Chinese Renminbi

RMB/USD Futures

Normal Daily Settlement Procedure

The daily settlements of RMB/USD futures (RMB) are determined by CME Group staff based on trading activity on CME Globex and relevant information available in the cash market.

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, the settlement period, then the contract settles to the volume-weighted average price (VWAP) of trades occurring during this 30-second period.

Tier 2: If trades do not occur on CME Globex between 13:59:30 and 14:00:00 CT, 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.

Back months

All back months will settle to interpolated prices from WM Reuters. The settlements will be normalized against the Lead Month settle vs. the interpolated price for the lead month from WM Reuters. All settlements for back months will be validated against any spread markets involving the lead month.

USD/RMB Futures

Normal Daily Settlement

The settlement in the USD/RMB (CNY) futures contract is derived directly from the settlement in the RMB/USD (RMB) futures contract. The settlement is calculated by taking the inverse of the settlement of the corresponding RMB/USD contract.

Example

If the RMBH3 settles .15950, then the value of the corresponding USD/RMB contract, CNYH3, would be 6.269592 (1/.15950 ≈ 6.269592). This number would then be rounded to the nearest tradable tick, to a settlement price of 6.2696.

Micro USD/RMB Futures

Normal Daily Settlement

The settlement in the Micro USD/RMB (MNY) futures contract is derived directly from the settlement in the USD/RMB (CNY) futures contract.

Example

If the CNYJ3 settles .62767, then the value of the corresponding Micro USD/RMB contract, MNYJ3, would be 6.2767.

Additional Details

USD/CNH (CNH) futures are cash settled upon expiration. For additional details on delivery, please see the CME Rulebook (Chapter 284L):

http://www.cmegroup.com/rulebook/CME/III/250/284L.pdf

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/III/300/344L.pdf