What is the iTraxx crossover?
What is the iTraxx crossover?
The iTraxx Crossover index comprises the 75 most liquid sub-investment grade entities. Total Return indices are calculated and published hourly for iTraxx Europe, Asia and Crossover. These indices measure the performance of the respective on-the-run iTraxx CDS contracts.
What is iTraxx Europe?
iTraxx is a collection of indexes for the credit default swap market in Europe, Australia, and Asia. 1. These indexes allow market makers and active participants in the swaps market to take the other side of trades for a short period and provide liquidity in these markets.
What is iTraxx and CDX?
CDX indices contain North American and Emerging Market companies and are administered by CDS Index Company (CDSIndexCo) and marketed by Markit Group Limited, and iTraxx indices contain companies from the rest of the world and are managed by the International Index Company (IIC), also owned by Markit.
What is CDX IG?
The credit default swap index (CDX) is itself a tradable security: a credit market derivative. Currently, the CDX contains 125 issuers and is broken down by two different types of credits: investment grade (IG) and high yield (HY).
What does a CDS spread tell you?
The “spread” of a CDS is the annual amount the protection buyer must pay the protection seller over the length of the contract, expressed as a percentage of the notional amount.
What is a credit swap on mortgages?
A credit default swap (CDS) is a financial derivative or contract that allows an investor to “swap” or offset his or her credit risk with that of another investor. To swap the risk of default, the lender buys a CDS from another investor who agrees to reimburse the lender in the case the borrower defaults.
What is CDX factor?
Cdx genes are transcription factors that are influenced by signaling molecules such as Wnt, Retinoic acid and FGF (fibroblast growth factor) during body plan establishment in the developing embryo.
What is CDX tranche?
Risk Management Standard products. Tranches on CDX. Protection seller compensates for losses on the index in excess of one level (the attachment point) and up to a second level (the detachment point).
What is CDS roll?
The term “roll” refers to movement from one single-name CDS contract to another to maintain the position under the contract, similar to how credit indexes work. It is intended that the recommendation will: Improve liquidity in the single-name CDS market around the time of the new semi-annual roll dates.
What is single name CDS?
• single name credit default swap is a contract that. provides protection against a default event on the. part of a single issuer (“name”) ✓ protection buyer pays premium and, in event of ‘credit. event’, receives par in exchange for eligible obligation.
What does it mean when CDS spreads tighten?
The basis is defined as negative when the CDS trades tighter than the physical bond spread for the same maturity. When the basis is negative investors could earn near riskless return by buying a physical bond and writing protection on that same bond using a CDS with equal maturity.
What happens when a CDS defaults?
The buyer of a CDS makes periodic payments to the seller until the credit maturity date. In the agreement, the seller commits that, if the debt issuer defaults, the seller will pay the buyer all premiums and interest is paid by the seller of the swap if the underlying asset defaults.
How is the Markit iTraxx Crossover index calculated?
The Markit iTraxx Crossover index comprises the 50 most liquid sub-investment grade entities. The Markit iTraxx indices trade 3, 5, 7 and 10-year maturities and a new series is determined by dealer liquidity poll every 6 months. Total Return indices are calculated and published hourly for Markit iTraxx Europe, HiVol and Crossover.
How often do new iTraxx indexes come out?
The European iTraxx indices trade 3, 5, 7 and 10-year maturities, and a new series is determined on the basis of liquidity every six months. The benchmark iTraxx Europe index comprises 125 equally-weighted European names.
Is the iTraxx Asia ex Japan index equally weighted?
Our suite of Asia-Pacific iTraxx indices include the investment-grade iTraxx Asia ex-Japan index with 40 equally-weighted Asian entities, a iTraxx Australia index with 25 equally-weighted Australian entities and a iTraxx Japan index with 50 equally-weighted Japanese entities.
