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USD/CLP Futures

Daily Settlement Procedure

The daily settlements of Chilean Peso futures (CHL) are determined by CME Group staff based on trading activity on CME Globex and relevant information available in the cash market.

Lead Month

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

Tier 1: If three or more trades in the lead month contract 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 trades do not occur on CME Globex between 13:59:30 and 14:00:00 CT, 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.

Final Settlement Procedure

The final settlement price of Chilean Peso futures (CHL) is equal to the Chilean Dollar Observado Rate (CLP DOLAR OBS or CLP10), as reported by the Banco Central de Chile (BCC) for the formal exchange market on the last business day of the month immediately preceding the contract month and rounded to two decimal places.  The BCC CLP10 rate is available in the BCC website (www.bcentral.cl), Reuters screen “CLPOB=”, and Bloomberg page “PCRCDOOB” at approximately 10:30 a.m. Santiago time (i.e., in Chicago, 6:30 a.m. same day in the winter and 8:30 a.m. same day in the summer). This rate is widely used by the interbank foreign exchange market to cash settle non-deliverable forward contracts for U.S. dollars versus Chilean pesos.

Futures trading shall terminate on the last business day of the month, immediately preceding the contract month, on which the BCC is scheduled to publish its final end-of-month (EOM) spot exchange rate of Chilean pesos per U.S. dollar.  If the foregoing date for termination is a holiday for the Exchange and CME Globex, futures trading shall terminate on the next preceding business day for either the Exchange or CME Globex.

All open positions shall be cash settled to this rate on the business day following the last business day of the month for the BCC.

BCC CLP10 Rate Not Available 

If there is a price source disruption and the CLP10 rate is not published by the BCC on the last trading day, then the Clearing House will defer cash settlement to a subsequent day.

BCC CLP10 Rate Available After Deferral Period

If the BCC publishes the CLP10 rate after the start of a deferral period, the CME Group will determine the expiring Chilean Peso futures contract final settlement price to this rate, rounded to two decimal places.

After the 30-day Deferral Period

In the event that the Clearing House is not able to determine a final settlement price pursuant to the preceding procedures, then Rule 812 shall apply to determine the final settlement price.

Additional Details

Chilean Peso futures (CHL) are cash-settled upon expiration. For additional details, please see the CME Rulebook (Chapter 345).

 

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.