EUR/USD Cross Currency Basis Futures
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Normal Daily Settlement Procedure
CME Group staff determine the daily settlements for EUR/USD Cross Currency Basis Futures (XEU) based on trading activity on CME Globex between 15:59:00 and 16:00:00 London Time, the settlement period.
Tier 1: Each contract month settles to a volume-weighted average price (VWAP) of all trades that occur between 15:59:00 and 16:00:00 London rounded to the nearest tradable tick.
Tier 2: If no trades occur on CME Globex between 15:59:00 and 16:00:00 London 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 and adjusted to the bid or ask if necessary.
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