AUD/NZD Futures
Normal Daily Settlement
The settlement in the AUD/NZD (ANE) Cross Rate futures contract is derived by dividing the settlement in the corresponding AUD/USD (6A) contract by the settlement in the corresponding NZD/USD (6N) contract, and then rounding to the nearest tradable tick.
Example
If the 6AH3 settles 1.0270, and the 6NH3 settles 0.8424, then the value of the ANEH3 would be 1be 1.2191358 (1.0270 / .8424 ≈ 8424 ≈ 1.2191358) . This number would then be rounded to the nearest tradable tick, to a settlement price of 1of 1.2191.
Normal Final Settlement
The final settlement in the AUD/NZD (ANE) Cross Rate futures contract is derived by dividing the final settlement in the corresponding AUD/USD (6A) contract by the final settlement in the corresponding NZD/USD (6N) contract, and then rounding to the nearest tradable tick.
Example
If the 6AH3 settles 1.0391, and the 6NH3 settles 0.8243, then the value of the ANEH3 would be 1.2605847 (1.0391 / 0.
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8243 ≈ 1.2605847). This number would then be rounded to the nearest tradable tick, to a final settlement price of 1.2606.
The final settlement procedure for the individual AUD/USD (6A) and NZD/USD (6N)
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contracts can be found at the following links:
Additional Details
AUD/NZD (ANE) Cross
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Rate futures are physically delivered upon expiration. For additional details on delivery, please see the CME Rulebook (Chapter 310).
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