• Amendments to Dow Jones-UBS Commodity Index Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-6783
      • Notice Date
      • 05 August 2013
      • Effective Date
      • 26 August 2013
    • Pending all relevant CFTC regulatory review periods, the following rule amendments to CBOT DJ-UBS Commodity Index contracts will be effective beginning Monday, August 26, 2013:
      1)      Trading rules will reflect that the current name is Dow Jones-UBS Commodity Index (or DJ-UBS CI).
      2)      DJ-UBS CI Futures Rule 29102.B will be amended to reflect the current description of the index.
      3)     DJ-UBS CI Futures Rule 29106, DJ-UBS CI Cleared Swaps Rule 29A07, DJ-UBS CI 2 Month Forward Cleared Swap Rule 29B07 and DJ-UBS CI 3 Month Forward Cleared Swap Rule 29C07 will be deleted since these rules describe fee structures that also appear in the CBOT fee tables on the CME Group website.
      Amended rules are attached (with additions underlined and deletions overstruck)
       
       
      Questions regarding this Special Executive Report may be directed to Candice Graham, Director, Commodity Products and Services at 312-930-3365, Candice.Graham@cmegroup.com or Jack Cook, Director, Commodity Research & Product Development, at 312-930-3295, Jack.Cook@cmegroup.com.
       
      For media inquiries concerning this Special Executive Report, please contact CME Group Corporate Communications at 312-930-3434 or news@cmegroup.com.
       
      © 2013 CME Group Inc. All rights reserved.  
       


      Chapter 29
      CBOT® Dow Jones-UBS Excess Return
      Commodity IndexSM[1] Futures
       
      29100.         SCOPE OF CHAPTER
      This chapter is limited in application to futures trading of Dow Jones-UBS Excess Return Commodity IndexSM futures (hereafter also referred to as “DJ-UBS ERCIsm”) The procedures for trading, clearing, delivery and settlement of this contract and any other matters not specifically covered herein or in Chapter 7 shall be governed by the general rules of the Exchange.
      29101.         CONTRACT SPECIFICATIONS 
      The contract grade shall be the final settlement price (as described in Rule 29104.) of the Dow Jones-UBS Excess Return Commodity Indexsm on final settlement day (as described in Rule 29105.). 
      29102.         TRADING SPECIFICATIONS
      Trading in Dow Jones-UBS Excess Return Commodity Index futures is regularly conducted in four months - March, June, September and December. The first four quarterly contracts and the next four December contracts shall be listed, such that at any time there will be five December expiries and the nearest March, June and September expirations. Notwithstanding the foregoing, the number of months open for trading at a given time shall be determined by the Exchange.
      29102.A.      Trading Schedule
      The hours for trading of Dow Jones-UBS Excess Return Commodity IndexSM futures shall be determined by the Exchange. Trading in an expiring contract shall cease at 1:30 p.m.  Chicago time (2:30 p.m. Eastern time) on the last day of trading
      The market shall be opened and closed for all months simultaneously.
      29102.B.      Trading Unit           
      The unit of trading shall be $100.00 times the Dow Jones-UBS Excess Return Commodity IndexSM futures price which corresponds to each futures contract.
      The Dow Jones-UBS Excess Return Commodity Indexsm is a liquidity and world production, dollar-weighted, arithmetic average of prices of up to 19 exchange-traded physical commodity futures contracts which satisfy specified criteria. The futures price index is calculated as the fair value of the basket of futures contracts in the DJ-UBS ERsm for a specific contract month. The futures price index is identical to the calculation of the weighted average value (WAV1) of the lead futures in the DJ-UBS ERsm divided by four (4) and rounded to one decimal place. The futures price index incorporates no rolling forward of futures contracts and is quoted only until the expiration of the corresponding DJ-UBS ERsm futures contract. For any January contract, the futures price index shall be determined using the prior year’s DJ-UBS ERCIsm specifications. February through December contracts shall use the current year’s DJ-UBS ERsm CIsm specifications.
      29102.C.       Price Increments
      The price of the CBOT Dow Jones-UBS Excess Return Commodity IndexSM futures shall be quoted in points.  One point equals $100.00. The minimum price fluctuation shall be 0.1 (1/10) points per contract ($10.00 per contract).  Contracts shall not be made on any other price basis.
      27102.D.      Price Limits
      There are no price limits for CBOT Dow Jones-UBS Excess Return Commodity IndexSM futures.
      29102.E.       Reserved
      29102.F.                   Termination of Trading
      The last day of trading in DJ-UBS ERCIsm futures shall be the third Wednesday of the contract month, or if the Dow Jones-UBS Excess Return Commodity Index is not published for that day, the first preceding business day for which the Dow Jones-UBS Excess Return Commodity Indexsm was published.
      After trading in contracts for future delivery in the current delivery month has ceased, outstanding contracts for such delivery shall be liquidated by cash settlement as prescribed in Rule 29103.
      29103.         DELIVERY ON FUTURES CONTRACTS
      Delivery against the CBOT Dow Jones-UBS Excess Return Commodity IndexSM futures contracts must be made through the Clearing House. Delivery under these rules shall be on the final settlement day (as described in Rule 29105.) and shall be accomplished by cash settlement as hereinafter provided.
      Clearing members holding open positions in a CBOT Dow Jones-UBS Excess Return Commodity IndexSM futures contract at the time of termination of trading shall make payment to and receive payment through the Clearing House in accordance with normal variation settlement procedures based on a settlement price equal to the final settlement price (as described in Rule 29104.). 
      29104.         FINAL SETTLEMENT PRICE
      The final settlement price shall be based on a special quotation of the Dow Jones-UBS Excess Return Commodity Indexsm which corresponds to the expiring contract as of the close of business on the final settlement day (as described in Rule 29105.). This special quotation will consist of the Dow Jones-UBS Excess Return Commodity Indexsm which corresponds to the expiring contract calculated using the settlement prices of the component futures on final settlement day, except as noted below.
      If an exchange that lists a component or components of the commodity index is not open on the final settlement day because of a scheduled closing, then the contribution to the final settlement price for the affected component or components shall be based on the settlement quotation of the first preceding trading day.
      “Market Disruption Event” (“MDE”) shall mean: (a) the termination or suspension of, or material limitation or disruption in the trading of, any futures contract used in the calculation of the DJ-UBSCIsm on that day, including if due to the closing of an exchange prior to the regularly scheduled closing time of an exchange; (b) the settlement price of any such contract reflects the maximum permitted price change from the previous day’s settlement  price; or (c) the failure of an exchange to publish official Settlement Prices for any such contract.  If an MDE occurs on the expiration date, the DJ-UBS ER CI contract will settle based on a special value calculated using all component futures prices as of the expiration date that were not subject to an MDE and, for any futures contracts which were subject to an MDE, using the next available futures settlement price for which an MDE is no longer in effect, with a delay limited to 10 business days from the original expiration date.  If, on the 10th business day, an MDE is still in effect for the affected contracts, then UBS Securities LLC and the Chicago Board of Trade will agree upon an appropriate estimated futures price or prices to be used to calculate the final adjusted settlement value of the DJ-UBS ERCI.
      29105.         FINAL SETTLEMENT DAY
      The final settlement day shall be defined as the third Wednesday of the contract month, or if the Dow Jones-UBS Excess Return Commodity Indexsm is not published for that day, the first preceding business day for which the Dow Jones-UBS Excess Return Commodity Indexsm was published. 
      29106.         PAYMENT OF DAILY INTEREST RATE PASS THROUGH
      The Daily Interest Rate Pass Through of the DJ-UBS ERsm future must be paid on a daily basis in full by each long Clearing Member to the Clearing House and received by each short. On every business day, the holder of a long position in the DJ-UBS ERsm futures contract is charged one day’s worth of an annual fee of 40 basis points. For every calendar day, the long position holder will be charged an embedded fee calculated using the following formula:
      [Number of Contracts] x $100 x [DJ-UBS ERsm futures Settlement Price] x [.0040]/365] x Days
      where “Days” is calculated as the number of calendar days from the current DJ-UBS ERsm trading date to the next DJ-UBS ERsm   trading date.
      There is no embedded fee charged to the short position holder.
       
       
       
      Position Limit Table at the end of CBOT Rule Chapter 5:
       
       
       

      Contract Name
       
      Rule Chapter
      Commodity Code
      Contract Size
      Contract Units
      Dow Jones – UBS Excess Return Commodity Index
       
      29
      70
      100
      times the Dow Jones-UBS Excess Return Commodity Index
       
      DJ-UBS CIER  DOW JONES-UBS COMMODITY INDEX 2-MONTH FWD INDEX SWAP
       
      29B
      DG2
      100
      times the DJ-UBS CI-F2 Index
       
      DJ-UBS CIER DOW JONES-UBS  COMMODITY INDEX 3-MONTH FWD INDEX SWAP
       
      29C
      DG3
      100
      times the DJ-UBS CI-F3 Index
       

      Chapter 29A
      DJ-UBS Commodity Index Swaps (Cleared OTC)
       
      29A07. PAYMENT OF DAILY FEE
      The Daily Fee for a cleared DJ-UBS CISM Swaps contract must be paid on a daily basis in full to the Clearing House by each long and each short Clearing Member. On every business day, the holder of each long and short position in DJ-UBS CISM Swaps will be charged one day’s worth of an annual fee of 5 basis points. For every calendar day, each long and short position holder will be charged an embedded fee calculated using the following formula:
      [Number of Contracts] x $100 x [DJ-UBS CISM Swaps Settlement Price] x [.0005]/365] x Days
      where “Days” is calculated as the number of calendar days from the current DJ-UBS CISM Swaps clearing date to the next DJ-UBS CISM Swaps clearing date.
       
       
       Chapter 29B
      DJ-UBS Commodity Index 2 Month Forward Swaps (Cleared OTC)
       
      29B07. PAYMENT OF DAILY FEE
      The Daily Fee for a cleared DJ-UBS CI-F2SM Swap contract must be paid on a daily basis in full to the Clearing House by each long and each short Clearing Member. On every business day, the holder of each long and short position in DJ-UBS CI-F2SM Swap will be charged one day’s worth of an annual fee of 5 basis points. For every calendar day, each long and short position holder will be charged an embedded fee calculated using the following formula:
      [Number of Contracts] x $100 x [DJ-UBS CI-F2SM Swap Settlement Price] x [.0005]/365] x Days
      where “Days” is calculated as the number of calendar days from the current DJ-UBS CI- F2SM Swap clearing date to the next DJ-UBS CI-F2SM Swap clearing date.
       
       
       Chapter 29C
      DJ-UBS Commodity Index 3 Month Forward Swaps (Cleared OTC)
       
      29C07. PAYMENT OF DAILY FEE
      The Daily Fee for a cleared DJ-UBS CI-F3SM Swap contract must be paid on a daily basis in full to the Clearing House by each long and each short Clearing Member. On every business day, the holder of each long and short position in DJ-UBS CI-F3SM Swap will be charged one day’s worth of an annual fee of 5 basis points. For every calendar day, each long and short position holder will be charged an embedded fee calculated using the following formula:
      [Number of Contracts] x $100 x [DJ-UBS CI-F3SMSM Swap Settlement Price] x [.0005]/365] x Days
      where “Days” is calculated as the number of calendar days from the current DJ-UBS CI- F3SM Swap clearing date to the next DJ-UBS CI-F3 Swap clearing date.
      [1] “Dow JonesSM", UBS ®", “Dow Jones-UBS Excess Return Commodity IndexSM", and DJ-UBS ERCISM“, are service marks of Dow Jones & Company, Inc. and/or UBS Securities LLC, as the case may be, and have been licensed for use for certain purposes by the CBOT.  CBOT’s DJ-UBS ER CIcontracts based on the Dow Jones-UBS Excess Return Commodity Indexsm, are not sponsored, endorsed, sold or promoted by Dow Jones, UBS Securities LLC or any of their respective subsidiaries or affiliates, and none of Dow Jones, UBS Securities LLC, or any of their respective subsidiaries or affiliates, makes any representation regarding the advisability of trading in such products.
       

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