EU Wheat Futures Settlement Procedure

Normal Daily Settlement Procedure

CME Group staff determines the daily settlement of EU Wheat Futures (WEU) futures based on the market activity on CME Globex between 18:30-18:35 Paris time.

Lead Month

The designated lead month* is settled according to the following procedure:

Tier 1: The lead month settles to the volume-weighted average price (VWAP) of the outright between 18:30:00 and 18:35:00 Paris time, the settlement period, rounded to the nearest tradable tick. If the VWAP is equidistant between two ticks, then it’s rounded to the tick that is closer to the prior-day’s settlement price.

Tier 2: If there is no VWAP, then the last trade price is checked against the bid/ask.

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

Tier 3: If there is no last trade price available, then the prior settle is checked against the current bid/ask.

If the prior settle is outside of the bid/ask spread, then the contract settles to the nearest bid or ask price.
If the prior settle is within the bid/ask spread or if a bid/ask is not available, then the contract settles to the prior settlement price.

Deferred months

Deferred contract months consist of all non-lead months and settle according to the following procedure:

Tier 1: All months other than the designated lead month will settle based upon the VWAP of calendar spread transactions between 18:30:00 - 18:35:00 Paris Time, the settlement period.

Tier 2: In the absence of relevant calendar spread trades, bids and asks in those calendar spreads will be used in conjunction with settlements from any months where a settlement price has been determined to form an implied market in the contract month to be settled. These implied markets, along with the outright bid/ ask market for the contract month, will be used to derive the best possible bid and the best possible ask. Provided that the implied bid/ask spread is consistent with reasonability thresholds for the product, as determined by the Global Command Center, the contract will settle at the midpoint of the implied bid/ask spread.

Tier 3: In the absence of an implied best bid/best ask that meets reasonability thresholds, the net change of the previous contract month will be applied to determine the contract month’s settlement price. However, if a contract month is initially settled to the net change of the previous contract month and there are posted markets at 18:35:00 Paris Time in one or more calendar spreads with that contract month as the nearby leg, then the settlement price will be adjusted on a subsequent iteration based upon the implied best bid/best ask of those calendar spreads, provided it is consistent with bid/ask reasonability thresholds..

Tier 4: If the settlement price in a deferred contract month created by using the “net change” method described above violates a bid or an ask in a calendar spread or in the deferred contract month itself that could otherwise be honored, the settlement price for that deferred contract month will be adjusted to honor that bid or ask. If not all spread bids or asks can be honored in this way, precedence will be given to the tightest bid/ask markets

* The designated lead month in each product shall be determined by the Exchange, and is generally the most active month, shifting as open interest and volume migrate during the contract lifecycle. Advance notification of changes to the designated lead month will be provided to the marketplace.

Limit Markets

If the lead month trades exclusively at its limit price or is locked limit during the closing period, and the contract settles at the limit price. In this event, the next listed contract that is not at limit will be used as the anchor price for determining the settlement prices of the other contracts; however, no contract will settle through its price limit and any contract that trades exclusively at its limit price or is locked limit during the closing period will settle at its limit price. When price limits are lifted on a spot month contract and the other months in that contract are locked limit, the spot month will settle based upon the outright activity in the spot month rather than on spread relationships.

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.