Amending When Single-Name CDS Roll to New ‘On-the-Run’ Contracts

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 


DateTitle / DescriptionDocuments
December 10, 2015
UPDATED FAQ: Amend single name on-the-run frequency
ISDA continues to work with its members to finalize materials that will provide transparency for a new convention to reduce the frequency with which single-name CDS roll to new on-the-run contracts. This revised Frequently Asked Questions (“FAQ”) document explains the proposal in regard to expected trading and operational conventions for certain credit derivative transactions as of December 21, 2015. (***Please Note: ISDA may update these FAQs on occasion. Please check back periodically for new versions.)
Amend_Single Name_On The Run_Frequency_FAQ (REVISED as of 12.10.15).pdf
October 13, 2015
FAQ: Amend single name on-the-run frequency
ISDA continues to work with its members to finalize materials that will provide transparency for a new proposal to reduce the frequency with which single-name CDS roll to new on-the-run contracts. This Frequently Asked Questions (“FAQ”) document explains the proposal in regard to expected trading and operational conventions for certain credit derivative transactions as of December 20, 2015. (***Please Note: ISDA may update these FAQs on occasion. Please check back periodically for new versions.)
Amend_Single Name_On The Run_Frequency_FAQ (REVISED as of 10.13.15).pdf
October 5, 2015
FAQ: Amend single name on-the-run frequency
ISDA continues to work with its members to finalize materials that will provide transparency for a new proposal to reduce the frequency with which single-name CDS roll to new on-the-run contracts. This Frequently Asked Questions (“FAQ”) document explains the proposal in regard to expected trading and operational conventions for certain credit derivative transactions as of December 20, 2015. (***Please Note: ISDA may update these FAQs on occasion. Please check back periodically for new versions.)
Amend_Single Name_On The Run_Frequency_FAQ (REVISED as of 10.5.15).pdf
October 5, 2015
Industry Implementation Considerations
This document has been prepared by ISDA to assist its members in highlighting some potential considerations for implementation of the initiative to reduce the frequency of which Single Name CDS transactions roll to the new ‘on-the-run’ contract.
Amending When SN CDS Roll ~ Industry Implementation Considerations 10.5.15.pdf
July 8, 2015
Memorandum on the recommendation to reduce the frequency of single-name CDS rolls
This note has been prepared by ISDA’s Credit Steering Committee (the “CSC”) to explain the CSC’s recommendation for reducing the frequency with which single-name CDS transactions roll to the new ‘on-the-run’ contract, an amendment from a quarterly frequency to a semiannual frequency.
Memorandum_on_the_recommendation_to_reduce_the_frequency_of_Single_Name_CDS_Rolls_Final.pdf
July 8, 2015
FAQ: Amend single name on-the-run frequency
ISDA continues to work with its members to finalize materials that will provide transparency for a new proposal to reduce the frequency with which single-name CDS roll to new on-the-run contracts. This Frequently Asked Questions (“FAQ”) document explains the proposal in regard to expected trading and operational conventions for certain credit derivative transactions as of December 20, 2015. (***Please Note: ISDA may update these FAQs on occasion. Please check back periodically for new versions.)
Amend_Single Name_On_The_Run_Frequency_FAQ_July_8_2015.pdf