Credit Default Swap Index
A credit default swap index or CDS index for short is a key figure for the development of the costs of protection against credit defaults for selected debtors. It is intended to representatively document the development of the credit derivatives market .
CDS indices are quoted in basis points of the nominal value . This gives the annual costs depending on the insured nominal value for a proportional hedge of the debtors represented in the index.
A credit default swap on a CDS index is called an index CDS .
Index families
The two most important CDS index families are CDX for borrowers from North America and emerging markets and iTraxx for European and Asian countries. Both families are looked after by the service provider MarkIt.
| family | Type | Index name | Number of members | description |
|---|---|---|---|---|
| Europe | Benchmark indices | iTraxx Europe | 125 | The most liquid addresses for the last 6 months prior to the compilation rolling |
| iTraxx Europe HiVol | 30th | Addresses with the highest prices of the iTraxx Europe | ||
| iTraxx Europe Crossover | 50 | Addresses of speculative creditworthiness | ||
| Sector indices | iTraxx Non-Financials | 100 | Addresses outside the financial sector | |
| iTraxx Senior Financials | 25th | subordinate senior addresses | ||
| iTraxx Sub Financials | 25th | subordinate junior addresses | ||
| iTraxx TMT | 20th | Telecommunications, media and technology - now discontinued | ||
| iTraxx Industrials | 20th | meanwhile discontinued | ||
| iTraxx Energy | 20th | meanwhile discontinued | ||
| iTraxx Consumers | 30th | meanwhile discontinued | ||
| iTraxx cars | 10 | meanwhile discontinued | ||
| Asia / Australia | Benchmark indices | iTraxx Japan | ||
| iTraxx Australia | ||||
| iTraxx Asia ex-Japan IG | ||||
| iTraxx Asia ex-Japan HY | ||||
| North America | Benchmark indices | CDX.NA.IG | ||
| CDX.NA.IG.HVOL | ||||
| Sector indices | CDX.NA.IG.CONS | |||
| CDX.NA.IG.ENRG | ||||
| CDX.NA.IG.FIN | ||||
| CDX.NA.IG.INDU | ||||
| CDX.NA.IG.TMT | ||||
| Benchmark indices | CDX.EM | |||
| CDX.EM.DIVERSIFIED |