CME Repo Funds Rate (Germany and Italy) Futures Daily Settlement Procedure

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CME Group staff determines the daily settlements for the German (RSD) and Italian (RSI) Three-Month Single Contract Basis Spread Futures based on trading activity on CME Globex between 16:05 and 16:15 London time, the settlement period.

Tier 1:  Each contract month settles to its own volume-weighted average price (VWAP) of trades that occur between 16:05 and 16:15 London time, the settlement period, rounded to the nearest tradable tick.

Tier 2:  If no trades occur on CME Globex during the settlement period, then the last trade is used to determine the settlement price validated against the Globex bid/ask.

Tier 3:  In the absence of any trading activity, the daily settlement price will be determined by applying the net change from the preceding contract month to the given contract month’s prior daily settlement price validated against the Globex bid/ask.

Normal Daily Settlement Procedures for the Repo Funds Rate German (RFD) and Italian (RFI) Futures

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Final Settlement Procedures      

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/V/450/480.pdf

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