t*******y
发帖数: 11968 | 1 请问CDX.NA.IG series12里的series 12是什么意思?
和series 11 以及 series 10, 9, 8, 7 的区别是什么?
谢谢 |
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a***r
发帖数: 594 | 5 credit default indices roll every 6 months, in march and sep. each roll
would replace some names. for example names downgraded would be removed from
NA.IG. replaced by some others.
the add and drop are determined in a vote by a consortium of dealers.
the coupon rate on the index would be changed if necessary. typically it
would be set close to the at the then money rate of the basket. |
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L********a
发帖数: 44 | 7 why is there a spread between 11 and 12, especially the 10 Yr. IG12 is
consistently lower than IG12. Is that because IG11 has non IG name there? |
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a***r
发帖数: 594 | 8 1. the Net Asset Values are different due to different underlying names.
2. on the run is more liquid. within a series, 5y tenor is usually viewed as
the sweet spot of liquidity.
I cannot comment on why 12 is tighter than 11 at the 10y spot. |
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