Note: This SER replaces SER S-6066 issued on December 30, 2011.
Pending CFTC approval, the Exchange plans to implement increased single- and all-month futures equivalent speculative position limits consistent with Commodity Futures Trading Commission (CFTC) Legacy Referenced non-spot speculative position limits in Corn, Mini-Sized Corn, Soybeans, Mini-Sized Soybeans, Wheat, Mini-Sized Wheat, Oats, Soybean Oil, and Soybean Meal futures on January 17, 2012.
On November 18, 2011, the CFTC published rules on position limits in futures and swaps in the Federal Register. The effective implementation date for the new CFTC limits in the legacy referenced products specified in these new rules is January 17, 2012. Among these new rules are non-spot speculative position limits for Legacy agricultural Referenced contracts, which sets non-spot Federal limits for CBOT Corn (33,000 contracts), CBOT Soybeans (15,000 contracts), CBOT Wheat (12,000 contracts), CBOT Soybean Oil (8,000 contracts), CBOT Soybean Meal (6,500 contracts), and CBOT Oats (2,000 contracts). In order to remain consistent with these Federal limits and pending CFTC approval, the Exchange plans to set corresponding single- and all-month speculative limits equivalent to CFTC’s non-spot limits effective January 17, 2012.
Since single- and all-month speculative position limits will be the same under CFTC’s new limit rules, language that allowed futures/futures, options/options, and options/futures spreads within a crop year when combined with outright positions to not exceed the all-months combined limits is no longer needed.
Additionally, language is clarified that there is no netting between mini- and full-sized contracts. The Exchange aggregates futures-equivalent position limits across full-sized futures, mini-sized futures, and options. Without netting between mini- and full-sized contracts, market participants must be compliant in the full-sized contract, compliant in the mini-sized contract, and compliant in aggregate.
Planned contract changes are attached with additions bold and underscored and deletions [bracketed with strikethrough].
Questions may be directed to Fred Seamon (312.634.1587 or Fred.Seamon@CMEGroup.com). For media inquiries concerning this Special Executive Report, please contact CME Group Corporate Communications at 312.930.3434 or news@cmegroup.com.
#1 Additional futures contracts may be held outside of the spot month as part of futures/futures spreads within a crop year provided that the total of such positions, when combined with outright positions, do not exceed the all months combined limit. In addition, a person may own or control additional options in excess of the futures-equivalent limits provided that those option contracts in excess of the futures-equivalent limits are part of an eligible option/futures spread.
#3 [No more than 13,500 futures-equivalent contracts net on the same side of the market are allowed in a single month in all strike prices combined. Additional options contracts may be held as part of option/option or option/futures spreads between months within the same crop year provided that the total of such positions, when combined with outright positions, does not exceed the all months combined limit. The futures-equivalents for both the options and futures contracts are aggregated to determine compliance with these net same side single month position limits.] The futures-equivalents for both the options (in all strike prices) and futures contracts are aggregated to determine compliance with these net position limits.
#5 In the last five trading days of the expiring futures month, the speculative position limit for the July futures month will be 200 contracts and for the September futures month the limit will be 250 contracts.
#8 In the last five trading days of the expiring futures month in May, the speculative position limit will be 600 contracts if deliverable supplies are at or above 2,400 contracts, 500 contracts if deliverable supplies are between 2,000 and 2,399 contracts, 400 contracts if deliverable supplies are between 1,600 and 1,999 contracts, 300 contracts if deliverable supplies are between 1,200 and 1,599 contracts, and 220 contracts if deliverable supplies are below 1,200 contracts. Deliverable supplies will be determined from the CBOT’s Stocks of Grain report on the Friday preceding the first notice day for the May contract month. For the purposes of this Appendix, one mini-sized Wheat contract shall be deemed to be equivalent to one-fifth of a corresponding Wheat contract.
- One DJIA Index futures contract shall be deemed to be equivalent to two mini-sized Dow ($5 multiplier) contracts.
- One DJIA Index ($25 multiplier) futures contract shall be deemed to be equivalent to five mini-sized Dow ($5 multiplier) contracts.
- Two DJIA Index ($25 multiplier) futures contracts shall be deemed to be equivalent to five DJIA Index futures contracts.
#10 The net long or net short positions in Corn, Soybeans, or Wheat contracts may not exceed their respective position limits. The net long or net short positions in mini-sized Corn, mini-sized Soybeans, or mini-sized Wheat contracts may not exceed their respective position limits. The aggregate [net] long or [net] short positions in Corn and mini-sized Corn, Soybeans and mini-sized Soybeans, or Wheat and mini-sized Wheat contracts may not exceed their respective position limits. There shall be no netting between mini- and full-sized contracts for position limit purposes. For the purposes of this Appendix, one mini-sized Corn, one mini-sized Soybean, or one mini-sized Wheat contract shall be deemed to be equivalent to one-fifth of a corresponding Corn, Soybeans, or Wheat contract.
#11 The reporting level for the primary contract is separate from the reporting level for the mini-sized contract. Positions in any one month at or above the contract level indicated trigger reportable status. For a person in reportable status, all positions in any month of that contract must be reported. For the purposes of this Appendix, positions are on a contract basis.
#13 In the last ten trading days of the expiring futures month, the following position limits in the expiring contract will apply: U.S. Treasury Bonds – 25,000 contracts; U.S. Treasury Notes (6½ - 10 Year) – 60,000 contracts; U.S. Treasury Notes ( 5 Year) – 45,000 contracts; U.S. Treasury Notes (2 Year) – 25,000 contracts. No hedge exemptions will be permitted with respect to these limits.
#14 Net Futures Equivalent Position limit applies to Ethanol futures and Ethanol Standard Options only.
#15 Position Accountability applies to Cash-Settled Ethanol Options only. Reportable Option Levels applies to both Standard Ethanol Options and Cash-Settled Ethanol Options.
#16 The spot month position limits for fertilizer swaps shall be in effect as of the open of trading on the last three trading days of the expiring contracts.
2. [22,000] 33,000 futures-equivalent contracts net long or net short in any single month other than the spot month or in all months combined.
3. Limit on Holdings of Registered and Outstanding Shipping Certificates – No person, at any time, shall own or control more than 600 registered and outstanding Corn Shipping Certificates issued by facilities designated by the Exchange as regular to issue shipping certificates for Corn. The 600 certificate maximum shall include mini-sized Corn certificates such that each mini-sized certificate represents the equivalent of one-fifth of a full-sized certificate.
If a person stops Corn certificates for delivery in a quantity that would cause such person to exceed the 600 certificate limit, the person must cancel, retender or sell the quantity of certificates in excess of 600 not later than the following business day.
A person seeking an exemption from this limit 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.
For the purposes of this rule, one mini-sized corn contract is equivalent to one-fifth of a corresponding full-sized corn contract, and positions in corn and mini-sized corn will be aggregated for the purpose of determining compliance with the contracts’ position limit.
Refer to Rule 559. for requirements concerning the aggregation of positions and allowable exemptions from the specified position limits.
1. [22,000] 33,000 futures-equivalent contracts net long or net short in any single month or in all months combined.
1. 3,000 mini-sized contracts net long or net short in the spot month.
2. [110,000] 165,000 mini-sized futures-equivalent contracts net long or net short in any single month other than the spot month or in all months combined.
For the purposes of this rule positions in Corn futures and options, mini-sized Corn futures, and Corn Calendar Spread Options will be aggregated for the purpose of determining compliance with the contracts’ position limit.
Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from the specified position limits.
For the purposes of this rule, positions in Corn futures and options, mini-sized Corn futures, Corn Calendar Spread options, and Soybean-Corn Intercommodity Spread options and positions in Soybean futures and options, mini-sized Soybean futures, Soybean Calendar Spread options, and Soybean-Corn Intercommodity Ratio options will be aggregated for the purpose of determining compliance with the contracts’ position limit.
1. [10,000] 15,000 futures-equivalent contracts net long or net short in any single month or in all months combined.
For the purposes of this rule, positions in Corn futures and options, mini-sized Corn futures, Corn Calendar Spread options, and Wheat-Corn Intercommodity Spread options and positions in Wheat futures and options, mini-sized Wheat futures, Wheat Calendar Spread options, and Wheat-Corn Intercommodity Ratio options will be aggregated for the purpose of determining compliance with the contracts’ position limit.
 1. [6,500] 12,000 futures-equivalent contracts net long or net short in any single month or in all months combined.
2. [10,000] 15,000 futures-equivalent contracts net long or net short in any single month other than the spot month or in all months combined.
For the purposes of this rule, one mini-sized soybean contract is equivalent to one-fifth of a corresponding full-sized soybean contract, and positions in soybean and mini-sized soybean contracts will be aggregated for the purpose of determining compliance with the contracts’ position limit.
3. Limit on Holdings of Registered and Outstanding Shipping Certificates – No person, at any time, shall own or control more than 600 registered and outstanding Soybean Shipping Certificates issued by facilities designated by the Exchange as regular to issue shipping certificates for Soybeans. The 600 certificate maximum shall include mini-sized Soybean certificates such that each mini-sized certificate represents the equivalent of one-fifth of a full-sized certificate.
If a person stops Soybean certificates for delivery in a quantity that would cause such person to exceed the 600 certificate limit, the person must cancel, retender or sell the quantity of certificates in excess of 600 not later than the following business day.
For the purposes of this rule, one mini-sized soybean contract is equivalent to one-fifth of a corresponding full-sized soybean contract, and positions in soybeans and mini-sized soybeans will be aggregated for the purpose of determining compliance with the contracts’ position limit.
1. 3,000 contracts net long or net short in the spot month.
2. [50,000] 75,000 futures-equivalent contracts net long or net short in any single month other than the spot month or in all months combined.
For the purposes of this rule positions in Soybean futures and options, mini-sized Soybean futures, and Soybean Calendar Spread Options will be aggregated for the purpose of determining compliance with the contracts’ position limit.
1. 540 contracts net long or net short in the spot month.
2. [6,500] 8,000 futures-equivalent contracts net long or net short in any single month other than the spot month or in all months combined.
3. Limit on Holdings of Registered and Outstanding Receipts – No person, at any time, shall own or control more than 540 registered and outstanding Soybean Oil Receipts issued by facilities designated by the Exchange as regular to issue receipts for Soybean Oil.
If a person stops Soybean Oil receipts for delivery in a quantity that would cause such person to exceed the 540 receipt limit, the person must cancel, retender or sell the quantity of receipts in excess of 540 not later than the following business day.
1. [6,500] 8,000 futures-equivalent contracts net long or net short in any single month or in all months combined.
For the purposes of this rule positions in Soybean Oil futures and options and Soybean Oil Calendar Spread Options will be aggregated for the purpose of determining compliance with the contracts’ position limit.
1. 720 contracts net long or net short in the spot month.
2. 6,500 futures-equivalent contracts net long or net short in any single month other than the spot month or in all months combined.
3. Limit on Holdings of Registered and Outstanding Shipping Certificates – No person, at any time, shall own or control more than 720 registered and outstanding Soybean Meal Shipping Certificates issued by facilities designated by the Exchange as regular to issue shipping certificates for Soybean Meal.
If a person stops Soybean Meal certificates for delivery in a quantity that would cause such person to exceed the 720 certificate limit, the person must cancel, retender or sell the quantity of certificates in excess of 720 not later than the following business day.
1. 6,500 futures-equivalent contracts net long or net short in any single month or in all months combined.
For the purposes of this rule positions in Soybean Meal futures and options and Soybean Meal Calendar Spread Options will be aggregated for the purpose of determining compliance with the contracts’ position limit.
2. [6,500] 12,000 futures-equivalent contracts net long or net short in any single month other than the spot month or in all months combined.
3. Limit on Holdings of Registered and Outstanding Shipping Certificates – No person, at any time, shall own or control more than 600 registered and outstanding Wheat Shipping Certificates issued by facilities designated by the Exchange as regular to issue shipping certificates for Wheat. The 600 certificate maximum shall include mini-sized Wheat certificates such that each mini-sized certificate represents the equivalent of one-fifth of a full-sized certificate.
If a person stops Wheat certificates for delivery in a quantity that would cause such person to exceed the 600 certificate limit, the person must cancel, retender or sell the quantity of certificates in excess of 600 not later than the following business day.
For the purposes of this rule, one mini-sized wheat contract is equivalent to one-fifth of a corresponding full-sized wheat contract, and positions in wheat and mini-sized wheat will be aggregated for the purpose of determining compliance with the contracts’ position limit.
In the last five trading days of the expiring futures month in May, the speculative position limit will be 3,000 contracts if deliverable supplies are at or above 12,000 contracts, 2,500 contracts if deliverable supplies are between 10,000 and 11,999 contracts, 2,000 contracts if deliverable supplies are between 8,000 and 9,999 contracts, 1,500 contracts if deliverable supplies are between 6,000 and 7,999 contracts, and 1,100 contracts if deliverable supplies are below 6,000 contracts. Deliverable supplies will be determined from the CBOT’s Stocks of Grain report on the Friday preceding the first notice day for the May contract month.
2. [32,500] 60,000 futures-equivalent contracts net long or net short in any single month other than the spot month or in all months combined.
3. Limit on Holdings of Registered and Outstanding Shipping Certificates – No person, at any time, shall own or control more than 600 registered and outstanding Wheat Shipping Certificates issued by facilities designated by the Exchange as regular to issue shipping certificates for Wheat. The 600 certificate maximum shall include mini-sized Wheat certificates such that each mini-sized certificate represents the equivalent of one fifth of a full-sized certificate.
For the purposes of this rule positions in Wheat futures and options, mini-sized Wheat futures, and Wheat Calendar Spread Options will be aggregated for the purpose of determining compliance with the contracts’ position limit.
2. 2,000 futures-equivalent contracts net long or net short in any single month other than the spot month or in all months combined.
3. Limit on Holdings of Registered and Outstanding Shipping Certificates – No person, at any time, shall own or control more than 600 registered and outstanding Oat Shipping Certificates issued by facilities designated by the Exchange as regular to issue certificates for Oats.
If a person stops Oat Shipping Certificates for delivery in a quantity that would cause such person to exceed the 600 certificate limit, the person must cancel, retender or sell the quantity of certificates in excess of 600 not later than the following business day.
1. 2,000 futures-equivalent contracts net long or net short in any single month or in all months combined.