Hard Red Spring Wheat

Normal Daily Settlement Procedure

CME Group staff determines the daily settlements in Hard Red Spring Wheat (HRS) futures based on
trading activity on CME Globex between 13:14:00 and 13:15:00 Central Time (CT), the settlement period.

Lead Month

The designated lead month* is settled according to the following procedure:

Tier 1: The lead month settles to the volume-weighted average price (VWAP) of outright trades in the
lead month between 13:14:00 and 13:15:00 Central Time CT, the settlement period, rounded to the
nearest tradable tick. If the VWAP is equidistant between two ticks, then it’s rounded to the tick that is
closer to the prior-day’s settlement price.
Tier 2: If there are no outright trades in the lead month during the settlement period, then the last trade
price is checked against the current bid/ask.

1. If the last trade price is outside of the bid/ask spread, then the contract settles to the nearest bid
   or ask price.

Tier 3: If there is no last trade price available, then the prior settle is checked against the current bid/ask.

1. If the prior settle is outside of the bid/ask spread, then the contract settles to the nearest bid or
   ask price.

2. If the prior settle is within the bid/ask spread or if a bid/ask is not available, then the contract
   settles to the prior settlement price.

Deferred Months

Deferred contract months consist of all non-lead months and settle according to the following procedure:

Tier 1: All months other than the designated lead month will settle based upon the VWAP of calendar
spread transactions between 13:14:00 - 13:15:00 CT, the settlement period.
Tier 2: In the absence of relevant calendar spread trades, bids and asks in those calendar spreads will
be used in conjunction with settlements from any months where a settlement price has been determined
to form an implied market in the contract month to be settled. These implied markets, along with the
outright bid/ask market for the contract month, will be used to derive the best possible bid and the best
possible ask. Provided that the implied bid/ask spread is consistent with reasonability thresholds for the
product, as determined by the Global Command Center, the contract will settle at the midpoint of the
implied bid/ask spread.
Tier 3: In the absence of an implied best bid/best ask that meets reasonability thresholds, the net change
of the previous contract month will be applied to determine the contract month’s settlement
price. However, if a contract month is initially settled to the net change of the previous contract month and
there are posted markets at 13:15:00 CT in one or more calendar spreads with that contract month as the
nearby leg, then the settlement price will be adjusted on a subsequent iteration based upon the implied
best bid/best ask of those calendar spreads, provided it is consistent with bid/ask reasonability
thresholds.
Tier 4: If the settlement price in a deferred contract month created by using the “net change” method
described above violates a bid or an ask in a calendar spread or in the deferred contract month itself that
could otherwise be honored, the settlement price for that deferred contract month will be adjusted to
honor that bid or ask. If not all spread bids or asks can be honored in this way, precedence will be given
to the tightest bid/ask markets.

Final Settlement Price Calculation for Expiring Contract

CME Group staff determines the final settlement price of the expiring Hard Red Spring Wheat (HRS)
futures contract based on trading activity on CME Globex between 12:00:00 and 12:01:00 Central Time
(CT), the settlement period, on the day of expiration.
Tier 1: If there is an outright trade during the settlement period (12:00:00-12:01:00 CT), then the final
settlement is derived using a volume weighted average price (VWAP) of all trades executed during the
settlement period.
Tier 2: If there are no outright trades in the expiring month, then the VWAP of the nearest spread
(expiring and next consecutive month) between 12:00:00 and 12:01:00 CT, the settlement period, is used
to derive a settlement in the expiring contract. The spread value that is calculated is applied to the last
trade of the next consecutive month to settle the expiring contract accordingly.
Tier 3: If neither of the above scenarios applies, the settlement is based on the market (bid/ask) in the
expiring and next consecutive month spread. The spread value is calculated using the midpoint of the
bid/ask information, and is applied to the last trade of the consecutive month to settle the expiring contract
accordingly.
Tier 4: If there are no outright trades, spread trades, or spread markets (bid/ask), then either a better bid
or better ask will be considered.
Tier 5: If none of the above applies, then the previous day’s settlement is used.

Additional Details

Hard Red Spring Wheat (HRS) futures are physically delivered upon expiration. For additional details on
delivery, please see the CBOT Rulebook (Chapter 14P):

https://www.cmegroup.com/rulebook/CBOT/II/14P.pdf