Uncleared Credit Default Swaps: iTraxx Europe Index Family
Swap Specifications Pursuant to Rule 1101
|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.
iTraxx Europe Tranche
iTraxx Europe Standard Tranche
iTraxx Japan Tranche
iTraxx Asia Ex Japan
iTraxx Asia Ex Japan Tranche
iTraxx Australia Tranche
iTraxx Blended Tranche
iTraxx Risky Zero Tranche
iTraxx Lev X
iTraxx Sov X
|Quoting Convention & Min Increment:
|As agreed by the counterparties.
|As agreed by the counterparties
|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
|Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.
|iTraxx Europe: 5Y, 10Y
iTraxx Europe Crossover: 5Y
iTraxx Europe HiVol: 5Y
|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.
|The date on which the counterparties begin calculating accrued obligations such as fixed payments (ie., start date of the swap).
|The final date on which the obligations no longer accrue and the final payement occurs.
|Outrights; roll trades; curve trades.
|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.
|00:01-24:00 (ET), Sunday-Friday
|CME or bilateral, as applicable
|As set forth in Appendix F to Part 43 of the Commision Regulations.
|As set in Part 151 of the CFTC Regulations.
|As set in the CFTC Regulation 15.03.