Uncleared Credit Default Swaps: Mortgage Indices

Swap Specifications Pursuant to Rule 1101
   
Contract Overview: An agreement to buy or sell protection on a basket of North American based entities with an investment grade or high yield credit rating, as applicable.
Index Name: ABX HE
ABX Tranche
CMBX
MBX
PrimeX
TRX
PO
IOS
Currency: USD
Quoting Convention & Min Increment: As agreed by the counterparties.
Minimum Size: As agreed by the counterparties
Trading Conventions: Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occuring. Credit events include Bankruptcy and Failure to Pay.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller owns the credit risk of the instrument.

Investment grade indices are traded on spread
Swap Conventions: Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.
Swap Tenor: CDX.NA.IG: 3Y, 5Y, 7Y, 10Y
CDX.NA.HY: 5Y
Applicable Series: CDX.NA.IG 3Y: Series 15 and all subsequent Series, up to and including the current series.

CDX.NA.IG 5Y: Series 11 and all subsequent Series, up to and including the current series.

CDX.NA.IG 7Y: Series 8 and all subsequent Series, up to and including the current series.

CDX.NA.IG 10Y: Series 8 and all subsequent Series, up to and including the current series.

CDX.NA.IG 5Y: Series 11 and all subsequent Series, up to and including the current series.
Effective Date: The date on which the counterparties begin calculating accrued obligations such as fixed payments (ie., start date of the swap).
Maturity Date: The final date on which the obligations no longer accrue and the final payement occurs.
Trade Types: Outrights; roll trades; curve trades.
  Contingent Payment: payments related to credit event settlement will be determined pursant to the 2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie., the Big Bang Protocol).

Fixed Quarterly cash payments: reflected in basis points and paid by the protection buyer to the seller.

Upfront fee payment: the upfront fee is a portion of the payments, expressed in percentage points of the notional, which is present valued and paid immediately to the seller.
Trading Hours: 00:01-24:00 (ET), Sunday-Friday
Clearing Venue: CME or bilateral, as applicable
Block Size: As set forth in Appendix F to Part 43 of the Commision Regulations.
Speculative Limits: As set in Part 151 of the CFTC Regulations.
Reportable Levels: As set in the CFTC Regulation 15.03.