Académique Documents
Professionnel Documents
Culture Documents
March 2019
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LMEprecious date structure
The LME’s rolling prompt date mechanism enables a hybrid structure, bringing
together the worlds of OTC trading and futures
TOM SPOT
(T+3) T+5 T+25
(T+1) (T+2) Example:
Example: daily monthly calendar
calendar spread spread (M1 to M2)
(T+3 to T+5)
Example:
spot to monthly
calendar spread
Front 2nd 12th 60th
month month month month
future future future future
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Increasing number of members and brokers
Clearing members: Brokers working LMEprecious:
ICM Natixis
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Volume and open interest
LMEprecious volume and open interest
Stable volumes, open interest fluctuating as loco London delivery is utilised
14,000 35,000
12,000 30,000
8,000 20,000
6,000 15,000
4,000 10,000
2,000 5,000
0 0
15-Nov
05-Nov
22-Nov
04-Sep
21-Sep
19-Feb
11-Sep
28-Sep
07-Feb
26-Feb
12-Jan
31-Jan
02-Jan
21-Jan
21-Dec
10-Jul
27-Jul
04-Dec
15-Aug
10-Oct
27-Oct
17-Apr
02-May
22-May
11-Jun
28-Jun
17-Jul
03-Aug
22-Aug
17-Oct
11-Dec
08-Mar
27-Mar
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Open interest building down the curve
LME Gold open interest out to five years forward
4,000
3,500
3,000
Open interest (lots)
2,500
2,000
1,500
1,000
500
0
Apr-19
Apr-20
Apr-21
Apr-22
Feb-19
Feb-20
Feb-21
Feb-22
Feb-23
Aug-19
Aug-20
Aug-21
Aug-22
Jun-19
Jun-20
Jun-21
Dec-21
Jun-22
Dec-19
Dec-20
Dec-22
Oct-19
Oct-20
Oct-21
Oct-22
Spot
Gold Silver
*As of 13 Feb 2019
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Order book activity and pricing
Liquidity continues to build on screen
7 BPS wide
13 BPS wide
1,440
16.00
May-20
May-21
May-22
May-23
Nov-22
Aug-19
Aug-20
Aug-21
Aug-22
Nov-19
Nov-20
Nov-21
Feb-19
Feb-20
Feb-21
Feb-22
Feb-23
May-19
May-20
May-21
Aug-19
Aug-20
Aug-21
Feb-19
Nov-19
Feb-20
Nov-20
Feb-21
Nov-21
Feb-22
• Streaming carry orders out to 5 years provides a real time forward curve
• Daily settlement prices for all prompt dates for gold and silver
*indicative prices
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LME reference prices
• LMEprecious reference prices provide intra-day LME Gold and LME Silver spot price points to support the market in
managing their price risk throughout the trading day.
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Reference price correlation
LME Gold PM Price vs LBMA Gold PM price LME Silver Price vs LBMA Silver Price
1375 19
1355
18
1335
18
USD per ounce
1295 17
1275
17
1255
16
1235
1215 16
13-Sep
27-Sep
08-Nov
22-Nov
06-Dec
20-Dec
08-Jan
22-Jan
05-Feb
19-Feb
04-Apr
18-Apr
19-Mar
02-May
17-May
11-Oct
25-Oct
01-Jun
30-Aug
19-Mar
08-Nov
22-Nov
13-Sep
27-Sep
06-Dec
20-Dec
08-Jan
22-Jan
05-Feb
19-Feb
04-Apr
18-Apr
11-Oct
25-Oct
02-May
17-May
01-Jun
05 Mar
05 Mar
LBMA PM LME Gold PM LBMA Silver Price LME Silver Midday
TAS order book snapshot TAS trade blotter view Resulting spot positions
TAS on spot ($) Market Price Volume Time of trade Market Futures price Volume
Volume Bid Ask Volume Spot 0.30 6 11:12:00 AM Spot 1300.30 6
8 0 0.10 3 Spot 0 7 10:02:24 AM Spot 1300.00 7
6 -0.10 0.20 6 Spot 0.10 2 08:09:36 AM Spot 1300.10 2
4 -0.20 0.30 4 Spot -0.10 2 06:09:36 AM Spot 1290.90 2
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Accessing the market
Accessing the market
Multiple routes of execution for LMEprecious contracts
Market trader
Traded electronically via Additional prompt dates in
LMEselect the telephone market
LMEsmart
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LMEprecious membership structure
Criteria and capabilities
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Risk management
LMEprecious risk management
LMEC is utilising the existing margin algorithm using to calculate initial margin
Scanning Range
Metal Nov-18 % Price
Gold $72 5.3%
Silver $2.58 15.4%
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London Gold Market Clearing & Exchange Analysis
The World Gold Council commissioned an analysis of the impact on bank
economics of trading gold (cost of a $1m notional bank-to-bank trade)
Annualised cost of $1 MM notional gold forward/future - 10 day duration • All-in cost savings from on-exchange trading could
range from ~50% to ~90%
Capital ratio (RWA)
driven costs Leverage Ratio driven cost
• Cost savings are driven primarily by lower capital
Key assumptions: Principal clearing model; SA-CCR used for exposure calculation with 50% bilateral and 2% CCP risk weight; IM based on historical VaRmodel (bilateral) and
LME parameters (cleared); 10% DF/IM ratio with 1.03% c-factor; 20% bilateral and 40% cleared netting benefit (0% for SFTs); VM exchanged in allcases
Source: WGC, LME and Oliver Wyman analysis
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LMEprecious enhancements
LMEprecious New Market Participant programme
Available to all new LMEprecious clients from 4 March 2019
• Incentive programme on LMEprecious, designed to encourage new clients to participate in the market
• 75% rebate on trading and clearing fees for 6 months, then 50% rebate for a further 6 months
Months since start of NMP Fee Rebate Spot fees on LMEselect Fee
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LMEprecious further developments
Additional functionality and new products
Trade at settlement
functionality
Additional
initiatives Options on LME Gold and
LME Silver
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LMElive – free access to live prices
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Appendix
LMEprecious contract specifications
LME Gold LME Silver
Delivery Unallocated Loco London Gold Unallocated Loco London Silver
Lot size 100 fine troy ounces 5,000 fine troy ounces
Price quotation US Dollars and cents per fine troy ounce US Dollars and cents per fine troy ounce
Trading hours 01:00 – 20:00 London time 24 hours 01:00 – 20:00 London time 24 hours
Minimum price $0.100 per fine troy $0.001 per fine troy $0.00500 per fine troy $0.00001 per fine troy
fluctuation (tick size) ounce ounce ounce ounce
$0.001 per fine troy $0.001 per fine troy $0.00001 per fine troy $0.00001 per fine troy
(Carries)
ounce ounce ounce ounce
VWAP of traded prices during the settlement window VWAP of traded prices during the settlement window
Daily settlement price
and/or other relevant data and/or other relevant data
Unallocated Precious Metal deliveries to LME Clear's Unallocated Precious Metal deliveries to LME Clear's
Settlement procedure
nominated Precious Metal Clearer nominated Precious Metal Clearer
*All fees will be applicable per lot per side per leg
**Including give-up executor trades, reversal/corrections and position transfers, give-up clearer trades are $0.45
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Bloomberg and Reuters codes
LME Gold spot LME Silver spot
Date Bloomberg Ticker Reuters RIC code Date Bloomberg Ticker Reuters Code
11/12/2018 LMAUDY COMDTY CLAU0 11/12/2018 LMAGDY COMDTY CLAG0
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Would you like to know more?
Accessing We can assist with how to access data via a number of leading market data
market data providers.
Additional www.lme.com/lmeprecious
information lmeprecious@lme.com
LMEbullion
Additionally, the LME currently work with the London Platinum and Palladium Market to administer and distribute
LBMA Platinum and LBMA Palladium prices. This solution is delivered via our custom-built electronic auction
platform, LMEbullion.
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Disclaimer
© The London Metal Exchange (the “LME”), 2019. The London Metal Exchange logo is a registered trademark of The London Metal Exchange.
All rights reserved. All information contained within this document (the “Information”) is provided for reference purposes only. While the LME
endeavours to ensure the accuracy, reliability and completeness of the Information, neither the LME, nor any of its affiliates makes any warranty or
representation, express or implied, or accepts any responsibility or liability for, the accuracy, completeness, reliability or suitability of the Information
for any particular purpose. The LME accepts no liability whatsoever to any person for any loss or damage arising from any inaccuracy or omission in
the Information or from any consequence, decision, action or non-action based on or in reliance upon the Information. All proposed products
described in this document are subject to contract, which may or may not be entered into, and regulatory approval, which may or may not be
given. Some proposals may also be subject to consultation and therefore may or may not be implemented or may be implemented in a modified
form. Following the conclusion of a consultation, regulatory approval may or may not be given to any proposal put forward. The terms of these
proposed products, should they be launched, may differ from the terms described in this document.
Distribution, redistribution, reproduction, modification or transmission of the Information in whole or in part, in any form or by any means are strictly
prohibited without the prior written permission of the LME.
The Information does not, and is not intended to, constitute investment advice, commentary or a recommendation to make any investment
decision. The LME is not acting for any person to whom it has provided the Information. Persons receiving the Information are not clients of the
LME and accordingly the LME is not responsible for providing any such persons with regulatory or other protections. All persons in receipt of the
Information should obtain independent investment, legal, tax and other relevant advice before making any decisions based on the Information.
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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