- What Wheat Spread futures products are offered?
- What are the product codes?
- What is the regulatory jurisdiction of these futures contracts?
- How are the final settlement prices of the futures contracts determined?
- How are the Chicago or KC HRW Wheat futures daily markers determined?
- What is the daily settlement procedure?
- When is the last trading day of the contract?
- Are there price limits?
- How can these futures contracts be traded?
- The futures contracts are available to trade as a block. How does that work?
- What are the requirements for block trades?
- Is crossing permitted?
- What are the hours for trade entry on CME ClearPort and on CME Globex?
- Will trades executed at 1:30 p.m. U.S. CT be attributed to today or tomorrow’s trade date?
- What are the position limits?
- What is the listing schedule?
- I am a bona-fide hedger and I need to exceed position limits. Can I apply for a hedge exemption?
- I have more questions. Who can I contact?
1. What Wheat Spread futures products are offered?
CME Group launched cash settled Chicago Wheat-European Milling Wheat Spread futures and KC HRW Wheat-European Milling Wheat Spread futures on the CBOT exchange.
The contract size for both is 50 metric tons and is quoted in U.S. dollars and cents per metric ton. The contract's tick size is $0.25 per metric ton and tick value is $12.50.
2. What are the product codes?
The Chicago Wheat-European Milling Wheat Spread futures product code is CWD and the KC HRW Wheat-European Milling Wheat Spread futures product code is KWD.
3. What is the regulatory jurisdiction of these futures contracts?
The contract is listed in the U.S. by the CBOT DCM and cleared in the U.S. by CME Clearing. The regulator is the CFTC.
4. How are the final settlement prices of the futures contracts determined?
The financial settlement price is the European Milling Wheat futures settlement price on the last trading day converted to U.S. dollars using the mid-rate of the WM/Refinitiv 6:30 p.m. Central European Time (CET) Intraday Spot Rate for EUR/USD, minus the Chicago Wheat marker or KC HRW Wheat marker at 6:30 p.m. CET on the last trading day converted to U.S. dollars per metric ton, rounded to the nearest one cent.
Assuming that on August 15 the Sept Chicago Wheat marker was $5.3275 per bushel, the Sep European Milling Wheat daily settlement was 201.50 euros/metric ton and the EUR/USD mid-market rate at 6:30 p.m. CET was 1.09860, the final settlement price is (Sep European Wheat settlement 201.50 euros x 1.09860 (EUR/USD) = $221.3679 per metric ton) minus (Chicago Wheat marker $5.3275 x 36.7437 (bushels per metric ton) = $195.7521 per metric ton) = $25.62 per metric ton rounded to the one nearest cent.
5. How are the Chicago or KC HRW Wheat futures daily markers determined?
The Chicago or KC HRW Wheat daily markers are determined based on the trading activity between 6:20 p.m. and 6:30 p.m. CET for the underlying Chicago or KC HRW Wheat futures month.
6. What is the daily settlement procedure?
Daily settlement will take place on each contract business day at 6:30 p.m. Central European Time (CET). It will be based on CME Globex trading activity between 6:20 p.m. and 6:30 p.m. CET in the Chicago or KC HRW Wheat-European Milling Wheat Spread futures contract.
7. When is the last trading day of the contract?
The last trading day is at 6:30 p.m. CET on the 15th calendar day of the month immediately preceding the expiry month. If the 15th calendar day is not a Paris or U.S. business day, then the last trading day will be the following business day.
8. Are there price limits?
There are no price limits for this contract. Dynamic circuit breakers will be in place.
9. How can these futures contracts be traded?
The contracts are available for trading on the CME Globex electronic trading platform and for submission for clearing via CME ClearPort.
10. The futures contracts are available to trade as a block. How does that work?
Subject to certain requirements, such as eligibility and minimum size, the futures contract can be privately negotiated via brokers as a block trade and submitted into CME ClearPort for clearing.
11. What are the requirements for block trades?
There are minimum quantity and reporting time requirements. The minimum block size is five lots and trades need to be reported within 15 minutes of execution.
Firms need to be classified as an eligible contract participant (ECP) to engage in block trades. The definition of ECP can be found in Section 1a(18) of the Commodity Exchange Act.
12. Is crossing permitted?
Yes. As with all CBOT Grain futures, committed cross (C-Cross) and Globex cross (G-Cross) are permitted futures crossing protocols for participants who engage in pre-execution communications pursuant to Rule 539. Pre-execution communications allow for size, price and direction to be discussed prior to the entry of orders into CME Globex.
13. What are the hours for trade entry on CME ClearPort and on CME Globex?
Trades may be entered on CME Globex Sunday – Friday: 7:00 p.m. – 7:45 a.m. CT and Monday – Friday: 8:30 a.m. – 1:20 p.m. CT.
Trades may be entered on CME ClearPort Sunday 5:00 p.m. to Friday 5:45 p.m. CT with no reporting available Monday to Thursday from 5:45 p.m. CT to 6:00 p.m. CT.
14. Will trades executed at 1:30 p.m. U.S. CT be attributed to today or tomorrow’s trade date?
All trades executed through 4:00 p.m. U.S. CT will be considered today’s trade date.
15. What are the position limits?
Chicago Wheat-European Milling Wheat Spread futures are subject to single and all-month limits of 52,000 contracts. KC HRW Wheat–European Milling Wheat Spread futures are subject to single and all-month limits of 32,000. All positions will be aggregated with their respective futures contracts (Chicago Wheat Futures or KC HRW Wheat Futures) at a 2.7:1 ratio.
There is no applicable spot limit.
16. What is the listing schedule?
Five monthly contracts of March, May, September and December will be listed and available to trade at any time, starting with December 2024.
17. I am a bona-fide hedger and I need to exceed position limits. Can I apply for a hedge exemption?
Hedge exemptions will not be available.
18. I have more questions. Who can I contact?
Contact us with questions at wheatspread@cmegroup.com.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
