• LISTING OF AUSTRALIAN DOLLAR KC HRW AND CHICAGO SRW WHEAT SWAPS

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      • SER-6782
      • Notice Date
      • 01 August 2013
      • Effective Date
      • 11 August 2013
    • Effective Sunday, August 11, 2013 for trade date Monday, August 12, 2013, and pending all relevant CFTC regulatory reviews, the Chicago Board of Trade (CBOT) and the Kansas City Board of Trade (KCBT) will launch cleared-only AUD Chicago Soft Red Winter (SRW) Wheat Swaps and AUD KC Hard Red Winter (HRW) Wheat Swaps for clearing on CME ClearPort. The first listed contract month will be the September 2013 expiration.
      Final settlement for the Chicago and Kansas City AUD Wheat Swaps will be the settlement price for the corresponding CBOT or KCBT Wheat futures contracts on the final settlement day converted to Australian dollars using the midpoint between the HIGH/LOW of the Thomson Reuters “AUDH” exchange rate next published after the close of the CBOT Open Outcry Wheat futures contract and converted to price per metric ton. Final settlement day will be the last Friday, which precedes by at least two business days, the last business day of the month preceding the swap month (i.e., consistent with standard and serial option expiration).  
      Daily settlement will be the settlement price for the corresponding CBOT or KCBT Wheat futures contract on that day converted to Australian dollars using the midpoint between the HIGH/LOW of the Thomson Reuters “AUDF” exchange rate equating to and interpolating between the closest date to contract expiration and next published after the close of the CBOT Open Outcry Wheat futures contract and converted to price per metric ton. Both Daily and Final settlement shall be rounded to the nearest AUD$0.001.
      Speculative position limits in AUD Chicago SRW Wheat Swaps and AUD KC HRW Wheat Swaps will be aggregated with CBOT and KCBT Wheat futures positions respectively. In addition to single- and all-month limits, last-day limits will also be implemented. These last-day limits, which will be 600 contracts for both AUD Chicago and KC Wheat Swaps, will be implemented on the swap’s last day of clearing. A person may own or control additional swaps in excess of the last-day position limits provided that when positions in all options (in all strike prices), swaps, and futures contracts are aggregated, they comply with the last-day net position limit. Position limits will be included in the CBOT Rulebook Chapter 5 Position Limit, Position Accountability and Reportable Level Table and in KCBT Rulebook Chapter 5 Rule 559.F.
       
      CONTRACT SPECIFICATIONS

      Contract Name
      Code
      Rule Chapter
      Listing Schedule
      First Listed Contract
      Contract Size
      Price Fluctuations
      AUD Chicago SRW Wheat Swaps
       
      CAW
       
      14G
      Determined by the Exchange
       
      Sep 2013
       
      27 Metric Tons
       
      AUD$0.25 per Metric Ton
      AUD KC HRW Wheat Swaps
      KAW
      22
      Determined by the Exchange
       
      Sep 2013
       
      27 Metric Tons
       
      AUD$0.25 per Metric Ton

      The full Rulebook Chapters are included in Appendix 1.
       
      CLEARING HOURS
      The contracts will be available on CME ClearPort Sunday – Friday 5:00 p.m. 4:15 p.m. Central Time with a 45-monute pause each day beginning at 4:15 p.m. CT.
       
      FEES
      AUD Chicago SRW Wheat Swap

      Level
      Account Owner
      Execution Type
      Platform
      AUD SRW Wheat Swaps
      Individual Member
      1
      Individual Members  
      Member Trading
      Own Account
      ClearPort
      $1.00
      Individual Delegates
      Delegate Trading Own Account
      ClearPort
      $1.25
       
      Equity Members (Individual Equity members, Clearing Firms and Equity Firms)
      2
      Equity Members ¹
      Member or Delegate
      ClearPort
      $1.00
       
      Equity Members ¹
      Non Member
      ClearPort
       
      $1.00
      (Exception) Rule 106.S. Family of Funds Equity Member Firms
      Member, Delegate or Non Member
      ClearPort
      $1.00

       
      1      1 - Clearing Closely Held Corporate Members & Sole Proprietors, Rule 106.J. Equity Closely Held Corporate Members & Rule 106.I. Affiliate Equity Member Firms, Individual Equity Members (other member/delegate executing), Clearing FCMs, Rule 106.J. Equity FCMs, Clearing Corporate Members, Rule 106.J. Equity Corporate Members & Rule 106.I. Affiliate Equity Member Firm (Affiliate of Clearing FCM, Clearing Corporate Member or Rule 106.J Equity FCM or Equity Corporate Member), Rule 106.I. Affiliate Membership Umbrella - Qualified Affiliate - Unlimited Number of Affiliates
       

      Level
      Account Owner
      Platform
      AUD SRW Wheat Swaps
      Trading Members (Individual Non-Equity Members and Non-Equity Member Firms)
      3
      Individual Non-Equity Members (other member/delegate executing); Rule 106.H. Corporate Trading Firms; Rule 106.H. Trading FCMs; & Rule 106.I. Affiliate Trading Member Firms
      ClearPort
      $1.25
       
      Individual Delegates (Other Member or Delegate executing the trade) & Rule 106.I. Affiliate Trading Member Firms
      ClearPort
      $1.25
      Rule 106.S. Family of Funds Equity Member Firms
      ClearPort
      $1.25
      Electronic Corporate Member Firms
      4
      Electronic Corporate Members
      ClearPort
       
      $1.50
       
      Non Members
      5
      Int'l; Asian; Latin American Bank & Latin American Fund Manager Incentive Programs
      ClearPort
       
      $1.50
       
      Non Members
      ClearPort
      $1.50
       

      2. Clearing Fee Waiver and Ex-Pit Waiver (Exchange Fee is the all in fee).

      Other CBOT Processing Fees
      AUD SRW Wheat Swaps
      Ex-Pit Surcharges
      n/a
      Fungibility & Directed Fungibility Surcharge
      (currently applies to Dow and Ag)
      n/a
      Exchange Fees for Non Trades
      $1.00
      Brokerage Fees – with discretion
      n/a
      Brokerage Fees – without discretion
      n/a
      Clearing Fees
      $0.00
      Position Adjustments /Position Transfers
      n/a
      Exercise/Assignment Surcharge
      n/a
      Future from Exercise and Assignment Surcharge
      n/a

       
      2      Clearing Fee - Contracts Cleared (including give-ups, OTC, EFPs, EFSs & EFRs, and Blocks)           
       

      Current Fee Programs
      (Inclusion/Exclusion)
      Ag Back Month Program
      n/a
      Ag Volume Discount Program (General and Market Marker)
      n/a
      Market Maker/Targeted Participant Program
      n/a
      Fee Cap
      n/a
      NTIP
      n/a
      Facilitation Desk Fee
      $0.20

       
      Exchange CBOT

      Product Eligibility
      (Seat Division)
      FULL
      AM
      GIM
      COM
      IDEM
      x
       
       
       
       

       
      AUD KC HRW Wheat Swap

      Account Type¹
      Platform
      AUD HRW Wheat Swaps
      KCBT Permit Holders &
      ClearPort
      $1.00
      KCBT Permit Delegates
      ClearPort
      $1.00
      CME & CBOT Equity Members
      ClearPort
      $1.00*
      CME & CBOT Non-Equity Members & Delegates
      ClearPort
      $1.25**
      Non-Members
      ClearPort
      $1.50

       
      *Includes CBOT /CME Full Individual Members and CBOT/CME Full Equity Members (Individual Equity members, Clearing Firms, and Equity Firms) 
      ** Includes CBOT/CME Full Individual Non-Equity Members and CBOT/CME Full Non-Equity Member Firms
      1.     Clearing Fee Waiver and Ex-Pit Waiver (Exchange Fee is the all in fee).
       

      Surcharges
      AUD HRW Wheat Swaps
      ClearPort Facilitation Desk
      $0.20

       

      Exchange Fee Non-Trades
      AUD HRW Wheat Swaps
      All Account Types
      $1.00

       

      Product Eligibility (Seat Division)
      CBOT Full
      CME
      KCBT Permit Holder

       
      Please refer questions on this product to:
      Singapore
      Nelson Low                             Nelson.Low@cmegroup.com             +65 6593 5570
      Chicago
      Candice Graham                    Candice.Graham@cmegroup.com    312 930 3365
      Fred Seamon                          Fred.Seamon@cmegroup.com         312 634 1587
      For media inquiries concerning this Special Executive Report, please contact CME Group Corporate Communications at 312.930.3434 or news@cmegroup.com.
       
       
       
      APPENDIX 1
      Chapter 14G
      AUD Chicago Soft Red Winter Wheat Swap (Cleared Only)
       
      14G00. SCOPE OF CHAPTER
      This chapter is limited in application to the clearing of AUD Chicago Soft Red Winter (SRW) Wheat Swaps, where the parties to the transaction are “Eligible Contract Participants” as defined in Commodity Exchange Act Section 1a(18). Transactions in AUD Chicago SRW Wheat Swaps shall also be subject to the general rules of the Exchange insofar as applicable. The clearing and settlement of transactions in AUD Chicago SRW Wheat Swaps shall also be subject to the provisions of Chapter 8-F of the CBOT Rulebook.
      14G01. CONTRACT SPECIFICATIONS
      14G01.A. Unit of Clearing
      The unit of clearing shall be 27 metric tons of Wheat.
      14G01.B. Hours for Clearing Entry
      The Exchange shall determine the hours during which AUD Chicago SRW Wheat Swaps may be submitted to the Clearing House. Positions shall be initiated or closed out using off-exchange transactions.
      14G01.C. Minimum Price Increments
      Minimum price fluctuations shall be in multiples of AUD $0.25 per metric ton which shall equal AUD $6.75 per contract. Contracts shall not be made on any other price basis.
      14G01.D. Months Cleared
      Clearing of AUD Chicago SRW Wheat Swaps is regularly conducted in all twelve months. The number of months in which clearing may occur shall be at the discretion of the Exchange. 
      14G01.E. Position Limits, Exemptions, Position Accountability and Reportable Levels
      The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special Notices Section of Chapter 5.
       
      A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the Market Regulation Department on forms provided by the Exchange, and the Market Regulation Department may grant qualified exemptions in its sole discretion.
       
      Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from the specified position limits.
       
      14G01.F. Last Day of Clearing
      The last day of clearing of AUD Chicago SRW Wheat Swaps deliverable in the current delivery month shall be the final settlement day as prescribed in Rule 14G05.
      14G01.G. Liquidation during the Delivery Month
      After clearing of AUD Chicago SRW Wheat Swaps in the current delivery month has ceased, in accordance with Rule 14G01.F. of this chapter, outstanding contracts for such delivery shall be liquidated by cash settlement as prescribed in Rule 14G02.
      14G02. CASH SETTLEMENT
      Final settlement under these rules shall be on the final settlement day (as described in Rule 14G05) and shall be accomplished by cash settlement. Clearing members holding open positions in AUD Chicago SRW Wheat Swaps at the time of termination of clearing shall make payment to and receive payment through the Clearing House in accordance with normal variation settlement procedures based on a settlement price equal to the final settlement price (as described in Rule 14G03.).
      14G03. FINAL SETTLEMENT PRICE AND DAILY SETTLEMENT
      The final settlement price shall be determined on the final settlement day. The final settlement price shall be the settlement price for the corresponding CBOT Wheat futures contract on the final settlement day of the AUD Chicago SRW Wheat Swap converted to Australian dollars using the midpoint between the HIGH/LOW of the Thomson Reuters “AUDH” exchange rate next published after the close of the CBOT Open Outcry Wheat futures contract and converted to price per metric ton. 
      Daily settlement shall be the settlement price for the corresponding CBOT Wheat futures contract on that day converted to Australian dollars using the midpoint between the HIGH/LOW of the Thomson Reuters “AUDF” exchange rate equating to and interpolating between the closest date(s) to contract expiration and next published after the close of the CBOT Open Outcry Wheat futures contract and converted to price per metric ton. Both Daily and Final settlement shall be rounded to the nearest A$0.001.
      “Market Disruption Event” (“MDE”) shall mean: (a) the termination or suspension of, or material limitation or disruption in the trading of the CBOT Wheat futures contract on that day, including if due to the closing of the Exchange prior to the regularly scheduled closing time of the Exchange; (b) the settlement price of the underlying CBOT Wheat futures contract reflects the maximum permitted price change from the previous day’s settlement price; or (c) the failure of the Exchange to publish an official Settlement Price for the underlying CBOT Wheat futures contract. If an MDE occurs and the Exchange does not publish a settlement price for the corresponding CBOT Wheat futures contract, the AUD Chicago SRW Wheat Swap settlement on that day shall revert back to the settlement price on the first preceding business day. If an MDE occurs and the Exchange publishes a settlement price for the Corresponding CBOT Wheat futures contract, the AUD Chicago SRW Wheat Swap will settle that day to the settlement price for the corresponding CBOT Wheat futures contract on that day converted to Australian dollars and priced per metric ton. If an MDE occurs on final settlement day, then final settlement for an expiring AUD Chicago SRW Wheat Swap shall be based on the next available CBOT Wheat futures settlement price for which an MDE is no longer in effect, with a delay limited to 10 business days from the original expiration date. If, on the 10th business day, an MDE is still in effect, then the Exchange will determine an appropriate estimated settlement price. 
      14G04. RESERVED
      14G05. FINAL SETTLEMENT DAY
      The final settlement day shall be on the last Friday, which precedes by at least two business days, the last business day of the month preceding the swap month.   If such Friday is not a business day, the final settlement day shall be the business day prior to such Friday.
      14G06. DISPUTES
      All disputes between interested parties may be settled by arbitration as provided in the Rules.


      Chapter 22
      AUD KC Hard Red Winter Wheat Swap (Cleared Only)
      2200.00 SCOPE OF CHAPTER
      This chapter is limited in application to the clearing of AUD KC Hard Red Winter (HRW) Wheat Swaps, where the parties to the transaction are “Eligible Contract Participants” as defined in Commodity Exchange Act Section 1a(18). Transactions in AUD KC HRW Wheat Swaps shall also be subject to the general rules of the Exchange insofar as applicable. The clearing and settlement of transactions in AUD KC HRW Wheat Swaps shall also be subject to the rules and by-laws of the Clearing House.
      2201.00 CONTRACT SPECIFICATIONS
      2201.01. Unit of Clearing
      The unit of clearing shall be 27 metric tons of Wheat.
      2201.02. Hours for Clearing Entry
      The Exchange shall determine the hours during which AUD KC HRW Wheat Swaps may be submitted to the Clearing House. Positions shall be initiated or closed out using off-exchange transactions.
      2201.03. Minimum Price Increments
      Minimum price fluctuations shall be in multiples of AUD $0.25 per metric ton which shall equal AUD $6.75 per contract. Contracts shall not be made on any other price basis.
      2201.04. Months Cleared
      Clearing of AUD KC HRW Wheat Swaps is regularly conducted in all twelve months. The number of months in which clearing may occur shall be at the discretion of the Exchange. 
      2201.05. Position Limits, Exemptions, Position Accountability and Reportable Levels
      The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth in Chapter 5.
       
      A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the Market Regulation Department on forms provided by the Exchange, and the Market Regulation Department may grant qualified exemptions in its sole discretion.
       
      Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from the specified position limits.
       
      2201.06. Last Day of Clearing
      The last day of clearing of AUD KC HRW Wheat Swaps deliverable in the current delivery month shall be the final settlement day as prescribed in Rule 2205.00.
      2201.07. Liquidation during the Delivery Month
      After clearing of AUD KC HRW Wheat Swaps in the current delivery month has ceased, in accordance with Rule 2201.06. of this chapter, outstanding contracts for such delivery shall be liquidated by cash settlement as prescribed in Rule 2202.00.
      2202.00. CASH SETTLEMENT
      Final settlement under these rules shall be on the final settlement day (as described in Rule 2205.00) and shall be accomplished by cash settlement. Clearing members holding open positions in AUD KC HRW Wheat Swaps at the time of termination of clearing shall make payment to and receive payment through the Clearing House in accordance with normal variation settlement procedures based on a settlement price equal to the final settlement price (as described in Rule 2203.00.).
      2203.00. FINAL SETTLEMENT PRICE AND DAILY SETTLEMENT
      The final settlement price shall be determined on the final settlement day. The final settlement price shall be the settlement price for the corresponding KCBT Wheat futures contract on the final settlement day of the AUD KC HRW Wheat Swap converted to Australian dollars using the midpoint between the HIGH/LOW of the Thomson Reuters “AUDH” exchange rate next published after the close of the KCBT Open Outcry Wheat futures contract and converted to price per metric ton. 
      Daily settlement shall be the settlement price for the corresponding KCBT Wheat futures contract on that day converted to Australian dollars using the midpoint between the HIGH/LOW of the Thomson Reuters “AUDF” exchange rate equating to and interpolating between the closest date(s) to contract expiration and next published after the close of the KCBT Open Outcry Wheat futures contract and converted to price per metric ton. Both Daily and Final settlement shall be rounded to the nearest A$0.001.
      “Market Disruption Event” (“MDE”) shall mean: (a) the termination or suspension of, or material limitation or disruption in the trading of the KCBT Wheat futures contract on that day, including if due to the closing of the Exchange prior to the regularly scheduled closing time of the Exchange; (b) the settlement price of the underlying KCBT Wheat futures contract reflects the maximum permitted price change from the previous day’s settlement price; or (c) the failure of the Exchange to publish an official Settlement Price for the underlying KCBT Wheat futures contract. If an MDE occurs and the Exchange does not publish a settlement price for the corresponding KCBT Wheat futures contract, the AUD KC HRW Wheat Swap settlement on that day shall revert back to the settlement price on the first preceding business day. If an MDE occurs and the Exchange publishes a settlement price for the Corresponding KCBT Wheat futures contract, the AUD KC HRW Wheat Swap will settle that day to the settlement price for the corresponding KCBT Wheat futures contract on that day converted to Australian dollars and priced per metric ton. If an MDE occurs on final settlement day, then final settlement for an expiring AUD KC HRW Wheat Swap shall be based on the next available KCBT Wheat futures settlement price for which an MDE is no longer in effect, with a delay limited to 10 business days from the original expiration date. If, on the 10th business day, an MDE is still in effect, then the Exchange will determine an appropriate estimated settlement price. 
      2204.00. RESERVED
      2205.00. FINAL SETTLEMENT DAY
      The final settlement day shall be on the last Friday, which precedes by at least two business days, the last business day of the month preceding the swap month.   If such Friday is not a business day, the final settlement day shall be the business day prior to such Friday.
      2206.00. DISPUTES
      All disputes between interested parties may be settled by arbitration as provided in the Rules.


      KCBT CHAPTER 5
      TRADING QUALIFICATIONS AND PRACTICES
       
      559.F. Wheat Position Limits
      No person may or control positions, separately or in combination, net long or net short, for the purchase or sale of commodity futures, AUD swaps, and options contracts, on a net equivalent futures position basis, in excess of the following:
      1. Spot Month – 600 contracts
      2. Single Month – 12,000 contracts
      3. All Months Combined – 12,000 contracts
      4. Last Day of Clearing AUD Swaps: 600 contracts, additional positions allowed provided they are offset with opposite positions in KBT Wheat futures and/or options.
      561.B. Reportable Levels
      Wheat futures – 150 contracts
      Wheat futures options – 50 contracts
      Wheat Calendar Swaps and AUD KC HRW Swaps (Cleared-Only) – 25 contracts

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