AUD/CAD Futures
Normal Daily Settlement
The settlement in the AUD/CAD (ACD) Cross Rate futures contract is derived by dividing the settlement in the corresponding AUD/USD (6A) contract by the settlement in the corresponding CAD/USD (6C) contract, and then rounding to the nearest tradable tick.
Example
If the 6AU2 settles 1.0075, and the 6CU2 settles .9804, then the value of the ACDU2 would be 1.02764 (1.0075 / .9804 ≈ 1.02764) . This number would then be rounded down, to the nearest tradable tick, to a settlement price of 1.0276.
Normal Final Settlement
The final settlement in the AUD/CAD (ACD) Cross Rate futures contract is derived by dividing the final settlement in the corresponding AUD/USD (6A) contract by a temporary settlement in the corresponding CAD/USD (6C) contract, and then rounding to the nearest tradable tick.
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The CAD/USD (6C) contract expires one day after the corresponding AUD/USD (6A) and AUD/CAD (ACD) contracts. A temporary settlement will be derived using the final settlement methodology for the CAD/USD (6C) at 09:16 AM CT, exactly one day prior to its expiration, to calculate a final settlement for the AUD/CAD (ACD) Cross Rate futures contract. |
Example
If the 6AH3 settles 1.0391, and the 6CH3 temporary settle is 0.9796, then the value of the ACDH3 would be 1.0607 (1.0391 / 0.9796 ≈ 1.060739). This number would then be rounded to the nearest tradable tick, to a final settlement price of 1.0607.
The final settlement procedure for the individual AUD/USD (6A) and CAD/USD (6C) contracts can be found at the following links:
Additional Details
AUD/CAD (ACD) Cross Rate futures are physically delivered upon expiration. For additional details on delivery, please see the CME Rulebook (Chapter 308).
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