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S&P/Case - Shiller Home Price Index Futures

Daily settlement of S&P/Case-Shiller Home Price Composite Index (CUS), Boston Index (BOS), Chicago Index (CHI), Denver Index (DEN), Las Vegas Index (LAV), Los Angeles Index (LAX), Miami Index (MIA), New York Index (NYM), San Diego Index (SDG), San Francisco Index (SFR), and Washington, DC, Index (WDC) futures is determined by CME Group staff based on trading activity on CME Globex.

Normal Daily Settlement

Tier 1:   If a trade(s) occurs on Globex between 13:59:00 and 14:00:00 Central Time (CT), the settlement period, the contract settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2:   If no trades occur on Globex between 13:59:00 and 14:00:00 CT, then the last trade (or prior settle in the absence of a last trade price) is used to determine whether to settle to the current bid or the current ask.

If the current bid is higher than the last trade/prior settlement price, then the contract settles to the bid. If the current ask is lower than the last trade/prior settle, then the contract settles to the ask. The contract settles to the last trade/prior settle if it is equal to or between the bid and the ask.

Final Settlement Procedure

Final settlement prices for the S&P/Case-Shiller Boston Index futures (BOS), Chicago Index futures (CHI), Denver Index futures (DEN), Las Vegas Index futures (LAV), Los Angeles Index futures (LAX), Miami Index futures (MIA), New York Index futures (NYM), San Diego Index futures (SDG), San Francisco Index futures (SFR), and Washington, DC, Index futures (WDC) are equal to the value of the reference metro area home price index as determined for the three-month period, or the “data period,” ending two calendar months prior to the contract month.

Normal Conditions

The final settlement price is determined on the last Tuesday of the contract month, when the reference metro area housing indices are scheduled to be released. If the last Tuesday of the contract month is not a business day, then the final settlement prices will be determined on the following business day. 

Special Conditions
Delayed Index Publication

If a given reference metro area housing index is not published on the scheduled release date, then final settlement price determination for the respective futures contract will be postponed until the reference metro area index is published. 

If a given metro area home price index cannot be determined for the relevant data period due to unforeseen or catastrophic events, then the final settlement of the respective futures contract will be postponed until the earliest possible time at which the affected metro area index can be determined. The futures contract will be settled to the metro area index using the next available index value for the affected metro area regardless of the underlying data period. 

Change in the Base Period

If there is a change to the reference base period, then the final settlements for all listed contract months will be determined by referencing the metro area home price indices calculated using the old base period. The final settlement for all subsequently listed contract months will be determined by referencing the metro area home price indices calculated using the new base period.

S&P/Case - Shiller Home Price Composite Index Futures

Final settlement of S&P/Case-Shiller Home Price Composite Index (CUS) futures is equal to the value of the reference S&P/Case-Shiller Composite Home Price Index as determined for the three-month period, or the “data period,” ending two calendar months prior to the contract month.

Normal Conditions

The final settlement price is determined on the last Tuesday of the contract month, when the reference Composite Index is scheduled to be released. If the last Tuesday of the contract month is not a business day, then the final settlement price will be determined on the following business day. 

Special Conditions
Delayed Index Publication

If the reference Composite Index is not published on the scheduled release date because one of the component metro area home price indices has not been published on schedule, then final settlement price determination will be postponed until the reference Composite Index is published. 

If one of the component metro area home price indices cannot be determined for the relevant data period due to unforeseen or catastrophic events, then the final settlement of the Composite Index futures will be postponed until the earliest possible time at which the affected metro area index can be determined. The Composite Index futures will be settled to the Composite Index determined using the next available index value for the affected metro area regardless of the underlying data period. 

Change in the Base Period

If there is a change to the reference base period, then the final settlement for all listed contract months will be determined by referencing the Composite Index calculated using the old base period. The final settlement for all subsequently listed contract months will be determined by referencing the Composite Index calculated using the new base period.

 

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

Global Command Center (GCC)

Phone: 800 438 8616 (US)
Phone: 44 20 7623 4747 (Europe)
Phone: 65 6532 5010 (Asia)
Email: gcc@cmegroup.com

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.

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