Eris CDX HY Credit Future (5 Year)44365511

Description

Cash Settled Futures contract with $100,000 notional principal whose value reflects the value of a basket of credit default protection on the entities in the index as published by Markit.

Market Specifications

Trading Screen Product Name
Eris CDX HY 5Y
Trading Screen Hub Name
IFUS - HY
Contract Symbol
HY5
Underlying CDS Index
Underlying CDS Index 5Y Markit CDX North American High Yield Index (CDX.NA.HY)
Fixed Amount
500 basis points (annually)
Contract Size
$1,000 x relevant Underlying CDS Index ($100,000 notional)
Quotation
Index points
Minimum Quotation Price Fluctuation
0.0100 index points equal to $10 per contract
Settlement Price Quotation
0.0001 index points equal to $0.1 per contract
Minimum Price Fluctuation
0.0001 index points equal to $0.1 per contract
Contract Listing
New Contracts for every new Underlying CDS Index series will be listed on the First Trading Date.
Payment Dates
Mar 20, June 20, Sept 20, and Dec 20 of each calendar year
Futures Conventions
Day Count Convention: Actual/360
Currency: USD
Holiday Calendar(s): New York
Business Day Convention: Following with adjustment to period end dates for all Fixed Payment Dates except for Maturity Date. For the payment on the Maturity Date, Business Day Convention is Following, with no adjustment.
Trading Model
Buy = Receive Premium = Long Credit Risk
Sell = Pay Premium = Short Credit Risk
First Trading Day
March and September 27; subject to Business Day conventions.
First Accrual Date
The first date from which Fixed Amounts accrue; March and Sept 20; subject to Business Day conventions. Quarterly Fixed Amounts accrue through the Calendar Day prior to the Fixed Payment Date.
Last Trading Day
The Maturity Date.
Index Publication Date
After 5 PM EST on the Business Day preceding the First Trading Date
Credit Event
As determined and announced by ISDA. Credit Event determination will match the process that is used for credit default swaps.
Credit Event Amount
Credit Event Amount determination will match the process that is used for credit default swaps.
Credit Event Auction Date
As set by ISDA. The recovery amount for the defaulting entity is set at Auction Date.
Maturity Date
Maturity Date of the Underlying CDS Index; June and Dec 20; subject to Business Day Conventions.
Clearing Price
Each traded price is converted into a Clearing Price, which is expressed in Index Points and calculated for four decimal places using the following formula:

Clearing Price =At + Bt - Ct

At= 100 + ( TPt - 100) x IFt + AIt

Where TPt= The Traded Price;

AIt = The interest accrued from the most recent Fixed Payment Date to time t, multiplied by IFt, expressed in Index Points; and

IFt = The Index Factor at time t

Bt is the sum of all historical cash flows to time t, and

Ct is the Cumulative PAI at time t.

The B and C components are calculated and applied by IFUS, and are not subject to negotiation by the counterparties.

† As calculated using the Eris Methodology™.
Daily Settlement Price Quotation
Daily Settlement Price at time t = At + Bt - Ct , where:
All values below are in the Quoting Convention;

At = 100 + (SPt -100) X IFt+ Alt

+ Al Where SPt = the ICE Clear Credit daily settlement price for the ICE Clear Credit cleared swap on the related Index Series, expressed in Index Points;

AIt = the interest accrued from the most recent Fixed Payment Date to time t, multiplied by IFt, expressed in Index Points; and
IFt = the Index Factor at time t
Bt = sum of historical cash flows;
Ct = the Cumulative PAI at time t.
Final Settlement Price Quotation
Final Settlement Price = 100 + Bfinal – Cfinal, where:

All values below are in the Quoting Convention;

Bfinal = Sum of historical cash flows from the First Trade Date through the Maturity Date;

Cfinal = Cumulative PAI on the Maturity Date.

† As calculated using the Eris Methodology™.
Block Trade Minimum
2 Contracts
Exchange of Derivatives for Related Positions (EFRPs)
IFUS Eris CDX HY Credit Futures are allowed to be traded as privately negotiated, off-exchange EFRPs and reported to IFUS. EFRPs must be executed and reported pursuant to IFUS Rule 4.06 in the IFUS Exchange Rulebook.
Price Alignment Interest (PAI)
PAI is calculated daily by applying the overnight Federal Funds effective rate to the contract’s ‘A’ value, using the Day Count Convention. Cumulative PAI is the sum of the daily PAI calculations from the First Trade Date.

† As calculated using the Eris Methodology™
Daily Price Limit
None
NCR, RL and CSLOR
R NCR: 0.25 index points
RL: 0.75 index points
IPL Levels
IPL Amount: 1.00 index points
IPL Recalculation and Hold Times: 5 seconds
Position Limit
10,000 contracts in any one month, or all months combined
Other Information
Eris products listed on ICE exchanges are based on the Eris Methodology™, Eris’ product design for constructing capital-efficient futures that incorporates intellectual property, expertise and patent-pending innovations.
MIC Code
IFUS
Clearing Venues
ICUS
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Trading Hours

CityTradingPre-Open
New York2:00 AM - 6:00 PM
02:00 - 18:00

London7:00 AM - 11:00 PM
07:00 - 23:00

Singapore3:00 PM - 7:00 AM
15:00 - 07:00

Codes

Clearing Admin Name
CIF USD
Physical
HY5
Logical
HY5
GMI(FC)
R&N A.C.N.