What is iTraxx main index?
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 the iTraxx Xover?
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. Asia & Emerging Markets.
How many names are there in iTraxx Main?
The Main Index is composed of: 125 equally weighted investment grade entities, The Hivol 30 – the more volatile investment grade names and. The Crossover 45 – sub investment grade names (those credits that the rating agencies believe are most at risk of default)
What is the number of companies underlying the iTraxx index?
125 investment grade companies
There are 125 investment grade companies underlying iTraxx. The companies underlying iTraxx must be investment grade. This means that their credit ratings must be BBB or above.
What is a CDX option?
The Credit Default Swap Index (CDX) is a benchmark index that tracks a basket of U.S. and emerging market single-issuer credit default swaps. Credit default swaps act like insurance policies in the financial world, offering a buyer protection in the case of a borrower’s default.
What is CDX EM?
The Markit CDX Emerging Markets Index (“CDX EM” or the “Index”) is composed of fifteen (15) sovereign reference entities that trade in the CDS market. Administrator. All CDX Indices are owned, managed, compiled and published by Markit (the “Administrator”).
What is CDX HY?
Markit’s North American High Yield CDX Index, or the CDX. NA. HY Index (the “HY Index”), is composed of one hundred (100) liquid North American entities with high yield credit ratings that trade in the CDS market. Markit’s North American Investment Grade CDX Index, or the CDX.
What is CDX factor?
How does the CDX index work?
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 investment grade, it will move from the high-yield index to the investment-grade index when the rebalance occurs.
Is CDX an OTC?
Understanding the Credit Default Swap Index (CDX) A credit default swap (CDS) is an over-the-counter derivative contract that offers one counterparty protection against a credit event, such as the default or bankruptcy of an issuer. It can be thought of as insurance in the financial world.
How does CDX HY work?
How is CDX HY quoted?
High Yield CDX Index Swaps are quoted on price. An agreement to buy or sell protection on a basket of liquid North America based entities with a high yield credit rating. Underlying securities are designated by MarkIT and listed under the Index Name of CDX.
What is CDS and CDX?
The credit default swap index (CDX) is itself a tradable security: a credit market derivative. But the CDX index also functions as a shell, or container, as it is made up of a collection of other credit derivatives: credit default swaps (CDS).
What is the iTraxx index family?
The iTraxx index family in Europe is principally made up of the three indices; iTraxx Europe Main, iTraxx Hivol and the Itraxx Crossover. Each has its own set of rules to define which bonds are suitable for inclusion.
What is the trend of the iTraxx Europe Crossover index tranche?
iTraxx Europe Crossover Index | Chart | Data | MacroVar iTraxx Europe Crossover Index Tranche (5-years) closed 237.13 1.99% on 23 January 2021. iTraxx Europe Crossover Index Tranche (5-years) momentum is negative (-50.0/100) and iTraxx Europe Crossover Index Tranche (5-years) trend is positive (50.0/100).
What happened to the Markit iTraxx Europe index?
The Markit iTraxx Europe index ITRAC5EA=GFI had displaced the iTraxx Crossover index ITCRS5EA=GFI, which was made up of 50 mostly “junk”-rated companies. The Europe index sharply underperformed the iTraxx Crossover index ITCRS5EA=GFI. (Barley 2008)
What is the role of iTraxx in trading?
Role of iTraxx in the Market. iTraxx and other credit derivative indices ultimately help increase the tradability of credit default swaps. They do this by increasing the transparency of the market and standardizing transactions, two factors that have driven up the liquidity and operational efficiency of the market as a whole.