Mortgage Backed Securities DTCC GCF Repo Index®

Mortgage Backed Securities DTCC GCF Repo Index®31500933

Description

A cash settled future based on the Mortgage Backed Securities DTCC GCF Repo Index®

Market Specifications

Trading Screen Product Name
Mortgage-Backed DTCC GCF Repo Index Futures
Trading Screen Hub Name
ICEU
Commodity Code
RPM
Contract Series
12 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 Mortgage Backed Securities 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 Mortgage Backed Securities DTCC Repo Index rate for the contract month.
Currency
US Dollars and cents
Trading Price Quotation
100 minus the corresponding average daily Mortgage Backed Securities 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
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 Mortgage Backed Securities DTCC GCF Repo Index® rate for the contract month.
Final Payment Date
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 Mortgage
Physical
RPM
Logical
RPM
GMI(FC)
S9
R&N A.C.N.
ET81