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London Metal Exchange (LME) Futures use a unique prompt date structure when compared to other Futures. They cannot be closed out directly and instead must be offset with an opposite sale or purchase. Contracts are settled on prompt dates with trading ending at 12:30pm on the preceding trading day.

This document highlights specific considerations for LME Futures. Refer to Futures (FUT) Best Practices for details about general Futures processing.

Reference Data

Security Data

The following fields are critical for modeling LME Futures:

• Primary Exchange (17) = LME (London Metal Exchange)

• Variation Margin (4533) = No

• Variation Margin Rule (2289) = Standard Life-to-Date

• Prompt Date (2302): settlement date of net cash

  • This replaces a typical Future’s Expiration Date (38)

• Last Trade Date (5076): last date trades can be entered

  • Typically the trading day prior to Prompt Date

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• Select Query Option (2283): must be One Entity/One Security or One Entity/All Securities

• Expiration Processing Date (221): effective date of the early close

  • There must be an open accounting period for this date, otherwise the CLOSEFUTURE for the long side will fail

• Expire Override Flag (16814) = YES

• Reason (56): optionally enter a user-defined value that will be stored on the resulting transactions

• User Defined Float3 (1892): optionally enter the group ID