Page tree
Skip to end of metadata
Go to start of metadata

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:

British Pound

Swiss Franc

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).

 

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.