trading shall cease on the business day immediately preceding the
first business day prior to the 15th day.
These dates are published by the Exchange.
Delivery/settlement basis
The IPE Brent Crude futures contract is a deliverable contract
based on EFP delivery with an option to cash settle against the pub-
lished settlement price i.e. the IPE Brent Index price for the day fol-
lowing the last trading day of the futures contract. If the contract is
to be subject to the cash settlement procedure notice must be given
(in accordance with LCH procedures) up to one hour after cessation
of trading.
The IPE Brent Index
The Exchange issues, on a daily basis at 12 noon local time, the
IPE Brent Index which is the weighted average of the prices of
all confirmed 21 day BFO deals throughout the previous trad-
ing day for the appropriate delivery months. These prices are
published by the independent price reporting services used by the
oil industry.
The IPE Brent Index is calculated as an average of the following
elements:
1. First month trades in the 21 day BFO market.
2. Second month trades in the 21 day BFO market plus or minus
a straight average of the spread trades between the first and
second months.
3. A straight average of all the assessments published in media
reports.
Payment
Payment for contracts subject to the cash settlement procedure
takes place through LCH within two business days of the cessa-
tion of trading.
Exchange of Futures for Physical (EFP) and Exchange of Futures
for Swaps (EFS)
EFPs or EFSs may be reported to the Exchange during trading
hours and registered by LCH up to one hour after the cessation of
trading in the delivery month in which the EFP or EFS is traded.
These allow more effective hedging opportunities for market par-
ticipants with over-the-counter positions.
30 Clearing and settlement of derivatives
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