The Variable Storage Rate (VSR) mechanism in Chicago Board of Trade (CBOT) SRW Wheat futures examines nearby calendar spreads to determine adjustments in contract premium (storage) charges. The December 2014 – March 2015 wheat calendar spread averaged 40.14 percent of financial full carry during the period of September 19, 2014 through November 21, 2014. Since this result is less than 50% of financial full carry, the maximum premium charge that a wheat regular delivery facility may charge holders of its outstanding shipping certificates will decrease from 26.5/100s of one cent per bushel per day (approximately 8 cents per bushel per month) to 16.5/100s of one cent per bushel per day (approximately 5 cents per bushel per month) on December 18, 2014.
The next evaluation period will measure the March 2015 – May 2015 calendar spread relative to financial full carry during the period of December 19, 2014 to February 20, 2015 with the next possible adjustment to contract premium charges on March 18, 2015. Please note that the maximum storage rate of 16.5/100s of one cent per bushel per day is the contract minimum storage charge and, therefore, a VSR calculation at or below 50 percent on the March 2015 – May 2015 spread cannot trigger a lower storage rate.
Questions may be directed to Fred Seamon in Research and Product Development (312-634-1587 or Fred.Seamon@CMEGroup.com).