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Description

One hundred twenty five (125) of the most liquid European entities with investment grade credit ratings as published by Markit® from time to time

Market Specifications

Rule Number

1237

Contract Symbol

ITRX EUR Tranche

Currency

EUR

Min Notional

Order Book: 50,000,000
All other execution methods: As agreed by counterparties

Max Notional

Order Book: 1,000,000,000
All other execution methods: As agreed by counterparties

Min Notional Increment

Order Book: 10,000,000
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, or points upfront depending upon the contract

Minimum Price Fluctuation

The price quotation convention shall be 1 basis point (bps) or 0.01 points upfront; minimum price fluctuation may vary by trade type.

Attachment and Detachment Points

As agreed by counterparties

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.

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

Bilateral

Trading Hours

Codes