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ICE Mortgage Rate Lock Index Futures

Manage mortgage risk with a more precise hedging tool

ICE Sees Early Industry Support for New U.S. Residential Mortgage Futures

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.

The indices, using rich transaction data from the ICE Mortgage Technology platform, track mortgage interest rates and other associated costs on U.S. residential mortgage loan applications where borrowers and lenders have committed to lock-in the interest rate prior to close. Using observable loan applications representing approximately 50% of residential loan origination, provides a more comprehensive, accurate and timely reflection of current residential mortgage interest rates.

Contract Specs

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
Contract size$5,000 x Index Price Quotation$5,000 x Index Price Quotation
Contract months6 consecutive monthly contracts6 consecutive monthly contracts
Price quotation100 minus the numerical value of the Reference Rate. One interest rate basis point = 0.01 price points = $50 per contract100 minus the numerical value of the Reference Rate. One interest rate basis point = 0.01 price points = $50 per contract
Reference rateICE U.S. Conforming 30-Year Fixed Mortgage Rate Lock Index (LRC30FIX) Loan Balance Weighted APRICE U.S. Jumbo 30-Year Fixed Mortgage Rate Lock Index (LRJ30FIX) Loan Balance Weighted APR
Tick size0.005, 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 hours8:00 pm to 6:00 pm (6:00 pm open on Sunday evening) Preopen starts 30 minutes prior to the start of trading8:00 pm to 6:00 pm (6:00 pm open on Sunday evening) Preopen starts 30 minutes prior to the start of trading
Last trading daySIFMA MBS Monthly Class A Settlement DaySIFMA MBS Monthly Class A Settlement Day
Symbol30C30J
Daily settlement window14:58 to 15:00 NY time14:58 to 15:00 NY time
Final settlementCash 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 placesCash 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

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