- 13 Jul 2020
- By CME Group
On June 25, CME Group announced via SER 8601 the intention to allow exceptions to block trade minimum thresholds for US-based Wheat and Corn products, when they are traded as a spread against Black Sea and Australian Wheat and Corn products. The pre-existing block trade minimums and reporting windows, which apply whether traded as a spread or an outright, are as follows:
| Product Name (CME ClearPort Code) | RTH Block Threshold | ETH Block Threshold | Reporting Window (minutes) |
|---|---|---|---|
| Chicago SRW Wheat futures (W) | 200 | 100 | 5 |
| Chicago SRW Wheat options (W) | 300 | 150 | 15 |
| KC HRW Wheat futures (KW) | 100 | 50 | 5 |
| KC HRW Wheat options (KW) | 150 | 75 | 15 |
| Corn futures (C) | 300 | 150 | 5 |
| Corn options (C) | 500 | 250 | 15 |
| Black Sea Wheat Financially Settled (Platts) futures (BWF) | 5 | 5 | 15 |
| Black Sea Wheat Financially Settled (Platts) options (BWO) | 5 | 5 | 15 |
| Black Sea Corn Financially Settled (Platts) futures (BCF) | 5 | 5 | 15 |
| Black Sea Wheat Financially Settled (Platts) options (BWO) | 5 | 5 | 15 |
| Australian Wheat FOB (Platts)
futures (AUW) |
5 | 5 | 15 |
As of July 12, 2020, for trade date July 13, the following may be traded with reduced block thresholds on the US-based Wheat and Corn legs of the trade, and in some cases, longer reporting windows when traded as a spread and in this specific ratio. Whole multiples of this ratio will also be accepted, but no other deviations in quantity that do not meet the block thresholds in both outrights as defined above will be accepted.
| CBOT Leg 1 (CME ClearPort Code) | Minimum Quantity | CBOT Leg 2 (CME ClearPort Code) | Minimum Quantity | Reporting Window (minutes) |
|---|---|---|---|---|
| Black Sea Wheat Financially Settled (Platts) futures (BWF) | 100 | KC HRW Wheat futures (KW) | 40 | 15 |
| Black Sea Wheat Financially Settled (Platts) futures (BWF) | 100 | Chicago SRW Wheat futures (W) | 40 | 15 |
| Australian Wheat FOB (Platts)
futures (AUW) |
100 | KC HRW Wheat futures (KW) | 40 | 15 |
| Australian Wheat FOB (Platts)
futures (AUW) |
100 | Chicago SRW Wheat futures (W) | 40 | 15 |
| Black Sea Corn Financially Settled (Platts) futures (BCF) | 100 | Corn futures (C) | 40 | 15 |
| Black Sea Wheat Financially Settled (Platts) options (BWO) | 100 | KC HRW Wheat options (KW) | 40 | 15 |
| Black Sea Wheat Financially Settled (Platts) options (BWO) | 100 | Chicago SRW Wheat options (W) | 40 | 15 |
| Black Sea Corn Financially Settled (Platts) options (BSO) | 100 | Corn options (C) | 40 | 15 |
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