GCF Repo Index futures

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The GCF Repo Index futures contract is designed to provide a instrument that reflects the overnight repo trading activity. The futures contract was launched on July 16, 2012 on NYSE Liffe U.S.

NOTE: Futures on DTCC GCF Repo Index products are currently listed and traded on ICE Futures Europe.

GCF Repo Index futures futures
Exchange ICE Futures Europe
Settlement Cash settled
Contract Size One DTCC GCF Repo has a face value at maturity of $5 million
Pricing Unit One DTCC GCF Repo has a face value at maturity of $5 million
Tick Value $10.4175 per contract (1/4 of 1/100 of one percent of $5 million on a 30-day basis, rounded up to the nearest cent per contract
Contract Months Monthly expirations extending out 24 months
Last Trading Day The last business day of the expiring contract month at 3:00 pm Eastern Time
Note: This contract is electronic ONLY -- no open outcry
  No Open Outcry Electronic
Trading Hours N/A 6:16 p.m. - 4 p.m. (day + 1) Central Time, Sunday - Friday, Daily Settlement at 2 p.m. CST
Ticker Symbol N/A RPT
Price Limits N/A N/A

John Lothian Newsletter Report[edit]

NYSE Liffe U.S. Takes on Fed Funds & LIBOR
With interest rates hovering around zero, with no lift in sight, the overnight rates market has been looking for new instruments that better reflect the market. NYSE Liffe U.S. is trying to fill that demand with its new General Collateral Finance or GCF Repo Index futures contract. The new contract, which will compete with the Fed Funds futures and LIBOR, is designed by DTCC for NYSE Liffe U.S. and is set to launch on July 16th. JLN editor-in-chief Jim Kharouf reports on NYSE Liffe U.S.’s recent introduction of the new contract in Chicago. Published June 13, 2012. Watch at JohnLothianNews.com[1]