market data reports output specification · pdf file2.25 all 3.20 27 apr 07 su included a...

LME Market Data Reports Output Specification Version 5.32 1

Market Data Reports Output Specification

Version 5.32

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020 7264 5550


Change History

Chapter Section/Report Revision

Date Author Notes

All All 1.00 2 Mar 07 SU/SPD Original

11 Options Matched Trades

1.01 15 Mar 07 SU/SPD Modified trade types

All All 1.10 23 Mar 07 SU Modified the report outputs, contract types and examples

19 Prompt Calendar Report

2.00 27 Mar 07 SU Modify the report in line with the other reports thereby break the input commodity to commodity code and currency description

7,8,10 Exchange Open Interest

2.00 27 Mar 07 SU Removed the turnover fields in line with MDS

18 Market Open Interest 2.00 29 Mar 07 SU Description of the report with modified example further to reuters request

12 Warehouse Stock Movements

2.00 29 Mar 07 SU Description of the report, table for all warehouse locations and an example with different locations, status and plastics commodity type further to reuters request

3,4 Futures Trading Volume (Summary & Detail)

2.00 02 Apr 07 SU Modified the trade type to qualifier in line with price qualifier in MDS

3 Futures Trading Volume Summary

3.00 04 Apr 07 SU Modified the qualifier table to include current morning market value

4,6 Trading Volume Detail (Futures & Options)

3.00 04 Apr 07 SU Modified the reports to include the expiry and prompt dates and exclude the qualifiers and Contract types


3,5 Trading Volume Summary (Futures & Options)

3.00 04 Apr 07 SU Modified the time of dissipation of reports in line with current MDS

10 Options Open Interest Detail

3.10 12 Apr 07 SU Include the Contract type, Call put indicator and position change fields in the report. Filter on options trading volume, position change and options open interest not equals zero

6 Options Trading Volume Detail

3.10 12 Apr 07 SU Filter on options trading volume, position change and options open interest not equals zero

17 Final Auto Exercise Strike Price

3.10 12 Apr 07 SU Modified the report output to include currency description

All All 3.10 12 Apr 07 SU Modified the report names to reflect consistency in all systems

2 Common Enumerated Fields

3.10 13 Apr 07 SU Modified the section from trade type to qualifier and removed the qualifier section within the FTS report. Added more values for the qualifier.


3.20 18 Apr 07 SU Modified the report description section because ‘S’ message type was missed out before

2.25 All 3.20 27 Apr 07 SU Included a section for list of commodity mnemonics within common enumerated fields sections with changes made after introduction of new plastics

15 Provisional or Auto-Declared Traded Options

3.20 01 May 07 SU Included the Expiry date field in the structure and example output

17 Final Auto Exercise Strike Price

3.20 01 May 07 SU Included the Expiry date field in the structure and example output

2 All 3.20 01 May 07 SU Included a Note which mentions the impact of plastics changes on the data in the various reports



3.20 08 May 07 SU Modified the structure of the report to move publish date between currency description and prompt date. Also modified the example output.

18.2 Market Open Interest 3.20 10 May 07 SU Modified the structure to include prompt date and strike price. Modified the example output to have ‘0’ against strike price for futures contract

2.23 Contract types 3.20 10 May 07 SU Added the contract type ‘T’ for totals in the list of values

All Example Output 3.20 11 May 07 SU Appended examples of outputs for New Plastics where applicable else mentioned as note that there is no change

7.1 Futures Open Interest Summary

3.30 30 May 07 SU Modified the report time in the section from 09:15 to 09:10 in line with the current MDS System

11.1 Options Matched Trades

3.30 30 May 07 SU Modified the report schedule times in line with the current MDS system

6.2, 9.2 Options Open Interest Summary & Options Trading Volume Detail

3.40 06 Jun 07 SU The expiry date fields have been modified to calculate the last business date for TAPO’s

2.3 Prompt Calendar 3.40 06 Jun 07 SU Modified the time to 00:01 from 00:30

19.2 Prompt Calendar 3.40 06 Jun 07 SU Modified the description to include when the report is distributed


3.40 06 Jun 07 SU Modified the 9:30 report to pickup current day’s data


3.40 06 Jun 07 SU Removed the field Cross trade Indicator


3.40 06 Jun 07 SU Modified the example report output to exclude Cross trade Indicator field


16.3 Notional Average Prices

3.40 08 Jun 07 SU Modified the example output notional average price tag to notional average price tag

6.3 Options Trading Volume Detailed

3.50 20 Jun 07 SU Modified the example output by replacing ‘CAD’ with ‘USD’

All All 3.50 20 Jun 07 SU All notes on plastics changes have been modified considering that plastics have gone live

2.3 List of reports produced

3.50 06 Jul 07 SU Changed the time of delivery in the spec for FAE and PTO


3.50 26 Jul 07 SU Changed the Item 6 OMT data as of to Today from Yesterday


3.50 31 Jul 07 SU Change of the times for field “report sent out at” to the exact time of distribution of the report


3.60 14 Aug 07 SU Modified the “date as of” column for WHC/WHT and WHL reports from yesterday to day before yesterday

13.1 Warrant Holdings Reports

3.60 14 Aug 07 SU Modified the description to reflect data for previous business day -1 figures instead of previous business day

20 Plastics Shelf Life Full Detail Report

3.70 20 Sep. 07 PE Added Plastics Shelf Life Full Detail Report

21 Plastics Shelf Life Full Summary Report

3.70 20 Sep. 07 PE Added Plastics Shelf Life Full Summary Report

22 Plastics Shelf Life Partial Summary Report

3.70 20 Sep. 07 PE Added Plastics Shelf Life Partial Summary Report


12.2.3 Location (List of Values)

3.70 1 Oct. 07 PE Removed UK: AVON – Avonmouth.

Added Korea: INCH – Incheon Port, USA: MOBI – Mobile and USA: HOUS – Houston

12.2.2 Grade (List of Values)

3.70 15 Oct. 07 PE Added new grades for Aluminium Alloy

2.2.5 Commodity Mnemonics

3.70 24 Oct 07 PE Added Steel commodity codes


3.80 17 Dec 07 MS Added Grade Codes for new Steel Billet Contracts


3.80 17 Dec 07 MS Added Turkish Marmara Region as delivery location for Steel Billet Contracts


3.90 11 Apr 08 MS Turkish Marmara Region as delivery location for Steel Billet Contracts, is replaced by TEKI (for Tekirdag)


4.00 08 Jul 08 MS Added new Steel Billet Grade Codes


4.00 08 Jul 08 MS Added new Plastic Grade Codes


4.00 08 Jul 08 MS Added Baton Rouge (BATO)

2.2.2 Matched Trade Types

4.10 26 Nov 08 DJB Removed this section & renumbered following sections.


4.10 26 Nov 08 DJB Removed Silver commodity mnemonic and sort into alphabetical order.


7.2 Data Item Description

4.10 26 Nov 08 DJB Changed description of T4_15_OR_27_MTH_LOTS


4.10 26 Nov 08 DJB Added Toledo (TOLE), Kocaeli (KOCA) and Iskenderun (ISKE)

Removed Moji (MOJI)

18 MOI 4.10 26 Nov 08 DJB Removed comment re. not available until Plastics go live.

20.1 Plastics Shelf Life Full Details Report

4.10 01 Dec 08 DJB Change description to 48 months instead of 36.


4.10 01 Dec 08 DJB Change description of STOCK_PERIOD tag to go out to 48 months instead of 36 months.


4.10 01 Dec 08 DJB Replace example with one that goes out to 48 months.

21.1 Plastics Shelf Life Full Summary Report

4.10 01 Dec 08 DJB Change description to 4 years instead of 3.


4.10 01 Dec 08 DJB Change description of STOCK_PERIOD tag to add range M37-48.



22.1 Plastics Shelf Life Partial Summary Report

4.10 01 Dec 08 DJB Change description to 3 years summary plus 12 individual months.


4.10 01 Dec 08 DJB Change description of STOCK_PERIOD tag to add third summary year then have 12 individual month totals out to 48 months.





4.20 22 Dec 08 DJB Add Nickel code BBRI for Bagged Briquettes

2.1 Index of Reports 4.30 27 Mar 09 DJB Index of Reports updated to add new CVS Contributed Volatilities and Strikes report.

2.2.1 Qualifier (List of Values)

4.30 27 Mar 09 DJB Tidy up definition descriptions

2.3 List of Reports with Data Produced

4.30 27 Mar 09 DJB Add in new CVS Contributed Volatilities and Strikes report

3.3 Futures Trading Volume Summary Example Output

4.30 27 Mar 09 DJB Corrected FTS example report

23 CVS Contributed Volatilities and Strikes

4.30 27 Mar 09 DJB New report definition added for CVS Contributed Volatilities and Strikes report.


4.40 14 Apr 09 DJB Added Izmir (IZMI) and Istanbul (ISTA)


4.50 12 May 09 DJB Added Port Klang (POKL)


4.50 29 Jul 09 DJB Amended following grade codes:

Aluminium Alloy-Ingots-IN12 (typeAD12) – change to … (typeD12S) Aluminium Alloy-Ingots-IN26 (typeD226) – change to … (type226) Aluminium Alloy-Large Sows-LS12 – add (type D12S) Aluminium Alloy-Small Sows-SS12 – add (type D12S)


Aluminium Alloy-TBars-TB12 – add (type D12S)


4.60 04 Aug 09 DJB Column added to Location table to show which commodities are deliverable at each location.

Replaced Newcastle (NEWC) and Sunderland (SUND) by Tyne and Wear (TYNW)


4.70 26 Oct 09 DJB Added new Cobalt and Molybdenum grade codes.


4.70 26 Oct 09 DJB Added FM to BELGIUM / ANTW and new Cobalt and Molybdenum delivery points.

23 PYB Plastics Yearly Breakdown

4.70 26 Oct 09 DJB New report definition added for PYB Plastics Yearly Breakdown report.

24 CVS Contributed Volatilities and Strikes

4.70 26 Oct 09 DJB CVS report re-numbered to item 24 to allow insertion of PYB report with other Plastics reports.


4.70 06 Nov 09 DJB Ingot and Granule grade codes added for Cobalt.


4.70 17 Nov 09 DJB Remove AA, CA, PB, SN and ZS from the Gothenberg Location.


4.70 07 Jan 10 DJB Additional Nickel Cathode grades added.

12.1 Warehouse Stock Movements Report Description

4.70 13 Jan 10 DJB Remove references to qualifier ‘q’.

12.2.1 Stock Status (List of Values)

4.70 13 Jan 10 DJB Remove references to qualifier ‘q’.


2.1 Index of Reports 4.70 13 Jan 10 DJB Index of Reports updated to add new PYB Plastics Yearly Breakdown report.


4.70 13 Jan 10 DJB Cobalt and Molybdenum added to the list of Commodity Mnemonics.


4.70 13 Jan 10 DJB Add in new PYB Plastics Yearly Breakdown report

23 PYB Plastics Yearly Breakdown

4.70 19 Feb 10 DJB Added in PYB report effective from 12th April 2010

20 Plastics Shelf Life Full Detail Report

4.70 19 Feb 10 DJB Added in PFD report available until 9th April 2010

21 Plastics Shelf Life Full Summary Report

4.70 19 Feb 10 DJB Added in PFS report available until 9th April 2010

22 Plastics Shelf Life Partial Summary Report

4.70 19 Feb 10 DJB Added in PPS report available until 9th April 2010

24 Contributed Volatilities and Strikes

4.70 09 Apr 10 DJB Changed report description and example report for ATM value “*”


4.70 09 Apr 10 DJB Delete table EXPIRY (List of Values) in 12.2.1 and re-number


4.80 14 May 10 DJB Removed Cobalt Granules


4.80 14 May 10 DJB Remove Plastics Shelf life Reports



4.80 14 May 10 DJB Change time of MOI report from 09:00 to 08:45


4.80 14 May 10 DJB Remove Plastics Shelf life Reports

20 Plastics Shelf Life Full Detail

4.80 14 May 10 DJB Remove Plastics Shelf Life Full Detail report

21 Plastics Shelf Life Full Summary

4.80 14 May 10 DJB Remove Plastics Shelf Life Full Summary report.

22 Plastics Shelf Life Partial Summary

4.80 14 May 10 DJB Remove Plastics Shelf Life Partial Summary report.

23 to 20 Plastics Yearly Breakdown

4.80 14 May 10 DJB Renumber section from 23 to 20.

24 to 21 Contributed Volatilities and Strikes

4.80 14 May 10 DJB Renumber section from 24 to 21.


4.80 14 May 10 DJB Clarification of volatility calculation added.

12 Warehouse Stock Movements Report

4.80 14 May 10 DJB Report description updated to say stock reported in tonnes.

11 Option Matched Trades Report

4.80 14 May 10 DJB Updated report description for accumulation of report.


4.80 10 Jun 10 AH Removed FF; changed description for FM to Steel Billet



4.80 10 Jun 10 AH List FM for JOHO (Johor)/Malaysia and INCH (Incheon)/Korea

Remove FF from JOHO (Johor)/Malaysia and INCH (Incheon)/Korea

2.1 Index of Reports 4.90 18 Jun 10 DJB Index of Reports updated to add new XAU LBMA Gold Forward Curve Report.


4.90 18 Jun 10 DJB Add in new XAU LBMA Gold Forward Curve Report

23 XAU LBMA Gold Forward Curve Report

4.90 18 Jun 10 DJB New report definition added for XAU LBMA Gold Forward Curve Report


4.90 25 Jun 10 AH FM added to NEWO (New Orleans)/USA location,


4.90 7 Oct10 AH List FM for CHIC (Chicago)/USA and DETR (Detroit)/USA

List CO for ANTW (Antwerp)/Belgium


4.90 7 Oct10 AH Removed ATM strike prices from CVS Report definition and report output example

22 XAU LBMA Gold Forward Curve Report

4.90 9 Nov 10 DJB Correct report example for XAU LBMA Gold Forward Curve Report to use Price Type of ‘RATE’

2.1 Index of Reports 5.00 10 Dec 10 DJB Index of Reports updated to add new ABR Asian Benchmark Report


5.00 10 Dec 10 DJB Add in new ABR Asian Benchmark Report

23 ABR Asian Benchmark Report

5.00 10 Dec 10 DJB New report definition added for ABR Asian Benchmark Report



5.00 12 Jan 11 DJB Add in Steel Billet LME1 to LME9 (LME Grade 1 to LME Grade 9)


5.00 2 Feb 11 DJB Add call premium and put premium into CVS Report record definition and report output example. Add ATM strike prices indicator to allowed field values for OPT_POSN.

22 LBM LBMA Forward Curve Reports

5.00 2 Feb 11 DJB Change LBMA Forward Curve Report code from ‘XAU’ to ‘LBM’ and add in Silver ‘XAG’ as a valid commodity code.


5.00 9 Mar 11 DJB Add LBMA Gold Interest Rate Swaps with commodity code ‘AUI’

All All 5.10 22 Mar 11 ST Remove all reference to Plastics


5.11 5 May 11 DJB Remove 18M tenor for AUI from LBM report description and example.


5.11 27 June 11 DJB Changed time for LBM report from 17:10 to 17:07.


5.11 27 June 11 DJB List FM for BILB (Bilbao)/Spain (effective 28th July)

List FM for RAVE (Ravenna)/Italy (effective 16th September)

20 Closing Volatilities and Strikes

5.12 22 Aug 11 JH Renaming of report from “Contributed” to “Closing” Volatilities and Strikes

Update report description to detail TAPO wing data set.

Addition of Contract Type to differentiate Traded Options and TAPO’s.

Update Example report and ordering


5.13 18 Oct 11 DJB Added Swaps codes to the commodity mnemonics table.

Re-formatted document into LME standard template.



5.14 16 Dec 11 DJB Remove GOTH (Gothenberg)/Sweden from list of Locations.


5.15 16 Dec 11 DJB Added Spot price to Gold and Silver Forward Curves.


5.16 20 Dec 12 DJB Changed time for FBN report from Yesterday to Day Before Yesterday.

14.1 Futures Banding Report

5.16 20 Dec 12 DJB Updated description to ‘Day before Previous Day’


5.17 10 Jan 13 DJB Changed time for NAP report from 19:00 to 18:15

16.1 Notional Average Prices Report

5.17 10 Jan 13 DJB Updated time in description to 18:15

16.3 Notional Average Prices Report

5.17 10 Jan 13 DJB Updated time in example to 18:15

2.1 Index of Reports 5.18 04 Mar 13 JH ABR Asian Benchmark Report removed as replaced with ABR price messages to Client Interface Specification


5.18 04 Mar 13 JH ABR Asian Benchmark Report removed as replaced with ABR price messages to Client Interface Specification

22 ABR Asian Benchmark Report

5.18 04 Mar 13 JH ABR Asian Benchmark Report removed as replaced with ABR price messages to Client Interface Specification


5.19 14 May 13 DJB Additional Nickel grade added for Bagged Pellets

Title & Title & Footers 5.20 26 Nov 13 DJB Change Document Name, Title and Footers from MDD Reports Output Specification


Footers to Market Data Reports Output Specification.

Associated Documents


5.20 28 Nov 13 DJB Remove LME MDD Client Specification and replace with Select 7 FIX Specification and Select 7 MDD FIX Specification Examples


5.20 28 Nov 13 DJB Remove CA from GENO

Remove FM from CHIC / DUBA.

Add PB to BUSA / GWAN / INCH.

Add SN to POKL.

Remove ISKE / ISTA / IZMI / LOUV.

Add KAOH (Kaohisung)/Taiwan to list of Locations.

Add AA / AH / CA / NI / PB / SN / ZS to KAOH.


5.21 30 Dec 13 DJB Add MOER (Moerdijk)/Netherlands to list of Locations.

Add AA / AH / CA / NI / PB / SN / ZS to MOER.


5.22 21 Jan 14 DJB Remove LONG (Long Beach)/USA from list of Locations.

15.1 Provisional or Auto-Declared Traded Options Report

5.22 21 Jan 14 DJB Description clarified for Declaration Day moving to a Thursday if the First Wednesday is an LME holiday.

17.1 Final Auto Exercise Strike Price Report

5.22 21 Jan 14 DJB Description clarified for Declaration Day moving to a Thursday if the First Wednesday is an LME holiday.

2.1 Index of Reports 5.23 05 Sep 14 DJB LBM LBMA Forward Curve Reports removed.


5.23 05 Sep 14 DJB LBM LBMA Forward Curve Reports removed.



5.23 05 Sep 14 DJB LBM LBMA Forward Curve Reports removed.

21 Precious Metal Reports

5.24 21 May 15 AB New Platinum and Palladium Prices report section

2.1 Index of Reports 5.24 21 May 15 AB New Platinum and Palladium Prices report table entry


5.24 21 May 15 AB New Platinum and Palladium Prices reports table entries

1 Introduction 5.24 21 May 15 AB System providing Market data set to ‘LMEselectMD’ and associated document references changed

2 Report Overview 5.24 21 May 15 AB System providing Market data set to ‘LMEselectMD’


5.25 26/06/15 AB New Contracts Change - Addition of new contracts for Premium Futures (4 contracts) Steel (2 contracts)

12.2.2 Grade 5.25 26/06/15 AB New Contracts Change - Premium Contract Grades

12.2.3 Location 5.25 26/06/15 AB New Contracts Change - Premium Contract Locations

13.1 Report Description (Warrant Holding / TOM / Cash)

5.25 26/06/15 AB New Contracts Change - Special note on Premium Futures contracts

12.2.2 Grade List 5.26 14/08/15 AB Add Coarse Grain Powder grade for Cobalt.

12.2.3 Location List 5.26 14/08/15 AB Remove FM as a Delivery Point from Warehouse list (as FM delisted).

11 OMT Report 5.27 04/11/15 AB Publish additional OMT report at 20.00

5,6 & 11 OTS, OTD & OMT 5.27 04/11/15 AB Defer publication of large trades


6 OTD 5.27 04/11/15 AB Extend report to include new columns for Trade Date & Month Description.

9 & 10 OIS & OID 5.27 04/11/15 AB Defer publication of reports by 48 hours (from 24 hours)

12 WSM 5.27 05/11/15 AB Aluminium & Premium Aluminium Reporting note

13 Warrant / Tom Cash Banding

5.27 05/11/15 AB Aluminium & Premium Aluminium Reporting note

5 Options Trading Volume Summary Report

5.28 17/03/16 AB Enumerate the Matched Trade Types included in the OTS Report

6 Options Trading Volume Detail Report

5.28 17/03/16 AB Enumerate the Matched Trade Types included in the OTD Report

11 Options Matched Trades Report

5.28 17/03/16 AB Enumerate the Matched Trade Types included in the OMT Report


5.29 31/03/16 AB Additional Trade Date column in OTS report

7 Futures Open Interest Summary

5.30 12/05/16 AB Clarify column meaning either side of 3M.


5.31 05/07/16 AB Threshold size for ‘large trades’ vary by commodity.


5.31 05/07/16 AB Threshold size for ‘large trades’ vary by commodity.

11 Options Matched 5.31 05/07/16 AB Threshold size for ‘large trades’ vary by commodity.


Trades Report

11 Options Matched Trades Report

5.32 19/12/16 PS The OMT has been decommissioned and replaced by a real-time feed of option and TAPO trades.



Document

Select 7 FIX Specification

Select 7 MDD FIX Specification Examples


Contents

1 Introduction 24

2 Report Overview 25

2.1 Index of Reports 25

2.2 Common Enumerated Fields 26

2.2.1 QUALIFIER (List of Values) 26

2.2.2 CONTRACT_TYPE (List of Values) 27

2.2.3 CROSS_TRADE_INDICATOR (List of Values) 27

2.2.4 COMMODITY MNEMONICS 27

2.3 List of Reports with Data Produced 30

3 Futures Trading Volume Summary Report 32

3.1 Report Description 32

3.2 Data Item Description 33

3.3 Example Output 34

4 Futures Trading Volume Detail Report 38




5 Options Trading Volume Summary Report 42




6 Options Trading Volume Detail Report 49




7 Futures Open Interest Summary Report (EOI) 54





8 Futures Open Interest Detail Report (EOI) 59




9 Options Open Interest Summary Report (EOI) 63




10 Options Open Interest Detail Report (EOI) 70




11 Warehouse Stock Movements Report 75


11.1.1 Special Note on Aluminium Stock Data 76


11.2.1 STOCK_STATUS (List of Values) 77

11.2.2 GRADE (List of Values) 79

11.2.3 LOCATION (List of Values) 82


12 Warrant Holdings, Warrant Holdings Tom and Warrant Holdings Cash Reports 88


12.1.1 Special Note for Premium Future Contracts 88



12.4 Example Output (TOM) 93

12.5 Example Output (CASH) 96

13 Futures Banding Report 99




13.2.1 LONG_SHORT_IND (List of Values) 100


14 Provisional or Auto-Declared Traded Options Report 104




15 Notional Average Prices Report 107




16 Final Auto Exercise Strike Price Report 111




17 Market Open Interest Report 114




18 Prompt Calendar Report 119




19 Closing Volatilities and Strikes 123




20 Platinum and Palladium Prices 129


1 Introduction

This document describes the content of the reports that are published by the LMEselectMD System.

Note that this document describes the report content only – for details on how to receive reports,

please refer to the ’Select 7 MDD FIX Specification’ and the ‘Select 7 MDD FIX Specification

Examples’ documentation.


2 Report Overview

This section provides a list of the reports which are provided through LMEselectMD.

2.1 Index of Reports

No. Code Name

1 FTS Futures Trading Volume Summary

2 FTD Futures Trading Volume Detail

3 OTS Options Trading Volume Summary

4 OTD Options Trading Volume Detail

5 FIS Futures Open Interest Summary

6 FID Futures Open Interest Detail

7 OIS Options Open Interest Summary

8 OID Options Open Interest Detail

9 WSM Warehouse Stock Movements

10 WHL Warrant Holdings

11 WHT Warrant Holdings Tom

12 WHC Warrant Holdings Cash

13 FBN Futures Banding

14 PTO Provisional or Auto-Declared Traded Options

15 NAP Notional Average Prices

16 FAE Final Auto Exercise Strike Price

17 MOI Market Open Interest

18 PRC Prompt Calendar Report

19 CVS Closing Volatilities and Strikes

20 LBM Platinum and Palladium Prices


2.2 Common Enumerated Fields

2.2.1 QUALIFIER (List of Values)

Qualifier Description

R1 Ring 1

R2 Ring 2

R3 Ring 3

R4 Ring 4

K1 Kerb 1 – 6

K2 Kerb 7 – 10

C1 Second Ring 1

C2 Second Ring 2

C3 Second Ring 3

C4 Second Ring 4

D1 Second Kerb 1

D2 Second Kerb 2

D3 Second Kerb 3

D4 Second Kerb 4

D5 Second Kerb 5

D6 Second Kerb 6

D7 Second Kerb 7

D8 Second Kerb 8

D9 Second Kerb 9

D10 Second Kerb 10

CP Pre Market (Any trade with time <12:20, i.e. non time coded trades)

CM Current Morning includes R1, R2, K1 – K6, D1 – D6, C1, C2, Select, telephone and OTC

CT Current day total (includes all i.e. R1 – R4, K1 – K10, C1 – C4, D1 – D10, telephone, SELECT, etc)


IO Previous day totals CT – (R1 – R4, K1 – K10), i.e. Current day total for previous day less all ring and kerb trades.

2.2.2 CONTRACT_TYPE (List of Values)

Value Description

F Futures

TC Traded Options Call

TP Traded Options Put

AC TAPO Call

AP TAPO Put

*C Total Calls

*P Total Puts

T Totals

2.2.3 CROSS_TRADE_INDICATOR (List of Values)

Value Description

X Cross Trade

<NULL> Not Cross Trade

2.2.4 COMMODITY MNEMONICS

Value Description

AA Aluminium Alloy

AE Aluminium Premium Future, East Asia (Japan, Korea, Taiwan)

AH Aluminium High Grade


AN Aluminium Premium Future, Extended US Midwest / North American

AS Aluminium Premium Future, South East Asia (Singapore, Malaysia)

AW Aluminium Premium Future, Western Europe

CA Copper A Grade

CO Cobalt

FM Steel Billet

MA LMEmini Primary Aluminium

MC LMEmini Copper A Grade

ML LMEmini Aluminium Alloy

MM LMEmini North American Special Aluminium

MN LMEmini Primary Nickel

MO Molybdenum

MP LMEmini Lead

MS LMEmini Tin

MX LMEX

MZ LMEmini Special High Grade Zinc

NA North American Special Aluminium Alloy

NI Primary Nickel

OA Primary Aluminium Average Price Swap

OC Grade A Copper Average Price Swap

OL Aluminium Alloy Average Price Swap

OM NASAAC Average Price Swap

ON Nickel Average Price Swap


OP Standard Lead Average Price Swap

OS Tin Average Price Swap

OZ Special High Grade Zinc Average Price Swap

PB Lead

SC Steel Scrap

SN Tin

SR Steel Rebar

ZS Special High Grade Zinc



SI

No

Report Code

Report Description Report sent out at

Data as of

1 PRC Prompt Calendar Report 00:01 Today

2 WSM Warehouse Stock Movements 09:00 Yesterday

3 MOI Market Open Interest 08:45 Day before yesterday

4 FIS Futures Open Interest Summary 09:12 Yesterday

5 OIS Options Open Interest Summary 09:11 Today-2

6 LBM Platinum and Palladium Prices 09:55 Today

7 OTS Options Trading Volume Summary 10:01 Yesterday

8 FTS Futures Trading Volume Summary 10:01 Yesterday

9 FID Futures Open Interest Detail 10:17 Yesterday

10 FTD Futures Trading Volume Detail 10:17 Yesterday

11 OID Options Open Interest Detail 10:34 Today-2

12 OTD Options Trading Volume Detail 10:34 Yesterday

13 FBN Futures Banding 11:00 Day before Yesterday

14 WHL Warrant Holdings 11:00 Day before Yesterday

15 WHC Warrant Holdings Cash 11:00 Day before Yesterday

16 WHT Warrant Holdings TOM 11:00 Day before Yesterday

17 OTS Options Trading Volume Summary 12:21 Today

18 FTS Futures Trading Volume Summary 12:21 Today

19 LBM Platinum and Palladium Prices 14:10 Today




22 PTO Provisional or Auto-Declared Traded Options 18:01 Monthly



25 NAP Notional Average Prices 18:15 Today

26 FAE (ATO) Final Auto Exercise Strike Price 19:31 Monthly

27 CVS Contributed Volatilities and Strikes 18:15 Today


3 Futures Trading Volume Summary Report

3.1 Report Description

The Futures Trading Volume Report provides the traded volume based on future matched trades. The

report is supplied for all futures matched trades from the start of the day to the requested time or at

the end of the day (if yesterday’s data is requested). The futures trading volumes are provided as per

the schedule mentioned below.

Time Description

10:00 Previous days official volumes:

12:20 Current (pre market) volumes:

15:45 Ring 1, Ring 2, Kerb 1 and current (morning) markets data

18:00 Ring 3, Ring 4, Kerb 2, Current (today’s unofficial) and Current (today’s) inter-office data



Tag Description

COMM_MNEMONIC Metal code

CURRENCY_DESC Currency description

QUALIFIER Values of either the trade types or totals

FUTURES_TRADING_VOLUME Futures trading volume


3.3 Example Output

<?xml version=”1.0” ?>

- <REPORT>

<IDENTIFICATION REPORT_CODE=”FTS” REPORT_NAME=”Futures Trading Volume Summary”

REPORT_DATE=”20080229” REPORT_TIME=”1000” REPORT_VERSION=”100” /> <ISSUE_CODE>C</ISSUE_CODE> <CNTS COLUMN_COUNT=”4” ROW_COUNT=”31” /> <DATA>

<ROW> <COMM_MNEMONIC>AA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>002405</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>AH</COMM_MNEMONIC> <CURRENCY_DESC>EUR</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>000725</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>AH</COMM_MNEMONIC> <CURRENCY_DESC>GBP</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>000010</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>AH</COMM_MNEMONIC> <CURRENCY_DESC>JPY</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>001789</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>AH</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>163198</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>CA</COMM_MNEMONIC> <CURRENCY_DESC>EUR</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>000604</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>CA</COMM_MNEMONIC> <CURRENCY_DESC>GBP</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>000079</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>CA</COMM_MNEMONIC> <CURRENCY_DESC>JPY</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER>


<FUTURES_TRADING_VOLUME>001698</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>CA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>114889</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>FM</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>000006</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>MC</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>000001</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>NA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>004123</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>NI</COMM_MNEMONIC> <CURRENCY_DESC>EUR</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>000080</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>NI</COMM_MNEMONIC> <CURRENCY_DESC>GBP</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>000002</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>NI</COMM_MNEMONIC> <CURRENCY_DESC>JPY</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>000081</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>NI</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>022547</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>PB</COMM_MNEMONIC> <CURRENCY_DESC>EUR</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>000117</FUTURES_TRADING_VOLUME> </ROW>

<ROW> <COMM_MNEMONIC>PB</COMM_MNEMONIC> <CURRENCY_DESC>GBP</CURRENCY_DESC>


<CURRENCY_DESC>USD</CURRENCY_DESC> <QUALIFIER>PT</QUALIFIER> <FUTURES_TRADING_VOLUME>087443</FUTURES_TRADING_VOLUME> </ROW>

</DATA> </REPORT>


4 Futures Trading Volume Detail Report


The Futures Trading Volume Report provides the traded volume based on future matched trades.

This report details futures volumes per prompt date or prompt month for all currencies. The total will

be an aggregated total for all four clearing currencies. The futures trading volumes are provided as

per the schedule below:

Time Description

10:15 Previous days volumes breakdown by prompt month



Tag Description

COMM_MNEMONIC Metal code (without the currency)

PROMPT_DATE Prompt date (format <YYMMDD>)

FUTURES_TRADING_VOLUME Futures trading volume


4.3 Example Output


- <REPORT>

<IDENTIFICATION REPORT_CODE=”FTD” REPORT_NAME=”Futures Trading Volume Detail”

REPORT_DATE=”20070322” REPORT_TIME=”1015” REPORT_VERSION=”100” />

<ISSUE_CODE>N</ISSUE_CODE>

<CNTS COLUMN_COUNT=”3” ROW_COUNT=”8” />

- <DATA>

- <ROW>

<COMM_MNEMONIC>AA</COMM_MNEMONIC>

<PROMPT_DATE>030312</PROMPT_ DATE >

<FUTURES_TRADING_VOLUME>000360</FUTURES_TRADING_VOLUME>

</ROW>

- <ROW>


<PROMPT_ DATE >030512 </PROMPT_ DATE >


</ROW>

- <ROW>

<COMM_MNEMONIC>CA</COMM_MNEMONIC>



</ROW>

- <ROW>




</ROW>

- <ROW>

<COMM_MNEMONIC>ZN</COMM_MNEMONIC>



</ROW>

- <ROW>

<COMM_MNEMONIC>ZN</COMM_MNEMONIC>



</ROW>

- <ROW>


<COMM_MNEMONIC>PB</COMM_MNEMONIC>



</ROW>

- <ROW>




</ROW>

</DATA>

</REPORT>




The Options Trading Volume Report provides the traded volumes by commodity, contract type and

put and call indicator as of specific time during the trading day. Trading volumes are based on the

number of matched trades. The report provides the trading volumes according to the schedule in the

following table:

Time Description

10:00 Previous day totals (*)

12:20 Indicative pre-market volumes for the current trading day (*)

14:20 Indicative morning volumes for the current trading day (*)

18:00 The unofficial volumes for the current trading day (*)

The data is supplied for all options matched trades from the start of the day to the publication time or

at the end of the day (for previous trading day report). There is a Call and Put record for each

commodity for each contract type. There is a grand total on the volumes at the end of the report.

* As part of the Option Transparency initiative, the OTS report process has been revised to:

� Defer the reporting of large trades (by 48 hours (see table below for definition of ‘large trade’ by commodity

� Report Exchange and Client Trades for specific Matched Trade Type (see table below)

� Include a Trade Date column

Table Defining Large Trades by Commodity

This table defines what trades, by commodity & lot size, qualify as large trades. The table has two threshold columns for large trades. The first shows the threshold lot size rule for large trades from 15/08/16 onwards; the second shows the threshold lot size rule for large trades up to and including 12/08/16.

Commodity Large Trade Lot Size Threshold

From 15/08/2016

Large Trade Lot Size Threshold

Until 12/08/16

Primary Aluminium Over 1000 lots 100 lots or more

Copper Over 500 lots 100 lots or more

Zinc Over 500 lots 100 lots or more

Lead Over 500 lots 100 lots or more

Nickel Over 500 lots 100 lots or more

Aluminium Alloy Over 500 lots 100 lots or more

NASAAC Over 500 lots 100 lots or more

Tin Over 100 lots 100 lots or more


Table of Exchange & Client Trades Included by Matched Trade Type

Matched Trade Type

Exchange or Client Trade

Description

AD Exchange Normal Average or Amalgamated trade (non- Select)

BB Exchange Normal contract traded on Select (electronic trade)

DD Exchange Normal, current market price trade (non-Select)

OD Exchange Exceptional use trade

AB Client Trade Normal contract traded on Select (electronic trade)

DA Client Trade Normal Average or Amalgamated trade (non-Select)

DC Client Trade Normal, current, market price trade (non-Select)

DG Client Trade Client cross vs cleared Give-up (non-Select)

DL Client Trade Client cross vs late (historic) cleared give-up (non-Select)

DO Client Trade Exceptional use trade

Note that whilst the above codes are used to qualify a given trade for report inclusion, the Matched

Trade Type itself is NOT provided in the report.


Tag Description


TRADE_DATE Date of Trade

CONTRACT_TYPE Contract type


CALL_PUT_INDICATOR Call put indicator

OPTIONS_TRADING_VOLUME Options trading volume


5.3 Example Output <?xml version=”1.0” ?>

- <REPORT>

<IDENTIFICATION REPORT_CODE=”OTS” REPORT_NAME=”Options Trading Volume Summary”


<ISSUE_CODE>C</ISSUE_CODE>


- <DATA>

- <ROW>

<COMM_MNEMONIC>AH</COMM_MNEMONIC>

<TRADE_DATE>210307</TRADE_DATE>

<CURRENCY_DESC>USD</CURRENCY_DESC>

<CONTRACT_TYPE>TC</CONTRACT_TYPE>

<CALL_PUT_INDICATOR>C</CALL_PUT_INDICATOR>

<OPTIONS_TRADING_VOLUME>002455</OPTIONS_TRADING_VOLUME>

</ROW>

- <ROW>




<CONTRACT_TYPE>TP</CONTRACT_TYPE>

<CALL_PUT_INDICATOR>P</CALL_PUT_INDICATOR>


</ROW>

- <ROW>




<CONTRACT_TYPE>*C</CONTRACT_TYPE>



</ROW>

- <ROW>




<CONTRACT_TYPE>*P</CONTRACT_TYPE>



</ROW>


- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>

<COMM_MNEMONIC>NI</COMM_MNEMONIC>







</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>








</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>

<COMM_MNEMONIC>ZS</COMM_MNEMONIC>






</ROW>

- <ROW>







</ROW>

- <ROW>








</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

</DATA>

</REPORT>




The report details options volumes (Calls and Puts) by month and includes the Strike price with

currency description (US dollars only). The report provides the trading volumes according to the

schedule in the following table:

Time Description

10:30 Previous day options volume totals with detailed breakdown by strike price (*)

Note:

The Data would not be displayed if Open Interest Volume, Position Change and Options trading

volume figures are all zero.

(*) As part of the Option Transparency initiative, the OTD report process has been revised to:

� Provide two additional fields in the report (Trade Date & Month Description)

� Defer the reporting of large trades by 48 hours (see table below for definition of ‘large trade’ by commodity

� Report Exchange and Client Trades for specific Matched Trade Types (see table below)

Table Defining Large Trades by Commodity

This table defines what trades, by commodity & lot size, qualify as large trades. The table has two threshold columns for large trades. The first shows the threshold lot size rule for large trades from 15/08/16 onwards; the second shows the threshold lot size rule for large trades up to and including 12/08/16.

Commodity Large Trade Lot Size Threshold

From 15/08/2016

Large Trade Lot Size Threshold

Until 12/08/16

Primary Aluminium Over 1000 lots 100 lots or more

Copper Over 500 lots 100 lots or more

Zinc Over 500 lots 100 lots or more

Lead Over 500 lots 100 lots or more

Nickel Over 500 lots 100 lots or more

Aluminium Alloy Over 500 lots 100 lots or more

NASAAC Over 500 lots 100 lots or more

Tin Over 100 lots 100 lots or more


Table of Exchange & Client Trades Included by Matched Trade Type

Matched Trade Type

Exchange or Client Trade

Description

AD Exchange Normal Average or Amalgamated trade (non- Select)

BB Exchange Normal contract traded on Select (electronic trade)

DD Exchange Normal, current market price trade (non-Select)

OD Exchange Exceptional use trade

AB Client Trade Normal contract traded on Select (electronic trade)

DA Client Trade Normal Average or Amalgamated trade (non-Select)

DC Client Trade Normal, current, market price trade (non-Select)

DG Client Trade Client cross vs cleared Give-up (non-Select)

DL Client Trade Client cross vs late (historic) cleared give-up (non-Select)

DO Client Trade Exceptional use trade

Note that whilst the above codes are used to qualify a given trade for report inclusion, the Matched

Trade Type itself is NOT provided in the report.



Tag Description


TRADE_DATE Trade date

EXPIRY_DATE

EXPIRY DATE (1st Wednesday of the month)

format = <YYMMDD> and for TAPO’s

EXPIRY DATE = last business day of the month

MONTH_DESC Expiry Month and Year




STRIKE_PRICE Strike Price

OPTIONS_TRADING_VOLUME Options trading volume


6.3 Example Output


- <REPORT>

<IDENTIFICATION REPORT_CODE=”OTD” REPORT_NAME=”Options Trading Volume Detail”




- <DATA>

- <ROW>


<TRADE_DATE>070316< TRADE_DATE >

<EXPIRY_DATE>070404</ EXPIRY_DATE >

<MONTH_DESC>APR07<MONTH_DESC>


<CONTRACT_TYPE>AC</CONTRACT_TYPE>


<STRIKE_PRICE>00000001450</STRIKE_PRICE>

<OPTIONS_TRADING_VOLUME >0000010</ OPTIONS_TRADING_VOLUME >

</ROW>

- <ROW>



<EXPIRY_DATE >070502</ EXPIRY_DATE >

<MONTH_DESC>MAY07<MONTH_DESC>






</ROW>

- <ROW>




<MONTH_DESC>JUN07<MONTH_DESC>


<CONTRACT_TYPE>AP</CONTRACT_TYPE>





</ROW>

- <ROW>




<MONTH_DESC>AUG07<MONTH_DESC>






</ROW>

</DATA>

</REPORT>


7 Futures Open Interest Summary Report (EOI)


The Futures Open interest Summary Report provides the Open interest for all futures trades. The

report details the open interest data by commodity type, volumes for various prompt date bands.

Time Description

9:10 Previous days futures trading volumes summary



Tag Description

COMM_MNEMONIC Commodity code


T1_3_WEDS First third Wednesday date

CASH_1_3_WEDS_LOTS Cash to first third Wednesday lots

T1_3_WEDS_NWD First third Wednesday next working day date

T2_3_WEDS Second third Wednesday date

T1_3_WEDS_NWD_2_3_WEDS_LOTS First third Wednesday next working day to second third Wednesday lots

T2_3_WEDS_NWD Second third Wednesday next working day date

T3_3_WEDS_3MTH_DT Third third Wednesday or three month date

T2_3_WEDS_NWD_3_3_WEDS_3MTH_LOTS Second third Wednesday next working day to third third Wednesday lots

T3_3_WEDS_NWD Third third Wednesday next working day date

T3_MTH_DT Three month date

T3_3_WEDS_NWD_3_MTH_DT_LOTS Third third Wednesday next working day to the day before three month lots

T3_MTH_LOTS Three month lots

T4_15_OR_27_MTH_LOTS Number of lots from three months next working day to final trading month of commodity, e.g. 15, 27, 63 or 123 month.


7.3 Example Output


- <REPORT>

<IDENTIFICATION REPORT_CODE=”FIS” REPORT_NAME=”Futures Open Interest Summary”




- <DATA>

- <ROW>



<t1_3_WEDS>0117</t1_3_WEDS>

<CASH_1_3_WEDS_LOTS>000001322</CASH_1_3_WEDS_LOTS>

<t1_3_WEDS_NWD>0118</t1_3_WEDS_NWD>

<t2_3_WEDS>0221</t2_3_WEDS>

<t1_3_WEDS_NWD_2_3_WEDS_LOTS>000001891</t1_3_WEDS_NWD_2_3_WEDS_LOTS>


<t3_3_WEDS_3MTH_DT>0319</t3_3_WEDS_3MTH_DT>

<t2_3_WEDS_NWD_3_3_WEDS_3MTH_LOTS>000000562</t2_3_WEDS_NWD_3_3_WEDS_3MTH_LOTS>


<t3_MTH_DT>0000</t3_MTH_DT>

<t3_3_WEDS_NWD_3_MTH_DT_LOTS>000000000</t3_3_WEDS_NWD_3_MTH_DT_LOTS>

<t3_MTH_LOTS>000000312</t3_MTH_LOTS>

<t4_15_or_27_MTH_LOTS>000002657</t4_15_or_27_MTH_LOTS>

</ROW>

- <ROW>


<CURRENCY_DESC>EUR</CURRENCY_DESC>

<t1_3_WEDS>0117</t1_3_WEDS>



<t2_3_WEDS>0221</t2_3_WEDS>











</ROW>

- <ROW>


<CURRENCY_DESC>GBP</CURRENCY_DESC>

<t1_3_WEDS>0117</t1_3_WEDS>



<t2_3_WEDS>0221</t2_3_WEDS>










</ROW>

- <ROW>


<CURRENCY_DESC>JPY</CURRENCY_DESC>

<t1_3_WEDS>0117</t1_3_WEDS>



<t2_3_WEDS>0221</t2_3_WEDS>










</ROW>

- <ROW>




<t1_3_WEDS>0117</t1_3_WEDS>



<t2_3_WEDS>0221</t2_3_WEDS>










</ROW>

- <ROW>


<CURRENCY_DESC>EUR</CURRENCY_DESC>

<t1_3_WEDS>0117</t1_3_WEDS>



<t2_3_WEDS>0221</t2_3_WEDS>










</ROW>

</DATA>

</REPORT>


8 Futures Open Interest Detail Report (EOI)


The Futures Open Interest detailed report provides Futures open interest data by prompt dates for all

currencies. The report provides the futures open interest volumes by commodity and Prompt type.

The data provided is for the previous day.

Time Description

10:15 Previous days volumes breakdown by prompt dates



Tag Description


PROMPT_DATE Prompt date

OPEN_INTEREST Open interest value


8.3 Example Output


- <REPORT>

<IDENTIFICATION REPORT_CODE=”FID” REPORT_NAME=”Futures Open Interest Detail”




- <DATA>

- <ROW>


<PROMPT_DATE>061221</PROMPT_DATE>

<OPEN_INTEREST>000000280</OPEN_INTEREST>

</ROW>

- <ROW>




</ROW>

- <ROW>




</ROW>

- <ROW>




</ROW>

- <ROW>




</ROW>

- <ROW>




</ROW>

- <ROW>





</ROW>

- <ROW>




</ROW>

- <ROW>




</ROW>

- <ROW>




</ROW>

</DATA>

</REPORT>


9 Options Open Interest Summary Report (EOI)


The Options Open Interest Summary Report provides the options open interest by calendar month.

The data provided in the report is for Metals (commodity) only by different currencies for the day

before yesterday.

Time Description

10:30 Previous days volumes summary



Tag Description





EXPIRY_DATE




OPEN_INTEREST_VOLUME Open interest value


9.3 Example Output


- <REPORT>

<IDENTIFICATION REPORT_CODE=”OIS” REPORT_NAME=”Options Open Interest Summary”




- <DATA>

- <ROW>





<EXPIRY_DATE>070307</ EXPIRY_DATE >

<OPEN_INTEREST_VOLUME>0022886</OPEN_INTEREST_VOLUME>

</ROW>

- <ROW>





< EXPIRY_DATE >070307</ EXPIRY_DATE >


</ROW>

- <ROW>







</ROW>

- <ROW>








</ROW>

- <ROW>

<COMM_MNEMONIC>NA</COMM_MNEMONIC>






</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>








</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>









</ROW>

</DATA>

</REPORT>


10 Options Open Interest Detail Report (EOI)


The Options Open Interest Detail Report provides the open interest by commodity, contract type, put

and call indicator broken down to expiry and strike price. Open interest volumes are based on the

number matched trades and are the official figures as of the day before yesterday.

Time Description

10:30 Previous days volumes breakdown by prompt month and strike price

Note:

• The Data would not be displayed if Open Interest Volume, Position Change and Options trading volume figures are all zero.

• The Position change can also have negative values.



Tag Description


CURRENCY_DESC Currency

CONTRACT_TYPE Contract Type

CALL_PUT_INDICATOR Call/Put Indicator

EXPIRY_DATE




STRIKE_PRICE Strike Price

OPEN_INTEREST_VOLUME Open interest value

POSTION_CHANGE Net movement of open interest provided from LCH


10.3 Example Output


- <REPORT>

<IDENTIFICATION REPORT_CODE=”OID” REPORT_NAME=”Options Open Interest Detail”




- <DATA>

- <ROW>








<POSTION_CHANGE>000001</POSTION_CHANGE>

</ROW>

- <ROW>








<POSTION_CHANGE>-10</POSTION_CHANGE>

</ROW>

- <ROW>









</ROW>

- <ROW>










</ROW>

- <ROW>









</ROW>

- <ROW>









</ROW>

- <ROW>









</ROW>


</DATA>

</REPORT>


11 Warehouse Stock Movements Report


The Warehouse Stock Movements Report provides the stock movements data (for the parameters

mentioned in the table below) by commodity, location in tonnes. The stock movement data is

provided for the previous day.

Time Description

09:00 Previous days stock movements figures

• Stock figures for one location (or port) are actually the aggregate of all the stocks in all the warehouses in that one location.

The Warehouse Stock Movement report provides information for different message codes

represented below:

Code Description

S Closing Stock for all Commodities

I Opening Stock for all Commodities

J Stock delivered for all Commodities

K Stock delivered out for all Commodities

L Stock movements for all Commodities

e Closing stock on warrant for all Commodities

f Closing stock on cancelled warrant for all Commodities

The order of information provided is as follows:

1. Commodity, Stock Status, total Value for all commodities

2. Commodity, Stock Status, expiry current/after current month

3. Commodity, Stock Status, location, total value for all commodities

4. Commodity, Stock Status, location, expiry current/after current month

5. Commodity, Stock Status, Grade, total value for all commodities


6. Commodity, Stock Status, Grade, expiry current/after current month

7. Commodity, Stock Status, location, Grade, total value for all commodities

Therefore if:

• Location field is without values for a row then it would mean either

i. that it is a totals row at commodity level or

ii. that the row refers to a commodity, grade combination

• grade field is without values for a row then it would mean either

i. that it is a totals row at commodity level or

ii. that the row refers to a commodity, location combination

11.1.1 Special Note on Aluminium Stock Data

This note purely relates to the following metals:

Metal Code Description

AH Primary (High Grade) Aluminium

AN LME US Aluminium Premium

AW LME Western Europe Aluminium Premium

AE LME Eastern Asia Aluminium Premium

AS LME South-Eastern Asia Aluminium Premium

Stock reporting for Primary (High Grade) Aluminium and the related the Regional Aluminium Premium

Future contracts, operates as follows.

Primary (High Grade) Aluminium (AH) stock amounts include metal stock which is designated as

Primary (High grade) Aluminium or as Premium Aluminium:

� High Grade Aluminium � LME US Aluminium Premium (AN) � LME Western Europe Aluminium Premium (AW) � LME Eastern Asia Aluminium Premium (AE) � LME South-Eastern Asia Aluminium Premium (AS)

This is true at all levels of detail or summary on the WSM report.

Example:

A specific location, ‘ANTW’ contains opening stock of:

900 tonnes of Primary (High Grade) Aluminium

Of which 400 tonnes is LME Western Europe Aluminium Premium


This will be reported as:

Metal = AH, Location = ANTW, Stock = 900

Metal = AW, Location = ANTW, Stock = 400

Commentary

In the above example, the ‘AH’ holding of 900 is calculated as:

500 Primary (High Grade) Aluminium + 400 LME Western Europe Aluminium Premium

AND the ‘AW’ holding of 400 is reported in its own right.


The following table illustrates the various fields that exist within the report and their possible list of

values.

Tag Description

COMM_MNEMONIC Commodity code


LOCATION Location where the commodity exists

GRADE CODE Grade of the commodity

STOCK_STATUS Stock status

STOCK_QTY Stock quantity

EXPIRY No longer used

11.2.1 STOCK_STATUS (List of Values)

Stock Status

Description

S Closing Stock Totals for all Commodities

I Opening Stock Totals for all Commodities

J Stock delivered In Totals for all Commodities

K Stock delivered out Totals for all Commodities

L Stock movements Totals for all Commodities


e Closing stock on warrant totals for all Commodities

f Closing stock on cancelled warrant totals for all Commodities

LOCATION LEVEL INFORMATION

S Closing Stock by location for all Commodities

I Opening Stock by location for all Commodiites

J Stock delivered In by location for all Commodities

K Stock delivered out by location for all Commodities

L Stock movements by location for all Commodities

e Closing stock on warrant by location for all Commodities

f Closing stock on cancelled warrant by location for all Commodities

GRADE LEVEL INFORMATION

S Closing Stock by Grade for all Commodities

I Opening Stock by Grade for all Commodiites

J Stock delivered In by Grade for all Commodities

K Stock delivered out by Grade for all Commodities

L Stock movements by Grade for all Commodities

e Closing stock on warrant by Grade for all Commodities

f Closing stock on cancelled warrant by Grade for all Commodities

LOCATION AND GRADE LEVEL INFORMATION

S Closing Stock by location by Grade for all Commodities

I Opening Stock by location by Grade for all Commodiites

J Stock delivered In by location by Grade for all Commodities

K Stock delivered out by location by Grade for all Commodities

L Stock movements by location by Grade for all Commodities

e Closing stock on warrant by location by Grade for all Commodities

f Closing stock on cancelled warrant by location by Grade for all Commodities


11.2.2 GRADE (List of Values)

Metal Grade Grade Code

Cobalt Briquettes BRIQ

Cobalt Cathodes CATS

Cobalt Coarse Grain Powder CGPO

Cobalt Ingots INGO

Cobalt Rounds ROUN

Copper Cathodes CATS

Aluminium Ingots INGO

Aluminium T-Bar TBAR

Aluminium Sows SOWS

Molybdenum

Molybdenum Contained in RMC (Roasted Molybdenum Concentrate)

MRMC

Nickel Bagged Briquettes BBRI

Nickel Bagged Pellets BPEL

Nickel Briquettes BRIQ

Nickel Cathodes CAT1 - (100x100mm)



Nickel Pellets PLTS

Nickel Full plate cathode FPCS

Tin No grade No code

Lead No grade No code

Zinc No grade No code

Aluminium Alloy Ingots IN12 (typeD12S)

Aluminium Alloy Ingots IN26 (type 226)

Aluminium Alloy Ingots IN80 (type A380)



Aluminium Alloy Ingots I121 (type AD12.1)

Aluminium Alloy Large sows LS12 (type D12S)

Aluminium Alloy Large sows LS26

Aluminium Alloy Large sows LS80

Aluminium Alloy Large sows L121 (type AD12.1)

Aluminium Alloy Small sows SS12 (type D12S)

Aluminium Alloy Small sows SS26

Aluminium Alloy Small sows SS80

Aluminium Alloy Small sows S121 (type AD12.1)

Aluminium Alloy Tbars TB12 (type D12S)

Aluminium Alloy Tbars TB26

Aluminium Alloy Tbars TB80

Aluminium Alloy Tbars T121 (type AD12.1)

NASAAC A380 INGO

NASAAC A380 LSOW (Large sow)

NASAAC A380 SSOW (Small sow)

NASAAC T-Bar TBAR

Premium Future Aluminium, East Asia

Ingots INGO


T-Bar TBAR


Sows SOWS

Premium Future Aluminium, US

Ingots INGO

Premium Future Aluminium, US

T-Bar TBAR



Premium Future

Aluminium, US

Sows SOWS

Premium Future Aluminium, South East Asia

Ingots INGO


T-Bar TBAR


Sows SOWS

Premium Future Aluminium, Western Europe

Ingots INGO


T-Bar TBAR


Sows SOWS

Steel Billet G5SP (3805sp)

Steel Billet G3SP (3803sp)

Steel Billet 20MN (20MnSi)

Steel Billet Q235

Steel Billet AS60 (A61560)

Steel Billet 4449 (BS4449)

Steel Billet GO3S (3803S)

Steel Billet GO3P (3803P)

Steel Billet GO5S (3805S)

Steel Billet GO5P (3805P)

Steel Billet LME1 (LME Grade 1)











11.2.3 LOCATION (List of Values)

Country Location Location Description Delivery Point for

BELGIUM ANTW ANTWERP AA, AE, AH, AN, AS, AW. CA, CO, FM, NI, PB, SN, ZS

GERMANY BREM BREMEN AA, AE, AH, AN, AS, AW, NI, PB, ZS

HAMB HAMBURG AA, AE, AH, AN, AS, AW, CA, NI, PB, SN, ZS

HOLLAND MOER MOERDIJK AA, AE, AH, AN, AS, AW, CA, NI, PB, SN, ZS

ROTT ROTTERDAM AA, AE, AH, AN, AS, AW, CA, CO, FM, MO, NI, PB, SN, ZS

VLIS VLISSINGEN AA, AE, AH, AN, AS,AW, CA, NI, PB, SN, ZS

ITALY GENO GENOA AA, AE, AH, AN, AS, AW, NI, PB, SN, ZS

LEGH LEGHORN AA, AE, AH, AN, AS, AW, CA, NI, PB, ZS

RAVE RAVENNA FM

TRIE TRIESTE AA, AE, AH, AN, AS, AW, CA, NI, PB, SN, ZS


JAPAN NAGO NAGOYA AE, AH, AN, AS, AW

YOKO YOKOHAMA AE, AH, AN, AS, AW

KOREA BUSA BUSAN AA, AE, AH, AN, AS, AW, CA, NI, PB, SN

GWAN GWANGYANG AA, AE, AH, AN, AS, AW, CA, NI, PB, SN

INCH INCHEON AA, AE, AH, AN ,AS, AW, CA, PB, NI

MALAYSIA JOHO JOHOR AA, AE, AH, AN, AS, AW, CA, NI, PB, SN, ZS

POKL PORT KLANG AA, AE, AH, AN, AS, AW, CA, NI, PB, SN, ZS

SINGAPORE SING SINGAPORE AA, AE, AH, AN, AS, AW, CA, CO, MO, NI, PB, SN, ZS

SPAIN BARC BARCELONA AA, AE AH, AN,AS,AW, CA, NI, PB, SN, ZS

BILB BILBAO AA, AE, AH, AN, AS, AW, CA, FM, NI, PB, SN, ZS

SWEDEN HELS HELSINGBORG AE, AH, AN, AS, AW, CA, NI, PB, ZS

TAIWAN KAOH KAOHISUNG AA, AE, AH, AN, AS, AW, CA, NI, PB, SN, ZS

TURKEY KOCA KOCAELI FM

TEKI TEKIRDAG FM

UNITED KINGDOM HULL HULL AA, AE, AH, AN, AS, AW, CA, NI, PB, SN, ZS

LIVE LIVERPOOL AA, AE, AH, AN, AS, AW, CA, NI, PB, SN, ZS

TYNW TYNE AND WEAR AA, AE, AH, AN, AS, AW, NI, PB, SN, ZS

UAE DUBA DUBAI CA, NI, PB, ZS

USA BALT BALTIMORE AE, AH, AN, AS, AW, CA, CO, MO, NI, NA, PB, SN, ZS

CHIC CHICAGO AE, AH, AN, AS, AW, CA, NI, NA, PB, ZS

DETR DETROIT AE, AH, AN, AS, AW, NI, NA, PB, ZS

LOSA LOS ANGELES AE, AH, AN, AS, AW, NI, NA, PB, SN,


ZS

MOBI MOBILE AE, AH, AN, AS, AW, CA, NI, NA, PB, SN, ZS

NEWO NEW ORLEANS AE, AH, AN, AS, AW, CA, NI, NA, PB, SN, ZS

OWEN OWENSBORO NA

STLO ST. LOUIS AE, AH, AN, AS, AW, CA, NI, NA, PB, ZS

TOLE TOLEDO AE, AH, AN, AS, AW, NI, NA, PB, ZS


11.3 Example Output

<?xml version="1.0" ?> <REPORT> <IDENTIFICATION REPORT_CODE="WSM" REPORT_NAME="Warehouse Stock Movements" REPORT_DATE="20110317" REPORT_TIME="0900" REPORT_VERSION="100" /> <ISSUE_CODE>N</ISSUE_CODE> <CNTS COLUMN_COUNT="7" ROW_COUNT="17" /> <DATA> <ROW> <COMM_MNEMONIC>AA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <LOCATION></LOCATION> <GRADE_CODE></GRADE_CODE> <STOCK_STATUS>S</STOCK_STATUS> <STOCK_QTY>80040</STOCK_QTY> <EXPIRY></EXPIRY>

</ROW> <ROW> <COMM_MNEMONIC>AA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <LOCATION></LOCATION> <GRADE_CODE></GRADE_CODE> <STOCK_STATUS>L</STOCK_STATUS> <STOCK_QTY>-1500</STOCK_QTY> <EXPIRY></EXPIRY>

</ROW> <ROW> <COMM_MNEMONIC>AA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <LOCATION></LOCATION> <GRADE_CODE></GRADE_CODE> <STOCK_STATUS>I</STOCK_STATUS> <STOCK_QTY>81540</STOCK_QTY> <EXPIRY></EXPIRY>

</ROW> <ROW> <COMM_MNEMONIC>AA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <LOCATION></LOCATION> <GRADE_CODE></GRADE_CODE> <STOCK_STATUS>J</STOCK_STATUS> <STOCK_QTY>0</STOCK_QTY> <EXPIRY></EXPIRY>

</ROW> <ROW> <COMM_MNEMONIC>AA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <LOCATION></LOCATION> <GRADE_CODE></GRADE_CODE> <STOCK_STATUS>K</STOCK_STATUS> <STOCK_QTY>1500</STOCK_QTY> <EXPIRY></EXPIRY>

</ROW> <ROW> <COMM_MNEMONIC>AA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <LOCATION></LOCATION> <GRADE_CODE></GRADE_CODE>


<STOCK_STATUS>f</STOCK_STATUS> <STOCK_QTY>13920</STOCK_QTY> <EXPIRY></EXPIRY>

</ROW> <ROW> <COMM_MNEMONIC>AA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <LOCATION></LOCATION> <GRADE_CODE></GRADE_CODE> <STOCK_STATUS>e</STOCK_STATUS> <STOCK_QTY>66120</STOCK_QTY> <EXPIRY></EXPIRY>

</ROW> <ROW> <COMM_MNEMONIC>AA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <LOCATION></LOCATION> <GRADE_CODE>IN26</GRADE_CODE> <STOCK_STATUS>S</STOCK_STATUS> <STOCK_QTY>38180</STOCK_QTY> <EXPIRY></EXPIRY>

</ROW> <ROW> <COMM_MNEMONIC>AA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <LOCATION></LOCATION> <GRADE_CODE>IN26</GRADE_CODE> <STOCK_STATUS>f</STOCK_STATUS> <STOCK_QTY>4220</STOCK_QTY> <EXPIRY></EXPIRY>

</ROW> <ROW> <COMM_MNEMONIC>AA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <LOCATION></LOCATION> <GRADE_CODE>IN26</GRADE_CODE> <STOCK_STATUS>e</STOCK_STATUS> <STOCK_QTY>33960</STOCK_QTY> <EXPIRY></EXPIRY>

</ROW> <ROW> <COMM_MNEMONIC>AA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <LOCATION></LOCATION> <GRADE_CODE>IN26</GRADE_CODE> <STOCK_STATUS>L</STOCK_STATUS> <STOCK_QTY>-780</STOCK_QTY> <EXPIRY></EXPIRY>

</ROW> <ROW> <COMM_MNEMONIC>AA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC> <LOCATION></LOCATION> <GRADE_CODE>IN26</GRADE_CODE> <STOCK_STATUS>K</STOCK_STATUS> <STOCK_QTY>780</STOCK_QTY> <EXPIRY></EXPIRY>

</ROW> <ROW> <COMM_MNEMONIC>AA</COMM_MNEMONIC> <CURRENCY_DESC>USD</CURRENCY_DESC>


12 Warrant Holdings, Warrant Holdings Tom and Warrant

Holdings Cash Reports


The Warrant holdings reports provide the Warrant held for each percentage bands by the LME

member firms only. The reports also provide the unreported warrant held by Non-LME members.

The reports are by commodity, bands and the number of warrants and are for Metals only.

Time Description

11:00 Previous Business day -1 Warrant holdings figures

11:00 Previous Business day -1 Warrant TOM figures

11:00 Previous Business day -1 Warrant CASH figures

12.1.1 Special Note for Premium Future Contracts

This note purely relates to metals:

Metal Code Description

AH High Grade Aluminium

AN LME US Aluminium Premium

AW LME Western Europe Aluminium Premium

AE LME Eastern Asia Aluminium Premium

AS LME South-Eastern Asia Aluminium Premium

a) Warrant Banding Report The Warrant Banding Report highlights the number of market participants with a percentage holding above 30% in a particular metal. It does this by calculating:

Total Warrants Held by a market participant / Total Stock.

As Stocks for AH include stocks for AN, AW, AE & AS too, the calculation for the AH column becomes:

Total Warrants Held by a market participant (for metal AH, AN, AW, AE & AS) / Total Stock for AH.

The columns for AN, AW, AE & AS are not impacted. The calculation is as for all other metals. Example for AN:


Total Warrants Held by a market participant for metal AN / Total Stock for AN.

No other columns are impacted by the above.

b) Warrant Cash Report The Warrant Cash Report highlights the number of market participants with a percentage holding above 30% in a particular metal. It does this by calculating:

[Total Warrants Held by a market participant] + [Open Trades with Prompt dates <= Cash date +1] / Total Stock.

As Stocks for AH include stocks for AN, AW, AE & AS too, the calculation for the AH column becomes:

[Total Warrants Held by a market participant (for metal AH, AN, AW, AE & AS)] + [Open Trades with Prompt dates <= Cash date +1 (for metal AH, AN, AW, AE & AS)] / Total Stock.

Because AN, AW, AE & AS are monthly contracts, they are not reported separately on this report.


c) Warrant TOM Report The Warrant TOM Report highlights any group clients with a percentage holding above 30% in a particular metal. It does this by calculating:

[Total Warrants Held by a market participant] + [Open Trades with Prompt dates <= Cash date] / Total Stock. As Stocks for AH include stocks for AN, AW, AE & AS too, the calculation for the AH column becomes: [Total Warrants Held by a market participant (for metal AH, AN, AW, AE & AS)] + [Open Trades with Prompt dates <= Cash date (for metal AH, AN, AW, AE & AS)] / Total Stock.

Because AN, AW, AE & AS are monthly contracts, they are not reported separately on this report.



Tag Description

COMM_MNEMONIC metal code

GROUPSINBAND30-40 percentage of warrants in band 1





PERCENTAGEUNREPORTEDWARRANTS percentage of unreported warrants


12.3 Example Output

<?xml version="1.0" ?>

- <REPORT>

<IDENTIFICATION REPORT_CODE="WHL" REPORT_NAME="Warrant Holdings"

REPORT_DATE="20070322" REPORT_TIME="1100" REPORT_VERSION="100" />


<CNTS COLUMN_COUNT="7" ROW_COUNT="8" />

- <DATA>

- <ROW>


<GroupsInBand30-40>0</GroupsInBand30-40>





<PercentUnreportedWarrants>0.40</PercentUnreportedWarrants>

</ROW>

- <ROW>








</ROW>

- <ROW>








</ROW>

- <ROW>









</ROW>

- <ROW>

<COMM_MNEMONIC>SN</COMM_MNEMONIC>







</ROW>

- <ROW>








</ROW>

- <ROW>








</ROW>

- <ROW>

<COMM_MNEMONIC>MX</COMM_MNEMONIC>








</ROW>

</DATA>

</REPORT>


12.4 Example Output (TOM)


- <REPORT>

<IDENTIFICATION REPORT_CODE="WHT" REPORT_NAME="Warrant Holdings TOM"




- <DATA>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>








</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>








</ROW>

- <ROW>

</DATA>

</REPORT>


12.5 Example Output (CASH)


- <REPORT>

<IDENTIFICATION REPORT_CODE="WHC" REPORT_NAME="Warrant Holdings Cash"




- <DATA>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>








</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>







</ROW>

- <ROW>








</ROW>

</DATA>

</REPORT>


13 Futures Banding Report


The futures banding report provides the number of members holding a certain percentage of

warrants, for a given month going forward. The report provides the number of warrants by commodity,

month and the percentage band.

Time Description

11:00 Day before Previous days Future Bandings figures



Tag Description


REPORT_DATE Report date

LONG_SHORT_IND Long short indicator

BAND Band

NO_OF_MEMBERS1 number of members holding warrants in band 1



13.2.1 LONG_SHORT_IND (List of Values)

Value Description

Long Long indicator

Short Short indicator


13.3 Example Output


- <REPORT>

<IDENTIFICATION REPORT_CODE="FBN" REPORT_NAME="Futures Banding"




- <DATA>

- <ROW>


<LONG_SHORT_IND>Long</LONG_SHORT_IND>

<BAND>05 - <10%</BAND>

<NO_OF_MEMBERS1 Period="0703">0</NO_OF_MEMBERS1>



</ROW>

- <ROW>



<BAND>10 - <20%</BAND>




</ROW>

- <ROW>



<BAND>20 - <30%</BAND>




</ROW>

- <ROW>



<BAND>30 - <40%</BAND>





</ROW>

- <ROW>



<BAND>40% ></BAND>




</ROW>

- <ROW>


<LONG_SHORT_IND>Short</LONG_SHORT_IND>

<BAND>05 - <10%</BAND>




</ROW>

- <ROW>



<BAND>10 - <20%</BAND>




</ROW>

- <ROW>



<BAND>20 - <30%</BAND>




</ROW>

- <ROW>



<BAND>30 - <40%</BAND>





</ROW>

</DATA>

</REPORT>


14 Provisional or Auto-Declared Traded Options Report


These are 2 separate reports sent as Provisional and Final auto-declared traded options. The reports

consist of three strike prices: the ATM (At-The-Money) strike price, the strike price equal to two

gradations above the ATM and two gradations below the ATM. The report is provided by commodity

type and month.

The provisional report is made available at 18:00 hours on the day before Declaration day.

Declaration day is the first Wednesday of the month (first Thursday of the month if the first

Wednesday of the month is a Public Holiday).

The Final Auto Exercise report is made available only on the same day at 19.30 hours.

Data is supplied for all contracts that are tradable as options. The lower strike threshold is the highest

strike at which call options will be exercised. The higher strike threshold is the lowest strike at which

put options will be exercised.

Time Description

18:00 Provisional figures for the month



Tag Description




EXPIRY_DATE EXPIRY DATE (1

st Wednesday of the month)

format = <YYMMDD>

LOWER_STRIKE_THRESHOLD Lower strike threshold

LOWER_GRADATION Lower gradation

AT_THE_MONEY_STRIKE At the money strike

HIGHER_STRIKE_THRESHOLD Higher strike threshold

HIGHER_GRADATION Higher gradation


14.3 Example Output


- <REPORT>

<IDENTIFICATION REPORT_NAME="Provisional Auto-declared Traded Options"



<CNTS>COLUMN_COUNT=7 ROW_COUNT=1</CNTS>

- <DATA>

- <ROW>



<CONTRACT_TYPE>T</CONTRACT_TYPE>

<EXPIRY_DATE>070404</EXPIRY_DATE>

<LOWER_STRIKE_THRESHOLD>2375.00</LOWER_STRIKE_THRESHOLD>

<LOWER_GRADATION>2</LOWER_GRADATION>

<AT_THE_MONEY_STRIKE>2425.00</AT_THE_MONEY_STRIKE>

<HIGHER_STRIKE_THRESHOLD>2475.00</HIGHER_STRIKE_THRESHOLD>

<HIGHER_GRADATION>2</HIGHER_GRADATION>

</ROW>

</DATA>

</REPORT>


15 Notional Average Prices Report


The Notional Average Prices Report provides the notional average prices for TAPOS and Swaps

contracts on a monthly basis. The report provides the price data by commodity and month.

The report is provided at 18:15 on each traded date.

Time Description

18:15 Notional Average Prices for the day



Tag Description



MONTH Month

NOTIONAL_AVG_PRICE Notional average price


15.3 Example Output


- <REPORT>

<IDENTIFICATION REPORT_NAME="Notional Average Prices" REPORT_DATE="20070105"

REPORT_TIME="1815" REPORT_VERSION="100" />



- <DATA>

- <ROW>



<MONTH>NOV06</MONTH>

<NOTIONAL_AVERAGE_PRICE>2219.87</NOTIONAL_ AVERAGE _PRICE>

</ROW>

- <ROW>



<MONTH>DEC06</MONTH>

<NOTIONAL_ AVERAGE _PRICE>2232.00</NOTIONAL_ AVERAGE _PRICE>

</ROW>

- <ROW>



<MONTH>JAN07</MONTH>


</ROW>

- <ROW>



<MONTH>FEB07</MONTH>


</ROW>

- <ROW>



<MONTH>MAR07</MONTH>


</ROW>

</DATA>


</REPORT>


16 Final Auto Exercise Strike Price Report


The Final Auto Exercise report is made available at 19.30 hours on the day before Declaration day.

Declaration day is the first Wednesday of the month (first Thursday of the month if the first

Wednesday of the month is a Public Holiday).

Time Description

19:30 Final Auto Exercise figures for the month



Tag Description




EXPIRY_DATE EXPIRY DATE (1

st Wednesday of the month)

format = <YYMMDD>

LOWER_STRIKE_THRESHOLD Lower strike threshold

LOWER_GRADATION Lower gradation

AT_THE_MONEY_STRIKE At the money strike

HIGHER_STRIKE_THRESHOLD Higher strike threshold

HIGHER_GRADATION Higher gradation


16.3 Example Output


- <REPORT>

<IDENTIFICATION REPORT_NAME="Final Auto Exercise Strike Price " REPORT_DATE="20070105"

REPORT_TIME="1905" REPORT_VERSION="100" />



- <DATA>

- <ROW>





<LOWER_STRIKE_THRESHOLD>2375.00</LOWER_STRIKE_THRESHOLD>

<LOWER_GRADATION>2</LOWER_GRADATION>

<AT_THE_MONEY_STRIKE>2425.00</AT_THE_MONEY_STRIKE>

<HIGHER_STRIKE_THRESHOLD>2475.00</HIGHER_STRIKE_THRESHOLD>

<HIGHER_GRADATION>2</HIGHER_GRADATION>

</ROW>

</DATA>

</REPORT>


17 Market Open Interest Report


Market Open Interest (MOI) is reported gross, based on both open exchange positions and open

client positions for a particular prompt date. It is reported in lots by contract, by prompt and in the

case of options and TAPOs, by strike and by call or put. All data is reported in lots as at close of

business on each working day.

Time Description

08:45 Market Open Interest



Tag Description



PROMPT_DATE Format <YYMMDD>

MOI Market Open Interest

STRIKE_PRICE Strike price


17.3 Example Output


- <REPORT>

<IDENTIFICATION REPORT_CODE="MOI" REPORT_NAME="Market Open Interest"




- <DATA>

- <ROW>




<MOI>25</MOI>

<STRIKE>2300</STRIKE>

</ROW>

- <ROW>




<MOI>25</MOI>


</ROW>

- <ROW>




<MOI>25</MOI>


</ROW>

- <ROW>




<MOI>20</MOI>


</ROW>

- <ROW>




- <ROW>


<CONTRACT_TYPE>F</CONTRACT_TYPE>


<MOI>0</MOI>

<STRIKE>0</STRIKE>

</ROW>

- <ROW>




<MOI>0</MOI>

<STRIKE>0</STRIKE>

</ROW>

- <ROW>




<MOI>0</MOI>

<STRIKE>0</STRIKE>

</ROW>

</DATA>

</REPORT>




This report gives the key relative prompt dates for each commodity for the immediately following

trading day.

It is published just after midnight on the day to which it refers.

Time Description

00:01 Prompt Date Calendar for day that has just started



Tag Description

COMM_MNEMONIC The commodity code


PUBLISH_DATE The date for which this prompt date is relevant

PROMPT_DATE Prompt date

PROMPT_TYPE Prompt type


18.3 Example Output


- <REPORT>

<IDENTIFICATION REPORT_CODE="PRC" REPORT_NAME="Prompt Calendar Report"




- <DATA>

- <ROW>



<PUBLISH_DATE>20070221</PUBLISH_DATE>


<PROMPT_TYPE>MONTHLY_27</PROMPT_TYPE>

</ROW>

- <ROW>

<COMM_MNEMONIC>MP</COMM_MNEMONIC>




<PROMPT_TYPE>NEAR_MONTH_3</PROMPT_TYPE>

</ROW>

- <ROW>





<PROMPT_TYPE>TOM</PROMPT_TYPE>

</ROW>

- <ROW>





<PROMPT_TYPE>CASH</PROMPT_TYPE>

</ROW>

- <ROW>







</ROW>

- <ROW>






</ROW>

- <ROW>






</ROW>

- <ROW>





<PROMPT_TYPE>3M</PROMPT_TYPE>

</ROW>

- <ROW>





<PROMPT_TYPE>FAR_MONTH_1</PROMPT_TYPE>

</ROW>

</DATA>

</REPORT>


19 Closing Volatilities and Strikes


The below report definition sets out parameters for the CVS Closing Volatilities and Strikes report,

which will capture and transmit “raw” strikes from the LME CVRS system.

LME volatilities are quoted in Delta space. The strikes for which LME provide volatilities correspond to

+/-10, +/-25, 50 delta and the “at-the-money”. For each of these strikes put and call premiums are

calculated. For computation of premiums, the LME uses Black76.

The calculated Call Premium and Put Premium are also provided for each volatility / strike price for

both Traded Options and TAPO’s.

Scheduled transmission time and frequency: Daily (i.e. each LME trading day) at 18:15 London local

while polling for information in 30 minute intervals if the data is not available at 18:15.

Time Description

18:15 Closing volatilities and strikes report



Tag Description

EXPIRY_DATE Expiry date of traded option contract (1

st Wednesday of the

month) and for TAPO’s Expiry date = last business day of the month in format YYMMDD

CTRCT_TYPE

O for Traded Options

T for TAPOs

COMM_MNEMONIC The commodity code

STRIKE_PRICE The raw strike implied by LMEprice i.e. not in the LCH recognised gradation

OPT_POSN Delta space, i.e. +10 delta, +25 delta, 50 delta, -10 delta, -25 delta. The “at-the-money” strike is identified by ‘*’ in the OPT_POSN field.

VOLATILITY

Volatility in %, expressed as XXX.XX numeric value for ATM and 50 delta but as differentials from the 50 delta for the wings, i.e. +XXX.XX or –XXX.XX

(For TAPOs this is the weighted/date adjusted volatility)

CALL_PREMIUM This is the premium calculated for the call option in the format XXXXXX.XX

PUT_PREMIUM This is the premium calculated for the put option in the format XXXXXX.XX


19.3 Example Output

Please note that the example xml report below only shows the full data set for commodity AA, the

remaining commodities have been removed to reduce number of pages.


<REPORT>

<IDENTIFICATION REPORT_CODE="CVS" REPORT_NAME="Closing Volatilities and Strikes" REPORT_DATE="20090611" REPORT_TIME="1815" REPORT_VERSION="106" />



<DATA>

<ROW>


<CTRCT_TYPE>O</CTRCT_TYPE >



<OPT_POSN>-0.10</OPT_POSN>

<VOLATILITY>-0.42</VOLATILITY>

<CALL_PREMIUM>26.37</CALL_PREMIUM>

<PUT_PREMIUM>32.47</PUT_PREMIUM>

</ROW>

<ROW>


<CTRCT_TYPE>O</CTRCT_TYPE > <COMM_MNEMONIC>AA</COMM_MNEMONIC>






</ROW>

<ROW>





<OPT_POSN>*</OPT_POSN>




</ROW>


<ROW>





<OPT_POSN>0.50 </OPT_POSN>

<VOLATILITY>34.72</VOLATILITY>



</ROW>

<ROW>









</ROW>

<ROW>









</ROW>

(Above data set only for AA expiry date 090715 – it will be repeated for other AA expiry dates then other commodities, and then followed by TAPOs as follows)

<ROW>


<CTRCT_TYPE>T</CTRCT_TYPE >








</ROW>

<ROW>









</ROW>

<ROW>

<ROW>





<OPT_POSN>*</OPT_POSN>




</ROW>









</ROW>

<ROW>










</ROW>

<ROW>









</ROW>

</DATA>

</REPORT>

N.B. The order of the records presented will be as follows

CTRCT_TYPE (alpha ascending) [Traded options followed by Tapos]

COMM_MNEMONIC (alpha ascending) [AA, AH, CA, NA, NI, PB, SN, ZS]

EXPIRY_DATE (date Ascending)

OPT_POSITION (customised specific order) [-10, -25, ATM, 50, 25, 10]


20 Platinum and Palladium Prices


The below report definition sets out the parameters for the ‘Platinum and Palladium Prices’ report,

which will capture and transmit the daily discovered prices from the morning and afternoon Platinum

and Palladium Auctions. It also provides Daily Monthly Average as well as the Monthly Average

prices. All prices are provided in Dollar, Euro & Sterling.

Scheduled transmission frequency: Daily, morning and afternoon (morning only on Christmas Eve

and New Year’s Eve),

Scheduled transmission time: Due to the variable duration times of the Auctions, the transmission

time and the <REPORT_TIME> on the header record will vary.

The morning Auction starts at 09.45.

The afternoon Auction starts at 14.00.

Time Description

09.55 & 14.10 (*)

Platinum and Palladium Prices

(*) Nominal Times, specific times will vary, as explained above.



Tag Description

SESSION

This indicates whether the file contents relate to the morning or afternoon auction.

Values: AM = Morning; PM = Afternoon.

COMM_MNEMONIC The metal being reported: either Palladium (PD) or Platinum (PT).

DAILY_PRICE_USD The Discovered Price of the metal, in US Dollars (2 decimal places)

DAILY_PRICE_EUR The Discovered Price of the metal, in Euro equivalent (2 decimal places)

DAILY_PRICE_GBP The Discovered Price of the metal, in Sterling equivalent (2 decimal places)

OFFERED The total number of lots (ounces) offered (Sell) in the Auction.

WANTED The total number of lots (ounces) wanted (Buy) in the Auction.

IMBALANCE The absolute difference between OFFERED and WANTED. It is very unlikely, but this can be zero

TIME_CONFIRMED The time the Auction for the metal completed. Format = HH:MM:SS, local UK time.

MONTHLY_AVE_USD

The Moving Monthly Average Price for the metal in US Dollars. On the last trading day of month, this will be the Monthly Average Price. Prices will be displayed in 2 decimal places.

MONTHLY_AVE_EUR

The Moving Monthly Average Price for the metal in Euros. On the last trading day of month, this will be the Monthly Average Price. Prices will be displayed in 2 decimal places.

MONTHLY_AVE_GBP

The Moving Monthly Average Price for the metal in Sterling. On the last trading day of month, this will be the Monthly Average Price. Prices will be displayed in 2 decimal places.


20.3 Example Output

Please note that the example XML report below only shows the full data set for the morning (AM)

auction: one row for Platinum and one row for Palladium.

The afternoon report format is identical, but the <SESSION> value is ‘PM’

Note that the REPORT_CODE reuses the value ‘LBM’ (the old LBM report has been

decommissioned).


<?xml-stylesheet type="text/xsl" href="mdd-stylesheet.xsl" ?>

<REPORT>

<IDENTIFICATION REPORT_NAME="Platinum and Palladium Prices"

REPORT_TIME="0956" REPORT_VERSION="100" REPORT_DATE="20150507"

REPORT_CODE="LBM"/>


<CNTS COLUMN_COUNT="12" ROW_COUNT="2"/>

<DATA>

<ROW>

<SESSION>AM</SESSION>

<COMM_MNEMONIC>PT</COMM_MNEMONIC>

<DAILY_PRICE_USD>1136.00</DAILY_PRICE_USD>

<DAILY_PRICE_EUR>1017.47</DAILY_PRICE_EUR>

<DAILY_PRICE_GBP>736.71</DAILY_PRICE_GBP>

<OFFERED>4416</OFFERED>

<WANTED>500</WANTED>

<IMBALANCE>3916</IMBALANCE>

<TIME_CONFIRMED>09:51:34</TIME_CONFIRMED>

<MONTHLY_AVE_USD>1045.13</MONTHLY_AVE_USD>

<MONTHLY_AVE_EUR>998.21</MONTHLY_AVE_EUR>

<MONTHLY_AVE_GBP>701.43</MONTHLY_AVE_GBP>

</ROW>