- Trading Screen Product Name
- US Treasury DTCC GCF Repo Index Futures
- Trading Screen Hub Name
- Commodity Code
- Contract Series
24 Consecutive Monthly Contracts
- Trading Hours
7:45pm – 5:00pm Eastern (New York) Time, Sunday –
Friday. Market pre-open at 7:30pm ET, Sunday – Friday.
- Last Trading Day
Last business day of the contract month at 3:00pm New York Time.
- Contract Size
Interest on the U.S. Treasury DTCC GCF Repo Index having a face
value of $5,000,000 for one month calculated on a 30-day basis at a
rate equal to the average U.S. Treasury DTCC Repo Index® rate
for the contract month.
US Dollars and cents
- Trading Price Quotation
100 minus the corresponding average daily U.S. Treasury DTCC GCF
Repo Index® rate for the contract month.
- Tick Size
First delivery month: Quarter of a Basis Point ($10.4175) All other
delivery months: Half of a Basis Point ($20.835)
- Daily Settlement Price Quotation
One-half of one basis point (0.005) or $20.835 per contract.
- Final Settlement Price Quotation
1/100 of one basis point (0.0001) or $0.4167 per contract
- Floating Price
In respect of daily settlement, the Floating Price will be
determined by ICE using price data from a number of sources
including spot, forward and derivative markets for both physical
and financial products
- Final Settlement
In respect of final settlement, the Floating Price will be an
interest rate expressed in basis points, rounded to the nearest
one-hundredth of a basis point, based on the average U.S. Treasury
DTCC GCF Repo Index® rate for the contract month.
- Final Payment Date
Final settlement occurs on the last trading day of the contract
- Business Days
ICE Clear Europe Business Days
- MIC Code
- Clearing Venues