New Zealand Dollar

NZD/USD Futures

Normal Daily Settlement

Daily settlement of NZD/USD futures (6N) is determined by CME Group staff based on trading activity on CME Globex.

Lead Month

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

Tier 1: If three or more contracts trade in the lead month occur on CME Globex between 13:59:30 and 14:00:00 CT, the settlement period, 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 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.

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.

*The designated lead month (in each product) will roll on the Thursday evening (for Friday’s trade date) prior to each quarterly futures expiration. For instance, the September contract will be the lead month from the Thursday evening prior to the June expiration until the Thursday evening prior to the September expiration.

Normal Final Settlement

The final settlement price of the expiring NZD/USD futures (6N) contract is determined is determined on the last day of trading at 9:16 a.m. Central Time (CT).

The settlement price of the expiring contract is derived from the more actively traded second contract month. The spread differential between the expiring contract and the second month is applied to the volume-weighted average price (VWAP) of CME Globex trades in the second month during the 30-second closing range between 9:15:30 and 9:16:00 a.m. CT to generate a final settlement price.

Additional Details

NZD/USD futures (6N) futures are physically delivered upon expiration. For additional details on delivery, please see the CME Rulebook (Chapter 258).

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.