ICE Mortgage Rate Lock Index futures offer market participants a more precise hedging tool for residential mortgage interest rate risk. The suite of contracts includes futures based on Conforming and Jumbo mortgage interest rates. The monthly futures contracts are cash-settled and track the ICE U.S. Conforming 30-year Fixed Mortgage Rate Lock Index and the ICE U.S. Jumbo 30-year Fixed Mortgage Rate Lock Index respectively.
ICE U.S. Conforming 30-year Fixed Mortgage Rate Lock Weighted APR Index Futures | ICE U.S. Jumbo 30-year Fixed Mortgage Rate Lock Weighted APR Index Futures | |
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Contract size | $5,000 x Index Price Quotation | $5,000 x Index Price Quotation |
Contract months | 6 consecutive monthly contracts | 6 consecutive monthly contracts |
Price quotation | 100 minus the numerical value of the Reference Rate. One interest rate basis point = 0.01 price points = $50 per contract | 100 minus the numerical value of the Reference Rate. One interest rate basis point = 0.01 price points = $50 per contract |
Reference rate | ICE U.S. Conforming 30-Year Fixed Mortgage Rate Lock Index (LRC30FIX) Loan Balance Weighted APR | ICE U.S. Jumbo 30-Year Fixed Mortgage Rate Lock Index (LRJ30FIX) Loan Balance Weighted APR |
Tick size | 0.005, equal to $25.00 per contract (Block and EFRP Trades can be priced at .001 Index point increments) | 0.005, equal to $25.00 per contract (Block and EFRP Trades can be priced at .001 Index point increments) |
Trading hours | 8:00 pm to 6:00 pm (6:00 pm open on Sunday evening) Preopen starts 30 minutes prior to the start of trading | 8:00 pm to 6:00 pm (6:00 pm open on Sunday evening) Preopen starts 30 minutes prior to the start of trading |
Last trading day | SIFMA MBS Monthly Class A Settlement Day | SIFMA MBS Monthly Class A Settlement Day |
Symbol | 30C | 30J |
Daily settlement window | 14:58 to 15:00 NY time | 14:58 to 15:00 NY time |
Final settlement | Cash Settlement. Final Settlement Price is equal to 100 minus the numerical value of the Reference Rate on the Last Trading Day, rounded to the nearest three decimal places | Cash Settlement. Final Settlement Price is equal to 100 minus the numerical value of the Reference Rate on the Last Trading Day, rounded to the nearest three decimal places |
Inflation has crept into nearly every facet of life, and real estate is attracting scrutiny as pundits expect affordability issues to eventually crimp demand. Views on mortgage-backed securities are changing as investors adapt to inflation, housing fundamentals, and monetary policy.
Our speakers discuss how rich mortgage transaction data is being used create data and analytics that can deliver actionable insight for capital markets.
Listen to Harvey Flax, Director, U.S. Interest Rates, ICE, talk about the launch of our new mortgage rate lock futures.
Q&A with Aram Flores & Lisa Fiondella
Find out what the indices offer to participants across the U.S. mortgage lending and mortgage-backed securities market.