Steel Futures

Normal Daily Settlement Procedure

CME Group staff determines the daily settlements for U.S. Midwest Domestic Hot-Rolled Coil Steel (CRU) Index futures (CME Globex: HRC; CME ClearPort/Clearing: HR), U.S. Midwest Busheling Ferrous Scrap (AMM) futures (BUS), U.S. Midwest Domestic Steel Premium (CRU) futures (HDG), North European Hot-Rolled Coil Steel (Argus) futures (EHR), and HMS 80/20 Ferrous Scrap, CFR Turkey (Platts TSI) futures (FSF), U.S. Midwest Hot-Rolled Coil Steel (Platts) futures (HRP), and U.S. Midwest Shredded Scrap (Platts) futures (SHR), based on outright trading activity on CME Globex and CME ClearPort between 11:30:00 and 12:00:00 ET the settlement period.

Spot Month

BUS / HDG / HRC

Tier 1:  If there are outright trades in the front month on CME Globex or CME ClearPort during the respective settlement period, then the front month contract settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2:  If no outright trades in the front month occur during the respective settlement period, then the contract settles to the last CME Globex outright, strip trade or CPC CME ClearPort outright, calendar or strip trade that occurred between 05:00:00 and 12:00:00 ET. If the last trade is below a CME Globex bid or above a CME Globex ask that is active at the end of the respective settlement period, the settlement will be adjusted to the CME Globex bid or CME Globex ask.

Tier 3:  If no trades occur between 05:00:00 and 12:00:00 ET in the front month, then the contract settles to the prior settlement price. If the prior settlement price is between the CME Globex bid/ask at the end of the respective settlement period, the contract month settles to that level. If the prior settlement price is below a CME Globex bid or above a CME Globex ask that is active at the end of the respective settlement period, the settlement will be adjusted to the CME Globex bid or CME Globex ask.

EHR / FSF / HRP / SHR

Tier 1:  If there are outright trades in a given contract month on CME Globex or CME ClearPort during the respective settlement period, then that month settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2:  If no outright trades in a given contract month occur during the respective settlement period, then the contract month settles to the last CME Globex outright, strip trade or CME ClearPort outright, calendar or strip trade that occurred between 05:00:00 and 12:00:00 ET. If the last trade is below a CME Globex bid or above a CME Globex ask that is active at the end of the respective settlement period, the settlement will be adjusted to the CME Globex bid or CME Globex ask.

Tier 3:  If no trades occur between 05:00:00 and 12:00:00 ET in a listed contract month, the settlement will be adjusted according to the following: If the previous day’s settlement when adjusted to the net change of the previous listed contract month is between the CME Globex bid/ask at the end of the respective settlement period, that contract month settles to that level. If the previous day’s settlement adjusted to the previous listed contract month’s net change is below the CME Globex bid or above the CME Globex ask that is active at the end of the respective settlement period, the settlement will be adjusted to the CME Globex bid or CME Globex ask.

Tier 4: If no trades occur between 05:00:00 and 12:00:00 ET and there is no CME Globex bid or CME Globex ask active at the end of the respective settlement period, that contract month’s settlement will be adjusted to the net change of the previous listed contract month.

All Other Months

Tier 1:  If there are outright trades in a given contract month on Globex or CPC during the respective settlement period, then that month settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2:  If no outright trades in a given contract month occur during the respective settlement period, then the contract month settles to the last Globex outright, strip trade or CPC outright, calendar or strip trade that occurred between 04:00:00 and 11:00:00 CT. If the last trade is below a Globex bid or above a Globex ask that is active at the end of the respective settlement period, the settlement will be adjusted to the Globex bid or Globex ask.

Tier 3:   If no trades occur between 04:00:00 and 11:00:00 CT in a listed contract month, the settlement will be adjusted according to the following: If the previous day’s settlement when adjusted to the net change of the previous listed contract month is between the Globex bid/ask at the end of the respective settlement period, that contract month settles to that level. If the previous day’s settlement adjusted to the previous listed contract month’s net change is below the Globex bid or above the Globex ask that is active at the end of the respective settlement period, the settlement will be adjusted to the Globex bid or Globex ask.

Tier 4:   If no trades occur between 04:00:00 and 11:00:00 CT and there is no Globex bid or Globex ask active at the end of the respective settlement period, that contract month’s settlement will be adjusted to the net change of the previous listed contract month.

Final Settlement Procedure

BUS – COMEX Rulebook Chapter 601

HDG – COMEX Rulebook Chapter 969

HRC – COMEX Rulebook Chapter 920

EHR – COMEX Rulebook Chapter 971

FSF – COMEX Rulebook Chapter 867

HRP – COMEX Rulebook Chapter 921

SHR – COMEX Rulebook Chapter 925