• Variable Storage Rate (VSR) Results for Wheat and KC HRW Wheat Premium (Storage) Rates

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-8139
      • Notice Date
      • 24 April 2018
      • Effective Date
      • 18 May 2018
    • The Variable Storage Rate (VSR) mechanism in The Board of Trade of the City of Chicago, Inc. (“CBOT”):

      (1) Wheat futures contract (CME Globex Code: ZW; Clearing and CME ClearPort Code: W; Rulebook Chapter: 14);
      (2) Mini-Sized Wheat futures contract (CME Globex Code: YW; Clearing and CME ClearPort Code: YW; Rulebook Chapter: 14B);
      (3) KC HRW Wheat futures contract (CME Globex Code: KE; Clearing and CME ClearPort Code: KW; Rulebook Chapter: 14H); and
      (4) Mini-Sized KC HRW Wheat futures contract (CME Globex, Clearing, and CME ClearPort Code: MKC; Rulebook Chapter: 14N)

      examines nearby calendar spreads to determine adjustments in maximum contract premium (storage) rates. Below are the results of the May 2018 – July 2018 calendar spread relative to financial full carry during the period of March 19, 2018 through April 20, 2018.

      Questions may be directed to Fred Seamon in Research and Product Development (312-634-1587 or Fred.Seamon@CMEGroup.com).

      Please click here for PDF of SER-8139.