Daily and Expiry Settlement

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.

Variation Margin

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.

• In the case of a monthly swap, the settlement price on expiry will be the arithmetic mean, with the number of decimal places stipulated in the general conditions, of the hourly price of the Spanish system of all the relevant hours of the month in question. In the event of a base monthly swap, it would be the arithmetic mean of all the hours in that month.
• In the case of a weekly swap, the settlement price on expiry will be the arithmetic mean, with the number of decimal places stipulated in the general conditions, of the hourly price of the Spanish system of all the relevant hours of the week in question. In the event of a base weekly swap, it would be the arithmetic mean of all the hours in that week.
• Lastly, in the case of a daily swap the settlement price on expiry will be the arithmetic mean, with the number of decimal places stipulated in the general conditions, of the hourly price of the Spanish system of all the relevant hours of the day in question. In the event of a peak daily swap, it would be the arithmetic mean of all the relevant hours (from 08:00 am to 07:59 pm) in that day

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.

Settlement Fees

Register and Settlement Fees