1 CME Repo Funds Rate (Germany and Italy) Futures Daily Settlement Procedure
- 1.1 Contract Months in their Interest Accrual Period
- 1.2 All Remaining Repo Funds Rate Futures Contracts

CME Repo Funds Rate (Germany and Italy) Futures Daily Settlement Procedure

Normal Daily Settlement Procedures for the Repo Funds Rate German (RSD) and Italian (RSI) Three-Month Single Contract Basis Spread Futures

CME Group staff determines the daily settlements for the German (RSD) and Italian (RSI) Three-Month Single Contract Basis Spread Futures based on trading activity on CME Globex between 16:05 and 16:15 London time, the settlement period.

Tier 1: Each contract month settles to its own volume-weighted average price (VWAP) of trades that occur between 16:05 and 16:15 London time, the settlement period, rounded to the nearest tradable tick.

Tier 2: If no trades occur on CME Globex during the settlement period, then the last trade is used to determine the settlement price validated against the Globex bid/ask.

Tier 3: In the absence of any trading activity, 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 validated against the Globex bid/ask.

Normal Daily Settlement Procedures for the Repo Funds Rate German (RFD) and Italian (RFI) Futures

Contract Months in their Interest Accrual Period

Serial and Quarterly contract months that are in their accrual period (that is; contracts that do not have a matching Euribor contract) will be settled to the midpoint of the Globex bid/ask during the (16:05 to 16:15 London) settlement period, with adjustments made to incorporate relevant bid/ask activity in the spread between the serial (or front quarterly month if quarter tick eligible) and the first non-quarter tick eligible quarterly contract.

All Remaining Repo Funds Rate Futures Contracts

All RFD and RFI futures that are not in their final settlement accrual period will settle to the following formula. The matching month ICE Euribor daily settlement + that particular month RSD or RSI (Basis Spread Futures) settlement will equal the respective Repo Funds Rate futures settlement. For example, if the Dec 2023 Euribor futures settle at 99.000 and the Dec 2023 RSD (Basis Spread Futures) settles at .20 basis points the Dec 2023 RFD will settle at 99.200.

Final Settlement Procedures

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/V/450/480.pdf