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Corn Calendar Swaps 
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Corn Calendar Swaps are based on the average daily settlement price for the corresponding underlying futures contract during the final month of clearing the swap. They offer a way to manage price volatility. They are cleared-only OTC transactions and are not substituted into a futures contract.

Benefits

  • Financial integrity of CME Clearing virtually eliminating third party credit risk
  • Flexibility of privately negotiated swap contract terms
  • Reduced capital requirements due to cross product margin efficiencies
  • Easy and accessible use of CME ClearPort services – limited and straightforward registration documentation*
  • Position accountability through our daily mark to market process

* CME Group cleared only Grain Swaps eliminate the need for costly and time consuming ISDA documentation

Things to Know:

  • The initial step in a cleared-only Calendar Swap transaction is establishing the privately negotiated OTC swap.  Two parties will agree on the specific fixed price component of the swap and the specific calendar month.  Each cleared-only Calendar Swap contract must contain a quantity of 5,000 bushels.
  • Depending on the calendar month chosen by the two parties, the daily and final settlement process will be based on the futures contract month closest to (but not before) the negotiated swap month.
  • The variable price (floating price) component of the cleared-only Calendar Swap will be based on an underlying futures contract.
  • The next step in a cleared-only Calendar Swap transaction is for the two parties to agree to submit the OTC Calendar Swap through CME ClearPort for clearing by CME Clearing.
  • OTC Calendar Swaps can be submitted through CME ClearPort by an end-user, a swap dealer (broker) or an end-user’s FCM.  Anyone who submits an OTC swap through CME ClearPort must be registered with CME ClearPort.
  • To enter transactions through CME ClearPort, customers must complete a registration form and user's license
  • Cleared-only Calendar Swaps are settled each day based on the underlying futures contract settlement price.

The final settlement price for a  cleared-only Calendar Swap is calculated as the sum of the daily futures settlement prices in the month prior to the calendar swap month divided by the total