eCME Eurodollar Futures Settlement Procedures and Daily Survey Results

Contract years 1 and 2: The daily settlement prices for the first eight quarterly CME Eurodollar futures contracts and the first serial contract month will be derived from both trades and market bid/ask occurring between 1:59 p.m. and 2:00 p.m. on CME Globex.  The daily settlement price of the designated contracts will be the average of all traded prices and bids and offers in outright contracts, rounded to the tick nearest the previous day’s settlement price. (For example, if CME Eurodollar futures price activity between 1:59 p.m. and 2:00 p.m. consists of a 9668.5 trade, the market is 9668 bid, 9668.5 offer, and the market is higher on the day, the settlement price would be 9668.

In addition, an algorithm is employed as an adjunct to the aforementioned settlement process only in cases where the automated settlement price of outright contracts creates an inconsistency with the settlement price of specific calendar or butterfly spreads. In such cases, the algorithm may adjust the settlement price of an outright contract in order to create settlement prices consistent with closing ranges in both the outright and spread markets. Please note that price adjustments resulting from use of this automated procedure are subject to the following constraints:

• Price adjustments will remain within the bid/ask of the front eight outright quarterly contract months during the 1:59 p.m. to 2:00 p.m. time frame.
• Price adjustments will remain within the bid/ask of the seven 3-month calendar spreads, six 6-month calendar spreads or six 3-month butterfly spreads listed  through the first eight quarterly expirations during the 1:59 p.m. to 2:00 p.m. time frame.

Contract years 3 though 5: The daily settlement prices are determined to be reflective of orders available to the market at least   2  minutes prior to the close. These orders include out-rights, packs, calendars, bundles, and butterflies.   Beginning in early 2006, CME staff began soliciting markets for the 5-year bundle both in the trading pit and on CME Globex at 1:59 p.m. each trading day. This information is used to establish daily settlement prices for contracts in years three (“Greens”) through five (“Golds”) so that the first twenty quarterly contracts taken as a whole settle within one-half basis point from the mid-point bundle reference price.

Contract years 6 through 10: The daily settlement price for the last five years is based upon the average price levels obtained from four surveys conducted at the close of trading. Three surveys reflect price levels for the last five years supplied by members inside the pit; the fourth consists of the same information from end users and their FCM representatives. All four surveys are conducted by Chicago Mercantile Exchange® (CME)  staff. Below are the latest results of that survey:

Survey results are posted each business day within 20 minutes of the Eurodollar market close.

CME Eurodollar Settlement Prices