8/7/2019 10_364_A356_Launch_of_LME_Asian_benchmark

http://slidepdf.com/reader/full/10364a356launchoflmeasianbenchmark 1/2

 

To: All Members

Ref: 10/364:A356

Date: 18 November 2010

Subject: LAUNCH OF LME ASIAN BENCHMARK 

Summary

1. From Monday 24 January 2011 the LME will publish three–month futures prices for

copper, primary aluminium and zinc at 8.30am London time.

Background

2. The growth in early morning trading on LMEselect reflects the increasing demand in

Asia for access to LME trading. In order to reflect this Asia trading activity the Exchange

has decided to publish three-month futures prices for copper, primary aluminium and zinc.

These Asian benchmark prices will mark the transition from the Asian time zone to London

hours.

Timing

3. The Asian benchmark for three months will be established from trading volumes on

LMEselect between 8.00am and 8.15am on a daily basis. The publication of the Asianbenchmark will be at 8.30am.

4. The LME will publish the Asian benchmark on every Business Day it is open with

effect from Monday 24 January 2011.

Methodology

5. The Asian benchmark will be established on LMEselect using a calculated trade

weighted average price over a 15 minute pricing period between 8.00am and 8.15am. The

following example shows how this calculation works:

Lots Price Tonnes per lot Contract value

10 $3,900.00 25 $975,000.00

8 $3,904.00 25 $780,800.00

7 $3,902.00 25 $682,850.00

1 $3,900.00 25 $97,500.00

16 $3,901.00 25 $1,560,400.00

10 $3,903.00 25 $975,750.00

52 25 $5,072,300.00

$5,072,300 dividedby 25 divided 52

$3,901.77

8/7/2019 10_364_A356_Launch_of_LME_Asian_benchmark

http://slidepdf.com/reader/full/10364a356launchoflmeasianbenchmark 2/2

 

6. The minimum volume requirement threshold for the calculation of the Asian

benchmark is 50 lots for copper and primary aluminium, and 25 lots for zinc.

7. If the minimum volume requirement threshold for the calculation of the Asian

benchmark is not reached then the fair value methodology will be used by the LME

Quotations Committee taking into account the following:

• Any trades, bids and offers in the official pricing period

• Any trades, bids and offers prior to the official pricing period

• Matched trades displayed on PTT

• Any indicative bids and offers from LMEmiq

• Quotes requested from members of the LME Quotations Committee

• The Official, Closing Prices or Asian benchmark from the previous day

If there is an outage on LMEselect the fair value methodology will be used to publish the

Asian benchmark.

8. The Asian benchmark will be communicated to LME members and users as soon as

possible after the end of the pricing period finishes at 8.15am, with five minutes being the

target. LMEselect users will then have five minutes to object. Thereafter, the Asian

benchmark will be finalised and disseminated to vendors via MDD at around 8.30am.

General

9. The introduction of an Asian benchmark for other non-ferrous metals and steel will

be considered in the future, subject to demand.

10. If LME members or users have any questions, please contact Peter Childs at

peter.childs@lme.com.

Peter Childs

Head of Market Operationscc: Trading Committee, Board Directors