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FTSE Futures Daily Settlement Procedure
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Daily settlements of the CME Equity Index futures are determined by CME Group staff based on trading and market activity on CME Globex. These include: R2V, R2G, QCN, RS1, RSV, RSG, TRI, SG, SU, CTR, EMD, SMC, XFT, XAF, XAU, XAP, XAE, XAK, XAV, XAB, XAI, XAY, XAR, JR, BIO, IPO, SLP, FT1, FT5, EI, and FTU
Lead Month
The The lead month is the anchor leg for settlements and is the contract expected to be the most active.
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Tier 2: If there are no spread trades on Globex between 14:59:30 and 15:00:00 CT, then the last spread trade price is applied to the lead month settle to derive the second month settle. If the last spread trade is outside of the spread’s Bid/ Ask, then the bid or ask price that is closer to the last spread trade is applied to the lead month settle to derive the second month settle.
Tier 3: If there is no spread market information available on Globex, then the cash index will be used in the following Carry calculation to derive a settlement price.
Index price + [(Days to expiration/ 365) x Interest rate x Index price)]
Back Months
To To derive settlements for all remaining months, the following Carry calculation will be used to derive a settlement prices provided that this value does not violate the bid or ask between 14:59:30 and 15:00:00 CT for the respective outrights.
Index price + [(Days to expiration/ 365) x Interest rate x Index price)]
Note
The Index Price used in the Carry calculation in this methodology, for futures that settle at a different time than their underlying Cash Equity Index, will be a ‘Synthetic’ Index price. This ‘Synthetic’ price will be derived by taking the Lead month futures contract minus the Cash Index at the cash close to calculate a Basis. At the futures settlement time, the Lead Month settlement minus the Basis will equal the ‘Synthetic’ 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.
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39103.A. Final Settlement Price For a futures contract for a given delivery month, the Final Settlement Price shall be determined on the third Friday of such delivery month, and shall be equal to the Index closing value for the third Friday of such delivery month.
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