Commodity Index Products

This page provides settlement information for Bloomberg Commodity Index products including:

CME S&P GSCI Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

CME Group staff  determines the daily settlements for the S&P GSCI (GD) futures based on trading activity on CME Globex between 13:39:30 and 13:40:00 Central Time (CT), the settlement period.

Lead month

The lead month is the anchor leg for settlements and is the contract expected to be the most active.

Tier 1:   Each contract month settles to the volume-weighted average price (VWAP) of the outright trades executed between 13:39:30 to 13:40:00 CT, the settlement period, rounded to the nearest tradable tick. If the VWAP is exactly in the middle of two tradable ticks, then the settlement price will be rounded to the tick that is closer to the prior day settlement price.

Tier 2:   If there are no trades in the lead month on CME Globex between 13:39:30 and 13:40:00 CT, the settlement period, then the last trade (or the contract’s settlement price from the previous day in the absence of a last trade price) is used to determine whether to settle to the current bid or the current ask.

If the current bid is higher than the last trade/prior settlement price, then the lead month settles to the bid price. If the current ask is lower than the last trade/prior settle, then the lead month settles to the ask price. The lead month settles to the last trade/prior settlement price if it is equal to or between the current bid and the current ask.

Second month

When the lead month is the expiry month, then the second month is defined as the calendar month immediately following the lead month. When the lead month is not the expiry month, then the second month is defined as the first expiring non-lead month.

Tier 1:   If the lead month-second month spread trades between 13:39:30 and 13:40:00 CT, the settlement period, then the spread VWAP is calculated and rounded to the spread’s nearest tradable tick. If this value is exactly in the middle of two tradable ticks, then the settlement will be rounded to the tick that is closer to the prior-day lead month-second month settlement price. The spread differential is then applied to the lead month settlement to derive the second month settlement.

Tier 2:   If there are no trades between 13:39:30 and 13:40:00 CT, the settlement period, then the last spread trade price (or prior day settlement in the absence of a last trade price) is applied to the lead month settlement to derive the second month settlement.

If the last spread trade is outside of the spread’s current bid and ask, then the bid or ask price that is closer to the last spread trade is applied to the lead month settlement to derive the second month settlement. 

Tier 3:   If there is no spread market information available, then the prior-day spread relationship is used. 

Back months

To derive settlements for all remaining contract months, the net change in the second contract month from the prior day’s settlement price will be applied to the remaining contract months’ prior-day settlements, with appropriate adjustments made to incorporate relevant market data, including, but not limited to, transactions, bids and asks in relevant outright and spread markets, or other market information deemed relevant by the CME Global Command Center.

Bloomberg Commodity Index Futures and Swaps Daily Settlement Procedure

Normal Daily Settlement Procedure

Bloomberg calculates and publishes official closing values for the Bloomberg Commodity Indexes based on the settlements of the index’s component commodity futures contracts. CME Bloomberg Commodity Index futures including the Bloomberg Commodity Index (AW), Bloomberg Roll Select (DRS), Bloomberg Commodity Agriculture Subindex (BAG), Bloomberg Commodity All Metals Subindex (BME), Bloomberg Commodity Energy Subindex (BEN), Bloomberg Commodity Grains Subindex (BGR), Bloomberg Commodity Livestock Subindex (BLI), Bloomberg Commodity Petroleum Subindex (BPE), Bloomberg Commodity Precious Metals Subindex (BPR) and swaps including Cleared OTC Bloomberg Commodity Index Swaps (DGS) settle to these official closing values as published by Bloomberg on a daily basis.

If Bloomberg does not provide a Bloomberg Commodity Index official closing value by 16:00 Central Time (CT), then the futures will settle to the most recent index value available.

S&P GSCI Index Futures and Swaps Daily Settlement Procedure

Normal Daily Settlement Procedure

Standard & Poor’s calculates and publishes official closing values for the Standard & Poor’s Commodity Indexes based on the settlements of the index’s component commodity futures contracts. CME S&P GSCI Index contracts including the S&P GSCI Excess Return Index futures (GIE), S&P GSCI Excess Return Index swaps (SES) and the S&P GSCI Enhanced Excess Return Swaps (RRE) settle to these official closing values as published by Standard & Poor’s on a daily basis.

If Standard & Poor’s does not provide a S&P Commodity Index official closing value by 16:00 Central Time (CT), then the futures will settle to the most recent index value available.

Bloomberg Commodity Index Final Settlement Details

https://www.cmegroup.com/rulebook/CBOT/III/29.pdf

S&P Commodity Index Final Settlement Details

https://www.cmegroup.com/rulebook/CME/IV/400/401/401.pdf