CNH USD 6H
CNH USD 6H Futures
This page describes normal daily settlements and final settlements for CNH/USD futures.
Normal daily settlement procedure
Daily settlement of CNH/USD futures (6H) is determined by CME Group staff based on trading activity on CME Globex.
Lead month
The lead month is the expiry month and the contract expected to be the most active.
Tier 1: If trades in the lead month contract occur on CME Globex between 13:59:30 and 14:00:00 CT, then the contract settles to the volume-weighted average price (VWAP) of trades occurring during this 30-second period.
Tier 2: If two or fewer trades occur between 13:59:30 and 14:00:00 CT, then the lead month settles to the midpoint of the bid and ask prices on CME Globex during this 30-second period.
Tier 3: If a bid and ask are not available on CME Globex during this period, then CME staff uses quote vendor spot rates and forward points to International Monetary Market (IMM) dates to determine the lead contract’s synthetic daily settlement.
Deferred months
CME staff settles all deferred contract months based on traded or quoted spread relationships. If these traded or quoted spread relationships are not available, then the deferred contract months are settled using spot market information, taking into account the forward rate.
Normal daily settlements from “rollover date” to termination of trading day
From the rollover date to termination of trading (usually a five-day period), the second contract month (the next contract month in expiration cycle after the lead month) is settled using Tier 1 and Tier 2 calculations instead of the lead month. The lead month contract is settled using Tier 3 methodology.
The settlement procedure is changed during this five-day period because the first deferred contract month is more liquid than the lead month near expiration.
Normal Final settlement procedure
The final settlement price of the expiring contract for CNH/USD futures (6H) is determined on the last day of trading at 14:00 hours Hong Kong time. The settlement price of the expiring contract is derived from the more actively traded, next deferred contract month. The spread differential between the expiring contract and from the next deferred month is applied to the volume-weighted average price (VWAP) of CME Globex trades in the next deferred contract month during the 30-second closing range between 13:59:30 and 13:59:59 Hong Kong time to generate a final settlement price.
As a fallback, the inverse of the mid-rate of EBS FX Benchmark for USD/CNH at 14:00 hours Hong Kong time, and rounded to six decimal places.