The Variable Storage Rate (VSR) mechanism in The Board of Trade of the City of Chicago, Inc. (“CBOT”):
(1) Wheat futures contract (CME Globex Code: ZW; Clearing and CME ClearPort Code: W; Rulebook Chapter: 14); and
(2) KC HRW Wheat futures contract (CME Globex Code: KE; Clearing and CME ClearPort Code: KW; Rulebook Chapter: 14H)
examines nearby calendar spreads to determine adjustments in maximum contract premium (storage) rates. Below are the results of the July 2018 – September 2018 calendar spread relative to financial full carry during the period of May 21, 2018 through June 22, 2018.
Questions may be directed to Fred Seamon in Research and Product Development (312-634-1587 or Fred.Seamon@CMEGroup.com).
Please click here for PDF of SER-8187.