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Optimal Blue Mortgage Market Indices (OBMMI) 30-Year Conforming Fixed Rate Index Futures Settlement Procedure

Normal Daily Settlement Procedure

CME Group staff determine the daily settlements of the Optimal Blue Mortgage Market Indices (OBMMI) 30-Year Conforming Fixed Rate Index Futures (MGE) based on trading activity on CME Globex between 13:59:00 and 14:00:00 Central Time (CT), the settlement period.

Lead month

The designated lead month* is settled according to the following procedure:

Tier 1: The lead month settles to the volume-weighted average price (VWAP) of the outright between 13:59:00 and 14:00:00 Central Time (CT), the settlement period, rounded to the nearest tradable tick.

Tier 2: If there is no VWAP, then the last trade price is checked against the Globex bid/ask and is adjusted accordingly.

Tier 3: If there is no last trade price available, then the prior settle is checked against the Globex bid/ask and adjusted accordingly.

Deferred months

Deferred contract months consist of all non-lead months and settle according to the following procedure:

Tier 1: All months other than the designated lead month will settle based upon the VWAP of calendar spread transactions.

Tier 2: In the absence of relevant calendar spread trades, the midpoint of the calendar spreads best bid/ask will be used to value the spread.

Tier 3: In the absence of relevant calendar spread markets that meet the bid/ask threshold, the net change of the previous contract month will be applied to determine the contract’s settlement price. If that settlement price violates a bid or an offer in a calendar spread or in month itself the settlement price for that deferred month will be adjusted to honor that bid or offer.

* The designated lead month in each product shall be determined by the Exchange, and is generally the most active month.

Note: In the event the aforementioned calculations described in this advisory cannot be made or if CME Group staff, in its sole discretion, determines that anomalous activity yields results that are not representative of the fair value of the contract, the staff may determine an alternative settlement price.