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 - 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
| City | Trading | Pre-Open |
|---|---|---|
| NEW YORK | 4:15 AM - 11:30 AM 04:15 - 11:30 | 4:00 AM 04:00 |
| LONDON | 9:15 AM - 4:30 PM 09:15 - 16:30 | 9:00 AM 09:00 |
| SINGAPORE | 5:15 PM - 12:30 AM* 17:15 - 00:30 | 5:00 PM 17:00 |
Codes
- Clearing Admin Name
- FTSE Fut UNRSTD
- Physical
- FWX
- Logical
- FWX
- GMI (FC)
- ION A.C.N.
- Symbol Code
- FWX