Discussion in 'Trading' started by dhpar, Jun 22, 2007.

  1. dhpar


    a.k.a. CDX NA IG 5Y (futures on CDS Index)

    Anybody knows which brokers are going to provide it from the next week?
  2. dhpar


  3. dhpar


    bump - don't we have any credit trading stars here?
  4. Another swaps contract?

    What is it?
  5. dhpar


    it is basically a commoditized credit.

    I do not know where to start - I don't know how much you were involved in credit before - and I was myself credit freak.
    But basically you take 50 Investment Grade 5Y credit default swaps and create an index. Then you allow to trade future on that index, i.e. CX future on CBOT. If credit quality worsen (similar to equity sell of via Merton model) then spreads widen out and you make money if you are long (1bp = $500) and vice versa.

    Therefore something like CDX/iTraxx indices with few important details, e.g. defaults are treated in continuous fashion, i.e. they are hedged out of the index at a predetermined cap level etc.

    you will find all you need here:

    The question is is it going to be liquid enough - MMs usually do not have much sympathy for taking their business (read fees) off to an exchange.