Credit default swap indices (also referred to in German)

Statistical measure reflecting the premiums actually agreed on the market for CDS, broken down by individual market segments. Since mid-2004, the Dow Jones iTraxx index family has gained in importance. It comprises regional and sectoral subindices. – The US clearing house Depositary Trust & Clearing Corporation (DTCC) regularly publishes figures on around 1,000 CDSs. In doing so, DTCC quantifies not only the volume of open contracts, but also the actual balance and thus the risk. – Experience in recent years has shown that the premiums on credit default swaps (CDSs) often anticipate the agencies’ rating assessments. – Cf. Deutsche Bundesbank Monthly Report of December 2004, p. 46 f. (there also overview of index values), ECB Monthly Report of September 2005, p. 36 f. (influence of rating on CDS spreads), BaFin Annual Report 2009, p. 26 f. (fluctuations in premiums since 2007), Deutsche Bundesbank Monthly Report of November 2011, p. 45 (credit default swap premiums since 2007), BaFin Annual Report 2011, p. 33 (credit default swap premiums for major German banks since 2008), and the update in the respective BaFin Annual Report, chapter “Economic Environment.”

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University Professor Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.
Professor Dr. Eckehard Krah, Dipl.rer.pol.
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