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Description

Twenty Five (25) financial entities from the Markit iTraxx® Europe index referencing subordinated debt as published by Markit® from time to time

Market Specifications

Rule Number

1229

Contract Symbol

iTraxx Europe Subordinated Financials

Currency

EUR

Min Notional

Order Book: 25,000,000
All other execution methods: As agreed by counterparties

Max Notional

Order Book: 350,000,000
All other execution methods: As agreed by counterparties

Min Notional Increment

Order Book: 25,000,000
All other execution methods: As agreed by counterparties

Contract Series

March and September; one or two months listed at all times

Price Quotation

Basis points

Minimum Price Fluctuation

The price quotation convention shall be .25 basis point (bps); minimum price fluctuation may vary by trade type.

Listing Cycle

Tenors of 1 through 10 Years based on liquidity

Series

All Series, initiated with series 1

Roll Date

September 20 (or the Business Day immediately thereafter) and March 20 (or the Business Day immediately thereafter) of each calendar year

First Trading Day

Date of contract listing

Last Trading Day

Each index series with a Roll Date of September 20 shall have a maturity date of December 20 (or the first Business Day thereafter if December 20 is not a Business Day) occurring up to 10 years following the Roll Date. Each index series with a Roll Date of March 20 shall have a maturity date of June 20 (or the first Business Day thereafter if December 20 is not a Business Day) occurring up to 10 years following the Roll Date.

Final Settlement

Cash settlement at expiration based upon the relevant clearing house daily settlement price of the cleared swap on the corresponding swap series on the last trading day of the expiring contract

Settlement Date

Last Trade Date

Position Limit

None

Daily Price Limit

None

Off Exchange Trade Types

No

NCR and RL

Variable by contract type and price. See Error Trade Policy for more details.

MIC Code

ICES

Clearing Venues

ICC

Trading Hours

Codes