial instrument. To the best of the LME’s
knowledge and belief, statements made are
correct at the time of going to press.
All such statements and all opinions
expressed herein are published for the general
information of readers but are not to be taken
as recommendations of any course of
action. The LME accepts no liability for the
accuracy of any statement or representation.
LME contracts may only be offered or sold
to United States foreign futures and options
customers by firms registered with the
Commodity Futures Trading Commission
(CFTC), or firms who are permitted to solicit
and accept money from US futures and
options customers for trading on the
LME pursuant to CFTC rule 30.10.
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2011. No portion of this publication
may be reproduced without written
consent. The London Metal Exchange
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The London Metal Exchange Limited.