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 |
J******d
发帖数: 506 | 2 第12版。
【在 t*******y 的大作中提到】
: 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
|
t*******y
发帖数: 11968 | 3
谢谢
【在 J******d 的大作中提到】
: 第12版。
|
h**********k
发帖数: 168 | 4 insightful.
【在 J******d 的大作中提到】
: 第12版。
|
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.
【在 t*******y 的大作中提到】
: 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
|
t*******y
发帖数: 11968 | 6
from
谢谢, 解释的甚好.
【在 a***r 的大作中提到】
: 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.
|
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? |
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.
【在 L********a 的大作中提到】
: 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?
|
