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South American Soybeans

September 24, 2020
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1 Contract Need

2 SAS Salient Features

3 Cash Settlement Mechanism

4 Relationship to Legacy Soybeans

Agenda
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Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be 

undertaken by investors who are Eligible Contract Participants (ECPs) within the meaning of Section 1a(18) of the Commodity Exchange 

Act. Futures and swaps each are leveraged investments and, because only a percentage of a contract’s value is required to trade, it is 

possible to lose more than the amount of money deposited for either a futures or swaps position. Therefore, traders should only use funds 

that they can afford to lose without affecting their lifestyles and only a portion of those funds should be devoted to any one trade because 

traders cannot expect to profit on every trade.

CME Group, the Globe Logo, CME, Globex, E-Mini, CME Direct, CME DataMine and Chicago Mercantile Exchange are trademarks of 

Chicago Mercantile Exchange Inc. CBOT is a trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is a trademark of New 

York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other trademarks are the property of their 

respective owners.

The information within this communication has been compiled by CME Group for general purposes only. CME Group assumes no 

responsibility for any errors or omissions. Additionally, all examples in this communication are hypothetical situations, used for explanation 

purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules 

and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be 

consulted in all cases concerning contract specifications.

Copyright © 2020 CME Group Inc. All rights reserved.

Disclaimer
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No cleared tools to manage Brazilian exposure.

• Brazil has emerged over recent decades as the largest global producer and exporter of soybeans.

• While long-term correlation between Brazilian soybean prices and CBOT Soybean prices remains strong, data suggests 

breakdowns in this relationship are more common now compared to historical norms.

• Export seasonality means the “new crop” occurs at different points in the calendar year for the US and Brazil. 

• Non-market influences such as the US-China Trade War underscored the need for a hedging tool.

• Though there is a robust paper market in Paranagua, there were no cleared instruments available to those who needed 

to manage Brazilian soybean risk.

Contract Need
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Soybean Exports

0.00%

10.00%

20.00%

30.00%

40.00%

50.00%

60.00%

70.00%

80.00%

90.00%

100.00%

1964/19651965/19661966/19671967/19681968/19691969/19701970/19711971/19721972/19731973/19741974/19751975/19761976/19771977/19781978/19791979/19801980/19811981/19821982/19831983/19841984/19851985/19861986/19871987/19881988/19891989/19901990/19911991/19921992/19931993/19941994/19951995/19961996/19971997/19981998/19991999/20002000/20012001/20022002/20032003/20042004/20052005/20062006/20072007/20082008/20092009/20102010/20112011/20122012/20132013/20142014/20152015/20162016/20172017/20182018/20192019/20202020/2021

Share of Global Soybean Exports

Argentina Brazil Paraguay United States
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Brazil-US Basis

-50.00

0.00

50.00¢

100.00¢

150.00¢

200.00¢

250.00¢

300.00¢

Soybean Basis: FOB US vs. FOB Brazil 

Brazil - US Gulf Difference US FOB Gulf Basis (¢/bu) Brazil FOB Paranagua Basis (¢/bu)

Source: Bloomberg (BGGRSB1M, SYBBBRF1)
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SAS Contract Specifications
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Platts SOYBEX FOB Santos Assessment

• Unlike the legacy CBOT Soybean contract (ZS), SAS is cash settled.

• Daily settlement follows a similar methodology to ZS – Globex trades are subject to a VWAP during a settlement 

window at the end of each trading day. 

• Final settlement diverges from ZS – it looks at the Platts SOYBEX FOB Santos Assessment:

- Quality: Assessment reflects Brazil ANEC soybean specification, but with a typical protein level of 34.5%.

- Quantity: Assessment reflects a typical cargo size of 60,000 mt, +/- 10% operational tolerance.

- Basis and Location: FOB Santos, Brazil.

- Timing: Assessment reflects product loading one calendar month forward. This will roll to the next month on the first publication day 

after the 15th of the current month. For example, from July 16-August 15, Platts will assess parcels loading over September, while 

from August 16-September 15, Platts will assess parcels loading over October.

• A contract will settle to the Globex-derived daily settlement price each day, but the final settlement price will be 

determined by averaging each day’s SOYBEX FOB Santos price during the calculation period. The calculation period 

runs from the 16th of the month prior to expiry through the 15th of the month of expiry. For example, the March 2021 

contract will expire on February 15, 2021. The calculation period will run from January 16, 2021 through February 15, 

2021. The assessment from each of those days is averaged to achieve the final settlement price.

Cash Settlement
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A regional partner to a global benchmark.

• The Exchange sees cash settled regional products as complementary to the existing benchmark products.

• The very first SAS trade was done as a spread to legacy CBOT soybeans.

• Other regional products like Black Sea Wheat have not impacted liquidity in legacy CBOT products.

Relationship to Legacy Soybeans

0

100,000

200,000

300,000

400,000

500,000

600,000

700,000

800,000

900,000

1,000,000

01/02/2015 01/02/2016 01/02/2017 01/02/2018 01/02/2019 01/02/2020

Contracts

Open Interest

Chicago Wheat OI KC Wheat OI Black Sea Wheat OI
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Thank you