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The Index Price used in the Carry calculation in this methodology, will be the Cash Equity Index price. The Interest Rate component used in the Carry calculation in this methodology is derived by subtracting expected dividends from a normalized interest rate curve.

End of Month Fair Value Procedure

http://www.cmegroup.com/trading/equity-index/fairvaluefaq.html

Final Settlement

The Final Settlement Price shall be a special quotation of the S&P 500 Index based on the opening prices of the component stocks in the index, determined on the third Friday of the contract month. If the S&P 500 Index is not scheduled to be published on the third Friday of the contract month, the Final Settlement Price shall be determined on the first earlier day for which the Index is scheduled to be published.

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If a component stock in the index does not trade on the day scheduled for determination of the Final Settlement Price while the primary market for that stock is open for trading, the price of that stock shall be determined, for the purposes of calculating the Final Settlement Price, based on the last sale price of that stock.  However, if the Exchange determines that there is a reasonable likelihood that trading in the stock shall occur shortly, the Exchange may instruct that the price of stock shall be based, for the purposes of calculating the Final Settlement Price, on the opening price of the stock on the next day that it is traded on its primary market.  Factors to be considered in determining whether trading in the stock is likely to occur shortly shall include the nature of the event and recent liquidity levels in the affected stock.

Additional Details

For information regarding the SOQ, please see the following links:

• Understand the SOQ
• Retrieving the SOQ on expiration day
• S&P 500 (SP) futures are cash settled upon expiration. For additional details, please see the CME Rulebook (Chapter 351) 
• E-Mini S&P 500 (ES) futures are cash settled upon expiration. For additional details, please see the CME Rulebook (Chapter 358).

Normal BTIC Daily Settlement Procedure

Daily settlements of the E-mini S&P 500 (EST), E-mini Nasdaq-100 (NQT), E-mini Russell 2000 (RLT) and E-mini DJIA (YMT) BTIC futures are determined by CME Group staff based on trading and market activity on CME Globex, up to 14:45:00 Central 00 Central Time (CT)

All Months

Tier 1: If   If the lead month contract trades on Globex between 14:15:00 and 14:45:00 CT, the settlement period, then the that contract month settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2: If   If no trades occur on Globex between 14:15:00 and 14:45:00 CT, then the contract settles to the last traded price validated against Low Bid/High Ask during the closing rangethe Globex bid/ask.

Tier 3: If   If there are no trades then the contract settles to the net change of the preceding contract applied to the prior day settlement validated against Low Bid/High Ask during the closing rangethe Globex bid/ask.

Equity Forward BTIC and Forward TACO Daily Settlement Procedure

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Tier 2:  If no trades occur on Globex between 7:30:00 and 15:00:00 CT, then the contract settles to the last traded price validated against the bid/ask present on the close.

Tier 3:  If there are no trades then the contract settles to the prior day settlement validated against the bid/ask present on the close.