USD/CNH Futures Final Settlement Procedure
Daily Settlement Procedure
Lead Month
- Tier 1 – Volume Weighted Average if three or more contracts are traded between 13:59:30-13:59:59, the settlement period.
- Tier 2 – If less than three contracts trade during the closing range then the settlement will be determined by taking the Information from WM Reuters and interpolating a price from the Cash Market
Back Months
- All back months will settle to interpolated prices from WM Reuters. The settlements will be normalized against the Lead Month settle vs. the interpolated price for the lead month from WM Reuters. All settlements for back months will be validated against any spread markets involving the lead month
Normal Final Settlement Procedure
The CME’s Chinese Renminbi FX futures final settle according to the Publication of the USD/CNY(HK) Spot Rate. The computed USD/CNY(HK) Spot Rate shall be published on Reuters Instrument Code and Reuters page at 11:15 a.m. Hong Kong time. The Spot Rate is also available on the TMA website:
https://www.tma.org.hk/en_market_info.aspx
Refer to the below table for specifications of the Treasury Markets Association (TMA) USD/CNY(HK) Spot Rate methodology:
| Item | Specifications |
|---|---|
Calculating Methodology | The Spot Rate is determined using transactions executed through an Approved Money Broker that has dedicated FX spot business in USD/CNY (HK) and having a transacted amount of at least US$1 million. |
Calculating Agent | Thompson Reuters is the calculating agent and the Spot Rate will be calculated as the volume weighted median of the eligible transactions. |
Date | Every Hong Kong business day from Monday to Friday except public holidays. |
No. of Decimal Points | Rounded to four decimal places. |
Data Contribution | The transactions must be spot USD/CNY(HK) rates transacted between 10:45 and 11:15 a.m. of the day. |
Additional Details
USD/CNH (CNH) futures are cash settled upon expiration. For additional details on delivery, please see the CME Rulebook (Chapter 284L):
http://www.cmegroup.com/rulebook/CME/III/250/284L.pdf
https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/III/300/344L.pdf
If you have any questions, please call the CME Global Command Center at 800.438.8616, in Europe at 44.800.898.013, or in Asia at 65.6532.5010.
If you have any questions, please call the CME Global Command Center.