CDS index question

[Hien]

I'm looking for more information about these CDS indexes. Google search didn't return much. Does anybody know?

DJ CDX10
DJ CDX10 HVOL
DJ CDX10 Crossover

Thanks.

 

[RussianMike]

I'm looking for more information about these CDS indexes. Google search didn't return much. Does anybody know?

DJ CDX10
DJ CDX10 HVOL
DJ CDX10 Crossover

Thanks.

These are the new on-the run CDX indexes

btw there is some information on markit(some of it u may need to subscribe to)

CDX Indices

 

[Andy Nguyen]

www.markit.com
They are the official organization that manages the CDX and iTraxx. They name them Markit CDX and Markit iTraxx
Also, visit Object moved

The on the run is CDX 10 and iTraxx 9. They rolled over a week ago.

 

[RussianMike]

HY10 didnt roll yet they're doing it differently this time around

 

[Andy Nguyen]

CHANGE IN ROLL DATES FOR MARKIT CDX/LCDX SERIES 10 INDICES

Based on the feedback received from dealers, the roll dates for CDX and LCDX for the forthcoming roll are going to be pushed back slightly. The main reasoning behind that is the current roll date for the IG and EM suite of indices - 20th March - is an early close, and the next day is Good Friday - a day the markets are closed.

The dealers have voted to also preserve the week delay between the IG and HY roll, and between the HY and LCDX roll dates.

IG now rolls on the 25th March for this year, HY on the 1st April and LCDX on the 8th April. Markit will adjust the timing of the process so we start polling at the same time relative to the roll date.

Please note that the effective dates of the new series of indices will remain as is - 21st March for IG/EM, 28th March for HY and 4th April for LCDX.

iTraxx indices are expected to roll on 20th March as usual.
http://www.markit.com/information/products/category/indices/cdx/index_news.html

 

[Andy Nguyen]

One of the good guide is the Merrill Lynch Credit derivative handbook 2006 Vol 2. A lot of credit desk uses it as reference. You can find it in our private QN library.

 

[John]

31 March 2008
MARKIT ANNOUNCES ROLL OF CDX HIGH YIELD INDEX

New York - Markit today announced that the Markit CDX North America High Yield index (CDX.NA.HY) will roll into its tenth series on 1 April 2008. Markit is the owner of the CDX family of indices, and a leading provider of independent data, portfolio valuations and OTC derivatives trade processing to the global financial markets.

Changes to index composition
Based on dealer polls conducted by Markit, the following changes have been made to the Markit CDX.NA.HY. The new series reflecting the changes below will be effective as of the roll date, 1 April 2008. These changes will not affect previous series of the indices.
Markit CDX.NA.HY
Series 10

IN
Chemtura Corporation
Constellation Brands, Inc.
DIRECTV Holdings LLC
STATION CASINOS, INC.

OUT
Lyondell Chemical Company
Quebecor World Inc.
TEMBEC INDUSTRIES INC.
The Williams Companies, Inc

Detailed constituent lists, daily prices and spreads as well as index documentation, are published on www.markit.com.

 

[Hien]

This is awesome. Thanks much guys.