In another sign of the stressed state of the financial markets, Markit will once more postpone the ‘rolls’ of its major North American credit default swap indices.
The Markit CDX North America investment grade, High Vol and emerging market indices will now not shift to a new series until 2 October, instead of 29 September, as originally planned. CDS indices traditionally ‘roll’ every six months, at which point index consituents may be added or removed based on a poll of the banks licensed to trade them.
Markit cited “market conditions” and requests from the clients of the major dealer banks as the reasons for the delay.
Related links:
Europe’s junkiest credit index gets junkier - FT Alphaville
