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ICE U.S. Conforming 30-year Fixed Mortgage Rate Lock Weighted APR Index Futures82426603
ICE Futures U.S.

ICE U.S. Conforming 30-year Fixed Mortgage Rate Lock Weighted APR Index Futures

Description

ICE Mortgage Rate Lock Index futures offer market participants a more precise hedging tool for residential mortgage interest rate risk. The monthly futures contracts are cash-settled and track the ICE U.S. Conforming 30-year Fixed Index and the ICE U.S. Jumbo 30-year Fixed Index respectively.

Market Specifications

Trading Screen Product Name
ICE U.S. Conforming 30-Yr Fixed Mtg Rate Lock Weighted APR Index Futures
Trading Screen Hub Name
ICUS
Contract Size
$5,000 x Index Price Quotation
Contract Series
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.
Reference Rate
ICE U.S. Conforming 30-Year Fixed Mortgage Rate Lock Index (LRC30FIX)
Tick Size
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.
Last Trading Day
SIFMA Class A 30 Year UMBS Monthly Settlement Day*.
Contract Symbol
30C
Daily Settlement Window
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.
Position Accountability and Limit Levels
Position Accountability Level, single month – TBD
Position Limit, All Months Combined – TBD
Daily Price Limit
None
Off Exchange Trade Types
Block Enabled, 5 lot Block Minimum Quantity
EFP
EFS
IPL Levels
IPL Amount: 0.25 Index Points (25 Basis Points)
Recalc Time: 3 Seconds; Hold time: 5 seconds
NCR and RL
No Cancellation Range: .075 Index Points (7.5 Basis Points)
Reasonability Level: 0.10 Index Points (10 Basis Points)
CSLOR: .075 Index Points (7.5 Basis Points)
Fees
Screen, Block and EFRP Trades: $1.00 per side
MIC Code
IFUS
Clearing Venues
ICUS

Trading Hours

CityTradingPre-Open
New York8:00 PM - 6:00 PM*
20:00 - 18:00
7:30 PM
19:30
London1:00 AM - 11:00 PM*
01:00 - 23:00
12:30 AM
00:30
Singapore8:00 AM - 6:00 AM*
08:00 - 06:00
7:30 AM
07:30

*Next Day

8:00 pm to 6:00 pm (6:00 pm open on Sunday evening) Preopen starts 30 minutes prior to the start of trading.

Codes

Clearing Admin Name
IFUS Mortgage
Physical
30C
Logical
30C
Symbol Code
30C