DAILY SETTLEMENT PRICES (DSP) OF COMMODITY FUTURES

Daily settlement prices  (DSP)  of commodity futures

Euronext Paris SA calculates the Daily Settlement Price of commodity futures contracts by using reported prices observed during a period known as the “Settlement Range”. Euronext Paris SA also monitors market activity throughout the Trading Day to ensure that settlement prices are a fair reflection of the market.

For Milling Wheat (EBM) and Rapeseed (ECO), the Settlement Range is the 2 minutes immediately preceding 18:30 CET, i.e. before the end of the main trading session.
For Corn (EMA), the Settlement Range is the 5 minutes immediately preceding 18:30 CET, i.e. before the end of the main trading session.
For European Durum Wheat (EDW), European Milling Wheat v SRW Chicago Wheat (BCS), European Milling Wheat v KC HRW Wheat (BKS) and Milling Wheat v Corn (BMS), the Settlement Range remains as specified below.

For the daily settlement price of Euronext Salmon Futures (ESF), please refer to the contract’s technical specifications.
 

Milling Wheat, Rapeseed, Corn
 

The Blue Month Daily Settlement Price will follow the sequence:

1. The VWAP in the last X minutes,
2. Failing that, the Last, with a cap or floor against the BBOs in the Order Book,
   1. If the last trade price is outside of the bid/ask spread, then the contract settles to the nearest bid or ask price.
   2. If the last trade price is within the bid/ask spread or if a bid/ask is not available, then the contract settles to the last trade price.
3. Failing that, Mid BBO,
4. Failing that, Yesterday Daily Settlement Price.

As the Blue Month DSP is known, all the other maturities will follow the sequence:

1. Calendars VWAP: based on Blue Month DSP and consecutive Calendar Spread VWAP in the last X minutes (same time period as the outright).
2. Failing that, Calendars Last Traded Price: based on Blue Month DSP and consecutive Calendar Spread Last Traded Price, with a cap or floor against the BBOs in the Strategy Order Book. If there is no strategy BBO then proceed to step 4.
3. Failing that, Calendars BBOs: based on Blue Month DSP and consecutive Calendar Spread Mid BBO.
4. Failing that, Outright Mid BBO.
5. Failing that, Absolute Change: apply the intraday change in absolute value (€) of the previous month to the maturity subject of settlement.

Daily Settlement Prices will then be rounded to the nearest tick as already is.

Blue month roll

• EBM: 21 calendar days before expiry
• EMA: 21 calendar days before expiry
• ECO: 14 calendar days before expiry
   

Durum wheat , Wheat spread contract
 

For European Durum Wheat (EDW), European Milling Wheat v SRW Chicago Wheat (BCS), European Milling Wheat v KC HRW Wheat (BKS) and Milling Wheat v Corn (BMS), the Daily Settlement Price is calculated as the volume-weighted average of the prices of trades made during the relevant Settlement Range, rounded to the nearest tick.

If there are no traded prices within the relevant Settlement Range, Euronext Paris SA will consider the following criteria, where applicable:

• the price of the last trade made during the Trading Day;
• the price midway between the active bids and offers at the time the settlement price is calculated, rounded to the nearest tick;
• price levels as indicated by spread relationships with other expiries of the same contract.

The full methodology is set out in the relevant contract technical specifications and trading procedures.

Note
Euronext reserves the right, at its sole discretion, to determine an alternative settlement price where deemed necessary