FTSE Developed Europe Index Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

Daily settlements of the CME Equity Index futures are determined by CME Group staff based on trading and market activity on CME Globex. These include:  DVE

Lead Month

The lead month is the anchor leg for settlements and is the contract expected to be the most active.

Tier 1:   If the lead month contract trades on Globex between 16:29:30 and 16:30:00 London Time, the settlement period, then the lead month settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2:   If no trades in the lead month occur on Globex between 16:29:30 and 16:30:00 London Time, then the contract month settles to the midpoint of the Bid/Ask between 16:29:30 and 16:30:00 London Time, the settlement period.

Tier 3:   If a two-sided market is not available on Globex during the closing period, then the cash index will be used in the following Carry calculation to derive a settlement price. 

Index price + [(Days to expiration/ 365) x Interest rate x Index price)] 

Second Month

When the lead month is the expiry month, then the second month is defined as the calendar month immediately following the lead month. When the lead month is not the expiry month, then the second month is defined as the first expiring non-lead month.

Tier 1:   If the lead month-second month spread trades on Globex between 16:29:30 and 16:30:00 London Time, then the spread VWAP is calculated, rounded to the spread’s nearest tradable tick and then applied to the lead month settle to derive the second month settle.

Tier 2:   If there are no spread trades on Globex between 16:29:30 and 16:30:00 London Time, then the last spread trade price is applied to the lead month settle to derive the second month settle.

If the last spread trade is outside of the spread’s Bid/ Ask, then the bid or ask price that is closer to the last spread trade is applied to the lead month settle to derive the second month settle.

Tier 3:   If there is no spread market information available on Globex, then the cash index will be used in the following Carry calculation to derive a settlement price.

Index price + [(Days to expiration/ 365) x Interest rate x Index price)] 

Back Months

To derive settlements for all remaining months, the following Carry calculation will be used to derive a settlement prices provided that this value does not violate the bid or ask between 16:29:30 and 16:30:00 London Time for the respective outrights.

 Index price + [(Days to expiration/ 365) x Interest rate x Index price)] 

Final Settlements

39003.A. Final Settlement Price For a futures contract for a given delivery month, the Final Settlement Price shall be determined on the third Friday of such delivery month, and shall be equal to the Index closing value for the third Friday of such delivery month.

E-mini S&P Europe 350 ESG Index Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

Daily settlements of the E-mini S&P Europe ESG (E3G) futures are determined by CME Group staff based on trading and market activity on CME Globex.

Lead Month

The lead month is the anchor leg for settlements and is the contract expected to be the most active.

Tier 1:  If the lead month contract trades on Globex between 16:29:30 and 16:30:00 British Summer Time (BST), the settlement period, then the lead month settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2:  If no trades in the lead month occur on Globex between 16:29:30 and 16:30:00 BST, then the contract month settles to the midpoint of the Bid/Ask between 16:29:30 and 16:30:00 BST, the settlement period.

Tier 3:  If a two sided market is not available on Globex during the closing period, then the cash index will be used in the following Carry calculation to derive a settlement price.

Index price + [(Days to expiration/ 365) x Interest rate x Index price)]

Second Month

When the lead month is the expiry month, then the second month is defined as the calendar month immediately following the lead month. When the lead month is not the expiry month, then the second month is defined as the first expiring non-lead month.

Tier 1:  If the lead month-second month spread trades on Globex between 16:29:30 and 16:30:00 BST, then the spread VWAP is calculated, rounded to the spread’s nearest tradable tick and then applied to the lead month settle to derive the second month                 settle.

Tier 2:  If there are no spread trades on Globex between 16:29:30 and 16:30:00 BST, then the last spread trade price is applied to the lead month settle to derive the second month settle.

            If the last spread trade is outside of the spread’s Bid/ Ask, then the bid or ask price that is closer to the last spread trade is applied to the lead month settle to derive the second month settle.

Tier 3:  If there is no spread market information available on Globex, then the cash index will be used in the following Carry calculation to derive a settlement price

Index price + [(Days to expiration/ 365) x Interest rate x Index price)]

Back Months

To derive settlements for all remaining months, the following Carry calculation will be used to derive a settlement prices provided that this value does not violate the bid or ask between 16:29:30 and 16:30:00 BST for the respective outrights.

Index price + [(Days to expiration/ 365) x Interest rate x Index price)]