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Bloomberg Commodity IndexSM Futures Daily Settlement Procedure

*****Effective Monday December 6, 2021 Pending Regulatory Approval*****

Normal Daily Settlement Procedure

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If Bloomberg does not provide a Bloomberg Commodity Index official closing value by 16:00 Central Time (CT), then the futures will settle to the most recent index value available.

Bloomberg Commodity Index Swaps (

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DGS)

Each CME Group staff publishes daily settlements for all Bloomberg Commodity Index Futures (AW) contract with open interest is settled by CME Group staff based on trading activity on CME Globex.

Normal Daily Settlement

If a trade(s) occurs on CME Globex in the one-minute window between 13:29:00 and 13:30:00 Central Time (CT), the settlement period, then the contract settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Lead Month

The lead month is the anchor leg for settlements and is the contract expected to be the most active. If no trades occur on CME Globex during the settlement window for the lead month contract, then the last trade (or prior settle in the absence of a last trade price) is used to determine whether to settle to the low bid or the high ask.

If the low bid is higher than the last trade/prior settlement price, then the lead month settles to that bid price. If the high ask is lower than the last trade/prior settle, then the lead month settles to that ask price. The lead month settles to the last trade/prior settle if it is equal to or between the low bid and the high ask.

Deferred Months

If a trade(s) occurs on CME Globex during the one-minute window between 13:29:00 and 13:30:00 Central Time (CT), then the contract settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

If no trades occur on CME Globex during the settlement period then the settlement will be the net change of the preceding month applied to the prior settle and validated against low bid or high ask. If the non-lead month expires prior to the lead month then the net change will be cascaded upwards from the lead month .

Bloomberg Commodity Index Swaps (DGS, DG2, DG3)

CME Group staff publishes daily settlements for all Bloomberg Commodity Index Swaps (Cleared OTC - DGS), Bloomberg Commodity Index SM 2-Month Forward Swaps (Cleared OTC - DG2) and Bloomberg Commodity Index SM 3-Month Forward Swaps (Cleared OTC – DG3) with open interest.

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Bloomberg Commodity Index Products

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CME

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Bloomberg

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Bloomberg Commodity Index Swaps (Cleared OTC)

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DGS

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BCOM

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Bloomberg Commodity Index 2-Month Forward Swaps (Cleared OTC)

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DG2

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BCOMF2

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Swaps (Cleared OTC - DGS) with open interest.

Bloomberg Commodity Index Products

CME

Bloomberg

Bloomberg Commodity Index Swaps (Cleared OTC)

DG3DGS

BCOMF3BCOM

Normal Daily Settlement Procedure

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If Bloomberg does not provide a cash price by 15:30 Central Time (CT), then the swaps with open interest settle to prior-day settlement price.


Final Settlement (DGS

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, AW)

Normal Conditions

Under normal market conditions, Bloomberg provides and distributes final settlements for all Bloomberg Commodity Index Futures (AW) , and Bloomberg Commodity Index Swaps (Cleared OTC - DGS), Bloomberg Commodity Index 2-Month Forward Swaps (Cleared OTC - DG2) and Bloomberg Commodity Index 3-Month Forward Swaps (Cleared OTC – DG3) ) with open interest.

Bloomberg Commodity Index Product

CME Symbol

Final Settlement—Bloomberg Symbol

Bloomberg Commodity Index Futures

AW

BCOM

Bloomberg Commodity Index Swaps (Cleared OTC)

DGS

BCOM

Bloomberg Commodity Index 2-Month Forward Swaps (Cleared OTC)

DG2

BCOMF2

Bloomberg Commodity Index 3-Month Forward Swaps (Cleared OTC)

DG3

BCOMF3

The final settlement price for the Bloomberg Commodity Index futures (AW) is based on a special quotation of the Bloomberg Commodity Index which corresponds to the expiring futures contract at the close of business on the third Wednesday of the contract month, or, if the Bloomberg Commodity Index is not published for that day, on the first preceding day on which the Index was published.

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Bloomberg Commodity Index Futures (AW) , and Bloomberg Commodity Index SM Swaps (Cleared OTC - DGS), Bloomberg Commodity Index SM 2-Month Forward Swaps (Cleared OTC - DG2) and Bloomberg Commodity Index SM 3-Month Forward Swaps (Cleared OTC – DG3) are financially settled. For additional details, please see the CBOT Rulebook (Chapter 29):

Advisories

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OTC Advisories

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OTC Advisories

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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 IndexSMFutures (DRS) each 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.

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S&P GSCI Excess Return Futures (GIE)

Normal Daily Settlement

CME Group staff determines the daily settlement price for the Standard & Poor’s GSCI Excess Return Futures (GIE) each business day in the following manner.  Standard & Poor’s calculates and publishes a daily settlement price for the S&P GSCI Excess Return 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 S&P GSCI Excess Return Index futures contracts with open interest. If Standard & Poor’s does not provide a settlement index price by 16:30 Central Time (CT), then the contracts with open interest will settle to the last index price provided by S&P. 

S&P GSCI Excess Return Index Swaps (SES

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,

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RRE)

CME Group staff publishes daily settlements for all S&P GSCI Excess Return Index Swaps (SES), Crude Oil Excess Return Swaps (GCO), Excess Return Gold Swaps (GDI), Enhanced Excess Return Swap (RRE), Excess Return Index 2-Month Forward Swaps (SE2), and Excess Return 3-Month Forward Swaps (SE3) with open interest.

S&P GSCI Products

CME

Bloomberg

S&P GSCI Enhanced Excess Return Swap

RRE

SPGCESP

S&P GSCI Excess Return Index Swap

SES

SPGSCIP

S&P GSCI Excess Return Index 2-Month Forward Swap

SE2

SG2MCIP

S&P GSCI Excess Return Index 3-Month Forward Swap

SE3

SG3MCIP

SPGSCIP

Normal Daily Settlement Procedure

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Final Settlement Procedure (SES,

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RRE, GD, GIE)

Normal Conditions

Under normal market conditions, Standard & Poor’s provides and distributes final settlements for all S&P GSCI Futures (GD), Excess Return Index Futures (GIE), Excess Return Index Swaps (SES), Crude Oil Excess Return Swaps (GCO), Excess Return Gold Swaps (GDI) , and Enhanced Excess Return Swap (RRE), Excess Return Index 2-Month Forward Swaps (SE2), and Excess Return Index 3-Month Forward Swaps (SE3) with open interest.

S&P GSCI Products

CME

Bloomberg

S&P GSCI Futures

GD

SPGSFI

S&P GSCI Excess Return Index Futures

GIE

SPGCCIP

S&P GSCI Enhanced Excess Return Swap

RRE

SPGCESP

S&P GSCI Excess Return Index Swap

SES

SPGCCIP

S&P GSCI Excess Return Index 2-Month Forward Swap

SE2

SG2MCIP

S&P GSCI Excess Return Index 3-Month Forward Swap

SE3

SG3MCIP

The final settlement price for the S&P GSCI futures (GI) is based on a special quotation of the S &P GSCI while the final settlement price for the S&P GSCI Excess Return futures (GIE) is based on the closing quotation for the S&P GSCI ER Index. Both Indexes correspond to the respective expiring futures contract at the close of business on the eleventh business day of the contract month, or, if the S&P GSCI or S&P GSCI ER is not published on that day, on the first preceding day on which the index is scheduled to be published.

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