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GBP/CHF Futures
Normal Daily Settlement
The settlement in the GBP/CHF (PSF) Cross Rate futures contract is derived by dividing the settlement in the corresponding GBP/USD (6B) contract by the settlement in the corresponding CHF/USD (6S) contract, and then rounding to the nearest tradable tick.
Example
If the 6BU2 settles 1.5427, and the 6SU2 settles 1.0170, then the value of the PSFU2 would be 1.516912 (1.5427 / 1.0170 ≈ 1.516912). This number would then be rounded down, to the nearest tradable tick, to a settlement price of 1.5169.
Normal Final Settlement
The final settlement in the GBP/CHF (PSF) Cross Rate futures contract is derived by dividing the final settlement in the corresponding GBP/USD (6B) contract by the final settlement in the corresponding CHF/USD (6S) contract, and then rounding to the nearest tradable tick.
Example
If the 6BH3 settles 1.5118, and the 6SH3 settles 1.0595, then the value of the PSFH3 would be 1.426899 (1.5118 / 1.0595 ≈ 1.426899) . This number would then be rounded to the nearest tradable tick, to a final settlement price of 1.4269.
The final settlement procedure for the individual GBP/USD and CHF/USD contracts can be found at the following links:
Additional Details
GBP/CHF (PSF) Cross Rate futures are physically delivered upon expiration. For additional details on delivery, please see the CME Rulebook (Chapter 306).
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