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Northeastern Iowa Corn Basis Swap Futures
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Corn Basis Swap Contract Specifications
Basis Regions Corn Swap contracts listed for each of the following: Northeastern Iowa, Northwestern Iowa, Southern Iowa, Eastern Nebraska, Eastern South Dakota and Southern Minnesota
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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. Friday, with a 45-minute break between 4:15 p.m. and 5:00 p.m. CDT on Mondays through Thursdays
Contract Pricing The basis for each listed region, defined as the cash price index from a region minus the price for the corresponding Corn futures contract
Contract Months Basis swaps are listed for all 12 calendar months with the corresponding futures contract being the contract closest to but not before the swap month. For example, the corresponding futures contract in the October Corn Basis Swaps is December Corn futures.
Termination of Clearing/Expiration Date The last business day of the month preceding the month of the basis swap. For example, a November Corn Basis swap would expire on the last business day in October
Daily Settlement The last business day of the month preceding the month of the basis swap. For example, a November Corn Basis swap would expire on the last business day in October
Final Settlement During the last five clearing days of a Corn Basis Swap, daily settlement will be a running cumulative average of the DTN cash price index for the respective region minus the corresponding Corn futures contract. Final settlement is completed by a cash settlement. For example, the final settlement for the November 2009 DTN Northeastern Iowa Corn Basis Swap would be the average of daily settlement prices of the DTN Northeastern Iowa cash price index minus the December Corn futures contract on October 23, 26, 27, 28 and 29.
Clearing Codes Southern Minnesota Corn Basis Swap: SMN
Eastern Nebraska Corn Basis Swap: ENE
Eastern South Dakota Corn Basis Swap: ESC
Northeastern Iowa Corn Basis Swap: NEC
Northwestern Iowa Corn Basis Swap: NWI
Southern Iowa Corn Basis Swap: SIC