USD/CNH Futures Final Settlement Procedure
Daily Settlement Procedure
Lead Month
- Tier 1 – Volume Weighted Average if three or more contracts are traded between 13:59:30-13:59:59, the settlement period.
- Tier 2 – If less than three contracts trade during the closing range then the settlement will be determined by taking the Information from WM Reuters and interpolating a price from the Cash Market
Back Months
- All back months will settle to interpolated prices from WM Reuters. The settlements will be normalized against the Lead Month settle vs. the interpolated price for the lead month from WM Reuters. All settlements for back months will be validated against any spread markets involving the lead month
Normal Final Settlement Procedure
The CME U.S. dollar/offshore Chinese renminbi futures contract Final Settlement Price shall be equal to the mid-rate of the WMR Intraday Spot Rate for USD/CNH at 2:00 p.m. Hong Kong time, rounded to four decimal places.
Additional Details
USD/CNH (CNH) futures are cash settled upon expiration. For additional details on delivery, please see the CME Rulebook (Chapter 284L):
http://www.cmegroup.com/rulebook/CME/III/250/284L.pdf
https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/III/300/344L.pdf
If you have any questions, please call the CME Global Command Center at 800.438.8616, in Europe at 44.800.898.013, or in Asia at 65.6532.5010.
If you have any questions, please call the CME Global Command Center.
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.