EBU Single Rulebook Q&A 5 January 2015 2015_1701 Mark-to-Market Method: Residual Maturity for cash settled contracts

Cash settled derivatives may reference an underlying with a defined maturity, for example a cash settled interest rate swaption or a cash settled bond forward. The market value of these derivatives at maturity will be set to Nil as the derivative expires with or without payment to the buyer of the option/forward counterpart.