• Modifications to Daily Settlement Methodology in CME S&P GSCI™ Futures Effective Monday, April 21, 2014

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-7059
      • Notice Date
      • 02 April 2014
      • Effective Date
      • 21 April 2014
    • Pending all relevant regulatory review periods, effective on Monday, April 21, 2014, Chicago Mercantile Exchange Inc. ("CME") will modify the manner in which daily settlement prices are determined in CME S&P GSCI™ futures to incorporate activity from both the open outcry and electronic venues into the determination of the daily settlement prices.

      Beginning Monday, April 21, 2014, daily settlement prices in S&P GSCI futures will be determined pursuant to the following methodology:

      •    The volume-weighted average price ("VWAP") of all trades executed on the trading floor and on CME Globex will be calculated for the designated lead month contract from 13:39:30 – 13:40:00 Central Time ("CT").
      •    The combined VWAP for the designated lead month will be rounded to the nearest tradable tick.

      •    The second contract month will settle to the combined VWAPs of the lead month-second month spread using the same methodology as described above.

      •    To derive settlements for all remaining contract months, the net change in the second contract month from the prior day’s settlement price will be applied to the remaining contract months’ prior-day settlements, with appropriate adjustments made to incorporate relevant market data, including, but not limited to, transactions, bids and offers in relevant outright and spread markets, or other market information deemed relevant by the Global Command Center.

      Questions regarding this Special Executive Report should be directed to the CME Global Command Center at 800.438.8616, in Europe at 44.800.898.013, or in Asia at 65.6532.5010.

      For media inquiries concerning this Special Executive Report, please contact CME Group Corporate Communications at 312.930.3434 or news@cmegroup.com.