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To derive settlements for all remaining contract months, the net change in the second contract month from the prior day’s settlement price will be applied to the remaining contract months’ prior-day settlements, with appropriate adjustments made to incorporate relevant market data, including, but not limited to, transactions, bids and asks in relevant outright and spread markets, or other market information deemed relevant by the CME Global Command Center.
Bloomberg Commodity Index Futures and Swaps Daily Settlement Procedure
Normal Daily Settlement Procedure
Bloomberg calculates and publishes official closing values for the Bloomberg Commodity Indexes based on the settlements of the index’s component commodity futures contracts. CME Bloomberg Commodity Index futures including the Bloomberg Commodity Index (AW), Bloomberg Roll Select (DRS), Bloomberg Commodity Agriculture Subindex (BAG), Bloomberg Commodity All Metals Subindex (BME), Bloomberg Commodity Energy Subindex (BEN), Bloomberg Commodity Grains Subindex (BGR), Bloomberg Commodity Livestock Subindex (BLI), Bloomberg Commodity Petroleum Subindex (BPE), Bloomberg Commodity Precious Metals Subindex (BPR) and swaps including Cleared OTC Bloomberg Commodity Index Swaps (DGS) settle to these official closing values as published by Bloomberg on a daily basis.
If Bloomberg does not provide a Bloomberg Commodity Index official closing value by 16:00 Central Time (CT), then the futures will settle to the most recent index value available.
S&P GSCI Index Futures and Swaps Daily Settlement Procedure
Normal Daily Settlement Procedure
Standard & Poor’s calculates and publishes official closing values for the Standard & Poor’s Commodity Indexes based on the settlements of the index’s component commodity futures contracts. CME S&P GSCI Index contracts including the S&P GSCI Excess Return Index futures (GIE), S&P GSCI Excess Return Index swaps (SES) and the S&P GSCI Enhanced Excess Return Swaps (RRE) settle to these official closing values as published by Standard & Poor’s on a daily basis.
If Standard & Poor’s does not provide a S&P Commodity Index official closing value by 16:00 Central Time (CT), then the futures will settle to the most recent index value available.
Bloomberg Commodity Index Final Settlement Details
https://www.cmegroup.com/rulebook/CBOT/III/29.pdf
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