One-Month Eurodollar (GLB) futures are cash settled upon expiration. For additional details, please see the CME Rulebook (Chapter 453):
CME Eurodollar Bundle Futures Daily Settlement Procedure
Normal Daily Settlement Procedure
The daily settlements in the Eurodollar Bundle Futures contracts (BU2, BU3, and BU5) are derived by calculating the arithmetic average of the daily settlements of the individual Eurodollar Future contracts that make up the respective bundle. This value is then rounded to the nearest fourth decimal place (0.0001), with tie values (unrounded values ending in 0.00005) rounded down.
The settlement in the 2-Year Eurodollar Future Bundle (BU2Z4) would be calculated by summing up all 8 Eurodollar future contracts that make up the 2 year bundle (from GEZ4 to GEU6), and dividing the resulting number by 8:
(99.7655 + 99.745 + 99.720 + 99.670 + 99.570 + 99.415 + 99.225 + 98.995) / 8 = 99.5131875
This number would then be rounded to the nearest fourth decimal place (0.0001), to a settlement price of 99.5132.
Include Page Settlement Disclaimer and Contact Settlement Disclaimer and Contact