recent delivery performance of cme corn, soybean, and

Recent Delivery Performance of CME Corn, Soybean, and Wheat Futures Contracts

Scott H. Irwin, Philip Garcia, Darrel L. Good, and Eugene L. Kunda

Delivery Location Basis on the First Day of Expiration for CME Corn Futures, Illinois River North of Peoria,

December 2001-September 2008

-60

-50

-40

-30

-20

-10

0

10D

ec-0

1

May

-02

Sep-

02

Mar

-03

Jul-0

3

Dec

-03

May

-04

Sep-

04

Mar

-05

Jul-0

5

Dec-

05

May

-06

Sep-

06

Mar

-07

Jul-0

7

Dec-

07

May

-08

Sep-

08

Contract Expiration Month

Bas

is (c

ents

/bu.

)

Delivery Location Basis on the First Day of Expiration for CME Soybean Futures, Illinois River North of Peoria,

November 2001-September 2008

-100

-80

-60

-40

-20

0

20N

ov-0

1M

ar-0

2Ju

l-02

Sep-

02Ja

n-03

May

-03

Aug-

03N

ov-0

3M

ar-0

4Ju

l-04

Sep-

04Ja

n-05

May

-05

Aug

-05

Nov

-05

Mar

-06

Jul-0

6Se

p-06

Jan-

07M

ay-0

7Au

g-07

Nov

-07

Mar

-08

Jul-0

8Se

p-08


Bas

is (c

ents

/bu.

)

Delivery Location Basis on the First Day of Expiration for CME Wheat Futures, Toledo, December 2001-September 2008

-200-180-160-140-120-100-80-60-40-20

020

Dec

-01

May

-02

Sep-

02M

ar-0

3

Jul-0

3D

ec-0

3M

ay-0

4

Sep-

04M

ar-0

5

Jul-0

5De

c-05

May

-06

Sep-

06

Mar

-07

Jul-0

7D

ec-0

7

May

-08

Sep-

08


Bas

is (c

ents

/bu.

)

Perfect Basis Predictability

-100

-80

-60

-40

-20

0

20

40

60

80

100

-100 -80 -60 -40 -20 0 20 40 60 80 100

x = Initial Basis (cents/bu.)

y =

Cha

nge

in B

asis

(cen

ts/b

u.)

Predictability of CBOT Corn Basis Change to First Day of Delivery, All Delivery Locations Pooled, December 2001-

September 2008

Dec 2001 - Dec 2005y = -0.87x - 0.61

R2 = 0.87

Mar 2006 - Sep 2008y = -0.28x + 1.02

R2 = 0.07-30

-20

-10

0

10

20

30

40

50

60

70

-70 -60 -50 -40 -30 -20 -10 0 10 20


y =

Cha

nge

in B

asis

(cen

ts/b

u.)

Note: September 2005 observations omitted

Predictability of CBOT Soybean Basis Change to First Day of Delivery, All Delivery Locations Pooled,


Nov 2001 - Nov 2005y = -0.87x - 9.03

R2 = 0.78

Jan 2006 - Sep 2008y = -0.48x - 10.99

R2 = 0.31-100

-80

-60

-40

-20

0

20

40

60

80

-120 -100 -80 -60 -40 -20 0 20 40 60 80 100


y =

Cha

nge

in B

asis

(cen

ts/b

u.)

Note: September 2005 observations omitted

Predictability of CBOT Wheat Basis Change to First Day of Delivery, All Delivery Locations Pooled,


Dec 2001- Dec 2005y = -0.76x + 2.65

R2 = 0.48

Mar 2006 - Sep 2008y = 0.003x + 4.02

R2 = 0.00 -80

-60

-40

-20

0

20

40

60

80

100

-300 -250 -200 -150 -100 -50 0 50


y =

Cha

nge

in B

asis

(cen

ts/b

u.)

Maine Potato Futures

"If improvements are not made in the Maine futures contract, then the banning of trading in this contract might be considered. But specific prohibitions of economic activity are usually unwise, and if the market continues to behave badly, the question likely will become mute. Few traders are likely to use a bad market, and the market could very well die of natural causes." (p. 177)

Committee on Agriculture, Nutrition, and Forestry, United States Senate, "Potato Futures Study", 96th Congress, 1st session, U.S. Government Printing Office, November 5, 1979

A Perplexing Economic Problem

• Persistence of non-convergence• Magnitude of non-convergence• Inconsistencies among commodities

and over time• Seasonality• Most serious for wheat

Key Role of the Carry

• When carry (spread) is large:– Incentive to hold delivery instrument and

earn carry by hedging in the next contract– Futures delivery does not lead to load out

(movement) in the cash market– Basis widens due to asymmetry in ability

to force convergence

• Bottom line: Arbitrage link between cash and futures broken

% Full Cost of Carry Calculation

• % = [(F2 – F1)/(Storage + Interest Costs)]*100

• F2 = Price of next nearest to expiration futures contract

• F1 = Price of nearest to expiration futures contract

• Storage = CME contract rate x # days• Interest = (3 mo. T-bill rate)/365 x # days

Daily Spread between Nearest and Next Nearest to Expiration Contracts for CME Corn Futures, September 2001-September

2008 (3 mo. T-bills)

0%

20%

40%

60%

80%

100%

120%

140%

160%01

-Sep

-01

01-M

ar-0

2

01-S

ep-0

2

01-M

ar-0

3

01-S

ep-0

3

01-M

ar-0

4

01-S

ep-0

4

01-M

ar-0

5

01-S

ep-0

5

01-M

ar-0

6

01-S

ep-0

6

01-M

ar-0

7

01-S

ep-0

7

01-M

ar-0

8

01-S

ep-0

8

Date

Perc

ent o

f Ful

ly C

arry

Daily Spread between Nearest and Next Nearest to Expiration Contracts for CME Soybean Futures, September 2001-

September 2008 (3 mo. T-bills)

0%

20%

40%

60%

80%

100%

120%

140%

160%01

-Sep

-01

01-M

ar-0

2

01-S

ep-0

2

01-M

ar-0

3

01-S

ep-0

3

01-M

ar-0

4

01-S

ep-0

4

01-M

ar-0

5

01-S

ep-0

5

01-M

ar-0

6

01-S

ep-0

6

01-M

ar-0

7

01-S

ep-0

7

01-M

ar-0

8

01-S

ep-0

8

Date

Perc

ent o

f Ful

l Car

ry

Daily Spread between Nearest and Next Nearest to Expiration Contracts for CME Wheat Futures, September 2001-September

2008 (3 mo. T-bills)

0%

20%

40%

60%

80%

100%

120%

140%

160%01

-Sep

-01

01-M

ar-0

2

01-S

ep-0

2

01-M

ar-0

3

01-S

ep-0

3

01-M

ar-0

4

01-S

ep-0

4

01-M

ar-0

5

01-S

ep-0

5

01-M

ar-0

6

01-S

ep-0

6

01-M

ar-0

7

01-S

ep-0

7

01-M

ar-0

8

01-S

ep-0

8

Date

Perc

ent o

f Ful

l Car

ry

Total Deliveries of CME Corn Futures, December 2001-September 2008

0

20

40

60

80

100

120

140

160

Dec

-01

Jun-

02

Dec

-02

Jun-

03

Dec

-03

Jun-

04

Dec

-04

Jun-

05

Dec

-05

Jun-

06

Dec

-06

Jun-

07

Dec

-07

Jun-

08


Del

iver

ies

(mil.

bu.

)

Total Deliveries of CME Soybean Futures, December 2001-September 2008

0

20

40

60

80

100

120

140

160

Nov

-01

May

-02

Nov

-02

May

-03

Nov

-03

May

-04

Nov

-04

May

-05

Nov

-05

May

-06

Nov

-06

May

-07

Nov

-07

May

-08


Del

iver

ies

(mil.

bu.

)

Total Deliveries of CME Wheat Futures, December 2001-September 2008

0

20

40

60

80

100

120

140

160

Dec

-01

Jun-

02

Dec

-02

Jun-

03

Dec

-03

Jun-

04

Dec

-04

Jun-

05

Dec

-05

Jun-

06

Dec

-06

Jun-

07

Dec

-07

Jun-

08


Del

iver

ies

(mil.

bu.

)

Barge Lineup for Load Out through CME Corn and Soybean Futures Delivery System, January 2003- September 2008

0

10

20

30

40

50

60

70

801-

Jan-

031-

Apr

-03

1-Ju

l-03

1-O

ct-0

31-

Jan-

041-

Apr-

041-

Jul-0

41-

Oct

-04

1-Ja

n-05

1-A

pr-0

51-

Jul-0

51-

Oct

-05

1-Ja

n-06

1-A

pr-0

61-

Jul-0

61-

Oct

-06

1-Ja

n-07

1-A

pr-0

71-

Jul-0

71-

Oct

-07

1-Ja

n-08

1-A

pr-0

81-

Jul-0

8

Date

Num

ber o

f Bar

ges

Outstanding Shipping Certificate Registrations for CME Corn Futures, July 2003- September 2008

0

5

10

15

20

25

30

35

4011

-Jul

-03

11-O

ct-0

3

11-J

an-0

411

-Apr

-04

11-J

ul-0

4

11-O

ct-0

4

11-J

an-0

511

-Apr

-05

11-J

ul-0

5

11-O

ct-0

5

11-J

an-0

611

-Apr

-06

11-J

ul-0

6

11-O

ct-0

6

11-J

an-0

711

-Apr

-07

11-J

ul-0

7

11-O

ct-0

711

-Jan

-08

11-A

pr-0

811

-Jul

-08

Date

Reg

istr

atio

ns (m

il. b

u.)

Outstanding Shipping Certificate Registrations for CME Soybean Futures, July 2003- September 2008

0

5

10

15

20

25

30

35

4001

-Jul

-03

01-O

ct-0

3

01-J

an-0

4

01-A

pr-0

4

01-J

ul-0

4

01-O

ct-0

4

01-J

an-0

501

-Apr

-05

01-J

ul-0

5

01-O

ct-0

5

01-J

an-0

601

-Apr

-06

01-J

ul-0

6

01-O

ct-0

6

01-J

an-0

7

01-A

pr-0

701

-Jul

-07

01-O

ct-0

7

01-J

an-0

8

01-A

pr-0

8

01-J

ul-0

8

Date

Reg

istra

tions

(mil.

bu.

)

Stocks or Shipping Certificates Registered for Delivery of CME Wheat Futures, July 2003- September 2008

0

5

10

15

20

25

30

35

4001

-Jul

-03

01-O

ct-0

3

01-J

an-0

4

01-A

pr-0

4

01-J

ul-0

4

01-O

ct-0

4

01-J

an-0

501

-Apr

-05

01-J

ul-0

5

01-O

ct-0

5

01-J

an-0

601

-Apr

-06

01-J

ul-0

6

01-O

ct-0

6

01-J

an-0

7

01-A

pr-0

701

-Jul

-07

01-O

ct-0

7

01-J

an-0

801

-Apr

-08

01-J

ul-0

8

Date

Reg

istr

atio

ns (m

il. b

u.)

Chicago St.L

Percent of Full Carry on FPD,FND,FDD vs Basis for CME Wheat Futures, Toledo, March 2000-December 2008

Regression Model for Basis on First Day of Delivery

1. Contract dummy variables to represent seasonal effects

2. Open interest variable to represent congestion effects (long or short squeezes)

3. Piecewise linear variable to represent cost of carry effects

100 %

Basis

+

-

Regression Model Estimation Results for Delivery Location Basis on the First Day of Delivery for CME Corn Futures, Illinois River North of

Peoria, December 2001- September 2008

Dependent Variable: ILRVNMethod: Least SquaresDate: 09/29/08 Time: 21:07Sample: 1 35Included observations: 35Newey-West HAC Standard Errors & Covariance (lag truncation=3)

Coefficient Std. Errot-Statistic Prob.

C -6.77 7.10 -0.95 0.35Z 16.78 10.17 1.65 0.11H 13.67 8.74 1.56 0.13K 13.83 8.01 1.73 0.10N 4.87 7.64 0.64 0.53OI 0.00 0.00 -1.67 0.11CARRY -7.06 2.95 -2.39 0.02INT80 -94.83 18.58 -5.10 0.00

R-squared 0.67 Mean dependent -13.44Adjusted R-squared 0.59 S.D. dependent 16.52S.E. of regression 10.59 Akaike info crite 7.76Sum squared resid 3028.73 Schwarz criterio 8.11Log likelihood -127.72 Hannan-Quinn c 7.88F-statistic 7.96 Durbin-Watson 2.37Prob(F-statistic) 0.00

-70

-60

-50

-40

-30

-20

-10

0

10

-0.8 -0.4 0.0 0.4 0.8 1.2

CARRY

ESTLINEILRVN

Regression Model Estimation Results for Delivery Location Basis on the First Day of Delivery for CME Soybean Futures, Illinois River

North of Peoria, December 2001- September 2008Dependent Variable: ILRVNMethod: Least SquaresDate: 09/29/08 Time: 21:23Sample: 1 49Included observations: 49Newey-West HAC Standard Errors & Covariance (lag truncation=3)

Coefficient Std. Errot-StatistProb.

C -31.30 11.41 -2.74 0.01X 3.09 14.21 0.22 0.83F 17.64 11.78 1.50 0.14H 18.34 13.55 1.35 0.18K 14.00 12.20 1.15 0.26N -5.44 11.83 -0.46 0.65Q 1.88 8.82 0.21 0.83OI 0.00 0.00 0.90 0.37CARRY -0.49 0.68 -0.72 0.48INT80 -133.36 30.52 -4.37 0.00

R-squared 0.43 Mean depende -25.92Adjusted R-squared 0.30 S.D. dependen 21.00S.E. of regression 17.61 Akaike info cr 8.76Sum squared resid 12100.97 Schwarz criter 9.14Log likelihood -204.50 Hannan-Quinn 8.90F-statistic 3.25 Durbin-Watso 1.47Prob(F-statistic) 0.00

-120

-100

-80

-60

-40

-20

0

-1.0 -0.5 0.0 0.5 1.0 1.5

CARRY

ESTLINEILRVN

Regression Model Estimation Results for Delivery Location Basis on the First Day of Delivery for CME Wheat Futures, Toledo, December

2001- September 2008

Dependent Variable: TOLEDOMethod: Least SquaresDate: 09/10/08 Time: 13:35Sample: 1 35Included observations: 35Newey-West HAC Standard Errors & Covariance (lag truncation=3)

Coefficient Std. Errot-StatistProb.

C 24.01 12.38 1.94 0.06Z 24.66 20.53 1.20 0.24H 11.64 14.56 0.80 0.43K -3.32 15.41 -0.22 0.83N 7.58 19.95 0.38 0.71OI -0.01 0.00 -2.52 0.02CARRY -7.04 16.20 -0.43 0.67INT86 -157.70 71.94 -2.19 0.04

R-squared 0.62 Mean depende -26.04Adjusted R-squared 0.52 S.D. dependen 42.34S.E. of regression 29.23 Akaike info cri 9.79Sum squared resid 23069.29 Schwarz criter 10.14Log likelihood -163.25 Hannan-Quinn 9.91F-statistic 6.34 Durbin-Watso 1.70Prob(F-statistic) 0.00

-200

-160

-120

-80

-40

0

40

-0.5 0.0 0.5 1.0 1.5

CARRY

ESTLINETOLEDO

Why Did the Carry Become So Large?

• CME storage rates too low– Maybe for wheat, according to most recent

CME storage rate survey• Rolling of positions by index funds• Risk premium (Pirrong)

– Positive shock to variance of fundamental uncertainty increases the precautionary demand for stocks

– Leads to an increase in the expected price of storage, as reflected in the spreads between near and deferred futures

2008 CME Storage Cost Survey• Current Storage Rates are approximately 5

cents per bushel per month in wheat and 4.5 cents per bushel per month in soybeans and corn. The soybean and corn storage rates will increase to 5 cents per bushel per month in November and December respectively.

• Storage Rate Survey respondents reported an average 18.47 cents per bushel minimum storage charges from harvest until January 1 and then 3.58 cents per month thereafter. Respondents who broke down their storage charges reported corn storage at 3.65 cents per month; soybean storage at 4.13 cents per month; and wheat storage at 6.67 cents per month.

2008 CME Storage Cost Survey

• Storage Rate Survey respondents report that building new permanent storage costs, on average, $2.19 per bushel. An elevator who borrows $2.19 for five years at 6% interest would face monthly payments of 4 cents per month for 60 months. Thus, an elevator financing new storage space would expect to receive, on average, more than 4 cents per bushel per month in order to effect a positive return on new-storage investment not counting operating expenses.

Goldman Roll Effect in the Nearby Futures Spread

F2 - F1

Expiration of Contract 1

0

Beginning of Roll Window

Deviation of Nearby Spread from Average Percent of Full Carry during the Goldman Roll Window, CME Corn Futures,


-12%

-8%

-4%

0%

4%

8%

12%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

Day of the Roll Month (GSCI Rolls on Business Days 5-9)

Spre

ad D

evia

tion

from

15-

day

Ave

rage

2001Z-2003Z



-12%

-8%

-4%

0%

4%

8%

12%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15


Spre

ad D

evia

tion

from

15-

day

Ave

rage

2001Z-2003Z

2004H-2005Z



-12%

-8%

-4%

0%

4%

8%

12%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15


Spre

ad D

evia

tion

from

15-

day

Ave

rage

2001Z-2003Z

2004H-2005Z

2005H-2008U

Deviation of Nearby Spread from Average Percent of Full Carry during the Goldman Roll Window, CME Soybean Futures,


-12%

-8%

-4%

0%

4%

8%

12%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15


Spre

ad D

evia

tion

from

15-

day

Ave

rage

2001X-2003X



-12%

-8%

-4%

0%

4%

8%

12%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15


Spre

ad D

evia

tion

from

15-

day

Ave

rage

2001X-2003X

2004F-2005X



-12%

-8%

-4%

0%

4%

8%

12%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15


Spre

ad D

evia

tion

from

15-

day

Ave

rage

2001X-2003X

2004F-2005X

2006F-2008N

Deviation of Nearby Spread from Average Percent of Full Carry during the Goldman Roll Window, CME Wheat Futures,


-15%

-10%

-5%

0%

5%

10%

15%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15


Spre

ad D

evia

tion

from

15-

day

Ave

rage 2001Z-2003U



-15%

-10%

-5%

0%

5%

10%

15%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15


Spre

ad D

evia

tion

from

15-

day

Ave

rage

2001Z-2003U

2003Z-2005U



-15%

-10%

-5%

0%

5%

10%

15%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15


Spre

ad D

evia

tion

from

15-

day

Ave

rage

2001Z-2003U

2003Z-2005U

2005Z-2008U

Nearby CME Corn Futures Prices and Structure of Deferred Futures Prices on Last Day of Delivery, January 2004-

September 2008

100

200

300

400

500

600

700

80004

-Jan

-04

02-J

ul-0

4

29-D

ec-0

4

27-J

un-0

5

24-D

ec-0

5

22-J

un-0

6

19-D

ec-0

6

17-J

un-0

7

14-D

ec-0

7

11-J

un-0

8

08-D

ec-0

8

06-J

un-0

9

03-D

ec-0

9

01-J

un-1

0

28-N

ov-1

0

27-M

ay-1

1

23-N

ov-1

1

21-M

ay-1

2

17-N

ov-1

2

Date

Pric

e (c

ents

/bu.

)

March 12, 2004


September 2008

100

200

300

400

500

600

700

80004

-Jan

-04

02-J

ul-0

4

29-D

ec-0

4

27-J

un-0

5

24-D

ec-0

5

22-J

un-0

6

19-D

ec-0

6

17-J

un-0

7

14-D

ec-0

7

11-J

un-0

8

08-D

ec-0

8

06-J

un-0

9

03-D

ec-0

9

01-J

un-1

0

28-N

ov-1

0

27-M

ay-1

1

23-N

ov-1

1

21-M

ay-1

2

17-N

ov-1

2

Date

Pric

e (c

ents

/bu.

)

September 14, 2005

March 12, 2004


September 2008

100

200

300

400

500

600

700

80004

-Jan

-04

02-J

ul-0

4

29-D

ec-0

4

27-J

un-0

5

24-D

ec-0

5

22-J

un-0

6

19-D

ec-0

6

17-J

un-0

7

14-D

ec-0

7

11-J

un-0

8

08-D

ec-0

8

06-J

un-0

9

03-D

ec-0

9

01-J

un-1

0

28-N

ov-1

0

27-M

ay-1

1

23-N

ov-1

1

21-M

ay-1

2

17-N

ov-1

2

Date

Pric

e (c

ents

/bu.

)

March 12, 2004

September 14, 2005

September 14, 2006


September 2008

100

200

300

400

500

600

700

80004

-Jan

-04

02-J

ul-0

4

29-D

ec-0

4

27-J

un-0

5

24-D

ec-0

5

22-J

un-0

6

19-D

ec-0

6

17-J

un-0

7

14-D

ec-0

7

11-J

un-0

8

08-D

ec-0

8

06-J

un-0

9

03-D

ec-0

9

01-J

un-1

0

28-N

ov-1

0

27-M

ay-1

1

23-N

ov-1

1

21-M

ay-1

2

17-N

ov-1

2

Date

Pric

e (c

ents

/bu.

)

March 12, 2004

September 14, 2005

September 14, 2006

March 14, 2007


September 2008

100

200

300

400

500

600

700

80004

-Jan

-04

02-J

ul-0

4

29-D

ec-0

4

27-J

un-0

5

24-D

ec-0

5

22-J

un-0

6

19-D

ec-0

6

17-J

un-0

7

14-D

ec-0

7

11-J

un-0

8

08-D

ec-0

8

06-J

un-0

9

03-D

ec-0

9

01-J

un-1

0

28-N

ov-1

0

27-M

ay-1

1

23-N

ov-1

1

21-M

ay-1

2

17-N

ov-1

2

Date

Pric

e (c

ents

/bu.

)

March 12, 2004

September 14, 2005

September 14, 2005

March 14, 2008

March 14, 2007


September 2008

100

200

300

400

500

600

700

80004

-Jan

-04

02-J

ul-0

4

29-D

ec-0

4

27-J

un-0

5

24-D

ec-0

5

22-J

un-0

6

19-D

ec-0

6

17-J

un-0

7

14-D

ec-0

7

11-J

un-0

8

08-D

ec-0

8

06-J

un-0

9

03-D

ec-0

9

01-J

un-1

0

28-N

ov-1

0

27-M

ay-1

1

23-N

ov-1

1

21-M

ay-1

2

17-N

ov-1

2

Date

Pric

e (c

ents

/bu.

)

March 12, 2004

September 14, 2005

September 14, 2005

March 14, 2007

March 14, 2008

July 16, 2008


September 2008

100

200

300

400

500

600

700

80004

-Jan

-04

02-J

ul-0

4

29-D

ec-0

4

27-J

un-0

5

24-D

ec-0

5

22-J

un-0

6

19-D

ec-0

6

17-J

un-0

7

14-D

ec-0

7

11-J

un-0

8

08-D

ec-0

8

06-J

un-0

9

03-D

ec-0

9

01-J

un-1

0

28-N

ov-1

0

27-M

ay-1

1

23-N

ov-1

1

21-M

ay-1

2

17-N

ov-1

2

Date

Pric

e (c

ents

/bu.

)

Nearby CME Soybean Futures Prices and Structure of Deferred Futures Prices on Last Day of Delivery, January 2004-

September 2008

500

700

900

1100

1300

1500

17004-

Jan-

04

2-Ju

l-04

29-D

ec-0

4

27-J

un-0

5

24-D

ec-0

5

22-J

un-0

6

19-D

ec-0

6

17-J

un-0

7

14-D

ec-0

7

11-J

un-0

8

8-D

ec-0

8

6-Ju

n-09

3-D

ec-0

9

1-Ju

n-10

28-N

ov-1

0

27-M

ay-1

1

23-N

ov-1

1

Date

Pric

e (c

ents

/bu.

)

Nearby CME Wheat Futures Prices and Structure of Deferred Futures Prices on Last Day of Delivery, January 2004-

September 2008

200

400

600

800

1000

1200

14004-

Jan-

04

2-Ju

l-04

29-D

ec-0

4

27-J

un-0

5

24-D

ec-0

5

22-J

un-0

6

19-D

ec-0

6

17-J

un-0

7

14-D

ec-0

7

11-J

un-0

8

8-D

ec-0

8

6-Ju

n-09

3-D

ec-0

9

1-Ju

n-10

28-N

ov-1

0

Date

Pric

e (c

ents

/bu.

)

Structural Issues and Delivery Problems

• Limited commercial activity• Grading uncertainty• Thin market price bids• Market imbalances

Monthly Receipts and Shipments at Delivery Locations for CME Corn Futures, November 2001-September 2008

0

10

20

30

40

50

60N

ov-0

1M

ar-0

2Ju

l-02

Nov

-02

Mar

-03

Jul-0

3N

ov-0

3M

ar-0

4Ju

l-04

Nov

-04

Mar

-05

Jul-0

5N

ov-0

5M

ar-0

6Ju

l-06

Nov

-06

Mar

-07

Jul-0

7N

ov-0

7M

ar-0

8Ju

l-08

Calendar Month

Ship

men

ts (m

il. b

u.)

Peoria-PekinOttawa-ChillicotheLockport-SenecaChicago

Monthly Receipts and Shipments at Delivery Locations for CME Soybean Futures, November 2001-September 2008

0

10

20

30

40

50

60N

ov-0

1M

ar-0

2Ju

l-02

Nov

-02

Mar

-03

Jul-0

3N

ov-0

3M

ar-0

4Ju

l-04

Nov

-04

Mar

-05

Jul-0

5N

ov-0

5M

ar-0

6Ju

l-06

Nov

-06

Mar

-07

Jul-0

7N

ov-0

7M

ar-0

8Ju

l-08

Calendar Month

Ship

men

ts (m

i. bu

.)

St Louis River AreaHavana-GraftonPeoria-PekinOttawa-ChillicotheLockport-SenecaChicago

Monthly Receipts and Shipments at Delivery Locations for CME Wheat Futures, November 2001-September 2008

0

10

20

30

40

50

60N

ov-0

1M

ar-0

2Ju

l-02

Nov

-02

Mar

-03

Jul-0

3N

ov-0

3M

ar-0

4Ju

l-04

Nov

-04

Mar

-05

Jul-0

5N

ov-0

5M

ar-0

6Ju

l-06

Nov

-06

Mar

-07

Jul-0

7N

ov-0

7M

ar-0

8Ju

l-08

Calendar Month

Ship

men

ts (m

il. b

u.) Toledo

St LouisChicago

Solutions

1. Address the carry--increase contract storage rates

2. Address the disconnect between delivery and load out

-- forced load out/demand certificates -- cash settle

3. Address structural issues-- additional delivery locations

Important Issues

• Who benefits/loses from changes?• How is long/short market balance

altered from proposed changes?• Unintended consequences of forced

convergence?• Must address asymmetry—inability to

force convergence from the short side

recent delivery performance of cme corn, soybean, and

Documents