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Normal Daily Settlement Procedure

Daily settlement of the S&P 500 (SP), E-Mini S&P 500

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(ES)

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and Micro E-

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mini S&P 500

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(MES) futures are

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derived according to the procedure below.  Daily settlement of the

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S&P 500 futures (

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SP) and Micro E-

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mini S&P

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futures (MES) are equal to the daily settlement price of the E-Mini S&P 500 futures (

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ES), rounded to the nearest

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.10 index point

Lead month

The lead month is the anchor leg for settlements and is the contract expected to be the most active.

Tier 1:      The volume-weighted average price (“VWAP”) of all trades executed in the full-sized futures contract on the trading floor and in the E-mini futures contract executed on CME Globex will be calculated for the designated lead month contract from 15:14:30 – 15:15:00 Central Time (“CT”), the settlement period.  A multiplier of 5 will be applied to the quantities traded in the full-sized contract to reflect the 5 to 1 relationship between the full-sized and the E-mini contracts.  The combined VWAP between 14:59:30 and 15:00:00 CT, the settlement period, in the E-mini S&P futures will be calculated for the designated lead month will be and rounded to the nearest .10 index point.    

Tier 2:      If no trades in the lead month occur between 1514:1459:30 and 15:1500:00 CT, then the contract month settles to the midpoint of the Bid/Ask between 1514:1459:30 and to 15:1500:00 CT, the settlement period.

Tier 3:      If a two-sided market is not available during the settlement period, then the cash index will be used in the following Carry calculation to derive a settlement price. 


Index price + [(Days to expiration/ 365) x Interest rate x Index price)] 

Second Month

When the lead month is the expiry month, then the second month is defined as the calendar month immediately following the lead month. When the lead month is not the expiry month, then the second month is defined as the first expiring non-lead month.

Tier 1: The second contract month will settle to the combined VWAPs VWAP of the lead month-second month spread trades between 1514:1459:30 and to 15:1500:00 CT, using the same methodology as described above.    

Tier 2: If there are no spread trades between 1514:1459:30 and to 15:1500:00 CT, then the last spread trade price is applied to the lead month settle to derive the second month settle.

If the last spread trade is outside of the spread’s Bid/ Ask, then the bid or ask price that is closer to the last spread trade is applied to the lead month settle to derive the second month settle.

Tier 3: If there is no spread market information available then the cash index will be used in the following Carry calculation to derive a settlement price.

Index price + [(Days to expiration/ 365) x Interest rate x Index price)] 

Back Months

To derive settlements for all remaining months, the following Carry calculation will be used to derive a settlement prices provided that this value does not violate the bid or ask between 15between  14:1459:30 and to 15:1500:00 CT for the respective outrights.

Index price + [(Days to expiration/ 365) x Interest rate x Index price)] 

Note

The Index Price used in the Carry calculation in this methodology, for futures that settle at a different time than their underlying Cash Equity Index, will be a ‘Synthetic’ Index price.  This ‘Synthetic’ price will be derived by taking the Lead month futures contract minus the Cash Index at the cash close to calculate a Basis.  At the futures settlement time, the Lead Month settlement minus the Basis will equal the ‘Synthetic’ Index price.  The Interest Rate component used in the Carry calculation in this methodology is derived by subtracting expected dividends from a normalized interest rate curve.

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