Credit Default Swap Index

A credit default swap index or shortly also CDS index is a measure of the development of the cost of protection against loan default of selected debtors. It aims at the development of the credit derivatives market documenting representative.

CDS indices are quoted in basis points of the nominal value. This is the annual cost depending on the insured for a nominal value proportional hedge represented in the index debtor.

Index families

The two most important CDS index families are CDX North American and emerging market borrowers and for the iTraxx Europe and Asia. Both families are cared for by the service MarkIt.