How is CDX quoted?
To offset the difference between traded spread and running spread, and the accrual from the first coupon period, an upfront fee is paid. CDX. In the same manner as high yield single name CDSs, they are quoted as a price – i.e. the percentage of the notional that is paid as an upfront fee.
What is reference entity in CDS?
A reference entity is the issuer of the debt that underlies a credit derivative. The reference entity can be a corporation, government, or other legal entity that issues debt of any kind. In many cases, the credit derivative that names a reference entity is a credit default swap (CDS).
Where is CDX traded?
The CDX is completely standardized and exchange-traded, unlike single CDSs, which trade over the counter (OTC). As such, the CDX index has a high level of liquidity and transparency. CDX indexes also may trade at smaller spreads than CDSs.
What is reference obligation?
A reference obligation is a specially designated debt obligation upon which a credit derivative, such as a credit default swap, is based and is issued by the reference entity. It does not represent all the forms of debt issued by the entity, but only a specific obligation.
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 is a referential swap?
Reference Swap means a notional swap between the Issuer and the Swap Counterparty for a term equal to the period from and including the relevant date of exercise of the Upsize Option or Downsize Option (as applicable) to and including the Maturity Date whereby the Swap Counterparty pays to the Issuer a floating rate …
What is reference bond?
Reference Bond(s means the security or securities specified as such in the relevant Pricing Supplement or, if no such securities are so specified, the security or securities, as selected by the Issuer, that would be utilised, as at the Reinvestment Rate Determination Date and in accordancewith customary financial …
Is there a CDS ETF?
The ETF world saw a big step forward on the innovation front last week, as ProShares debuted two ETFs that utilize credit default swaps for their investment strategy: the CDS North American HY Credit ETF (TYTE) and the CDS Short North American HY Credit ETF (WYDE).
How many reference entities are in a basket CD?
five reference names
Figure 1 shows a basket credit default swap (CDS) written on a portfolio of five reference names. The protection seller writes protection on the basket, for which it receives the CDS premium.
What are CDS spreads?
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.
How do you short a CD?
Every CDS has a long side and shot side. So you can’t really short it like you would a stock or a bond, in which you borrow the asset. A CDS is a contract between two counterparties, in which one party sells protection against a default credit event (either principal or interest or both).
What is the Red for CDS service?
The RED for CDS service confirms the relationship between a reference entity and a reference obligation, as well as corporate actions, CDS succession events and credit events. The service also provides verified index and constituent information for credit indices, including updated weighting and index factors upon a credit event.
What is a Redred code?
RED codes are used to confirm trades on MarkitSERV and other trade matching and clearing platforms, facilitating straight-through processing. Counterparties can rapidly agree on transactions and have confidence in the integrity of the underlying CDS reference data. Why IHS Markit?
What is a CDS code for a school?
The 14-digit CDS code is the official, unique identification of a school within California. The first two digits identify the county, the next five digits identify the school district, and the last seven digits identify the school. CDS codes are not assigned to programs.
How many digits are in a CDS code?
The first two digits identify the county, the next five digits identify the school district, and the last seven digits identify the school. CDS codes are not assigned to programs.