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Daily settlement of the Bloomberg Investment Grade (IQB), Bloomberg High Yield (HYB), and Bloomberg Investment Grade Duration Hedged (DHB), and Bloomberg High Yield Duration Hedged (DHY) Credit Futures , are determined by CME Group staff based on trading activity on CME Globex.
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Tier 1: If the lead month contract trades on CME Globex between 14:59:00 and 15:00:00 Central Time (CT), the settlement period, then the lead month settles to the volume-weighted average price (VWAP) of the trade(s) during this period.
Tier 2: If If no trades in the lead month occur on CME Globex between 14:59:00 and 15:00:00 CT, then the most recent trade (or prior settle in the absence of a last trade price) is used.
The lead month settles to the last trade/prior settle assuming that it does not violate the CME Globex bid bid or ask in the settlement period. If the bid or ask are violated the settlement will be adjusted accordingly.
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Tier 1: If the lead month-second month spread trades on CME Globex between 14:59:00 and 15:00:00 CT, then the spread VWAP is calculated and rounded to the spreads nearest tradable tick. The spread differential is then applied to the lead month settlement price to derive the second month settlement, which is rounded to the outright’s nearest tradable tick.
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