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FTSE 100 Total Return Future82687963

ICE Futures Europe

FTSE 100 Total Return Future

Description

Total Return Futures (TRFs) are the centrally cleared alternative to OTC Total Return Swaps. TRFs are a listed solution for trading implied equity repo rate.

Market Specifications

Trading Screen Product Name
FTSE 100 - Total Return Future
Trading Screen Hub Name
ICEU
Underlying Index
FTSE 100 Index (UKX)
FTSE 100 Cumulative Dividend Points Index (UKXCD)
Sterling Overnight Index Average (SONIA)
Contract Symbol
FWX
Contract Size
£10 per index point
Price Quotation
TRF spread as annualized rate expressed in basis points (+/-)
Minimum Price Fluctuation
+/- 0.5 basis points - Screen Trading
+/- 0.01 basis points - Block Trading
Other Information
TRF Spread will be converted into TRF futures price in index points. Conversion formula can be found in the rule book.
Accrued Distributions
The distribution and funding rate payments will be accumulated from the product launch date and added to the TRF futures price in index points. The daily changes in distributions and funding payments are paid out via variation margin.
Minimum Price Fluctuation
0.01 Index points (tick value: GBP 0.10)
Last Trading Day
16:30 London time on the trading day immediately preceding the Expiration Day
Expiration Date
Third Friday in expiry month. In the event of the third Friday not being a business day, the expiration day shall normally be the last business day preceding the third Friday.
Exchange Delivery Settlement Price
Based on the FTSE100 Index Futures EDSP, Accrued distributions and Accrued funding.
Contract Series
Out to nine years and eleven months:
Nearest 12 quarterly months of the March, June, September and December cycle, and subsequent 7 annual December expiries March, June, September, December.
Final Settlement
Cash settlement based on EDSP
Markers
Trade-at-Close (TAC) - index level based on index close
Trade-at-Market (TAM) - index level predetermined by user

Trade at Close (TAC) - HBCA
Trade at Market (TAM) - HBAA
Trading Hours
CLOB (TAC): 09:15 - 16:30 London time
Block (TAC & TAM): 09:15 - 21:00 London time
Settlement Date
First business day after the expiry day
Block Trade Minimum
50 lots
MIC Code
IFLL
Clearing Venues
ICEU

Trading Hours

CityTradingPre-Open
New York4:15 AM - 11:30 AM
04:15 - 11:30
4:00 AM
04:00
London9:15 AM - 4:30 PM
09:15 - 16:30
9:00 AM
09:00
Singapore5:15 PM - 12:30 AM
17:15 - 00:30
5:00 PM
17:00

Codes

Clearing Admin Name
FTSE Fut UNRSTD
Physical
FWX
Logical
FWX
Symbol Code
FWX