Australian Dollar New Zealand Dollar

AUD/NZD Futures

Normal Daily Settlement

The settlement in the AUD/NZD (ANE) Cross Rate futures contract is derived by dividing the settlement in the corresponding AUD/USD (6A) contract by the settlement in the corresponding NZD/USD (6N) contract, and then rounding to the nearest tradable tick.

Example

If the 6AH3 settles 1.0270, and the 6NH3 settles 0.8424, then the value of the ANEH3 would be 1.2191358 (1.0270 / .8424 ≈ 1.2191358) . This number would then be rounded to the nearest tradable tick, to a settlement price of 1.2191.

Normal Final Settlement

The final settlement in the AUD/NZD (ANE) Cross Rate futures contract is derived by dividing the final settlement in the corresponding AUD/USD (6A) contract by the final settlement in the corresponding NZD/USD (6N) contract, and then rounding to the nearest tradable tick.

Example

If the 6AH3 settles 1.0391, and the 6NH3 settles 0.8243, then the value of the ANEH3 would be 1.2605847 (1.0391 / 0.8243 ≈ 1.2605847). This number would then be rounded to the nearest tradable tick, to a final settlement price of 1.2606.

The final settlement procedure for the individual AUD/USD (6A) and NZD/USD (6N) contracts can be found at the following links:

Australian Dollar

New Zealand Dollar

Additional Details

AUD/NZD (ANE) Cross Rate futures are physically delivered upon expiration. For additional details on delivery, please see the CME Rulebook (Chapter 310).

If you have any questions, please call the CME Global Command Center.

Note: In the event the aforementioned calculations described in this advisory cannot be made or if CME Group staff, in its sole discretion, determines that anomalous activity yields results that are not representative of the fair value of the contract, the staff may determine an alternative settlement price.