Eris CDX IG Credit Future (5 Year)

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 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 Rate

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 =A_t + B_t - C_t

A_t= 100 + ( TP_t - 100) x IF_t + AI_t

Where TP_t= The Traded Price;

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

IF_t = The Index Factor at time t

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

C_t 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 = A_t + B_t - C_t , where:
All values below are in the Quoting Convention;

A_t = 100 + (SP_t -100) X IF_t+ Al_t

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

AI_t = t the interest accrued from the most recent Fixed Payment Date to time t, multiplied by IF_t, expressed in Index Points; and
IF_t = the Index Factor at time t
B_t = sum of historical cash flows;
C_t = the Cumulative PAI^† at time t.

Final Settlement Price Quotation

Final Settlement Price = 100 + B_final – C_final, where:
All values below are in the Quoting Convention;
B_final = Sum of historical cash flows from the First Trade Date through the Maturity Date;

C_final = Cumulative PAI^† on the Maturity Date.

† As calculated using the Eris Methodology™.

Off Exchange Trade Types

Block Trade

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.

Block Trade Minimum

2 Contracts

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

Additional 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