Chicago Wheat-European Milling Wheat and KC HRW Wheat-European Milling Wheat Spread Daily

Normal Daily Settlement Procedure

CME Group staff determines the daily settlements for Chicago Wheat-European Milling Wheat (CWD) and KC HRW Wheat-European Milling Wheat (KWD) Spread futures based on trading activity on CME Globex between 18:20:00 and 18:30:00 Central European Time (CET), the settlement period.

Tier 1: Each contract month settles to its volume-weighted average price (VWAP) of all trades that occur between 18:20 and 18:30 CET, the settlement period, rounded to the nearest tradable tick.

Tier 2: If no trades occur on CME Globex between 18:20 and 18:30 CET, the settlement period, then the last trade (or the contract’s settlement price from the previous day in the absence of a last trade price) is used to determine whether to settle to the Globex bid or ask during this period.

a. If the last trade price is outside of the bid/ask spread, then the contract month settles to the nearest bid or ask price.

b. If the last trade price is within the bid/ask spread, or if a bid/ask spread is not available, then the contract month settles to the last trade price.

Tier 3: In the absence of any trade activity or bid/ask in a given contract month during the current trading day, the daily settlement price will be determined by applying the net change from the preceding contract month to the given contract month’s prior daily settlement price.