ICE Eris CDX HY Credit (5 Year)

Cash Settled Futures contract with $100,000 notional principal whose value reflects the value of a basket of credit default protection on the entities in the index as published by Markit.
Eris CDX HY Credit (5 Year) Futures 	Eris CDX HY Credit (5 Year) Futures 	Eris CDX HY Credit (5 Year) Futures 	Eris CDX HY Credit (5 Year) Futures
Trading Screen Product Name 	Eris CDX HY 5Y 	Eris CDX HY 5Y 	Eris CDX HY 5Y
Trading Screen Hub Name 	IFUS - HY 	IFUS - HY 	IFUS - HY
Contract Symbol 	HY5 	HY5 	HY5
Underlying CDS Index 	Underlying CDS Index 5Y Markit CDX North American High Yield Index (CDX.NA.HY) 	Underlying CDS Index 5Y Markit CDX North American High Yield Index (CDX.NA.HY) 	Underlying CDS Index 5Y Markit CDX North American High Yield Index (CDX.NA.HY)
Fixed Rate 	500 basis points (annually) 	500 basis points (annually) 	500 basis points (annually)
Contract Size 	$1,000 x relevant Underlying CDS Index ($100,000 notional) 	$1,000 x relevant Underlying CDS Index ($100,000 notional) 	$1,000 x relevant Underlying CDS Index ($100,000 notional)
Quotation 	Index points 	Index points 	Index points
Minimum Quotation Price Fluctuation 	0.0100 index points equal to $10 per contract 	0.0100 index points equal to $10 per contract 	0.0100 index points equal to $10 per contract
Settlement Price Quotation 	0.0001 index points equal to $0.1 per contract 	0.0001 index points equal to $0.1 per contract 	0.0001 index points equal to $0.1 per contract
Minimum Settlement Price Fluctuation	0.0001 index points equal to $0.1 per contract 	0.0001 index points equal to $0.1 per contract 	0.0001 index points equal to $0.1 per contract
Contract Series 	New Contracts for every new Underlying CDS Index series will be listed on the First Trading Date. 	New Contracts for every new Underlying CDS Index series will be listed on the First Trading Date. 	New Contracts for every new Underlying CDS Index series will be listed on the First Trading Date.
Payment Dates 	Mar 20, June 20, Sept 20, and Dec 20 of each calendar year 	Mar 20, June 20, Sept 20, and Dec 20 of each calendar year 	Mar 20, June 20, Sept 20, and Dec 20 of each calendar year
Futures Conventions 	Day Count Convention: Actual/360
Currency: USD
Holiday Calendar(s): New York
Business Day Convention: Following with adjustment to period end dates for all Fixed Payment Dates except for Maturity Date. For the payment on the Maturity Date, Business Day Convention is Following, with no adjustment.	Day Count Convention: Actual/360
Currency: USD
Holiday Calendar(s): New York
Business Day Convention: Following with adjustment to period end dates for all Fixed Payment Dates except for Maturity Date. For the payment on the Maturity Date, Business Day Convention is Following, with no adjustment.	Day Count Convention: Actual/360
Currency: USD
Holiday Calendar(s): New York
Business Day Convention: Following with adjustment to period end dates for all Fixed Payment Dates except for Maturity Date. For the payment on the Maturity Date, Business Day Convention is Following, with no adjustment.
Trading Model 	Buy = Receive Premium = Long Credit Risk
Sell = Pay Premium = Short Credit Risk 	Buy = Receive Premium = Long Credit Risk
Sell = Pay Premium = Short Credit Risk 	Buy = Receive Premium = Long Credit Risk
Sell = Pay Premium = Short Credit Risk
First Trading Day 	March and September 27; subject to Business Day conventions. 	March and September 27; subject to Business Day conventions. 	March and September 27; subject to Business Day conventions.
First Accrual Date 	The first date from which Fixed Amounts accrue; March and Sept 20; subject to Business Day conventions. Quarterly Fixed Amounts accrue through the Calendar Day prior to the Fixed Payment Date. 	The first date from which Fixed Amounts accrue; March and Sept 20; subject to Business Day conventions. Quarterly Fixed Amounts accrue through the Calendar Day prior to the Fixed Payment Date. 	The first date from which Fixed Amounts accrue; March and Sept 20; subject to Business Day conventions. Quarterly Fixed Amounts accrue through the Calendar Day prior to the Fixed Payment Date.
Last Trading Day 	The Maturity Date. 	The Maturity Date. 	The Maturity Date.
Index Publication Date 	After 5 PM EST on the Business Day preceding the First Trading Date 	After 5 PM EST on the Business Day preceding the First Trading Date 	After 5 PM EST on the Business Day preceding the First Trading Date
Credit Event 	As determined and announced by ISDA. Credit Event determination will match the process that is used for credit default swaps. 	As determined and announced by ISDA. Credit Event determination will match the process that is used for credit default swaps. 	As determined and announced by ISDA. Credit Event determination will match the process that is used for credit default swaps.
Credit Event Amount 	Credit Event Amount determination will match the process that is used for credit default swaps. 	Credit Event Amount determination will match the process that is used for credit default swaps. 	Credit Event Amount determination will match the process that is used for credit default swaps.
Credit Event Auction Date 	As set by ISDA. The recovery amount for the defaulting entity is set at Auction Date. 	As set by ISDA. The recovery amount for the defaulting entity is set at Auction Date. 	As set by ISDA. The recovery amount for the defaulting entity is set at Auction Date.
Maturity Date 	Maturity Date of the Underlying CDS Index; June and Dec 20; subject to Business Day Conventions. 	Maturity Date of the Underlying CDS Index; June and Dec 20; subject to Business Day Conventions. 	Maturity Date of the Underlying CDS Index; June and Dec 20; subject to Business Day Conventions.
Clearing Price 	Each traded price is converted into a Clearing Price, which is expressed in Index Points and calculated for four decimal places using the following formula:
Clearing Price =At + Bt - Ct
At= 100 + ( TPt - 100) x IFt + AIt
Where TPt= The Traded Price;
AIt = The interest accrued from the most recent Fixed Payment Date to time t, multiplied by IFt, expressed in Index Points; and
IFt = The Index Factor at time t
Bt is the sum of all historical cash flows to time t, and
Ct is the Cumulative PAI† at time t.
The B and C components are calculated and applied by IFUS, and are not subject to negotiation by the counterparties.
† As calculated using the Eris Methodology™.	Each traded price is converted into a Clearing Price, which is expressed in Index Points and calculated for four decimal places using the following formula:
Clearing Price =At + Bt - Ct
At= 100 + ( TPt - 100) x IFt + AIt
Where TPt= The Traded Price;
AIt = The interest accrued from the most recent Fixed Payment Date to time t, multiplied by IFt, expressed in Index Points; and
IFt = The Index Factor at time t
Bt is the sum of all historical cash flows to time t, and
Ct is the Cumulative PAI† at time t.
The B and C components are calculated and applied by IFUS, and are not subject to negotiation by the counterparties.
† As calculated using the Eris Methodology™.	Each traded price is converted into a Clearing Price, which is expressed in Index Points and calculated for four decimal places using the following formula:
Clearing Price =At + Bt - Ct
At= 100 + ( TPt - 100) x IFt + AIt
Where TPt= The Traded Price;
AIt = The interest accrued from the most recent Fixed Payment Date to time t, multiplied by IFt, expressed in Index Points; and
IFt = The Index Factor at time t
Bt is the sum of all historical cash flows to time t, and
Ct is the Cumulative PAI† at time t.
The B and C components are calculated and applied by IFUS, and are not subject to negotiation by the counterparties.
† As calculated using the Eris Methodology™.
Daily Settlement Price Quotation 	Daily Settlement Price at time t = At + Bt - Ct , where:
All values below are in the Quoting Convention;
At = 100 + (SPt -100) X IFt+ Alt
+ Al Where SPt = the ICE Clear Credit daily settlement price for the ICE Clear Credit cleared swap on the related Index Series, expressed in Index Points;
AIt = the interest accrued from the most recent Fixed Payment Date to time t, multiplied by IFt, expressed in Index Points; and
IFt = the Index Factor at time t
Bt = sum of historical cash flows;
Ct = the Cumulative PAI† at time t.	Daily Settlement Price at time t = At + Bt - Ct , where:
All values below are in the Quoting Convention;
At = 100 + (SPt -100) X IFt+ Alt
+ Al Where SPt = the ICE Clear Credit daily settlement price for the ICE Clear Credit cleared swap on the related Index Series, expressed in Index Points;
AIt = the interest accrued from the most recent Fixed Payment Date to time t, multiplied by IFt, expressed in Index Points; and
IFt = the Index Factor at time t
Bt = sum of historical cash flows;
Ct = the Cumulative PAI† at time t.	Daily Settlement Price at time t = At + Bt - Ct , where:
All values below are in the Quoting Convention;
At = 100 + (SPt -100) X IFt+ Alt
+ Al Where SPt = the ICE Clear Credit daily settlement price for the ICE Clear Credit cleared swap on the related Index Series, expressed in Index Points;
AIt = the interest accrued from the most recent Fixed Payment Date to time t, multiplied by IFt, expressed in Index Points; and
IFt = the Index Factor at time t
Bt = sum of historical cash flows;
Ct = the Cumulative PAI† at time t.
Final Settlement Price Quotation 	Final Settlement Price = 100 + Bfinal – Cfinal, where:
All values below are in the Quoting Convention;
Bfinal = Sum of historical cash flows from the First Trade Date through the Maturity Date;
Cfinal = Cumulative PAI† on the Maturity Date.
† As calculated using the Eris Methodology™.	Final Settlement Price = 100 + Bfinal – Cfinal, where:
All values below are in the Quoting Convention;
Bfinal = Sum of historical cash flows from the First Trade Date through the Maturity Date;
Cfinal = Cumulative PAI† on the Maturity Date.
† As calculated using the Eris Methodology™.	Final Settlement Price = 100 + Bfinal – Cfinal, where:
All values below are in the Quoting Convention;
Bfinal = Sum of historical cash flows from the First Trade Date through the Maturity Date;
Cfinal = Cumulative PAI† on the Maturity Date.
† As calculated using the Eris Methodology™.
Off Exchange Trade Types 	Block Trade
IFUS Eris CDX HY Credit Futures are allowed to be traded as privately negotiated, off-exchange EFRPs and reported to IFUS. EFRPs must be executed and reported pursuant to IFUS Rule 4.06 in the IFUS Exchange Rulebook.	Block Trade
IFUS Eris CDX HY Credit Futures are allowed to be traded as privately negotiated, off-exchange EFRPs and reported to IFUS. EFRPs must be executed and reported pursuant to IFUS Rule 4.06 in the IFUS Exchange Rulebook.	Block Trade
IFUS Eris CDX HY Credit Futures are allowed to be traded as privately negotiated, off-exchange EFRPs and reported to IFUS. EFRPs must be executed and reported pursuant to IFUS Rule 4.06 in the IFUS Exchange Rulebook.
Block Trade Minimum 	2 Contracts 	2 Contracts 	2 Contracts
Price Alignment Interest (PAI) 	PAI† is calculated daily by applying the overnight Federal Funds effective rate to the contract’s ‘A’ value, using the Day Count Convention. Cumulative PAI is the sum of the daily PAI calculations from the First Trade Date.
† As calculated using the Eris Methodology™	PAI† is calculated daily by applying the overnight Federal Funds effective rate to the contract’s ‘A’ value, using the Day Count Convention. Cumulative PAI is the sum of the daily PAI calculations from the First Trade Date.
† As calculated using the Eris Methodology™	PAI† is calculated daily by applying the overnight Federal Funds effective rate to the contract’s ‘A’ value, using the Day Count Convention. Cumulative PAI is the sum of the daily PAI calculations from the First Trade Date.
† As calculated using the Eris Methodology™
Daily Price Limit 	None. 	None. 	None.
NCR, RL and CSLOR 	R NCR: 0.25 index points
RL: 0.75 index points 	R NCR: 0.25 index points
RL: 0.75 index points 	R NCR: 0.25 index points
RL: 0.75 index points
IPL Levels 	IPL Amount: 1.00 index points
IPL Recalculation and Hold Times: 5 seconds 	IPL Amount: 1.00 index points
IPL Recalculation and Hold Times: 5 seconds 	IPL Amount: 1.00 index points
IPL Recalculation and Hold Times: 5 seconds
Position Limit 	10,000 contracts in any one month, or all months combined 	10,000 contracts in any one month, or all months combined 	10,000 contracts in any one month, or all months combined
Additional Information 	Eris products listed on ICE exchanges are based on the Eris Methodology™, Eris’ product design for constructing capital-efficient futures that incorporates intellectual property, expertise and patent-pending innovations.	Eris products listed on ICE exchanges are based on the Eris Methodology™, Eris’ product design for constructing capital-efficient futures that incorporates intellectual property, expertise and patent-pending innovations.	Eris products listed on ICE exchanges are based on the Eris Methodology™, Eris’ product design for constructing capital-efficient futures that incorporates intellectual property, expertise and patent-pending innovations.
MIC Code 	IFUS 	IFUS 	IFUS
Clearing Venues 	ICUS 	ICUS 	ICUS
Trading Hours 	CITY 	TRADING 	PRE-OPEN
Trading Hours 	NEW YORK 	2:00 AM - 6:00 PM
02:00 - 18:00 	1:55 AM
01:55
Trading Hours 	LONDON 	7:00 AM - 11:00 PM
07:00 - 23:00 	6:55 AM
06:55
Trading Hours 	SINGAPORE 	3:00 PM - 7:00 AM
15:00 - 07:00 	2:55 PM
14:55
Codes 	Clearing Admin Name 	CIF USD 	CIF USD
Codes 	Physical 	HY5 	HY5
Codes 	Logical 	HY5 	HY5
Codes 	GMI (FC) 	HY 	HY
Codes 	ION A.C.N. 	None 	None
== Notes ==
==References==
==Resources==
ICE Eris CDX HY Credit (5 Year) Product Spec
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