Segments

Delivery period

The delivery period for the various contracts is as follows:

CONTRACTDELIVERY 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 (both for futures and swaps) 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 weeaccording to the type of product:

CONTRACTDELIVERY PERIOD
Daily Day
Weekly
Full week: the first day will be on Monday and the last day will be on Sunday.
Business Week: the first day will be on Monday and the last day will be on Friday.
Weekend: the first day will be on Saturday and the last day will be on Sunday.
Monthly Full month: the first day will be the first day of the month and the last day will be the last day of the month
Quarterly

The first day will be the first day of January, April, July and October, as applicable, and the last day will be the last day of March, June, September and December, as applicable.

Annual The first day will be the first day of January and the last day will be the last day of December.
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