Commodity Derivatives. SACOTA AGM 23 September 2014

Transcription

1 Commodity Derivatives SACOTA AGM 23 September 2014

2 Agenda Interest in FOB Durban Maize Contract Update on SOYA and no/differentials Proposed Russian/Ukrainian wheat contract Trading basis futures Storage Operator agreements and out loading procedures SOYA Meal Contract

3 FOB Durban Maize Contract Request from producers side for JSE to consider listing this contract SA already exports 1 2 mil tons of maize. Idea is to have a traded price that reflects export parity in Durban Is there appetite from SACOTA s for this? Contract size? Cash vs physical settlement? If cash settled: Are you willing to share price information for a weekly/monthly index? If delivered: SA Bulk Terminal for storage allocation

4 Update on SOYA Differentials Resolved at Advisory meeting that no new contracts be listed until such time that we have clarity on way forward Currently busy with survey on location differentials Major player prefers to leave the status quo. No addition of delivery points in the course of marketing season.

5 Russian/Ukrainian Wheat Contract Millers are for the idea Challenge: Separate deliverable contract or part of the main WEAT contract? Origin discount How much is enough? Local producers are against dumping of foreign wheat at their expense. Russian wheat will become the new benchmark of SA wheat contract By trading a separate contract the market will discount the basis by itself

6 Basis futures contract In summary: 5 main hedging months will be the reference months for trading with expiry taking place the prior month: Feb,Apr,Jun,Aug,Nov Expiry date and notice day for ALL deliveries = first notice day of reference month eg 30 June for Jul14 Last trading day = 3 business days prior eg 26 Jun14 Listed as a separate contract with unique codes per basis points per product eg Expiry Date Product Code Basis Point Code 26 Jun14 WS01 Details of the basis point code describing delivery points will be in the detailed contract name published to the market

7 Basis futures contract Basis points are grouped on the following terms: Consider proximity to each other ie 25km s, 50km s If site has both rail and road out loading Should we prescribe a minimum storage capacity? Do we group across storage operators? Do we group bag/bunker and silos together? Number of delivery points: Maize 222 registered delivery points Suns 178 registered delivery points Sorghum 43 registered delivery points Soya 143 registered delivery points Wheat 170 registered delivery points The challenge is to group basis points to ensure best liquidity potential whilst also not to detract from the basis premium possible!

8 Basis futures contract Basis positions are tied back to the reference hedging month at the time of delivery Considering % based price limits to protect from extreme price moves 26 Jun14 WSO1 short position will require 100 tons of white maize delivered in either Middelvlei or Oberholzer silos and processed on a short Jul 14 futures position All payments and settlements are aligned to existing delivery process Any appetite from SACOTA for this?

9 Storage Operator Agreements The tight stock levels of last season taught us lessons JSE busy with an updated draft on physical delivery process and interaction with storage operators Best practices at storage facilities were at times not in line with JSE Rules. Seven or ten days turn around principle. Also beefing up dispute resolution mechanism (Appendix C)

10 SOYA Meal Contract We have been back and forth between cash settled vs physically delivered The two major crushers are willing to offer storage; cash settled contract not desirable Biggest challenge now is to a representative domestic spec. (Protein, Urea, TIA) Any preferences from SACOTA?