IDR USD Futures

Normal Daily Settlement Procedure

Daily settlement of IDR/USD futures (IDR) is determined by CME Group staff based on trading activity on CME Globex during the 30 second window ending on the designated settlement time.

Lead month

The lead month is the expiry month and the contract expected to be the most active.

Tier 1: If three or more trades in the lead month contract occur on CME Globex between 13:59:30 and 14:00:00 CT, then the contract settles to the volume-weighted average price (VWAP) of trades occurring during this 30-second period.

Tier 2: If two or fewer trades occur between 13:59:30 and 14:00:00 CT, then the lead month settles to the midpoint of the bid and ask on CME Globex during this 30-second period.

Tier 3: If a bid and ask are not available on CME Globex during this period, 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.

Deferred months

CME Group staff settles all deferred contract months based on traded or quoted spread relationships. If these traded or quoted spread relationships are not available, then the deferred contract months are settled using spot market information, taking into account the forward rate.

Normal daily settlements from “rollover date” to termination of trading day

From the rollover date to termination of trading (usually a five-day period), the second contract month (the next contract month in expiration cycle after the lead month) is settled using Tier 1 and Tier 2 calculations instead of the lead month. The lead month contract is settled using Tier 3 methodology.

The settlement procedure is changed during this five-day period because the first deferred contract month is more liquid than the lead month near expiration.