What is the iTraxx Crossover index?
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.
Where is iTraxx traded?
iTraxx indices cover credit derivatives markets in Europe, Japan, non-Japan Asia, and Australia.
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.
Is a credit default swap a security?
32 Thus, since Dodd-Frank clarified that CDSs were a specialized type of option, a security-based CDS is a security-based option and therefore a security.
What is Markit CDX?
CDX indices are a family of tradable credit default swap (CDS) indices covering North America and emerging markets. CDX covers multiple sectors, including: CDX North American Investment Grade. CDX North American Investment Grade High Volatility.
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).
How are credit default swaps calculated?
When a bond defaults, the buyer of the CDS is entitled to the notional principal minus the recovery rate of the bond. The recovery rate of the bond is considered its value immediately after default. So if the recovery rate on $1,000,000 worth of bonds is 75%, then the CDS payoff = $1,000,000 × (1 – . 75) = $250,000.
What is credit default swap in simple terms?
What is the Markit credit default swap calculator?
The Markit Credit Default Swap Calculator provides an independent cash settlement amount and market value service for CDS Single Name and Index trades. With the breadth and depth of credit data available from Markit’s suite of fixed income products, Markit’s calculator p rovides a thoroughly vetted online tool for valuing trades.
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.
How are the European iTraxx indices determined?
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.
How does Markit’s calculator work?
With the breadth and depth of credit data available from Markit’s suite of fixed income products, Markit’s calculator p rovides a thoroughly vetted online tool for valuing trades. Markit customers can leverage the vast breadth and quality of CDS data processed every day by Markit through the calculator page.