RUB/USD Futures

Normal Daily Settlement Procedure

Daily settlements of RUB/USD futures (6R) are determined by CME Group staff based on trading activity on CME Globex. 

Lead Month

The lead month is the expiry month and the contract expected to be the most active. 

Tier 1:If three or more trades in the lead month contract occur on Globex between 13:59:30 and 14:00:00 CT, the settlement period, then the contract settles to the volume-weighted average price (VWAP) of trades occurring during this 30-second period. 

Tier 2:If two or fewer trades occur between 13:59:30 and 14:00:00 CT, then the lead month settles to the time-weighted-average (TWAP) of the midpoint of the bid and ask spread on Globex during this 30-second period. 

Tier 3:If a bid and ask are not available on Globex during this period, then CME staff uses quote vendor spot rates and forward points to International Monetary Market (IMM) dates to determine the lead contract’s synthetic daily settlement. 

Back Months

All back months will settle to interpolated prices from WM Reuters.  The settlements will be normalized against the Lead Month settle vs. the interpolated price for the lead month from WM Reuters.  All settlements for back months will be validated against any spread markets involving the lead month. 

Note: In the event the aforementioned calculations described in this advisory cannot be made or if CME Group staff, in its sole discretion, determines that anomalous activity yields results that are not representative of the fair value of the contract, the staff may determine an alternative settlement price.