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Credit Default Swaps
CDR Liquid 50TM NAIG 083 Index Composition
CDR Liquid 50TM NAIG Series 083, Risk Factors September 2008
March 2008 Credit Default Swap Index Futures Expire at 413.16
CDR Liquid 50TM NAIG Series 083, Risk Factors September 2008
March 2008 Credit Default Swap Index Futures Expire at 413.16
Interest Rate
August 2008 Fed Funds Futures Settle @ 98.004
Revised U.S. Treasury Conversion Factors – March 26-27, 2008
Strike Price Notice - Ag, Fim, March 6, 2008
Revised U.S. Treasury Conversion Factors – March 26-27, 2008
Strike Price Notice - Ag, Fim, March 6, 2008
Exchange News
CDR Liquid 50 NAIG 073 Index SEP 2007 Risk Factors
|
Implied Index DV01: |
$0.0004316 |
|
|
|
| Futures DV01: |
$500 |
|
|
|
| Implied CDS Notional Value |
$1,158,525 |
|
|
|
| Recovery Rate |
40% |
|
|
|
|
Maximum Running Spread |
1390.23 bps |
*Calculated on June 1, 2007 using CDR Liquid 50 NAIG Index values as of May 31, 2007. These values are fixed for the Sep 2007 contract on June 1, 2007 and remain fixed for the life of the contract. For detailed explanations on each of these factors, please refer to CDR Liquid 50 Maintenance Procedures.
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