Valuation, Pricing, Reporting and Delivery Periods Clarification

Valuation and pricing periods for To be Fixed contracts have been standardized. When a new To be Fixed Contract with multiple deliveries is created, the pricing period is always set to the futures period which has been assigned to the Contract delivery line. This has no association or connection with the delivery period for the delivery line.

For example, if there are 3 delivery lines on a Contract scheduled for April 2020, May 2020 and June 2020 and the Future assigned to them is May 2020, all the delivery lines will have the pricing and the valuation period set to May 2020. However, the reporting period will follow the delivery time lines which would be April 2020, May 2020 and June 2020.

If a new delivery line is added to an existing contract, the pricing period will be the same pricing period assigned on all the existing deliveries in the Contract.  The same valuation period is also assigned which keeps the pricing and valuation period consistent. Similarly, the reporting period is based on the delivery time line selected by the user at the time of delivery creation.