Industry attempts to revive flagging liquidity in single-name credit default swaps has been given the seal of approval by ISDA The industry association recommends an amendment to the frequency of rolls for single-name contracts that will bring the instruments in line with the more liquid index CDS. Under the current convention, participants roll into new on-the-run contracts every quarter, reflecting IMM futures expiries, and the latest recommendation would see contracts rolled on a semi-annual basis - in March and September. "Aligning single-name rolls to the index makes sense as there's a lot of arbitrage business between the two," said James Duffy, head of European single-name CDS at Citigroup. "Accounts generally felt that a quarterly roll increased transaction costs, particularly if their mandate was to stay on-the-run."
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