- Trading Screen Product Name
- Eris CDX IG 5Y
- Trading Screen Hub Name
- IFUS - IG
- Commodity Code
IG5
- Underlying CDS Index
5Y Markit CDX North American Investment Grade Index (CDX.NA.IG)
- Fixed Amount
100 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 Settlement Price Fluctuation
0.0001 index points equal to $0.1 per contract
- Contract Series
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 20; 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
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 = t 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
- EFRP Enabled
IFUS Eris CDX IG 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: 0.15 index points
RL: 0.30 index points
- IPL Levels
IPL Amount: 0.05 index points
IPL Recalculation and Hold Times: 5 seconds
- Position Limit
50,000 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