Steel Futures
Normal Daily Settlement Procedure
CME Group staff determines the daily settlements for U.S. Midwest Domestic Hot-Rolled Coil Steel (CRU) Index futures (CME Globex: HRC; CME ClearPort/Clearing: HR), U.S. Midwest Busheling Ferrous Scrap (AMM) futures (BUS), U.S. Midwest Domestic Steel Premium (CRU) futures (HDG), North European Hot-Rolled Coil Steel (Argus) futures (EHR), and HMS 80/20 Ferrous Scrap, CFR Turkey (Platts TSI) futures (FSF), U.S. Midwest Hot-Rolled Coil Steel (Platts) futures (HRP), and U.S. Midwest Shredded Scrap (Platts) futures (SHR), based on outright trading activity on CME Globex and CME ClearPort between 11:30:00 and 12:00:00 ET the settlement period.
...
Tier 1: If there are outright trades in the front month on CME Globex or CME ClearPort during the respective settlement period, then the front month contract settles to the volume-weighted average price (VWAP) of the trade(s) during this period.
Tier 2: If no outright trades in the front month occur during the respective settlement period, then the contract settles to the last CME Globex outright, strip trade or CPC CME ClearPort outright, calendar or strip trade that occurred between 05:00:00 and 12:00:00 ET. If the last trade is below a CME Globex bid or above a CME Globex ask that is active at the end of the respective settlement period, the settlement will be adjusted to the CME Globex bid or CME Globex ask.
Tier 3: If no trades occur between 05:00:00 and 12:00:00 ET in the front month, then the contract settles to the prior settlement price. If the prior settlement price is between the CME Globex bid/ask at the end of the respective settlement period, the contract month settles to that level. If the prior settlement price is below a CME Globex bid or above a CME Globex ask that is active at the end of the respective settlement period, the settlement will be adjusted to the CME Globex bid or CME Globex ask.
...
Tier 4: If no trades occur between 04:00:00 and 11:00:00 CT and there is no Globex bid or Globex ask active at the end of the respective settlement period, that contract month’s settlement will be adjusted to the net change of the previous listed contract month.
Final Settlement Procedure
BUS – COMEX Rulebook Chapter 601
...
SHR – COMEX Rulebook Chapter 925
| Include Page | ||||
|---|---|---|---|---|
|