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Description

Up to fifty (50) European entities with non-investment grade credit ratings as published by Markit® from time to time

Market Specifications

Rule Number

1233

Contract Symbol

iTraxx Europe Crossover Option

Currency

EUR

Min Notional

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

Max Notional

Order Book: 250,000,000
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

Any calendar month beginning with January through December, with up to 24 contracts listed at any given time.

Price Quotation

Cents (option premium)

Minimum Price Fluctuation

The price quotation convention shall be .25 cents; 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 based on liquidity

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

20th calendar day of the Contract Month, of first New York business day thereafter if the 20th Calendar day is not a business day

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.

Option Style

European

Exercise Procedure

Manual

Manual exercise or abandon

Exercise Day is the Last Trade Date

Strike Price Listing

A minimum of 1 Strike Price in increments of $0.01 above and below the at-the-money Strike Price. Price boundaries are adjusted according to the price of the underlying swap.

MIC Code

ICES

Clearing Venues

Bilateral

Trading Hours

Codes