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Credit Derivative Instruments

Credit Indices

Description

1]Corporate indices

2] CDS indices

Result

Buyer is long (more or less general) credit

Seller is short (more or less general) credit

Details

Constituents of Indices and their tranches change

Corporate index constituents change every month

Exclusively rules-based

CDS index constituents change every 6 months

Based on liquidity recommendations from active dealers

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