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Agricultural Products
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Soybean Calendar Swaps
| Grain Calendar Swap Contract Specifications | |||||
|---|---|---|---|---|---|
| Available Calendar Swaps | Corn, Soybean, Wheat | ||||
| Contract Size | 5,000 Bushels | ||||
| Price Quotation | Cents and quarter cents per bushel | ||||
| Minimum Price Fluctuation | One quarter of one cent ($0.0025) per bushel | ||||
| Clearing Hours | CME ClearPort clearing is available from 5:00 p.m. Sunday through 4:15 p.m. Central Time, Friday. Note there is a 45-minute break between 4:15 p.m. and 5:00 p.m. Central Time on Mondays through Thursdays | ||||
| Contract Months | Calendar swaps are listed for all 12 calendar months with the corresponding futures contract being the contract closest to the swap’s expiration date | ||||
| Termination of Clearing/Expiration Date | The last business day of the month preceding the month of the calendar swap. For example, a May Calendar swap will expire on the last business day in April | ||||
| Daily Settlement | Settled to the corresponding Corn, Soybean or Wheat futures contract closest to but not before the calendar swap month | ||||
| Final Settlement | Daily settlement during the last month of clearing shall be the cumulative average of each settlement price of the corresponding Corn futures contract weighting the current day’s settlement price across each remaining clearing day. For example, the calculation of the daily settlement price for a July Corn Calendar Swap on the third business day in a June with 20 clearing days and with respective settlement prices for the corresponding July Corn futures at $4.00, $4.10, and $4.20 per bushel would weight the average of $4.00 and $4.10 ($4.05) at 2/20ths and weight the current day’s settlement of $4.20 at 18/20ths. In this example, settlement on the third day of clearing in the final month of clearing would be $4.185 per bushel. Final settlement shall be the cumulative average of the settlement prices for the corresponding CBOT Corn futures contract for each clearing day in the month prior to the contract month. For example, the final settlement for a May Corn Calendar Swap would be the average of daily settlement prices for the May Corn futures contract during the month of April. |
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| Clearing Codes | Corn Calendar Swap: CCS Soybean Calendar Swap: SNS Wheat Calendar Swap: WCS |
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