Daily settlements are made using a standard multilateral settlement in through the Bank of Spain TARGET-2 System.
The clearing member requires an account in the TARGET-2 payments module. If it does not have one, it may designate a payment agent who has a treasury account in a central bank of the euro system so that it can make settlements through it.
The daily variation margin is made for annual, quarterly, monthly and weekly future contracts. Hence, this should not be considered for swaps.
During the life of a future contract, and up to the last day it is registered, a daily variation margin takes place, based on the difference between the settlement price and the last settlement price (for day trades: the price of the trade, for the rest: the settlement price of the previous session). On the last day of register, the variation margin calculation is based on the difference between the final settlement price and the last settlement price.
Settlement at expiry
Settlement at expiry is made for monthly, weekly and daily swap contracts.
Settlement takes place once the contract delivery period has finalized. The settlement at expiry date is established by Circular.
On the set date BME Clearing will automatically generate the expiry trades (type V).
For Futures and Swaps: The settlement price on expiry is obtained from the arithmetic mean of the hourly price of the daily market of all the relevant hours of the contract of the delivery period of the product. The hourly price of the daily market is that published by the Operador del Mercado Ibérico de Energía – Polo Español,S.A. (OMEL) for that specific day and time. In the event of discrepancies between the Spanish and Portuguese prices, the Spanish price will be used.
If the expiry date is a holiday or weekend, the settlement is generated on the next working day.
Information relating to variation margins is available in the BME-PC, under Settlements- Variation Margins, where the details of each one of the trades are shown. It will show details for each future and swap trade registered and also historical data.
|Product||Frequency||Variation Margin||Cascade Process||Mark-to-Market adjustment margin|
Annual - Quarterly Swap
Quarterly - Monthly Swap
Daily (from the Future)
Annual - Quarterly Future
Quarterly - Monthly Future
Register and Settlement Fees
The fee for a trade is settled on the first working day following the registration of the trade and it will vary depending on the MWh registered. It is calculated as follows:
Fee = Trade volume * Contract Multiplier * Rate charged
In other words, the contract multiplier must be taken into account when calculating fees:
Fee = Trade volume * Contract multiplier * Rate charged
Information relating to fees is published via Circulars. Details on fees charged will be available from the BME-PC Portal.