- Trading Screen Product Name
- MSCI EAFE TRF
- Trading Screen Hub Name
- ICUS
- Underlying Index
MSCI EAFE NTR Index.
Secured Overnight Funding Rate (SOFR)
- Contract Symbol
MVH
- Contract Size
$5 per index point
- Price Quotation
Total Return Spread (“TRF Spread”) in basis
points.(+/-)
- Minimum Price Fluctuation
+/- 0.500 basis points - Screen Trading (CLOB)
+/- 0.010 basis points - Block Trading
- Minimum Price Fluctuation
0.01 index points ($0.05)
- Block Trade Minimum
5 lots
- Order Types
Trade at Close (“TAC”) with an index level based on
daily MSCI EAFE NTR Index Close - TAC are both CLOB and block
enabled.
Trade at Market (“TAM”) with a custom defined MSCI EAFE
NTR index level. Custom defined index is an index level
predetermined and entered by the exchange participant. - TAM are
block only.
TAC and TAM trades have the same PCC so are fully fungible. Note:
TAC trades are based on the daily MSCI EAFE NTR Index closing
value. Until the closing index value is known, TAC trades are
priced as preliminary trades (based on the Index Close value from
the previous day).
- Funding Rate
Secured Overnight Funding Rate (SOFR) (as a percentage)
- Last Trading Day
The third Friday in the expiration month.
- Expiration Date
Third Friday in the expiration month. In the event the third Friday
is not a business day, the Expiration Day shall be the last
business day preceding the third Friday.
- Daily Settlement Price Quotation
Same calculation as Traded Futures Price above, Daily Settlement
TRF spread is determined and used with index close level and time
to maturity to calculate a Settlement Basis (same as Trade Basis)
in index points. The Settlement Basis will be used in conjunction
with the Accrued Funding to calculate DSP in index points.
- 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
- Final Settlement
Final settlement: Index Futures EDSP (t) - Accrued Funding(t) +
Traded Basis (t). ,
Where: Traded Basis is zero as on expiration the time to expiry is
zero.
- Settlement Date
Cash settlement on the 2nd business day after Expiration Day.
- Trading Hours
CLOB (TAC): 08:30- 18:00 Eastern time
Block (TAC & TAM): 08:30 - 18:00 Eastern time.
Preopen Starts 30 minutes prior to start of trading
- Other Information
TRF Spread will be converted into TRF futures price in index
points. Conversion formula can be found in the rule book.
- MIC Code
- IFUS
- Clearing Venues
- ICUS