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