Basics of Credit Derivatives

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Credit derivatives terminology

By Vinod Kothari

 

 

Index: In context of credit derivatives, a standardised portfolio of credit default swaps on  a number of names or obligations such that a trader/investor may take a view on the credit spreads of a broad-based portfolio instead of a single name. See also Index trade. Some popular indices are CDX.NA, iTraxx, ABX, etc. Indices are typically managed by index companies such as CDS Indexco, International Index Company[1] etc. Typically, indices are rolled every 6 months.

 

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