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Credit Default Swaps
March 2008 Credit Default Swap Index Futures Expire at 413.16
CDR Liquid 50TM NAIG Index, Series 082, Risk Factors June 2008
CDR Liquid 50TM NAIG 082 Index Composition
CDR Liquid 50TM NAIG Index, Series 082, Risk Factors June 2008
CDR Liquid 50TM NAIG 082 Index Composition
Interest Rate
Revised U.S. Treasury Conversion Factors – March 26-27, 2008
March 2008 Fed Funds Futures Settle @ 97.390
Strike Price Notice - Ag, Fim, March 6, 2008
March 2008 Fed Funds Futures Settle @ 97.390
Strike Price Notice - Ag, Fim, March 6, 2008
Exchange News
CDR Liquid 50TM NAIG 081 Index Mar 2008 Risk Factors
|
Implied Index DV01: |
$0.0004254 |
|
|
|
| Implied Index Notional |
$1,170,020 |
|
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|
|
Maximum Running Spread |
1,410.35 bps |
*Calculated using CDR Liquid 50 NAIG Index values as of August 31, 2007. These values are fixed for the Mar 2008 contract on December 3, 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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