Delivery Period

 The delivery period for the various contracts is as follows:

Contract Delivery Period
Swap Annual, Quarterly, Monthly, Weekly and Daily
Future Annual, Quarterly, Monthly and Weekly

The following is a summary of the differences between the different products:

  • Futures contracts have a daily variation margin; swap contracts do not.

  • Annual and quarterly contracts expire through the cascade process so that, on the working day prior to the first day of the delivery period, they are converted into smaller contracts (for example, a quarterly contract is converted into three monthly contracts).
  • Monthly and weekly swap contracts expire on the last day of their delivery period and from this point on all the variation margins resulting from the difference between the trade price and the settlement price on expiration are settled.
  • Daily swap contracts expire on the same day as the contract and the variation margin of this contract is settled on the next working day.
  • Monthly and weekly futures contracts have a daily variation margin calculation, always against the previous day´s price.

The delivery period of a daily contract is the same day as the contract.

The delivery period of an annual, quarterly, monthly and weekly contract is the number of days included in the year, quarter, month and week, according to the type of product:

  • Annual, Quarterly, Monthly: the first day and the last day of the delivery period will be the first day and the last day of the period according to the calendar. Annual products are referred to as Cal.
  • Weekly: weekly products may be: a whole week and a weekend.

The first day of the "whole week" product will be Monday and the last day Sunday and for the "weekend" product the first day of the delivery period will be Saturday and the last day Sunday.

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