Indices

This Issue in United States

Itraxx Indices

Concept of Itraxx Indices in the context of derivatives contract, by the International Swaps and Derivatives Association (ISDA): A family of credit derivative (i.e. an instrument that transfers risk from one party to the other) indices, where the underlying reference entities are a defined basket of European credits. The benchmark indices include iTraxx Europe, comprising the top 125 names in terms of CDS volume traded in the previous 6 months; iTraxx Europe HiVol, comprising the top 30 highest spread names from iTraxx Europe; iTraxx Europe Crossover, where the 45 reference entities are sub-investment grade. The indices are highly liquid and traded using ISDA (International Swaps and Derivatives Association, Inc.)standard documentation, to standard maturities. They are used by both buy side and sell side institutions for creating credit exposure as well as hedging. The underlying reference entities are reassessed every 6 months, following dealer liquidity polls.

Resources

See Also

• Derivatives Contract