Hedge mortgage servicing rights and pipeline risk
Expand your hedging toolkit with monthly cash-settled futures linked to the 30-year fixed conforming mortgage rate. Introducing Mortgage Rate (OB30C) futures, tracking the Optimal Blue 30-Year Fixed Rate Conforming Index, a benchmark representing 35% of all mortgage rate locks.
These off-balance sheet contracts trade on an anonymous, all-to-all and transparent central limit order book (CLOB), and do not require ISDA agreements. Automatic margin offsets will be available against Treasury, TBA and Eris SOFR Swap futures to optimize capital efficiencies across the hedging portfolio.
*Pending regulatory review
Resources
Features and benefits
Pinpoint hedging instrument
Precisely manage exposure to primary mortgage rates.
New trading opportunities
Spread against TBA futures to trade the primary secondary spread.
Longer rate locks
Six consecutive monthly contracts for hedging longer-dated exposure.
Contract specs
Review contract highlights
Underlying index
Optimal Blue 30-Year Fixed Rate Conforming Index
Contract size
$5,000 x Contract Index ($50 in DV01)
Pricing
Contract Index = 100 – Underlying Index
Tick size
0.005 index points (½ basis point per annum) = $25
Product Code
CME Globex: MGE
Listings
6 consecutive monthly contracts
Daily Settlement
Calculated using futures market activity; 2:00 p.m. CT
Final Settlement
Cash settled to simple average of Index over past 5 days
Last Trade Date
Blocks
100 contract minimum; 15 minute reporting time
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