Appendix B to Tradition SEF Rulebook

Credit Product Listing

1. Discussion of contracts; not readily susceptible to manipulation

TradSEF’s Credit Swaps are based on market standard third-party indexes published by index providers such 

as Markit® Indexes Ltd., Markit® North America or one of its subsidiaries or successor sponsors.

 Index Selection: TradSEF limits the indexes underlying its credit swap offerings to well-established, publicly 

available third-party credit market benchmarks. The credit reference prices underlying swaps on TradSEF are the 

timeliest, most widely recognized and reliable benchmarks for credit in their respective markets. The index levels 

are readily available and commercially acceptable as benchmarks for borrowers, lenders, investors, portfolio 

managers, governments and public policy makers. 

 TradSEF believes that the large number of participants in each market, and the calculation of each index by well 

known, independent third parties limits the susceptibility of manipulation of these indexes. TradSEF believes that 

such benchmark indexes, due to the large number of index participants, ubiquity, and broad-market nature are not 

readily susceptible to manipulation.

 TradSEF will monitor trading in swaps on these indexes in conjunction with TradSEF’s regulatory service 

provider. TradSEF has a comprehensive surveillance program and rules to prevent TradSEF participants from 

engaging in manipulative activity and possesses discretion to impose fines and disciplinary sanctions on its 

participants. Furthermore, TradSEF’s predecessor brokers who are involved in the operation of TradSEF have 

many years of experience in operating platforms and executing trades in these swaps.

o Markit® ABX (Broad-Based): The ABX Indexes are not readily susceptible to manipulation. Swaps 

indexed to the ABX Index trade on multiple SEFs. ABX is a broad index containing a basket of subprime 

mortgage-backed securities. The development and management of the ABX Index is rules-based, 

therefore making it difficult for individuals or entities to change selection practices for purposes of 

manipulation.

o Markit® CDX.NA.HY: The HY Indexes is not readily susceptible to manipulation. Swaps indexed to the 

CDX Index trade on multiple SEFs. It is a broad index, containing 100 entities. All of the entities have 

equal or approximately equal weightings. No entity disproportionately dominates the weighting of the 

index. The IHY Index is a highly liquid index as it is comprised of the 100 most liquid North American 

corporate, municipal and sovereign debt bonds and/or loans. The development and management of the 

HY Index is rules-based, therefore making it difficult for individuals or entities to change selection 

practices for purposes of manipulation.

o Markit® CMBX Indices: The CMBX Indexes is not readily susceptible to manipulation. Swaps indexed to 

the CMBX Index trade on multiple SEFs.The CMBX index is a synthetic tradable index referencing a 

basket of 25 commercial mortgage-backed securities. Objective, rules based approach to index 

composition and publicly available closing prices provide price transparency. The development and 

management of the CMBX Index is rules-based, therefore making it difficult for individuals or entities to 

change selection practices for purposes of manipulation.

o Markit® LCDX Indices: The LCDX Indexes is not readily susceptible to manipulation. Swaps indexed to 

the LCDX Index trade on multiple SEFs. LCDX indexes are synthetic tradable indexes referencing 100 

loan-only CDS contracts whose protection is bought and sold on syndicated secured leveraged loans. . 

All names in the LCDX indices must also be on the syndicated secured list published by Markit® group. 

The development and management of the LCDX Index is rules-based, therefore making it difficult for 

individuals or entities to change selection practices for purposes of manipulation.

o Markit® MCDX Indices: The MCDX Indexes is not readily susceptible to manipulation. Swaps indexed to 

the MCDX Index trade on multiple SEFs. MCDX index is a credit index compromised of 50 CDS contracts 

referencing the municipal issuers. The reference obligations are uninsured to represent the 

unencumbered credit quality of investment grade liquid underlying names. The composition of the index is

determined by dealer polls. Daily pricing is posted on Markit’s website. The development and 
management of the MCDX Index is rules-based, therefore making it difficult for individuals or entities to 

change selection practices for purposes of manipulation.

o Markit® PRIMEX Indexes: The PrimeX Indexes is not readily susceptible to manipulation. Swaps 

indexed to the PrimeX Index trade on multiple SEFs. PrimeX index is a synthetic CDS index referencing 

non-Agency prime Residential Mortgage Backed Securities (RMBS). Daily composite levels enable the 

market participants to track movements in prime RMBS market sentiment. No PrimeX index will be 

traded on the SEF once it has ceased to be a broad based index. The development and management of 

the PrimeX Index is rules-based, therefore making it difficult for individuals or entities to change selection 

practices for purposes of manipulation. 

o Markit® iTraxx Indices: The MCDX Indexes is not readily susceptible to manipulation. Swaps indexed to 

the MCDX Index trade on multiple SEFs. iTraxx indices are a family of European and Asian credit default 

swap indices. The rules-based Markit iTraxx indices comprise the most liquid names in the European, 

Asian, Middle Eastern and African markets. The selection methodology ensures that the indices are 

replicable and represent the most liquid, traded part of the market.

 The benchmark Markit® iTraxx Europe index comprises 125 equally-weighted European names. 

 iTraxx HiVol index consists of the 30 widest spread non-financial names and three sector indices 

are also published. The Markit® iTraxx Crossover index comprises the 50 most liquid subinvestment grade entities. Total Return indices are calculated and published hourly for Markit® 

iTraxx Europe, HiVol and Crossover. These indices measure the performance of the respective 

on-the-run Markit® iTraxx CDS contracts. Markit® calculates the official mid-day and end of-day 

levels for Markit® iTraxx Europe suite of indices on a daily basis. 

 Asia-Pacific Markit® iTraxx indices include the investment-grade Markit® iTraxx Asia ex-Japan 

index with 40 equally-weighted Asian entities, the high-yield Markit® iTraxx Asia ex-Japan HY 

index, a Markit® iTraxx Australia index with 25 equally-weighted Australian entities and a Markit® 

iTraxx Japan index with 50 equally-weighted Japanese entities. The Markit® iTraxx CEEMEA 

index is composed of 25 equally weighted corporate and quasi-sovereign entities from Central & 

Eastern European, Middle Eastern and African countries. Markit® calculates the official end-ofday levels for Markit® iTraxx Asia Pacific suite of indices on a daily basis.

o The development and management of the iTraxx Indexes is rules-based, therefore making it difficult for 

individuals or entities to change selection practices for purposes of manipulation.

o Markit® iBoxx HY Euro (€), USD ($) or Sterling (£) Indices: The iBoxx HY Indexes are not readily 

susceptible to manipulation. Swaps indexed to the iBoxx HY Index trade on multiple SEFs. The iBoxx HY 

€, $ or £ indexes include a broad set of high-yield bonds, Floating Rate Notes, PIK and hybrids, 

replicating the composition of a HY portfolio. Included bonds must have a minimum outstanding supply of 

$250m, 12 months to maturity, originate from an Investment Grade country, and be rated sub investment 

grade. The Total Return Swap format underlying bonds are weighted by market capitalisation and capped 

at 3% of index composition. The iBoxx daily collects prices from leading investment banks working as 

market makers, resulting in the index tracking a market levels. The development and management of the 

iBoxx Indexes is rules-based, therefore making it difficult for individuals or entities to change selection 

practices for purposes of manipulation.

o Markit® iBoxx USD Liquid Leveraged Loan Index: The Markit® iBoxx USD Liquid Leveraged Loan 

Index (iBoxx LLI) is not readily susceptible to manipulation. Swaps indexed to the iBoxx LLI trade on 

multiple SEFs, and the iBoxx LLI is used as a benchmark for leveraged loan exchange traded funds, 

privately managed leveraged loan funds and other derivative products. The iBoxx LLI offers transparent 

methodology and draws from comprehensive, sophisticated loan datasets within Markit to create a 

benchmark to measure the performance of 100 most liquid loans. To provide up-to-date performance 

information, the iBoxx LLI levels are calculated by incorporating both independent market data from 

Markit Loan Pricing and the latest loan reference and transaction information from Markit WSOData. 

Constituents in the Boxx LLI are determined by observable liquidity metrics calculated by Markit Loans 

Liquidity, the only commercial service measuring liquidity of leveraged loans. Proper representation of the 

liquid loan market is ensured by the minimum size requirements, sophisticated liquidity measures and 

weighting caps built into the index methodology. Multi-contributor pricing means that each loan in the 

index is objectively valued. The development and management of the iBoxx Indexes is rules-based, 
therefore making it difficult for individuals or entities to change selection practices for purposes of 

manipulation.

o

2. Discussion of Index Reference Prices

Markit® ABX Indices: 

Markit® ABX.HE indexes are synthetic tradable indexes referencing a basket of 20 subprime mortgage-backed securities. 

Markit® ABX helps market participants assess the performance of subprime Residential Mortgage Backed Securities 

(RMBS). Its liquidity and standardization enable investors to accurately gauge market sentiment around the asset class. 

Markit® ABX.HE takes an objective, rules-based approach to index construction and public availability of daily closing 

prices. Standardized selection of reference obligations, contract documentation and availability of payments amounts, with 

monthly calculation and posting. No ABX index will be traded on the SEF once it has ceased to be a broad based index. 

Markit® CDX Indices:

Markit® CDX Indexes: Markit® CDX indexes are a family of tradable CDS indexes covering North America and emerging 

markets. Markit® selection methodology ensures that the indexes represent the most liquid segment of the market. The 

high liquidity and transparency provided by the indexes make it possible to trade credit index tranches, options and firstto-default baskets. Markit® CDX indexes cover multiple sectors, with the main indexes being Markit® CDX North 

American Investment Grade, Markit® CDX North American Investment Grade High Volatility, Markit® CDX North 

American HY (High Yield) is based on one hundred (100) most liquid North American corporate, municipal and sovereign 

debt bonds and/or loans, with credit ratings below “BBB-” or “Baa3.”

The HY Index is based on comprehensive, well established and transparent rules that outline, among other things, the 

selection of index constituents (“Reference Entities”) and the removal / addition of entities to the index. The HY Index is 

widely accepted by market participants as a reliable index.1, Markit® CDX North American High Yield High Beta, Markit® 

CDX Emerging Markets and Markit® CDX Emerging Markets Diversified.

Markit® CMBX Indices: Markit® CMBX index is a synthetic tradable index referencing a basket of 25 commercial 

mortgage-backed securities. This index provides insight into the performance of the CMBS market. Daily composite levels

and the index liquidity and standardization allows investors to accurately gauge the market sentiment around CMBS and 

take long or short positions accordingly. Objective, rules based approach to index composition and publicly available 

closing prices provide transparency. 

Markit® LCDX Indices:

Markit® LCDX indexes are synthetic tradable indexes referencing 100 loan-only CDS contracts whose protection is 

bought and sold on syndicated secured leveraged loans. These loans are higher in the capital structure and typically have 

higher recovery rates. The loans referenced must be 1st lien. All names in the LCDX indices must also be on the 

syndicated secured list published by Markit® group. There is wide industry and dealer support allowing for significant 

liquidity. The index characteristics are all standard and publicly available pricing allows for transparency. 

Markit® MCDX Indices:

Markit® MCDX index is a credit index compromised of 50 CDS contracts referencing the municipal issuers as the 

reference entity, excludes Tobacco and Healthcare issues. The reference obligations will be uninsured to represent the 

unencumbered credit quality of the underlying name. However in case of default there is no restriction as to the insured 

nature of the bond (although an insured bond won’t be the cheapest to deliver) 

The initial focus is on investment grade liquid names. The index will roll semi-annually on April 3rd and October 3rd. The 

composition of the index will be determined by dealer polls. The contracts will be 3,5, and 10 years in duration. Daily 

pricing will be posted on Markit’s website. 

Markit® PRIMEX Indices:

Markit® PrimeX index is a synthetic CDS index referencing non-Agency prime RMBS. It allows investors to take positions 

in prime RMBS CDS contracts. Its liquidity and standardization allow investors to accurately gauge market sentiment 

around the asset class. Index cash-flow calculations and operational functions mirror the frame work of the Markit® ABX 

index. Daily composite levels enable the market participants to track movements in prime RMBS market sentiment. No 

PrimeX index will be traded on the SEF once it has ceased to be a broad based index. 

Markit® iTraxx Indices: 
Markit® iTraxx indices are a family of European and Asian tradable credit default swap indices. The rules-based Markit 

iTraxx indices comprise the most liquid names in the European, Asian, Middle Eastern and African markets. The selection 

methodology ensures that the indices are replicable and represent the most liquid, traded part of the market.

The European Markit® iTraxx indices trade 3, 5, 7 and 10-year maturities, and a new series is determined on the basis of 

liquidity every six months. The benchmark Markit® iTraxx Europe index comprises 125 equally-weighted European 

names. A HiVol index consisting of the 30 widest spread non-financial names and three sector indices are also published. 

The Markit® iTraxx Crossover index comprises the 50 most liquid sub-investment grade entities. Total Return indices are 

calculated and published hourly for Markit® iTraxx Europe, HiVol and Crossover. These indices measure the 

performance of the respective on-the-run Markit® iTraxx CDS contracts. Markit® calculates the official mid-day and end 

of-day levels for Markit® iTraxx Europe suite of indices on a daily basis. 

The Asia-Pacific Markit® iTraxx indices typically trade on a 5-year maturity, with a new series determined in the basis of 

liquidity every six months. Our suite of Asia-Pacific Markit® iTraxx indices include the investment-grade Markit® iTraxx 

Asia ex-Japan IG index with 40 equally-weighted Asian entities, the high-yield Markit® iTraxx Asia ex-Japan HY index, a 

Markit® iTraxx Australia index with 25 equally-weighted Australian entities and a Markit® iTraxx Japan index with 50 

equally-weighted Japanese entities. Also part of the iTraxx family is the Markit® iTraxx CEEMEA index, which is a 

tradable index, composed of 25 equally weighted corporate and quasi-sovereign entities from Central & Eastern 

European, Middle Eastern and African countries. Markit® calculates the official end-of-day levels for Markit® iTraxx Asia 

Pacific suite of indices on a daily basis. 

The ability to trade large sizes quickly and electronically confirm all trades along with wide dealer and industry support 

allows for significant liquidity in all market conditions. 

Markit® iBoxx HY €, $ or £ Indices:

The iBoxx HY €, $ or £ indexes include a broad set of high-yield bonds, FRNs, PIK and hybrids, thus replicating the 

composition of a HY investor’s portfolio. The included bonds need to have a minimum outstanding of 250m, 12 months to 

maturity, originate from an Investment Grade country, and be rated sub investment grade to be of eligible type. In the 

most commonly trading Total Return Swap format the underlying bonds are weighted by market capitalisation and capped 

at 3% of index composition. iBoxx allows investors to express a view on the high yield credit market in a more simple, 

transparent and efficient manner than trading large quantities of individual bonds. The index offers a more accurate hedge

and asset allocation tool given that it efficiently tracks the HY bond universe. The index excludes: structured notes, indexlinked bonds, convertibles, private placements and bonds with redemption linked to an entity other than the issuer. 

The iBoxx can be used to gain beta exposure, exposure to €, $ or £ cash market without the expertise in the individual 

names space. It can also be used to gain market exposure in times when liquidity is thin in individual names. 

Markit® CDS indexes roll semi-annually, in March and September. Credit events that trigger settlement for individual 

components are bankruptcy and failure to pay, and credit events are settled via auctions. Pricing is freely available daily 

on all indexes, and all index characteristics standardized and documented.

Markit® iBoxx USD Liquid Leveraged Loan Index

The iBoxx LLI provides a daily barometer of the performance of the most liquid dollar-denominated leveraged loans. It is a 

rules-based gauge of the performance of 100 most liquid loans and is used as a benchmark for derivative products and 

exchange traded funds. The iBoxx LLI offers transparent methodology and draws from comprehensive, sophisticated loan 

datasets within Markit to create a benchmark. To provide up-to-date performance information, the Markit Liquid LLI levels 

are calculated by incorporating both independent market data from Markit Loan Pricing and the latest loan reference and 

transaction information from Markit WSOData. Constituents in the Markit Liquid LLI are determined by observable liquidity 

metrics calculated by Markit Loans Liquidity, the only commercial service measuring liquidity of leveraged loans. Daily 

valuation of the index incorporates up-to-date referential and transaction data. Proper representation of the liquid loan 

market is ensured by minimum size requirements, sophisticated liquidity measures and weighting caps built into the index 

methodology. Multi-contributor pricing means that each loan in the index is objectively valued.

3. Available swaps subject to the trade execution requirement, effective February 26, 2014:
Specification Untranched Credit Default Swap Indexes

Reference Entities Corporate Corporate

Region North America Europe

Indexes CDX.NA.IG

CDX.NA.HY

iTraxx Europe

iTraxx Europe Crossover

Tenor CDX.NA.IG 5Y

CDX.NA.HY 5Y

iTraxx Europe 5Y

iTraxx Europe Crossover 5Y

Applicable Series At any time, the then-current series and the preceding series 

that was replaced by the current one.

4.a) Swaps required to be cleared by derivative clearing houses beginning March 11, 2013

Index Series Maturity Required

Clearing 

House

Markit® CDX.NA.IG 8-22 3,5,7,10 YES ICE, CME

Markit® CDX.NA.HY 12-22 5 YES ICE, CME

Markit® iTraxx Europe Main 7-21 5, 10 YES ICE, CME, LCH

Markit® iTraxx Europe Crossover 11-21 5 YES ICE, CME, LCH

Markit® iTraxx HiVol 11-20 5 YES ICE, CME, LCH

4.b) Uncleared Swaps:

Uncleared SWAPS Series Maturity Required Clearing 

House

Markit® iBoxx HY €, $ or £ Indices TRS Indexes N/A 3m to 3y NO

Markit® iBoxx USD Liquid Leveraged Loans Index N/A 3m to 3y NO

Markit® ABX.HE all N/A NO

Markit® CDX.NA.IG 7-Jan 5Y NO

Markit® CDX.NA.HY 7-Jan 5Y NO

Markit® CDX.NA.IG.HIVOL all 5Y NO

Markit® CDX.EM all 5Y NO

Markit® CDX® North American Investment Grade Index Tranche all 3,5,7,10 NO

Markit® CDX® North American High Yield Index Tranche all 3,5,7,10 NO

Markit® CDX® North American Investment Grade Index Option all N/A NO

Markit® CDX® North American High Yield Index Option all N/A NO

Markit® CMBX all N/A NO

Markit® LCDX all 3,5 NO

Markit® LCDX Tranche all 3,5 NO

Markit® MCDX all 3,5,10 NO

Markit® PRIMEX all N/A NO

Markit® iTraxx European Non Financials Index all 5,10 NO
Markit® iTraxx European Senior Financials Index all 5,10 NO

Markit® iTraxx European Main Option all NA NO

Markit® iTraxx Crossover Index Option all NA NO

Markit® iTraxx Senior Financials Index Option all NA NO

Markit® iTraxx Europe Main Index Tranche all 5,10 NO

Markit® iTraxx Asia Ex Japan IG 21-Aug 5 NO

Markit® iTraxx Asia Ex Japan HY 16-Aug 5 NO

Markit® iTraxx Japan 21-Feb 5 NO

Markit® iTraxx Australia 21-Mar 5 NO

Appendix B

TRADITION Contract Specifications: 

Markit® ABX.HE

Contract Minimum Notional as agreed by counterparties

Contract Minimum Notional Increment as agreed by counterparties
Currency USD

Contract Description: Markit® ABX indexes are synthetic tradable indexes referencing a basket of 20 subprime 

mortgage-backed securities as published by Markit® from time to time

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

Price Quotation Price

Minimum Price Fluctuation as agreed by the counterparties

Annex Date: As specified for the applicable Index on the list of Available ABX Indices.

Fixed Rate: A number of basis points equal to the “Applicable Coupon” as specified for the applicable Index on the 

Relevant Annex. 

Initial Payment Amount: As specified by the parties. Notwithstanding anything to the contrary contained in the ABX 

Standard Terms, the Initial Payment Amount shall be paid by the Initial Payment Payer on the date that is three Business 

Days following the Trade Date, unless otherwise specified by the parties.

Series All Series, initiated with series 1

First Trade Date Date of contract listing

Last Trade Date (Maturity Date) Final date on which the obligations no longer accrue and the final payment occurs

Final Settlement Date Last Trade Date

Markit® CDX.NA.IG

Contract Minimum Notional as agreed by the counterparties

Contract Minimum Notional Increment as agreed by the counterparties

Contract Description One hundred twenty five (125) of the most liquid North American entities with investment grade 

credit ratings as published by Markit® from time to time

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

Price Quotation Basis points

Currency USD

Minimum Price Fluctuation as agreed by the counterparties 

Listing Cycle Tenors of 1 through 10 Years

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 Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 with a roll date of March 20 shall have a maturity date of June 20 (or the first Business 

Day thereafter if June 20 is not a Business Day)

Final Settlement (cleared contracts) 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.

Final Settlement Date Last Trade Date

Markit® CDX.NA.IG.HIVOL

Contract Minimum Notional as agreed by the counterparties

Contract Minimum Notional Increment as agreed by the counterparties

Contract Description Thirty (30) entities in the IG Index with the widest 5-year Average CDS Spreads over the last 90 

days prior to the HVol index composition as published by Markit® from time to time

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

Price Quotation Basis points

Currency USD

Minimum Price Fluctuation as agreed by the 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 Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 June 20 is not a Business Day) occurring up to 10 years following the Roll Date.

Final Settlement (cleared contracts) 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

Final Settlement Date Last Trade Date
Markit® CDX.NA.HY

Contract Minimum Notional as agreed by counterparties

Contract Minimum Notional Increment as agreed by counterparties

Currency USD

Contract Description One hundred (100) liquid North American entities with high yield credit ratings as published by 

Markit® from time to time

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

Price Quotation Can be quoted in Price or spread

Currency USD

Minimum Price Fluctuation as agreed by the counterparties 

Listing Cycle Tenors of 1 through 10 Years based on liquidity

Series All Series, initiated with series 1

Roll Date September 27 (or the Business Day immediately thereafter) and March 27 (or the Business Day immediately 

thereafter) of each calendar year

First Trade Date Date of contract listing

Last Trade Date (Maturity Date) Each index series with a Roll Date of September 27 shall have a maturity date of 

December 27 (or the first Business Day thereafter if December 27 is not a Business Day) occurring up to 10 years 

following the Roll Date. Each index series with a Roll Date of March 27 shall have a maturity date of June 27 (or the first 

Business Day thereafter if June 27 is not a Business Day) occurring up to 10 years following the Roll Date.

Final Settlement (cleared contracts) 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

Final Settlement Date Last Trade Date

Markit® CDX.EM

Contract Minimum Notional as agreed by counterparties

Contract Minimum Notional Increment as agreed by counterparties

Contract Description Sovereign issuers from Latin America, Eastern Europe, the Middle East, Africa and Asia as 

published by Markit® from time to time

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

Price Quotation Can be quoted as price or spread

Currency USD

Minimum Price Fluctuation as agreed by the 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 Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 June 20 is not a Business Day) occurring up to 10 years following the Roll Date.

Final Settlement Date Last Trade Date

Markit® CDX® North American Investment Grade Index Tranche

Contract Minimum Notional as agreed by counterparties 

Contract Minimum Notional Increment as agreed by counterparties

Contract Description One hundred twenty five (125) of the most liquid North American entities with investment grade 

credit ratings as published by Markit® from time to time

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

Price Quotation Basis points, or points upfront depending upon the contract

Currency USD

Minimum Price Fluctuation as agreed by counterparties 

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 Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 June 20 is not a Business Day) occurring up to 10 years following the Roll Date.

Final Settlement (cleared contracts) 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

Final Settlement Date Last Trade Date

Markit® CDX® North American High Yield Index Tranche

Contract Minimum Notional as agreed by counterparties 

Contract Minimum Notional Increment as agreed by counterparties

Contract Description One hundred (100) liquid North American entities with high yield credit ratings as published by 

Markit® from time to time

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

Price Quotation Price of basis points depending on the contract

Currency USD

Minimum Price Fluctuation as agreed by counterparties

Attachment and Detachment Points as agreed by counterparties

Listing Cycle Tenors of 1 through 7 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 Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 June 20 is not a Business Day) occurring up to 10 years following the Roll Date.

Final Settlement (cleared contracts) 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 

Final Settlement Date Last Trade Date

Markit® CDX® North American Investment Grade Index Option

Contract Minimum Notional as agreed by counterparties 

Contract Minimum Notional Increment as agreed by counterparties

Contract Description an agreement to buy or sell the right to enter into a swap on the Markit® CDX North American 

Investment Grade Index at a predetermined level as agreed by the buyer and seller.

Contract Months Any calendar month beginning with January through December

Price Quotation Option Premium is quoted in cents

Currency USD

Minimum Price Fluctuation as agreed by counterparties

Listing Cycle Tenors of 1month through 10 Years based on liquidity

Series All Series, initiated with series 1

First Trade Date Date of contract listing

Last Trade Date (Maturity Date) The 3rd Wednesday of the contract month, cannot be longer in duration than the last 

trade date of the referenced index

Option Style European, exercisable manually on the last trade date

Markit® CDX® North American High Yield Index Option

Contract Minimum Notional as agreed upon by counterparties 

Contract Minimum Notional Increment as agreed upon by counterparties

Contract Description an agreement to buy or sell the right to enter into a swap on the Markit® CDX North American High 

Yield Index at a predetermined level as agreed by the buyer and seller.

Contract Months Any calendar month beginning with January through December

Price Quotation Option Premium is quoted in cents

Currency USD

Minimum Price Fluctuation as agreed upon by counterparties

Listing Cycle Tenors of 1month through 10 Years based on liquidity

Series All Series, initiated with series 1

First Trade Date Date of contract listing

Last Trade Date (Maturity Date) The 3rd Wednesday of the contract month, cannot be longer in duration than the last 

trade date of the referenced index

Option Style European, exercisable manually on the last trade date
Markit® CMBX

Contract Minimum Notional as agreed by counterparties

Contract Minimum Notional Increment as agreed by counterparties

Currency USD

Contract Description: Markit® CMBX indexes are synthetic tradable indexes referencing a basket of 25 commercial 

mortgage-backed securities.

Contract Months April and October; one or two months listed at all times

Price Quotation Index Points

Minimum Price Fluctuation as agreed by the counterparties

Annex Date: As specified for the applicable Index on the list of Available CMBX Indices.

Fixed Rate: A number of basis points equal to the “Applicable Coupon” as specified for the applicable Index on the 

Relevant Annex. 

Initial Payment Amount: As specified by the parties. Notwithstanding anything to the contrary contained in the CMBX 

Standard Terms, the Initial Payment Amount shall be paid by the Initial Payment Payer on the date that is three Business 

Days following the Trade Date, unless otherwise specified by the parties.

Series All Series, initiated with series 1

First Trade Date Date of contract listing

Last Trade Date (Maturity Date) Final date on which the obligations no longer accrue and the final payment occurs.

Final Settlement Date Last Trade Date

Markit® LCDX

Contract Minimum Notional as agreed by counterparties

Contract Minimum Notional Increment as agreed by counterparties

Contract Description index referencing 100 first lien loan CDS

Contract Months April and October; one or two months listed at all times.

Price Quotation Can be quoted as price or spread

Currency USD

Minimum Price Fluctuation as agreed by the counterparties

Listing Cycle Tenors of 1 through 10 Years based on liquidity 

Series All Series, initiated with series 1

Roll Date April 3 (or the Business Day immediately thereafter) and October 3 (or the Business Day immediately 

thereafter) of each calendar year

First Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 June 20 is not a Business Day) occurring up to 10 years following the Roll Date.

Final Settlement (cleared contracts) 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

Final Settlement Date Last Trade Date

Markit® MCDX

Contract Minimum Notional as agreed by counterparties

Contract Minimum Notional Increment as agreed by counterparties

Contract Description index referencing 50 single name municipal cds contracts

Contract Months April and October; one or two months listed at all times.

Price Quotation Can be quoted as price or spread

Currency USD

Minimum Price Fluctuation as agreed by the counterparties

Listing Cycle Tenors of 1 through 10 Years based on liquidity 

Series All Series, initiated with series 1

Roll Date April 3 (or the Business Day immediately thereafter) and October 3 (or the Business Day immediately 

thereafter) of each calendar year

First Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 June 20 is not a Business Day) occurring up to 10 years following the Roll Date.

Final Settlement (cleared contracts) 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

Final Settlement Date Last Trade Date
Markit® PRIMEX

Contract Minimum Notional as agreed by counterparties

Contract Minimum Notional Increment as agreed by counterparties

Currency USD

Contract Description: Markit® PRIMEX indexes are synthetic tradable indexes referencing a basket prime mortgagebacked securities as published by Markit® from time to time

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

Price Quotation Index Points

Minimum Price Fluctuation as agreed by the counterparties

Annex Date: As specified for the applicable Index on the list of Available PRIMEX Indices.

Fixed Rate: A number of basis points equal to the “Applicable Coupon” as specified for the applicable Index on the 

Relevant Annex. 

Initial Payment Amount: As specified by the parties. Notwithstanding anything to the contrary contained in the Primex 

Standard Terms, the Initial Payment Amount shall be paid by the Initial Payment Payer on the date that is three Business 

Days following the Trade Date, unless otherwise specified by the parties.

Series All Series, initiated with series 1

First Trade Date Date of contract listing

Last Trade Date (Maturity Date) Final date on which the obligations no longer accrue and the final payment occurs.

Final Settlement Date Last Trade Date

Markit® iTraxx Europe Main

Contract Minimum Notional as agreed by the counterparties

Contract Minimum Notional Increment as agreed by the counterparties

Contract 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

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

Price Quotation Basis points

Currency EUR

Minimum Price Fluctuation as agreed by the counterparties

Listing Cycle Tenors of 1 through 10 Years

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 Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 with a roll date of March 20 shall have a maturity date of June 20 (or the first Business

Day thereafter if June 20 is not a Business Day)

Final Settlement (cleared contracts) 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.

Final Settlement Date Last Trade Date

Markit® iTraxx Crossover

Contract Minimum Notional as agreed by the counterparties

Contract Minimum Notional Increment as agreed by the counterparties

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

from time to time

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

Price Quotation Basis points

Currency EUR

Minimum Price Fluctuation as agreed by the counterparties

Listing Cycle Tenors of 1 through 10 Years

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 Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 with a roll date of March 20 shall have a maturity date of June 20 (or the first Business 

Day thereafter if June 20 is not a Business Day)
Final Settlement (cleared contracts) 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.

Final Settlement Date Last Trade Date

Markit® iTraxx HiVol

Contract Minimum Notional as agreed by the counterparties

Contract Minimum Notional Increment as agreed by the counterparties

Contract Description Thirty (30) entities with the widest 5yr CDS spread from the Markit® Itraxx Europe Non Financials 

Index

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

Price Quotation Basis points

Currency EUR

Minimum Price Fluctuation as agreed by the counterparties

Listing Cycle Tenors of 1 through 10 Years

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 Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 with a roll date of March 20 shall have a maturity date of June 20 (or the first Business

Day thereafter if June 20 is not a Business Day)

Final Settlement (cleared contracts) 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.

Final Settlement Date Last Trade Date

Markit® iTraxx European Senior Financials Index

Contract Minimum Notional as agreed by the counterparties

Contract Minimum Notional Increment as agreed by the counterparties

Contract Description Twenty five (25) financial entities from Markit® iTraxx Europe Index referencing senior debt as 

published by Markit® from time to time.

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

Price Quotation Basis points

Currency EUR

Minimum Price Fluctuation as agreed by the counterparties

Listing Cycle Tenors of 1 through 10 Years

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 Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 with a roll date of March 20 shall have a maturity date of June 20 (or the first Business 

Day thereafter if June 20 is not a Business Day)

Final Settlement (cleared contracts) 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.

Final Settlement Date Last Trade Date

Markit® iTraxx European Non Financials Index

Contract Minimum Notional as agreed by the counterparties

Contract Minimum Notional Increment as agreed by the counterparties

Contract Description One Hundered (100) financial entities from Markit® iTraxx Europe Index referencing subordinated 

debt as published by Markit® from time to time.

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

Price Quotation Basis points

Currency EUR

Minimum Price Fluctuation as agreed by the counterparties

Listing Cycle Tenors of 1 through 10 Years

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 Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 with a roll date of March 20 shall have a maturity date of June 20 (or the first Business 

Day thereafter if June 20 is not a Business Day)

Final Settlement (cleared contracts) 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.

Final Settlement Date Last Trade Date

Markit® iTraxx European Main Option

Contract Minimum Notional as agreed by counterparties 

Contract Minimum Notional Increment as agreed by counterparties

Contract Description an agreement to buy or sell the right to enter into a swap on the Markit® iTraxx European Main 

Index at a predetermined level as agreed by the buyer and seller.

Contract Months Any calendar month beginning with January through December

Price Quotation Option Premium is quoted in cents

Currency EUR

Minimum Price Fluctuation as agreed by counterparties

Listing Cycle Tenors of 1month through 10 Years based on liquidity

Series All Series, initiated with series 1

First Trade Date Date of contract listing

Last Trade Date (Maturity Date) The 3

rd Wednesday of the contract month, cannot be longer in duration than the last 

trade date of the referenced index

Option Style European, exercisable manually on the last trade date

Markit® iTraxx Crossover Index Option

Contract Minimum Notional as agreed by counterparties 

Contract Minimum Notional Increment as agreed by counterparties

Contract Description an agreement to buy or sell the right to enter into a swap on the Markit® iTraxx Crossover Index at 

a predetermined level as agreed by the buyer and seller. 

Contract Months Any calendar month beginning with January through December

Price Quotation Option Premium is quoted in cents

Currency EUR

Minimum Price Fluctuation as agreed by counterparties

Listing Cycle Tenors of 1month through 10 Years based on liquidity

Series All Series, initiated with series 1

First Trade Date Date of contract listing

Last Trade Date (Maturity Date) The 3rd Wednesday of the contract month, cannot be longer in duration than the last 

trade date of the referenced index

Option Style European, exercisable manually on the last trade date

Markit® iTraxx Senior Financials Index Option

Contract Minimum Notional as agreed by counterparties 

Contract Minimum Notional Increment as agreed by counterparties

Contract Description an agreement to buy or sell the right to enter into a swap on the Markit® iTraxx Senior Financials 

Index at a predetermined level as agreed by the buyer and seller. 

Contract Months Any calendar month beginning with January through December

Price Quotation Option Premium is quoted in cents

Currency EUR

Minimum Price Fluctuation as agreed upon by counterparties

Listing Cycle Tenors of 1month through 10 Years based on liquidity

Series All Series, initiated with series 1

First Trade Date Date of contract listing

Last Trade Date (Maturity Date) The 3rd Wednesday of the contract month, cannot be longer in duration than the last 

trade date of the referenced index

Option Style European, exercisable manually on the last trade date

Markit® iTraxx Europe Main Index Tranche

Contract Minimum Notional as agreed by counterparties 

Contract Minimum Notional Increment as agreed by counterparties
Contract 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

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

Price Quotation Price of basis points depending on the contract

Currency EUR

Minimum Price Fluctuation as agreed by counterparties

Attachment and Detachment Points as agreed by counterparties

Listing Cycle Tenors of 1 through 7 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 Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 June 20 is not a Business Day) occurring up to 10 years following the Roll Date.

Final Settlement (cleared contracts) 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 

Final Settlement Date Last Trade Date

Markit® iTraxx Asia Ex-Japan IG

Contract Minimum Notional as agreed by the counterparties

Contract Minimum Notional Increment as agreed by the counterparties

Contract Description Fifty (50) of the most liquid Asian entities with investment grade credit ratings as published by 

Markit® from time to time, excluding entities domiciled in Japan

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

Price Quotation Basis points

Currency USD

Minimum Price Fluctuation as agreed by the counterparties

Listing Cycle Tenors of 1 through 10 Years

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 Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 with a roll date of March 20 shall have a maturity date of June 20 (or the first Business 

Day thereafter if June 20 is not a Business Day)

Final Settlement (cleared contracts) 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.

Final Settlement Date Last Trade Date

Markit® iTraxx Asia Ex-Japan HY

Contract Minimum Notional as agreed by the counterparties

Contract Minimum Notional Increment as agreed by the counterparties

Contract Description Twenty (20) of the most liquid Asian high-yield entities as published by Markit® from time to time, 

excluding entities domiciled in Japan 

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

Price Quotation Basis points

Currency USD

Minimum Price Fluctuation as agreed by the counterparties

Listing Cycle Tenors of 1 through 10 Years

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 Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 with a roll date of March 20 shall have a maturity date of June 20 (or the first Business

Day thereafter if June 20 is not a Business Day)
Final Settlement (cleared contracts) 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.

Final Settlement Date Last Trade Date

Markit® iTraxx Asia Japan

Contract Minimum Notional as agreed by the counterparties

Contract Minimum Notional Increment as agreed by the counterparties

Contract Description Fifty (50) of the most liquid Japanese entities with investment grade credit ratings as published by 

Markit® from time to time

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

Price Quotation Basis points

Currency USD

Minimum Price Fluctuation as agreed by the counterparties

Listing Cycle Tenors of 1 through 10 Years

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 Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 with a roll date of March 20 shall have a maturity date of June 20 (or the first Business 

Day thereafter if June 20 is not a Business Day)

Final Settlement (cleared contracts) 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.

Final Settlement Date Last Trade Date

Markit® iTraxx Asia Australia

Contract Minimum Notional as agreed by the counterparties

Contract Minimum Notional Increment as agreed by the counterparties

Contract Description Twenty Five (25) of the most liquid Australian entities with investment grade credit ratings as 

published by Markit® from time to time

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

Price Quotation Basis points

Currency USD

Minimum Price Fluctuation as agreed by the counterparties 

Listing Cycle Tenors of 1 through 10 Years

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 Trade Date Date of contract listing

Last Trade Date (Maturity Date) 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 with a roll date of March 20 shall have a maturity date of June 20 (or the first Business 

Day thereafter if June 20 is not a Business Day)

Final Settlement (cleared contracts) 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.

Final Settlement Date Last Trade Date

Markit® iBoxx TRS

These contract descriptions incorporate by reference the following industry standard documentation and standards: (a) 

prevailing ISDA Definitions (b) prevailing iBoxx Index Transaction Standard Terms Supplement (“iBoxx STS”).

Markit® iBoxx HY €, $ or £ Indices TRS

Contract Minimum Notional as agreed by the counterparties

Contract Minimum Notional Increment as agreed by the counterparties

Contract Description total return swap where the buyer is obligated to pay predetermined rate (fixed or variable) to the 

seller in exchange for the notional based return performance of one of the following Markit® iBoxx indices: USD Domestic 

Corporates, USD Liquid HY, EUR Corporates, EUR Liquid HY, GBP Corporates

Contract Months Any calendar month beginning with January through December

Price Quotation as agreed by the counterparties
Currency USD, EUR, GBP depending on the underlying index

Minimum Price Fluctuation as agreed by the counterparties 

First Trade Date Date of contract listing

Last Trade Date (Maturity Date) is the last trading day for a contract is the maturity date of that contract which is set by 

the counterparties at the time of trade

Final Settlement is calculated at the close of business on the maturity date and settled 3 business days later. The buyer 

receives index performance, if the index return is positive for that period. If the return is negative the seller receives

payment from the buyer in addition to the floating rate payment. 

Final Settlement Date Maturity Date + 3 business days 

Markit® iBoxx USD Liquid Leveraged Loans TRS

Contract Minimum Notional as agreed by the counterparties

Contract Minimum Notional Increment as agreed by the counterparties

Contract Description total return swap where the buyer is obligated to pay predetermined rate (fixed or variable) to the 

seller in exchange for the notional based return performance of one of the Markit® iBoxx USD Liquid Leveraged Loans 

Index.

Floating Rate Payer Period End Dates Each of March 20, June 20, September 20 and December 20, subject to 

adjustment in accordance with the Business Day Convention, except that (a) the initial Calculation Period will commence 

on, and include, the Effective Date and (b) the final Calculation Period will end on, and include, the Termination Date.

Total Return: If the index return for any Calculation Period is positive, the Index Seller will pay such return times the 

Notional Amount to the Index Buyer. If the index return is negative, the Index Buyer will pay the absolute value of this 

amount to Index Seller times the Notional Amount in addition to the Floating Rate Payment.

Contract Months As specified in the iBoxx STS, unless otherwise agreed by the parties.

Reset Dates As specified in the iBoxx STS, unless otherwise agreed by the parties.

Price Quotation as agreed by the counterparties

Currency The currency in which the Index is denominated.

Minimum Price Fluctuation as agreed by the counterparties 

First Trade Date Date of contract listing

Last Trade Date (Maturity Date) is the last trading day for a contract is the maturity date of that contract which is set by 

the counterparties at the time of trade

Final Settlement is calculated at the close of business on the maturity date and settled 3 business days later. The buyer 

receives index performance, if the index return is positive for that period. If the return is negative the seller receives 

payment from the buyer in addition to the floating rate payment. 

Final Settlement Date Maturity Date + 3 business days 

Index Restatement, Adjustment and Index Discontinuance Events As specified in the iBoxx STS, unless otherwise 

agreed by the parties.

*Mark-itTM, MarkitTM, CDXTM, LCDXTM, ABX, CMBX, MCDX, iTraxx®, and iBoxx® are trademarks of Markit® Group 

Limited.