Uncleared Credit Default Swaps: iTraxx Europe Index Family

    Swap Specifications Pursuant to Rule 1101

       
    Contract Overview: An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade or high yield credit rating, as applicable.
    Index Name: iTraxx Europe
    iTraxx Europe Tranche
    iTraxx Europe Standard Tranche
    iTraxx Japan
    iTraxx Japan Tranche
    iTraxx Asia Ex Japan
    iTraxx Asia Ex Japan Tranche
    iTraxx Australia
    iTraxx Australia Tranche
    iTraxx Blended Tranche
    iTraxx Risky Zero Tranche
    iTraxx Lev X
    iTraxx Sov X
    iTraxx SDI
    Currency: EUR
    Quoting Convention & Min Increment: As agreed by the counterparties.
    Minimum Size: As agreed by the counterparties
    Trading Conventions: Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occuring. Credit events include Bankruptcy and Failure to Pay.

    Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns the credit risk of the instrument.

    Investment grade indices are traded on spread
    Swap Conventions: Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.
    Swap Tenor: iTraxx Europe: 5Y, 10Y
    iTraxx Europe Crossover: 5Y
    iTraxx Europe HiVol: 5Y
    Applicable Series: iTraxx Europe 5Y: Series 10 and all subsequent Series, up to and including the current series.

    iTraxx Europe 10Y: Series 7 and all subsequent Series, up to and including the current series.

    iTraxx Europe Crossover 5Y: Series 10 and all subsequent Series, up to and including the current series.

    iTraxx Europe HiVol 5Y: Series 10 and all subsequent Series, up to and including the current series.
    Effective Date: The date on which the counterparties begin calculating accrued obligations such as fixed payments (ie., start date of the swap).
    Maturity Date: The final date on which the obligations no longer accrue and the final payement occurs.
    Trade Types: Outrights; roll trades; curve trades.
    Settlement:  Contingent Payment: Payments related to credit event settlement will be determined pursant to the 2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie., the Big Bang Protocol).

    Fixed Quarterly cash payments: reflected in basis points and paid by the protection buyer to the seller.

    Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points of the notional, which is present valued and paid immediately to the seller.
    Trading Hours: 00:01-24:00 (ET), Sunday-Friday
    Clearing Venue: CME or bilateral, as applicable
    Block Size: As set forth in Appendix F to Part 43 of the Commision Regulations.
    Speculative Limits: As set in Part 151 of the CFTC Regulations.
    Reportable Levels: As set in the CFTC Regulation 15.03.