The CDX index rolls over every six months, and its 125 names enter and leave the index as appropriate. For example, if one of the names is upgraded from below investment grade to IG, it will move CDX Emerging Markets Diversified; The indices roll semi-annually in March and September. Credit events that trigger settlement for individual components include bankruptcy and failure to pay, wherein credit events are settled via auctions. Our selection methodology for CDX ensures that the indices represent the market’s most liquid segment. transaction relates to an Index with an effective date prior to September 20, 2009, the payments are. semi-annual on June 20 and December 20 of the year; otherwise, coupon payments are on March 20, June 20, September 20 and December 20 of the year, similar to other CDX indices. A credit default swap index is a credit derivative used to hedge credit risk or to take a position on a basket of credit entities. Unlike a credit default swap, which is an over the counter credit derivative, a credit default swap index is a completely standardized credit security and may therefore be more liquid and trade at a smaller bid-offer spread. Each index series with a Roll Date of September 20 shall have a maturity date of December 20 (or the first Business Day thereafter if December 20 is not a Business Day) occurring up to 10 years following the Roll Date. Each index series with a Roll Date of March 20 shall have a maturity date of June 20 This series will be added to the product reference file one day prior to the launch date in both New Release and Production. Index Name Series Tenors Roll Dates CDX.NA.HY 28 5 Year Monday, March 27, 2017 Participants that wish to test before launch may do so in CME Clearing’s New Release (UAT) environment beginning for trade date Friday, March 24. Index Name Series Tenors Roll Dates CDX.NA.HY 29 5 Year Wednesday, September 27, 2017 Participants that wish to test before launch may do so in CME Clearing’s New Release (UAT) environment beginning for trade date Tuesday, September 26, 2017.
17 Oct 2014 on total credit exposure, trading volume, and trade size in the index CDS market Other dates of the phase-in: Reporting and public dissemination of transactions in CDS referencing broad decision not to roll CDX contracts. 17 Nov 2016 The standardised CDS index tranche market originally arose from a need of correlation These tranches were the iTraxx Main Series 9 and CDX IG Series 9 series which, until Swap maturity dates always correspond to IMM dates. Source: Citi Insurer's perspective – Criteria for rolling hedges. Solvency
The main indices are consolidated into DJ CDX (North America and will be the “Roll Date” set out in the Schedule e.g. in respect of iTraxx® CJ Series Number 24 Sep 2015 The CDX indices are broadly used as liquid macro credit trading tools. The High Yield CDX index rules provide that on each roll date a Keywords: CDX, Dodd-Frank Act, Market Structure, Transaction Costs, Swap Twice a year, on the so-called index roll dates in March and September, a new Keywords: CDX, Dodd-Frank Act, Matching, Swap Execution Facility, Workup Twice a year, on the so-called index roll dates in March and September, a new contracts and improving liquidity around the new semiannual roll dates.5 The most popular CDS Index families are Markit CDX indices, covering North. 9 Feb 2016 From the widely used Markit CDX index tied to credit default swaps (CDS) expiry dates and strike prices for just a subset of the data – namely the CDX. in January 2016 for CDS Index volumes (excluding Index roll months) 1 Oct 2015 6.3 Dates on which the clearing obligation takes effect . rolling basis while the need for ESMA to have the means to swiftly suspend a class from the indicated that certain CDX index could be appropriate for the clearing
Each index series with a Roll Date of September 20 shall have a maturity date of December 20 (or the first Business Day thereafter if December 20 is not a Business Day) occurring up to 10 years following the Roll Date. Each index series with a Roll Date of March 20 shall have a maturity date of June 20 This series will be added to the product reference file one day prior to the launch date in both New Release and Production. Index Name Series Tenors Roll Dates CDX.NA.HY 28 5 Year Monday, March 27, 2017 Participants that wish to test before launch may do so in CME Clearing’s New Release (UAT) environment beginning for trade date Friday, March 24. Index Name Series Tenors Roll Dates CDX.NA.HY 29 5 Year Wednesday, September 27, 2017 Participants that wish to test before launch may do so in CME Clearing’s New Release (UAT) environment beginning for trade date Tuesday, September 26, 2017. After administering the CDX family of indexes and acting as the calculation agent for the iTraxx indexes, Markit acquired both families of indexes in November 2007, and now owns and manages the
After administering the CDX family of indexes and acting as the calculation agent for the iTraxx indexes, Markit acquired both families of indexes in November 2007, and now owns and manages the Index Methodology for the CDX and LCDX Indices (this “Index Methodology”) I. General Rules Applicable to Voting June 20 of the tenth new calendar year following such Roll Date. 1.8 Each IG Index sub-index other than the HVOL sub-index that has a Roll Date of September 20 (or the Business Day immediately thereafter in the event that CDS index tranches and the pricing of credit risk correlations1 Standardised loss tranches based on credit default swap (CDS) indices have increased liquidity in the market for credit risk correlations. Although progress is being made, quantitative modelling of these correlations is complex and not yet fully developed. 1. Standard maturity dates are unadjusted – always Mar/Jun/Sep/Dec 20th. Example: As of Feb09, the 1y standard CDS contract would protect the buyer through Sat 20Mar10. 2. Coupon payment dates are like standard maturity dates, but business day adjusted following. Examples: The 1Q09 payment date is Fri 20Mar09. The 2Q09 payment date is Mon 22Jun09. 3. Index Roll: A passive index investing strategy that is established by using a combination of index funds and long-term equity anticipation securities (LEAPS). The investor must roll over a series