OT19100 - PRT: appendices - valuation exchange transitions dates

  Convention Treatment of NBDs
1 Delivery date + 30 days Fri/Sat = B Sun/Mon = F
2 Delivery date + 30 days BD after all NBDs
3 Delivery date + 30 days BD before all NBDs
4 Delivery date + 30 days less 2BDs Fri/Sat = B Sun/Mon = F
5 Delivery date + 30 days less 2BDs BD after all NBDs
6 Delivery date + 30 days less 2BDs BD before all NBDs
7 End of delivery month + 30 days Fri/Sat = B Sun/Mon = F
8 End of delivery month + 30 days BD after all NBDs
9 End of delivery month + 30 days BD before all NBDs
10 Average daily rate of month after delivery month -
11 20th of month after delivery month Fri/Sat = B Sun/Mon = F
12 20th of month after delivery month BD after all NBDs
13 20th of month after delivery month BD before all NBDs
14 Date of receipt of dollars -
15 Last day of chargeable period -
16 Average daily rate of last month in CP -
17 Delivery date + 30 days 2BDs -
18 Date of delivery -
19 Last day of month of delivery BD before if NBD
20 End of month after month after delivery BD before if NBD
21 15th of month after month of delivery Fri/Sat = B Sun/Mon = F
22 Date of payment 1 BD -
23 Middle of month after delivery month (15th/16th) -
24 Date of receipt 2 BDs -
25 Date of receipt 3 BDs -
26 15th of month after month of delivery Fri/Sat = B Sun/Mon = F
27 15th of month after month of delivery BD after all NBDs
28 15th of month after month of delivery BD before all NBDs
29 Delivery date + 30 days: RATE+$0.0005 Fri/Sat = B Sun/Mon = F
30 Last day of month of delivery BD after if NBD
31 End of month after month after delivery BD after if NBD
32 Delivery date Fri/Sat = B Sun/Mon = F
33 Delivery date BD after all NBDs
34 Delivery date BD before all NBDs
35 Average daily rate of delivery month -
36 Date of receipt of dollars: RATE + $0.0005 -
37 18th of month after month of delivery Fri/Sat = B Sun/Mon = F
38 18th of month after month of delivery BD after all NBDs
39 18th of month after month of delivery BD before all NBDs
40 Last day of chargeable period IBD -
41 Last day of CP + 30 days Fri/Sat = B Sun/Mon = F
42 Last day of CP + 30 days BD after all NBDs
43 Last day of CP + 30 days BD before all NBDs
44 15th of month after end of CP Fri/Sat = B Sun/Mon = F
45 15th of month after end of CP BD after all NBDs
46 15th of month after end of CP BD before all NBDs *

Where

NBD = non business day

BD = business day

B = back one day

D = forward one day*