Mortgage Rate (OB30C) futures

This page describes normal daily settlements and final settlements for Mortgage Rate futures.

- 1.1 Optimal Blue Mortgage Market Indices (OBMMI) 30-Year Conforming Fixed Rate Index Futures Settlement Procedure
2 Normal Daily Settlement Procedure
- 2.1 Lead month
- 2.2 Deferred months
  - 2.2.1 Final Settlement Procedures

Optimal Blue Mortgage Market Indices (OBMMI) 30-Year Conforming Fixed Rate Index Futures Settlement Procedure

Normal Daily Settlement Procedure

CME Group staff determine the daily settlements of the Optimal Blue Mortgage Market Indices (OBMMI) 30-Year Conforming Fixed Rate Index Futures (MGE) based on trading activity on CME Globex between 13:59:00 and 14:00:00 Central Time (CT), the settlement window.

Lead month

The designated lead month* is settled according to the following procedure:

Tier 1: The lead month settles to the volume-weighted average price (VWAP) of the outright trades between 13:59:00 and 14:00:00 Central Time (CT), the settlement window, rounded to the nearest tradable tick.

Tier 2: If no trades occur during the settlement window, then the settlement will be the midpoint of the CME Globex bid/ask during the settlement window.

Tier 3: If there are no CME Globex bid/ask prices available, then the last traded price or prior settlement price is checked against the Globex bid/ask and adjusted accordingly.

Deferred months

Deferred contract months consist of all non-lead months and settle according to the following procedure:

Tier 1: The deferred months settle to the volume-weighted average price (VWAP) of all the outright trades between 13:59:00 and 14:00:00 Central Time (CT), the settlement window, rounded to the nearest tradable tick.

Tier 2: If no trades occur during the settlement window, then the settlement will be the midpoint of the CME Globex bid/ask during the settlement window.

Tier 3: If there are no CME Globex bid/ask prices available, then the last traded price or prior settlement price is checked against the Globex bid/ask and adjusted accordingly.

The designated lead month in each product shall be determined by the Exchange, and is generally the most active month.

Final Settlement Procedures

https://www.cmegroup.com/rulebook/CBOT/III/76.pdf

Note: In the event the aforementioned calculations described in this advisory cannot be made or if CME Group staff, in its sole discretion, determines that anomalous activity yields results that are not representative of the fair value of the contract, the staff may determine an alternative settlement price.