138:
25:
714:
documentation) is paid. It also means that coupon payments are not at fixed intervals starting from the trade date - payment dates are fixed on 20 March, June, September, and
December. This means that the first coupon period may be a different length to the others. To offset the difference between traded spread and running spread, and the accrual from the first coupon period, an upfront fee is paid.
727:
transparency of trading is greatly enhanced as market volumes per market-maker are available. Market-makers can see the total amount of index trading daily and where they rank against their peer group. From
October 2013, certain trades under the USA's jurisdiction are mandated to be traded on a particular type of e-trading platform called a Swaps Execution Facility (SEF).
676:. This means that it can be cheaper to hedge a portfolio of credit default swaps or bonds with a CDS index than it would be to buy many single name CDS to achieve a similar effect. Credit-default swap indexes are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.
743:
In the event of a "Failure to Pay", or a "Bankruptcy" credit event, the protection seller makes a payment to the protection buyer on the credit event settlement date. The size of the payment is equal to that which would be paid if protection had been bought on a single name CDS with a notional scaled
704:
of the entities in the index. This coupon is set usually to 100bps (1% p.a.) for predominantly
Investment Grade indices and 500bps for predominantly speculative grade indices to follow the convention of Standard North American Corporates (SNAC). Prior to SNAC (i.e. CDX.NA.IG Series 3 through 11) the
739:
Upon the declaration of a credit event by the ISDA Determinations
Committee, the index will be reversioned, and trading in the new index version will commence. The initial issuance is version 1 (e.g. iTraxx Europe Series 19 Version 1), and the version is incremented for each name in the index that
726:
Credit indices trade OTC usually. Prior to 2011 the most common form of trading was through voice (phone) or a chat such as on a
Bloomberg terminal. In 2011 e-trading screens started to become popular accounting for more than 50% of the index volumes by the end of 2011. By migrating to screens the
695:
A new series of CDS indices is issued every six months by Markit. Running up to the announcement of each series a group of investment banks is polled to determine the credit entities that will form the constituents of the new issue. This process is intended to ensure that the index does not become
713:
Most indices will be quoted at a theoretical traded spread in basis points. This represents the fraction of the protected notional that would be paid yearly. The standardization of indices means that instead of paying the theoretical spread, the fixed (or running) spread (as defined in the index
756:
Historically, CDS indices have always been traded as a bilateral contracts directly between parties. This brings with it the additional risk of counterparty default - where one party to a trade fails to meet its obligations under the trade. To mitigate this risk, clearing through
Central
730:
Although single name CDS volumes have been in sharp decline with the fall in activity of the structured credit desks, credit indices have remained popular as liquidity in the on-the-run indices remains good and the indices have moved to trading screens to trade more like equity indices.
747:
In the event of a "Restructuring" credit event, the index is still reversioned. Instead of simply being settled, however, a single name CDS is spun off which can then undergo the usual single name optional triggering process.
717:
CDX.NA.HY and CDX.EM indices are generally quoted slightly differently. In the same manner as high yield single name CDSs, they are quoted as a price - i.e. the percentage of the notional that is paid as an upfront fee.
705:
coupons were set to approximate the average weighted spread of the names in that index. Once this has been decided the index constituents and the fixed coupon are published, and the indices can be actively traded.
760:
Indices are currently cleared through several CCPs, with ICE Clear Credit (formerly ICE Trust) and ICE Clear Europe, and
Chicago Mercantile Exchange (CME) launching in 2009, and LCH.Clearnet in 2012.
757:
CounterParties (CCPs) was introduced. In this model, both parties to the trade face the CCP, and all members of the CCP pay into a fund to cover costs in the event that one member defaults.
1360:
1386:
1494:
692:, and iTraxx indices contain companies from the rest of the world and are managed by the International Index Company (IIC), also owned by Markit.
1304:
688:. CDX indices contain North American and Emerging Market companies and are administered by CDS Index Company (CDSIndexCo) and marketed by
635:
89:
42:
61:
771:
There are different families of iTraxx credit default swap index broken down by geographical region consisting of Europe, Asia and a
68:
502:
1451:
75:
1335:
1422:
668:
credit derivative, a credit default swap index is a completely standardized credit security and may therefore be more
57:
1476:
1316:
108:
628:
1495:"LCH.Clearnet Group - Media Centre - Press Releases - 2012-05-15 LCH.Clearnet launches CDSClear Internationally"
1565:
1317:"Understanding the new standard North American credit default swap: evolving documentation and market practice"
477:
46:
1397:
1205:
763:
From March 2013, certain indices under the USA's CFTC's jurisdiction became mandated to clear on trade date.
604:
426:
152:
1498:
665:
621:
378:
82:
1275:
1477:"CME Group Launches Credit Default Swaps Initiative; Begins Clearing Trades - CME Investor Relations"
487:
1570:
307:
35:
452:
1520:"CFTC Issues Clearing Determination for Certain Credit Default Swaps and Interest Rate Swaps"
584:
497:
701:
689:
673:
431:
334:
8:
1519:
661:
609:
599:
557:
542:
512:
436:
364:
281:
159:
147:
653:
532:
527:
517:
462:
288:
256:
669:
657:
579:
574:
547:
417:
393:
388:
349:
329:
293:
241:
129:
700:. On the day of issue a fixed coupon is decided for the whole index based on the
537:
522:
482:
298:
236:
197:
192:
1455:
137:
1538:"Markit Acquires International Index Company and Agrees to Acquire CDS IndexCo"
772:
552:
457:
407:
369:
261:
208:
202:
182:
177:
1537:
1559:
492:
467:
319:
266:
1430:
1208:- similar to a CDS index, but with asset-backed securities as the underlying
594:
569:
339:
231:
226:
217:
187:
589:
402:
359:
354:
344:
251:
168:
1256:
1191:
acquired
International Index Company and agreed to acquire CDS IndexCo.
684:
There are currently two main families of corporate CDS indices: CDX and
1148:
CDSs that are at the crossover point between investment grade and junk
821:
Highest spread (riskiest) non-financial names from iTraxx Europe index
1238:
810:
Most actively traded names in the six months prior to the index roll
24:
697:
314:
1280:
564:
507:
696:"cluttered" with instruments that no longer exist, or which are
1200:
1188:
685:
246:
472:
1218:
1010:
Sovereign
Central/East Europe, Middle East & Africa
1387:"Small Bang Protocol: Credit Operations Best Practices"
1361:"Derivatives trading: Not with a bang - The Economist"
656:
used to hedge credit risk or to take a position on a
49:. Unsourced material may be challenged and removed.
1530:
744:down by the constituent's weighting in the index.
1557:
1300:
1298:
629:
1336:"How to read CDS prices, featuring Portugal"
1274:Whittall, Christopher (September 17, 2014).
1295:
1126:Index of high yield CDSs with a BB rating
708:
636:
622:
1452:"ICE Clear Europe: European CDS Clearing"
1137:Index of high yield CDSs with a B rating
1042:Sovereign Global Liquid Investment Grade
890:Telecommunications, media and technology
109:Learn how and when to remove this message
1306:Markit Credit Indices A Primer July 2014
1273:
1333:
1062:Sovereign Brazil, Russia, India, China
1558:
1104:High Volatility investment grade CDSs
879:Junior subordination financial names
868:Senior subordination financial names
47:adding citations to reliable sources
18:
1396:. December 18, 2009. Archived from
923:Manufacturers of consumer products
13:
1334:Pollack, Lisa (January 27, 2012).
1276:"New CDS indices roll-out delayed"
1181:NA First Lien Leverage Loans CDSs
14:
1582:
1212:
766:
734:
136:
23:
1512:
1487:
1469:
1444:
950:Asia ex-Japan Investment Grade
379:Over-the-counter (off-exchange)
34:needs additional citations for
1415:
1379:
1353:
1327:
1309:
1267:
1249:
1231:
1068:
660:of credit entities. Unlike a
1:
1224:
1206:Asset-backed securities index
605:Sustainable development goals
721:
7:
1194:
843:European 1st Lien Loan CDS
832:Sub-investment grade names
751:
679:
58:"Credit default swap index"
10:
1587:
1540:. Markit. 14 November 2007
1026:iTraxx SOVX Latin America
999:Sovereign West Europe CDS
934:Automobile industry names
797:
1015:iTraxx SOVX Asia Pacific
990:
987:
961:Asia ex-Japan High Yield
941:
938:
862:iTraxx Financials Senior
847:
800:
650:credit default swap index
488:Diversification (finance)
1032:Sovereign Latin America
993:iTraxx SOVX West Europe
826:iTraxx Europe Crossover
1021:Sovereign Asia Pacific
709:Quotation and cashflows
672:and trade at a smaller
1093:Investment grade CDSs
912:Energy industry names
873:iTraxx Financials Sub
851:iTraxx Non-Financials
453:Alternative investment
1566:Derivatives (finance)
1187:On 14 November 2007,
1170:Emerging market CDSs
1159:Emerging market CDSs
585:Investment management
498:Environmental finance
857:Non-financial names
815:iTraxx Europe HiVol
690:Markit Group Limited
43:improve this article
1164:CDX.EM Diversified
1004:iTraxx SOVX CEEMEA
895:iTraxx Industrials
775:denominated index.
662:credit default swap
610:Sustainable finance
124:Part of a series on
1423:"ICE Clear Credit"
1079:Number of entities
801:Benchmark Indices
790:Number of entities
600:Speculative attack
365:Structured product
1367:. October 5, 2013
1185:
1184:
1066:
1065:
1057:iTraxx SOVX BRIC
977:iTraxx Australia
917:iTraxx Consumers
901:Industrial names
654:credit derivative
646:
645:
473:Banks and banking
463:Asset (economics)
289:Credit derivative
257:Stock certificate
130:Financial markets
119:
118:
111:
93:
16:Credit derivative
1578:
1550:
1549:
1547:
1545:
1534:
1528:
1527:
1516:
1510:
1509:
1507:
1506:
1497:. Archived from
1491:
1485:
1484:
1473:
1467:
1466:
1464:
1463:
1454:. Archived from
1448:
1442:
1441:
1439:
1438:
1429:. Archived from
1419:
1413:
1412:
1410:
1408:
1403:on March 4, 2016
1402:
1391:
1383:
1377:
1376:
1374:
1372:
1357:
1351:
1350:
1348:
1346:
1331:
1325:
1324:
1313:
1307:
1302:
1293:
1292:
1290:
1288:
1271:
1265:
1264:
1253:
1247:
1246:
1235:
1115:High Yield CDSs
1073:
1072:
778:
777:
674:bid–offer spread
666:over the counter
638:
631:
624:
580:Impact investing
575:Growth investing
308:Foreign exchange
294:Futures exchange
242:Registered share
140:
121:
120:
114:
107:
103:
100:
94:
92:
51:
27:
19:
1586:
1585:
1581:
1580:
1579:
1577:
1576:
1575:
1571:Swaps (finance)
1556:
1555:
1554:
1553:
1543:
1541:
1536:
1535:
1531:
1518:
1517:
1513:
1504:
1502:
1493:
1492:
1488:
1475:
1474:
1470:
1461:
1459:
1450:
1449:
1445:
1436:
1434:
1421:
1420:
1416:
1406:
1404:
1400:
1389:
1385:
1384:
1380:
1370:
1368:
1359:
1358:
1354:
1344:
1342:
1332:
1328:
1315:
1314:
1310:
1303:
1296:
1286:
1284:
1272:
1268:
1255:
1254:
1250:
1237:
1236:
1232:
1227:
1219:Markit web site
1215:
1197:
1098:CDX.NA.IG.HVOL
1071:
1047:iTraxx SOVX G7
1037:iTraxx SOVX IG
955:iTraxx Asia HY
848:Sector Indices
769:
754:
740:has defaulted.
737:
724:
711:
682:
642:
483:Climate finance
412:
398:
326:
325:
305:
304:
299:Hybrid security
237:Preferred stock
207:
198:High-yield debt
193:Government bond
115:
104:
98:
95:
52:
50:
40:
28:
17:
12:
11:
5:
1584:
1574:
1573:
1568:
1552:
1551:
1529:
1511:
1486:
1468:
1443:
1414:
1378:
1352:
1326:
1308:
1294:
1266:
1248:
1229:
1228:
1226:
1223:
1222:
1221:
1214:
1213:External links
1211:
1210:
1209:
1203:
1196:
1193:
1183:
1182:
1179:
1176:
1172:
1171:
1168:
1165:
1161:
1160:
1157:
1154:
1150:
1149:
1146:
1143:
1139:
1138:
1135:
1132:
1128:
1127:
1124:
1121:
1117:
1116:
1113:
1110:
1106:
1105:
1102:
1099:
1095:
1094:
1091:
1088:
1084:
1083:
1080:
1077:
1070:
1067:
1064:
1063:
1060:
1058:
1054:
1053:
1050:
1048:
1044:
1043:
1040:
1038:
1034:
1033:
1030:
1027:
1023:
1022:
1019:
1016:
1012:
1011:
1008:
1005:
1001:
1000:
997:
994:
991:
989:
985:
984:
981:
978:
974:
973:
970:
967:
963:
962:
959:
956:
952:
951:
948:
945:
942:
940:
936:
935:
932:
929:
925:
924:
921:
918:
914:
913:
910:
907:
906:iTraxx Energy
903:
902:
899:
896:
892:
891:
888:
885:
881:
880:
877:
874:
870:
869:
866:
863:
859:
858:
855:
852:
849:
845:
844:
841:
838:
834:
833:
830:
827:
823:
822:
819:
816:
812:
811:
808:
805:
804:iTraxx Europe
802:
799:
795:
794:
791:
788:
785:
782:
768:
767:iTraxx indices
765:
753:
750:
736:
733:
723:
720:
710:
707:
681:
678:
664:, which is an
644:
643:
641:
640:
633:
626:
618:
615:
614:
613:
612:
607:
602:
597:
592:
587:
582:
577:
572:
567:
562:
561:
560:
555:
550:
545:
540:
535:
530:
525:
520:
515:
505:
500:
495:
490:
485:
480:
475:
470:
465:
460:
458:Angel investor
455:
447:
446:
442:
441:
440:
439:
434:
429:
421:
420:
414:
413:
411:
410:
405:
399:
397:
396:
391:
385:
382:
381:
375:
374:
373:
372:
370:Swap (finance)
367:
362:
357:
352:
347:
342:
337:
332:
324:
323:
317:
310:
306:
303:
302:
296:
291:
284:
280:
277:
276:
272:
271:
270:
269:
264:
262:Stock exchange
259:
254:
249:
244:
239:
234:
229:
221:
220:
214:
213:
212:
211:
209:Securitization
205:
203:Municipal bond
200:
195:
190:
185:
183:Corporate bond
180:
178:Bond valuation
172:
171:
165:
164:
163:
162:
150:
142:
141:
133:
132:
126:
125:
117:
116:
31:
29:
22:
15:
9:
6:
4:
3:
2:
1583:
1572:
1569:
1567:
1564:
1563:
1561:
1539:
1533:
1525:
1521:
1515:
1501:on 2013-10-16
1500:
1496:
1490:
1482:
1478:
1472:
1458:on 2013-11-09
1457:
1453:
1447:
1433:on 2013-08-31
1432:
1428:
1424:
1418:
1399:
1395:
1388:
1382:
1366:
1365:The Economist
1362:
1356:
1341:
1337:
1330:
1322:
1318:
1312:
1305:
1301:
1299:
1283:
1282:
1277:
1270:
1262:
1258:
1252:
1244:
1240:
1234:
1230:
1220:
1217:
1216:
1207:
1204:
1202:
1199:
1198:
1192:
1190:
1180:
1177:
1174:
1173:
1169:
1166:
1163:
1162:
1158:
1155:
1152:
1151:
1147:
1144:
1141:
1140:
1136:
1133:
1130:
1129:
1125:
1122:
1120:CDX.NA.HY.BB
1119:
1118:
1114:
1111:
1108:
1107:
1103:
1100:
1097:
1096:
1092:
1089:
1086:
1085:
1081:
1078:
1075:
1074:
1061:
1059:
1056:
1055:
1052:Sovereign G7
1051:
1049:
1046:
1045:
1041:
1039:
1036:
1035:
1031:
1028:
1025:
1024:
1020:
1017:
1014:
1013:
1009:
1006:
1003:
1002:
998:
995:
992:
986:
982:
979:
976:
975:
971:
968:
966:iTraxx Japan
965:
964:
960:
957:
954:
953:
949:
946:
943:
937:
933:
930:
928:iTraxx Autos
927:
926:
922:
919:
916:
915:
911:
908:
905:
904:
900:
897:
894:
893:
889:
886:
883:
882:
878:
875:
872:
871:
867:
864:
861:
860:
856:
853:
850:
846:
842:
839:
836:
835:
831:
828:
825:
824:
820:
817:
814:
813:
809:
806:
803:
796:
792:
789:
786:
783:
780:
779:
776:
774:
764:
761:
758:
749:
745:
741:
735:Credit events
732:
728:
719:
715:
706:
703:
702:credit spread
699:
693:
691:
687:
677:
675:
671:
667:
663:
659:
655:
651:
639:
634:
632:
627:
625:
620:
619:
617:
616:
611:
608:
606:
603:
601:
598:
596:
593:
591:
588:
586:
583:
581:
578:
576:
573:
571:
568:
566:
563:
559:
556:
554:
551:
549:
546:
544:
541:
539:
536:
534:
531:
529:
526:
524:
521:
519:
516:
514:
511:
510:
509:
506:
504:
501:
499:
496:
494:
493:Eco-investing
491:
489:
486:
484:
481:
479:
476:
474:
471:
469:
468:Asset pricing
466:
464:
461:
459:
456:
454:
451:
450:
449:
448:
445:Related areas
444:
443:
438:
435:
433:
430:
428:
425:
424:
423:
422:
419:
416:
415:
409:
406:
404:
401:
400:
395:
392:
390:
387:
386:
384:
383:
380:
377:
376:
371:
368:
366:
363:
361:
358:
356:
353:
351:
348:
346:
343:
341:
338:
336:
333:
331:
328:
327:
321:
320:Exchange rate
318:
316:
312:
311:
309:
300:
297:
295:
292:
290:
286:
285:
283:
279:
278:
275:Other markets
274:
273:
268:
267:Watered stock
265:
263:
260:
258:
255:
253:
250:
248:
245:
243:
240:
238:
235:
233:
230:
228:
225:
224:
223:
222:
219:
216:
215:
210:
206:
204:
201:
199:
196:
194:
191:
189:
186:
184:
181:
179:
176:
175:
174:
173:
170:
167:
166:
161:
158:
154:
151:
149:
148:Public market
146:
145:
144:
143:
139:
135:
134:
131:
128:
127:
123:
122:
113:
110:
102:
91:
88:
84:
81:
77:
74:
70:
67:
63:
60: –
59:
55:
54:Find sources:
48:
44:
38:
37:
32:This article
30:
26:
21:
20:
1542:. Retrieved
1532:
1523:
1514:
1503:. Retrieved
1499:the original
1489:
1481:cmegroup.com
1480:
1471:
1460:. Retrieved
1456:the original
1446:
1435:. Retrieved
1431:the original
1426:
1417:
1405:. Retrieved
1398:the original
1393:
1381:
1369:. Retrieved
1364:
1355:
1343:. Retrieved
1339:
1329:
1321:lexology.com
1320:
1311:
1285:. Retrieved
1279:
1269:
1260:
1251:
1242:
1233:
1186:
1131:CDX.NA.HY.B
1082:Description
944:iTraxx Asia
837:iTraxx LEVX
793:Description
770:
762:
759:
755:
746:
742:
738:
729:
725:
716:
712:
694:
683:
649:
647:
595:Market trend
570:Greenwashing
427:Participants
232:Growth stock
227:Common stock
218:Stock market
188:Fixed income
156:
105:
96:
86:
79:
72:
65:
53:
41:Please help
36:verification
33:
1069:CDX indices
884:iTraxx TMT
590:Market risk
403:Spot market
360:Reinsurance
355:Real estate
345:Mutual fund
282:Derivatives
252:Stockbroker
169:Bond market
99:August 2013
1560:Categories
1505:2013-10-10
1462:2013-10-10
1437:2013-10-10
1427:theice.com
1261:markit.com
1243:markit.com
1225:References
1142:CDX.NA.XO
1109:CDX.NA.HY
1087:CDX.NA.IG
1076:Index Name
988:Sovereign
983:Australia
787:Index name
432:Regulation
160:Securities
69:newspapers
1407:March 30,
1371:March 30,
1345:March 30,
1287:March 30,
722:e-Trading
533:corporate
508:Financial
330:Commodity
1544:30 March
1524:cftc.gov
1394:isda.org
1257:"iTraxx"
1195:See also
773:Sterling
752:Clearing
698:illiquid
680:Issuance
558:services
548:personal
543:forecast
513:analysis
437:Clearing
389:Forwards
315:Currency
153:Exchange
1281:Reuters
1153:CDX.EM
798:Europe
565:Fintech
528:betting
518:analyst
418:Trading
394:Options
83:scholar
1340:ft.com
1201:iTraxx
1189:Markit
972:Japan
781:Family
686:iTraxx
670:liquid
658:basket
553:public
350:Option
155:
85:
78:
71:
64:
56:
1401:(PDF)
1390:(PDF)
1239:"CDX"
1175:LCDX
939:Asia
652:is a
538:crime
523:asset
408:Swaps
340:Money
247:Stock
90:JSTOR
76:books
1546:2015
1409:2015
1373:2015
1347:2015
1289:2015
1178:100
1112:100
1090:125
854:100
807:125
784:Type
478:Bull
62:news
1167:40
1156:14
1145:35
1134:46
1123:37
1101:30
1018:10
1007:15
996:15
980:25
969:50
958:20
947:50
931:10
920:30
909:20
898:20
887:20
876:25
865:25
840:40
829:75
818:30
503:ESG
335:ETF
45:by
1562::
1522:.
1479:.
1425:.
1392:.
1363:.
1338:.
1319:.
1297:^
1278:.
1259:.
1241:.
1029:8
648:A
1548:.
1526:.
1508:.
1483:.
1465:.
1440:.
1411:.
1375:.
1349:.
1323:.
1291:.
1263:.
1245:.
637:e
630:t
623:v
322:)
313:(
301:)
287:(
157:·
112:)
106:(
101:)
97:(
87:·
80:·
73:·
66:·
39:.
Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.
