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