The standards and conventions for RPX property derivatives as developed by RPX dealers are as follows (for more information, please contact a Licensed Dealer):
Contract Maturities / Tenors
Contracts will have fixed maturity dates, corresponding to 1, 2, 3, 4 and 5 year tenors on the date of release.
Contract Roll Dates
Contracts will roll at the end of each calendar quarter, resulting in four contracts per year.
Index reference values will be determined by a 5-day average of published values for initial, settlement and maturity reference index levels.
T+3 settlement convention for all payments on forwards and return swaps
Day Count Convention
For the fixed rate on a TRS, the day count convention will be 30/360.
RPX Publication Schedule
28-day RPX values will be published every business day as defined by the bond market holiday schedule at www.SIFMA.org.
RPX 25-MSA Composite Index
The composite is calculated as a fixed-weight average of the 25 constituent MSA prices. Please see our composite methodology for further details.
Current MSA weightings are as follows:
Metropolitan Statistical Area (MSA)
Daily Closing Price
ICAP/Radar Logic will calculate and publish daily closing prices for certain products.
Forward Quoting Convention
a. Forwards will be quoted as the current expected value of the index at maturity.
b. Please see trade confirmation for payout calculations.
TRS Quoting Convention
a. TRS will be quoted on the fixed rate on an annualized basis.
b. The quoted fixed rate will be annualized, non-compounded and follow a 30/360 day count convention. i.e. Quarterly fixed payments will be calculated as fixed rate / 4. There is implied quarterly compounding on the floating leg, as it will be calculated on a quarterly growth basis.
c. Please see trade confirmation for payout calculations.
a. RPX values are rounded to dollars and cents (i.e., $250.68 per square foot).
b. RPX Composite weights are rounded to 2 places after the decimal in percentage terms (i.e., 25.36%)
c. No rounding of 5-day average reference values for contracts
d. No rounding of actual reference index growth for contracts
e. Contract payment amounts are rounded to the nearest penny.