Special Executive Report

Transcription

1 Special Executive Report S-8026 November 2, 2017 Implementation of Pre-Execution Communications and Block Trading in all CME and CBOT Agricultural Futures & Options Contracts Effective Sunday, January 7, 2018 for trade date Monday, January 8, 2018, and pending all relevant CFTC regulatory review periods, Chicago Mercantile Exchange Inc. ( CME ) and The Board of Trade of the City of Chicago, Inc. ( CBOT ) (collectively, the Exchanges ), will permit block trading in all Agricultural futures, options, outrights, spreads and combinations (the Contracts ) pursuant to the requirements of CME and CBOT Rule 526. ( Block Trades ); add the R-Cross protocol for CME and CBOT futures and CBOT options at all times pursuant to the requirements of CME and CBOT Rule 539.C. ( Pre-Execution Communications Regarding Globex Trades ); and add the G-Cross protocol for all CBOT Agricultural futures pursuant to CBOT Rule 539.C. (collectively, the Rule Amendments ). The Rule Amendments will enhance customers abilities to (1) execute large-lot orders, (2) transact in less liquid markets, and (3) trade in products where the Central Limit Order Book ( CLOB ) may not be deep enough to execute such orders without disrupting prices. The Rule Amendments will also change the block trade minimum quantity thresholds and reporting times for the following Agricultural contracts, Australian, Black Sea and EU Wheat, Cash Settled Cheese, Urea, and Crude Palm Oil products, which are currently block eligible. These amendments will harmonize block thresholds and reporting times across the Agricultural complex. Block transactions will be permitted in all CME and CBOT agricultural futures and options contracts as noted in Appendix A below in blackline format. Additional information and resources pertaining to Agricultural block and cross trading are presented below. Block Trading Cross Trading Spreads and Combinations - R-Cross enabled on all products with a 5 second pre-trade window In addition, effective Thursday November 30, 2017 for trade date Friday, December 1, 2017, and pending all relevant CFTC regulatory review periods, the Exchanges will amend the fee schedule associated with EFR and block transactions for certain CME and CBOT agricultural contracts which are currently block eligible. The amendments to those existing CME and CBOT fees are provided in Appendix B below. Appendix B shall also apply to all CME and CBOT agricultural futures and options contracts upon the effective date of the Rule Amendments (trade date January 8, 2018).

2 Appendix A CME and CBOT Agricultural Products Block Thresholds and Reporting Times (additions underscored; deletions struck through) Block Trade Minimum Quantity Threshold Level Reporting Times (Minutes) Effective trade date January 8, 2018 CME CBOT Contract Titles CBOT Rulebook Clearing CME Globex Group CME RTH ETH/ATH Chapter Globex Code ClearPort Corn Futures 10 C ZC ZC C Corn TAS Futures 10 ZCT ZCT TP ZCT Soybean Futures 11 S ZS ZS S Soybean TAS Futures 11 SBT SBT TA SBT Soybean Oil Futures ZL ZS Soybean Oil TAS Futures 12 ZLT ZLT TA ZLT Soybean Meal Futures ZM ZS Soybean Meal TAS Futures 13 ZMT ZMT TA ZMT Chicago SRW Wheat Futures 14 W ZW ZW W Chicago SRW Wheat TAS 14 ZWT ZWT TW ZWT Futures Oats Futures 15 O ZO ZO O Rough Rice Futures ZR ZR Australian Wheat FOB (Platts) 32 AUW AUW AH AUW Futures Black Sea Wheat Futures 33 BSW BSW BW BSW Urea (Granular) FOB Middle 44 UME UME UF UME East Futures Corn Options 10A C OZC OC C Corn Weekly Options Wk 1 10A PY1 ZC1 OC C Corn Weekly Options Wk 2 10A PY2 ZC2 OC C Corn Weekly Options Wk 3 10A PY3 ZC3 OC C Corn Weekly Options Wk 4 10A PY4 ZC4 OC C Corn Weekly Options Wk 5 10A PY5 ZC5 OC C Short-Dated New Crop Corn 10A CDF OCD OC CDF Options Mini-Corn Futures 10B YC XC XC YC Consecutive Corn 10J PYC CZC Y1 PYC Corn Dec-Dec 10J CCZ 12C Y1 CCZ Corn Dec-July 10J 8CC CZ8 Y1 8CC Corn July-Dec 10J CC6 CZ6 Y1 CC Corn Mar-Dec 10J 3CC CZ9 Y1 3CC Corn Mar-Jul 10J 7CC CZ7 Y1 7CC

3 Chicago SRW Wheat-Corn 10N XCW ZCW Q3 XCW Intercommodity Spread Options Short-Dated New Crop 11A SDF OSD SQ SDF Soybean Options South American Short-Dated 11A SRS SRS SQ SRS New Crop Soybean Options Soybean Options 11A S OZS SQ S Soybean Weekly Options Wk 1 11A CZ1 ZS1 SQ S Soybean Weekly Options Wk 2 11A CZ2 ZS2 SQ S Soybean Weekly Options Wk 3 11A CZ3 ZS3 SQ S Soybean Weekly Options Wk 4 11A CZ4 ZS4 SQ S Soybean Weekly Options Wk 5 11A CZ5 ZS5 SQ S Mini Soybean Futures 11C YK XK XK YK Soybean Crush Options 11C 31 BCE Consecutive Soybean 11E ZSC CZS Q1 ZSC Soybean Aug-Nov 11E SC4 SZ4 Q1 SC Soybean Jan-Mar 11E S8C SZ8 Q1 S8C Soybean Jan-May 11E KSC SZK Q1 KSC Soybean Jul-Jul 11E SC1 SZ1 Q1 SC Soybean July-Nov 11E SC5 SZ5 Q1 SC Soybean Mar-Jul 11E KSH SZH Q1 KSH Soybean Mar-Nov 11E SC0 SZ0 Q1 SC Soybean May-Nov 11E C7S SC7 Q1 C7S Soybean Nov-July 11E SX9 SZ9 Q1 SX Soybean Nov-Mar 11E SC3 SZ3 Q1 SC Soybean Nov-Nov 11E SCX 12S Q1 SCX Short-Dated New Crop 12A LDF OLD 0O LDF Soybean Oil Options Soybean Oil Dec-Jul 12A OC3 NC3 X1 OC Soybean Oil Options 12A 07 OZL 0O Soybean Oil Weekly Options 12A OZ1 ZL1 0O Wk 1 Soybean Oil Weekly Options 12A OZ2 ZL2 0O Wk 2 Soybean Oil Weekly Options 12A OZ3 ZL3 0O Wk 3 Soybean Oil Weekly Options 12A OZ4 ZL4 0O Wk 4 Soybean Oil Weekly Options 12A OZ5 ZL5 0O Wk 5 Consecutive Soybean Oil 12B COY CZL X1 COY Soybean Oil Aug-Dec 12B OC4 NC4 X1 OC Soybean Oil July-Dec 12B CO6 OC6 X1 CO Soybean Oil Sep-Dec 12B OC5 NC5 X1 OC Short-Dated New Crop 13A ODF OMD ML ODF Soybean Meal Options Soybean Meal Options 13A 06 OZM ML Soybean Meal Weekly Options 13A MZ1 ZM1 ML Wk 1 Soybean Meal Weekly Options Wk 2 13A MZ2 ZM2 ML

4 Soybean Meal Weekly Options 13A MZ3 ZM3 ML Wk 3 Soybean Meal Weekly Options 13A MZ4 ZM4 ML Wk 4 Soybean Meal Weekly Options Wk 5 13A MZ5 ZM5 ML Consecutive Soybean Meal 13B MYC CZM M1 MYC Soybean Meal Aug-Dec 13B SM4 MC4 M1 SM Soybean Meal Dec-Jul 13B SM3 MC3 M1 SM Soybean Meal July-Dec 13B SM6 MC6 M1 SM Soybean Meal Sep-Dec 13B SM5 MC5 M1 SM Chicago SRW Wheat Options 14A W OZW OW W Chicago SRW Wheat Weekly 14A WZ1 ZW1 OW W Options Wk 1 Chicago SRW Wheat Weekly 14A WZ2 ZW2 OW W Options Wk 2 Chicago SRW Wheat Weekly 14A WZ3 ZW3 OW W Options Wk 3 Chicago SRW Wheat Weekly 14A WZ4 ZW4 OW W Options Wk 4 Chicago SRW Wheat Weekly 14A WZ5 ZW5 OW W Options Wk 5 Short Dated New Crop Chicago SRW Wheat Options 14A WDF OWD OW WDF Mini-sized Chicago SRW 14B YW XW XW YW Wheat Futures Chicago SRW Wheat Dec-Dec 14D WCZ CWZ W1 WCZ Chicago SRW Wheat Dec-July 14D CW6 WC6 W1 CW Chicago SRW Wheat July-Dec 14D CWM WCM W1 CWM Chicago SRW Wheat July-July 14D CWN 12W W1 CWN Chicago SRW Wheat Mar-Jul 14D CW3 WC3 W1 CW Consecutive Chicago SRW 14D WZC CZW W1 WZC Wheat MGEX-Chicago SRW Wheat 14E MCG MCW CW MCG Intercommodity Spread Options KC HRW-Chicago SRW Wheat 14F KWC KWC KW KWC Intercommodity Spread Options KC HRW Wheat Futures 14H KW KE OK KW KC HRW Wheat TAS Futures 14H KET KET TW KET MGEX-KC HRW Wheat 14K MKW MKW M6 MKW Intercommodity Spread Options KC HRW Wheat Options 14L KW OKE OK KW KC HRW Wheat Options Wk 1 14L OK1 OE1 OK KW KC HRW Wheat Options Wk 2 14L OK2 OE2 OK KW KC HRW Wheat Options Wk 3 14L OK3 OE3 OK KW KC HRW Wheat Options Wk 4 14L OK4 OE4 OK KW KC HRW Wheat Options Wk 5 14L OK5 OE5 OK KW

5 Short-Dated New Crop KC 14L KWO KWE OK KWO HRW Wheat Options Consecutive KC HRW 14M K7C KZC K3 K7C KC HRW Dec-Dec 14M KCZ CKZ K3 KCZ KC HRW Dec-Jul 14M CK6 KC6 K3 CK KC HRW Jul-Dec 14M CKM KCR K3 CKM KC HRW Jul-Jul 14M CKN 12K K3 CKN KC HRW Mar-Jul 14M KC3 CK3 K3 KC Mini-Sized KC HRW Wheat 14N MKC MKC MH MKC Futures EU Wheat Futures 14P WEU WEU MU WEU EU Wheat Options 14Q WEO WEO M3 WEO Oats Options 15A O OZO OO O Rough Rice Options 17A 14 OZR RR

6 CME Contract Titles Rulebook Chapter Clearing CME Globex CME Globex Group Code CME ClearPort Block Trade Minimum Quantity Threshold Level Reporting Times (Minutes) Class III Milk Futures 52 DA DC DC DA 20 5 Non-fat Dry Milk Futures 54 NF GNF DC NF 20 5 Class IV Milk Futures 55 DK GDK DC DK 20 5 Cash-settled Butter Futures 56 CB CB CB CB 20 5 Dry Whey Futures 57 DY DY DY DY 20 5 Cash-Settled Cheese Futures 60 CSC CSC DY CSC 20 5 Live Cattle Futures LE LE Live Cattle TAS Futures 101 LET LET TH LET 50 5 Feeder Cattle Futures GF GF Feeder Cattle TAS Futures 102 GFT GFT TH GFT 50 5 Lean Hog Futures 152 LN HE HE LN 50 5 Lean Hogs TAS Futures 152 HET HET TH HET 50 5 Random Length Lumber 201 LB LBS LU LB Futures USD Malaysian Crude Palm Oil 204 CPO CPO UC CPO Calendar Futures Live Cattle Options 101A 48 LE L st contract back Live Cattle 101B C0A L0A L2 C0A nd contract back Live Cattle 101B C0B L0B L2 C0B rd contract back Live Cattle 101B C0C L0C L2 C0C Feeder Cattle Options 102A 62 GF F Lean Hog Options 152A LN HE 0H LN Random Length Lumber 201A LB LBS W3 LB Options USD Malaysian Palm Olein 204C OPF OPF UC OPF Calendar Futures USD Malaysian Crude Palm Oil 204D POO POO U4 POO Average Price Options Bursa Malaysia Crude Palm Oil 204E POG POG UC POG Gasoil Spread Futures Class III Milk Options 52A DA DC A6 DA Mid-Sized Milk Options 52B JQ JQ A2 JQ Non-fat Dry Milk Options 54A NF GNF N7 NF Class IV Milk Options 55A DK GDK D8 DK Cash-settled Butter Options 56A CB CB C0 CB Dry Whey Options 57A DY DY Y0 DY Cash-Settled Cheese Options 60A CSC CSC CQ CSC 30 15

7 Appendix B Fee Schedule CME RATE CHANGES (EFFECTIVE DECEMBER 1, 2017 FOR EXISTING CONTRACTS AND EFFECITVE JANUARY 8, 2018 FOR ALL CONTRACTS) CBOT RATE CHANGES (EFFECTIVE DECEMBER 1, 2017 FOR EXISTING CONTRACTS AND EFFECTIVE JANUARY 8, 2018 FOR ALL CONTRACTS)

8 Questions regarding this notice may be directed to: Steven Stasys Robert Sniegowski Erin Middleton Charles Piszczor Fred Seamon For media inquiries concerning this Special Executive Report, please contact CME Group Corporate Communications at or