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Credit Default Swaps (CDS)

Japan Securities Clearing Corporation (JSCC) in cooperation with Markit Group Limited (hereafter referred to as Markit), publishes the daily Markit iTraxx Japan index values on its website. This initiative aims to promote better understanding of CDS and Credit Indices by providing easy-to-understand explanation for the instruments which are at present known only to institutional investors. Also, JSCC will earnestly enhance transparency in the market by providing clear explanation on CDS and credit indices, and also promoting standardized CDS settlement.

Markit iTraxx Japan for Today ( April 25, 2024 )

Index Name RED Code Term Spread (bps)
Markit iTraxx Japan Series 41 2I668HCM4 5 Years 54.20
20240425

Descriptions of Markit iTraxx Japan

Spread Convention

Markit iTraxx Japan is the leading Credit Index in the Japanese credit market consisting of a basket of CDS investment-graded Japanese entities. CDS and credit index contracts primarily trade on a spread basis, which represents the premium the protection buyer pays the protection seller. It is generally expressed in basis points (bps) (1bp = 0.01%, 100bps = 1%). As the credit quality of an reference entity or index constituents, the spread widens /increases.

Markit Red Code

Markit RED (Reference Entity Database) Code is a set of standardized identifiers for corporations and countries (referred as "Reference Entities") that trade in the CDS market. The RED database confirms the legal relationship between a reference entity (e.g. Corporation, Sovereign) and a reference obligation (e.g. a Bond or Loan). Each series of credit indices also has index RED code. They are widely and successfully used by CDS market participants to electronically match and confirm CDS transactions.

Term

Term is the index maturity. The five year CDS contracts are the most frequently traded; however, three, seven, and ten year contracts are also traded.

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