Australian Dollar Canadian Dollar

AUD/CAD Futures

Normal Daily Settlement

The settlement in the AUD/CAD (ACD) Cross Rate futures contract is derived by dividing the settlement in the corresponding AUD/USD (6A) contract by the settlement in the corresponding CAD/USD (6C) contract, and then rounding to the nearest tradable tick.

Example

If the 6AU2 settles 1.0075, and the 6CU2 settles .9804, then the value of the ACDU2 would be 1.02764 (1.0075 / .9804 ≈ 1.02764) . This number would then be rounded down, to the nearest tradable tick, to a settlement price of 1.0276.

Normal Final Settlement

The final settlement in the AUD/CAD (ACD) Cross Rate futures contract is derived by dividing the final settlement in the corresponding AUD/USD (6A) contract by a temporary settlement in the corresponding CAD/USD (6C) contract, and then rounding to the nearest tradable tick.

The CAD/USD (6C) contract expires one day after the corresponding AUD/USD (6A) and AUD/CAD (ACD) contracts. A temporary settlement will be derived using the final settlement methodology for the CAD/USD (6C) at 09:16 AM CT, exactly one day prior to its expiration, to calculate a final settlement for the AUD/CAD (ACD) Cross Rate futures contract.

Example

If the 6AH3 settles 1.0391, and the 6CH3 temporary settle is 0.9796, then the value of the ACDH3 would be 1.0607 (1.0391 / 0.9796 ≈ 1.060739). This number would then be rounded to the nearest tradable tick, to a final settlement price of 1.0607.

The final settlement procedure for the individual AUD/USD (6A) and CAD/USD (6C) contracts can be found at the following links:

Australian Dollar

Canadian Dollar

Additional Details

AUD/CAD (ACD) Cross Rate futures are physically delivered upon expiration. For additional details on delivery, please see the CME Rulebook (Chapter 308).

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.