Jennifer K. Grady, Jon Kibbe, Julia Lu Fu, Publications
Memorandum: Tranched Loan-Only Credit Default Swap Index
October 22, 2007
The market for loan credit default swaps (LCDS) continues to evolve at a rapid pace. Since the May 2006 launch of the single-name LCDS, the product has shifted from physical to cash settlement through the introduction of market-wide cash-settlement auction mechanism, and we have seen the successful launch of the LCDS index, or LCDX. In early October the Tranched LCDX product was launched with terms published by the International Swaps and Derivatives Association. Jon Kibbe, Julia Fu and Jennifer Grady have written a brief summary of the background to, and key terms of, the Tranched LCDX product below.
