The iTraxx and CD-X Credit Indices Contracts

The iTraxx series is a set of credit indices that enable market participants to trade funded and unfunded credit derivatives linked to a credit benchmark. 

MATURITY t SPOT RATES DISCOUNT FACTORS DFj SURVIVAL PROBABILITY PSi DEFAULT PROBABILITY PDj PVOF RECEIPTS IF NO DEFAULT PVOF RECEIPT IF DEFAULT DEFAULT PAYMENT IF DEFAULT CDS PREMIUM s 

The iTraxx series is a basket of reference credits that is reviewed on a regular basis. For example, the iTraxx Europe index consists of 125 corporate reference names, so that each name represents 0.8 percent of the basket. FIGURE 10.20 shows an extract from a Bloomberg screen for the June 2011 iTraxx Europe index, with the first page of reference names. FIGURE 10.21 shows additional terms for this index contract.  

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