U.S. Treasury DTCC GCF Repo Index®

U.S. Treasury DTCC GCF Repo Index®31500931

Description

A cash settled future based on the U.S. Treasury DTCC GCF Repo Index®

Market Specifications

Trading Screen Product Name
US Treasury DTCC GCF Repo Index Futures
Trading Screen Hub Name
ICEU
Contract Symbol
RPT
Contract Months
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.
Currency
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
One-half of one basis point (0.005) or $20.835 per contract.
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 Price
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 Dates
Final settlement occurs on the last trading day of the contract month.
Business Days
ICE Clear Europe Business Days
MIC Code
IFLL
Clearing Venues
ICEU
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Trading Hours

CityTradingPre-Open
New York7:45 PM - 5:00 PM*
19:45 - 17:00
7:30 PM
19:30
London12:45 AM - 10:00 PM*
00:45 - 22:00
12:30 AM
00:30
Singapore8:45 AM - 6:00 AM*
08:45 - 06:00
8:30 AM
08:30

*Next Day

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Codes

Clearing Admin Name
GCF Treasury
Physical
RPT
Logical
RPT
GMI(FC)
S0
R&N A.C.N.
ET82