The LCDX index of North American loan credit default swaps (LCDS) launched on May 22, with trades totalling more than $11 billion notional.
The index comprises 100 equally weighted North American LCDS that reference syndicated first-lien loans, selected by dealers for their liquidity. The names were picked from a list maintained by Markit Group, which acts as calculation agent for the index. It has semiannual roll dates in April and October and a fixed coupon, initially set at 120 basis points.
The week on Risk.net, July 7-13, 2018Receive this by email