Normal Daily Settlement
Daily settlement of BRL/USD futures (6L) is determined by CME Group staff based on trading activity on CME Globex and relevant information available in the cash market.
The lead month is the expiry month and the contract expected to be the most active. The lead month rolls to the next listed contract effective the day of expiration.
Tier 1: If three or more contracts are traded on Globex between 15:59:30 and 16:00:00 Sao Paulo time, 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 less than three contracts are traded during the settlement period, then the time weighted average of the midpoint of the Bids/Asks is used to determine the settlement.
Tier 3: If a bid and ask are not available on Globex between 15:59:30 and 16:00:00 Sao Paulo time, 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.
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
The final settlement price of Brazilian Real (6L) futures is equal to the reciprocal of the Commercial BRL/USD exchange rate, which is the average offered rate calculated by the Central Bank of Brazil on the last business day of the month for the Central Bank of Brazil immediately preceding the contract month. This Central Bank of Brazil BRL PTAX rate is rounded to 5 decimal places and verified on the last business day of the month for the Central Bank of Brazil.
Futures trading shall terminate on the last Business Day of the month, immediately preceding the contract month, on which the Central Bank of Brazil is scheduled to publish its final end-of-month (EOM) “Commercial exchange rate for Brazilian Reals per U.S. dollar for cash delivery” (PTAX rate). If the foregoing date for termination is a holiday for the Exchange and GLOBEX®, futures trading shall terminate on the next preceding Business Day for either the Exchange or GLOBEX®.
All open positions are cash settled to the final settlement price on the business day following the last business day of the month for the Central Bank of Brazil.
BRL PTAX Rate Not Available
If there is a price source disruption and the Central Bank of Brazil BRL PTAX rate is not published by the Central Bank of Brazil on the last trading day, then the Clearing House will defer cash settlement to a subsequent day.
BRL PTAX Rate Available After Deferral Period
If the Central Bank of Brazil publishes the BRL PTAX rate after the start of a deferral period, the CME Group will determine the Brazilian real futures final settlement price as the reciprocal of this rate, rounded to 5 decimal places.
After the 30-day Deferral Period
In the event that the CME Group President decides that the Clearing House is not able to determine a final settlement price pursuant to the preceding procedures, then Rule 812 will be applied to determine the final settlement price.
BRL/USD (6L) futures are cash-settled upon expiration. For additional details, please see the CME Rulebook (Chapter 257).