Contract specifications for Mortgage Rate (OB30C) futures

Figure 1: Contract specifications for OB30C Mortgage Rate futures

Price basis and unit of trade

Figure 2: SIFMA MBS settlement dates for Class A instruments

Termination of trading and final settlement

Figure 3: Example of November 2024 contract month relevant dates, rates and price

Index methodology

Introduction

Handbook

Key terms

Design

Data collection

Calculation

Calculation

Minimum data

Publication

Exceptional market conditions

Errors and corrections

Expert judgement

Benchmark limitations

Chart 1: Optimal Blue History of 30-Yr Fixed Rate Conforming Index (Jan 8, 2015 - Oct 17, 2024)

Margins

Comparison to other Rates products