The Variable Storage Rate (VSR) mechanism in Chicago Board of Trade (CBOT) SRW Wheat futures examines nearby calendar spreads to determine adjustments in maximum contract premium (storage) charges. The July 2015 – September 2015 wheat calendar spread averaged 48.55 percent of financial full carry during the period of May 19, 2015 through June 26, 2015. Although this result is below 50 percent of financial full carry and would normally trigger a reduction in maximum Wheat premium charges, the current premium charge is already at the minimum allowed by the mechanism. Thus, the maximum premium charge that a Wheat regular delivery facility may charge holders of its outstanding shipping certificates will not change from the current maximum charge of 16.5/100s of one cent per bushel per day (approximately 5 cents per bushel per month).
The next evaluation period will measure the September 2015 – December 2015 calendar spread relative to financial full carry during the period of July 20, 2015 to August 21, 2015 with the next possible adjustment to contract premium charges on September 18, 2015. Please note that the current maximum storage rate of 16.5/100s of one cent per bushel per day is the contract minimum storage charge and a VSR calculation at or below 50 percent on the September 2015 – December 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).