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Seasonal Strip Weather (CAT, CDD, HDD) Futures Daily Settlement Procedure

Normal Daily Settlement Methodology

Daily settlements for Seasonal Strip Weather Futures contracts are calculated by CME Group staff according to the following methodology:

Tier 1: Trades on CME Globex

The baseline for the settlement is the price of the last trade that occurs on CME Globex as of the snapshot time, a randomly selected time between 15:00 and 15:15 Central Time (CT). The last trade must have at least 10 lots in order for its price to be used as the baseline. If a Globex trade and a Block trade both occur for a given instrument, then the more recent one is the baseline.

Adjusting the Baseline

If the baseline falls outside of the Globex market posted between 15:00 and 15:15 CT, then it is adjusted to either the bid or the ask, depending on the side of the market on which the trade falls. If a better bid or ask is posted on third party bulletins, the settlement price may also be adjusted to respect this bid or ask. However, third party information will never adjust the settlement outside of a posted Globex market.

Bids and asks of fewer than 50 contracts (from any source) may be discarded for settlement calculation purposes, and the next best bid or ask that meets that minimum may be used.

Tier 2: Absence of Market Data

In the absence of trades, a seasonal contract settles to the sum of the component month settlements. If this value falls outside of a bid or ask on CME Globex, then the seasonal strip settlement is adjusted to the nearest bid or ask, and the relevant component months are adjusted to reflect the change.

Within the Accumulation Period

The accumulation period of each seasonal strip begins on the first calendar day of the first component month and ends with the last calendar day of the last component month. If the seasonal contract is within the accumulation period, the final settlement price of each expired component, rounded to the nearest integer, is used in the sum-of-months calculation.

Seasonal Strip Cumulative Average Temperature (CAT) Futures Final Settlement Procedure

The final settlement price of Seasonal Canadian, European, and Pacific Rim Monthly Cumulative Average Temperature (CAT) Index Futures is based on the respective CME Seasonal Strip CAT Index reported by MDA Federal Information Systems, Inc., on the fifth business day after the last calendar day of the last month of the defined strip.

The CME Seasonal Strip CAT Index is the sum of the average temperatures recorded in the specified city for each day in the contract period.

Seasonal Strip Weather Heating Degree Days (HDD) Futures Final Settlement Procedure

The final settlement price of Seasonal Heating Degree Days (HDD) Index Futures is based on the respective CME Seasonal Strip HDD Index reported by MDA Federal Information Systems, Inc. The CME Seasonal Strip HDD Index is equal to the sum of the average degrees that the outside air temperature drops below the base temperature of 65°F (or 18°C for non-U.S. cities) in the specified city each day in the contract period.

Final settlement occurs on the second business day after the contract month for U.S. cities and on the fifth business day after the contract month for international cities.

Seasonal Strip Cumulative Average Temperature (CAT) Futures Final Settlement Procedure

The final settlement price of Seasonal Canadian, European, and Pacific Rim Monthly Cumulative Average Temperature (CAT) Index Futures is based on the respective CME Seasonal Strip CAT Index reported by MDA Federal Information Systems, Inc., on the fifth business day after the last calendar day of the last month of the defined strip.

The CME Seasonal Strip CAT Index is the sum of the average temperatures recorded in the specified city for each day in the contract period.


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.