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Bloomberg Roll Select Commodity Index Futures (DRS)

Normal Daily Settlement

CME Group staff determines the daily settlement price for the Bloomberg Roll Select Commodity Index SMFutures (DRS) with open interest.

Tier 1:  If a trade occurs on CME Globex or as a Block between 13:39:30 and 13:40:00 Central Time (CT), the settlement period,  then the contract settles to either the last trade price or to the better bid or ask price:

a. If the current bid price is higher than the last trade price, then the contract settles to the current bid price.

b. If the current ask price is lower than the last trade price, then the contract settles to the current ask price.

 c. If the last trade price is equal to or between the current bid and ask, then the contract settles to the last trade price.

Tier 2:  If no trades occur on CME Globex or as a Block between 13:39:30 and 13:40:00 CT, then the Bloomberg Roll Select Commodity IndexSM Futures contract price is calculated using the following settlement formula:

S = Spot price

C = Cost of carry contribution*

d = Days to expiration

DRS = S * [1 + {C * (d/365)}]

*The cost of carry contribution (C) is the average of the values submitted by participating dealers/market makers in this product, and the most recent contribution (C) is used in the settlement formula. Cost of carry contributions must be emailed to ChicagoSettlementTeam@cmegroup.com by no later than 12:01:00 CT to be included in that day’s Bloomberg Roll Select Commodity IndexSM Futures price calculation.

The contract settles to either this calculated futures price or to the better bid or askprice:

a. If the current bid price is higher than the calculated futures price, then the contract settles to the bid price.

b. If the current ask price is lower than the calculated futures price, then the contract settles to the ask price.

c. If the calculated futures price is equal to or between the current bid and ask, then the contract settles to the calculated futures price.

Tier 3:  In the absence of any CME Globex bid/ask markets between 13:39:30 and 13:40:00 CT, the Bloomberg Roll Select Commodity Index SM   Futures Select contract settles to the price derived from the above settlement formulaeach business day in the following manner.  Bloomberg calculates and publishes a daily settlement price for the Bloomberg Roll Select Commodity Index based on the settlements of the index’s component commodity futures contracts. CME Group staff then publishes this price as the daily settlement for each Bloomberg Commodity Index futures contract with open interest. If Bloomberg does not provide an index price by 16:30 Central Time (CT), then the contracts with open interest will settle to the last index price provided by Bloomberg.

Final Settlement Procedure

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