ISDA has published a recommendation for an amendment to the single-name credit default swap (CDS) roll frequency.
The recommendation is in response to market feedback, and is aimed at improving liquidity in the single-name CDS market. Under the new recommended standard schedule, single-name CDS transactions would roll to a new ‘on-the-run’ contract on a semiannual, rather than quarterly, basis. The move will further align single-name CDS contracts with CDS index trades.
Under the current convention, market participants roll to a new on-the-run contract each quarter, on March 20, June 20, September 20 and December 20. The recommendation proposes that the frequency of this roll be reduced to March and September. All other features of the current standard single-name CDS contract will remain unchanged. This convention will go-live on December 21, 2015.
This page consolidates ISDA’s implementation efforts, including links to various pieces of information relating to FAQs and other information relating to possible changes in operational workflows.
Staff Contacts:
Jonathan Martin, Director, Market Infrastructure & Technology, ISDA
Frederick Quenzer, Counsel, ISDA
December 10, 2015: UPDATED FAQ: Amend single name on-the-run frequency
October 13, 2015: FAQ: Amend single name on-the-run frequency
October 5, 2015: Industry Implementation Considerations
July 8, 2015: Memorandum on the recommendation to reduce the frequency of single-name CDS rolls
Latest
Updated OTC Derivatives Compliance Calendar
ISDA has updated its global calendar of compliance deadlines and regulatory dates for the over-the-counter (OTC) derivatives space.
ISDA/IIF Responds to the PRA Consultation
On July 30th, ISDA and IIF responded to the PRA consultation (CP10/25) on enhancing banks’ and insurers’ approaches to managing climate-related risks, which proposes updates to the Supervisory Statement 3/19 on climate-related risk management for banks and insurers. ISDA and...
ISDA Board Appoints New Chair
ISDA has announced that its Board of Directors has elected Amy Hong as its new Chair. Ms. Hong is Head of Strategy, Investments and Partnerships in the Global Banking & Markets division at Goldman Sachs, responsible for leading strategic initiatives...
Response on Scope of BMR
On July 28, ISDA and the Global Foreign Exchange Division of the Global Financial Markets Association responded to the European Commission’s (EC) consultation on the need to exempt spot foreign exchange (FX) benchmarks under Article 18a of the EU Benchmarks...