Credit Index definition

Credit Index means any of the Markit credit default swaps indices, with maturities and notionals that can be longer and/or higher, respectively, than the Maturity Date and aggregate principal amount of the relevant Senior Preferred Notes, and any successor and/or replacement index thereof, including, for the avoidance of doubt, the Markit iTraxx® and Markit CDX™ indices, as selected by the Calculation Agent in its sole and absolute discretion. Credit Index may also be a portfolio of credit default swap tranches summing up to a full capital structure, i.e. summing up to any such Markit credit default swap index.
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Credit Index means the Markit iTraxx Europe Index (“ITRX EUR”). The New Index exposure is to the ITRX EUR On-the-Run 5 Year Credit Index, with a cash position (the Reference Cash Amount) that delivers market yields and a 4:1 notional market exposure ratio, being the approximate proportion of CDS notional to the Index value. The Reference Cash Amount makes up the remainder of the Index Value after subtracting the mark-to-market value of the Index CDS components. This is a cash balance that varies based upon the cash flows of the hypothetical Index CDS positions, receiving coupon payments on the Index CDS, paying default costs (if any) and receiving or paying interest. The cash component generates interest at a rate equal to the Reference Cash Rate plus the Reference Cash Rate Spread. The New Index is rebalanced on a monthly basis to maintain the ratio described above. In addition, the Index sets a threshold relating to intra-month deviation from the ITRX EUR Target Weighting. If the ratio of the Index CDS notional, multiplied by its Bond Equivalent Price, divided by the Index Value differs by more than 10% from the ITRX EUR Target Weighting an additional Index CDS rebalancing occurs the following day. On the date that either Credit Index rolls into a new series, the Index CDS contract referencing the previous series of the relevant Credit Index is unwound, whilst simultaneously entering into a long Index CDS referencing the new series of the relevant Credit Index.
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Credit Index means any of the Markit credit default swaps indices and any successor and/or replacement index thereof, including, for the avoidance of doubt, the Markit iTraxx and CDX indices, as selected by Mediobanca and/or Mediobanca International, acting in its capacity as Calculation Agent with respect to the Notes and in its sole and absolute discretion. Credit Index may also be a portfolio of credit default swap tranches summing up to a full capital structure, i.e. summing up to any Markit credit default swap index.
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Examples of Credit Index in a sentence

  • Volatility: It is expected that the volatility of the portfolio will be reasonably close to the volatility of the Barclays Capital Credit Index over a market cycle.

  • Long Term Performance Objectives: The Total Portfolio is to exceed the Barclays Capital Credit Index as well as the median return in a representative fixed income performance universe.

  • The duration of the fixed income portfolio shall not exceed the duration of the Barclays Capital Credit Index by more than 10% .

  • Risk management measure used: Relative VaR using JP Morgan Asian Credit Index as the appropriate benchmark.

  • From 1 June 2015, the benchmark was changed to a blended index of 50% of the MSCI All Country Asia ex Japan Daily Total Return Net Index and 50% of the JP Morgan Asia Credit Index (JACI) Composite Total Return as the Investment Manager considers this more representative of the Sub-Fund's investment strategy than the previous benchmark.

  • Participants’ accounts under the Restoration Plan and the SESP are credited with interest on a daily basis at a rate based on the yield of the Barclays Capital Long Credit Index, or a successor index, as of the last business day in October of the preceding plan year.

  • EPB’s broadband operations are not subsidized by its electric operations.

  • Risk management measure used: Relative VaR using 50% MSCI Asia ex Japan Index / 25% JP Morgan Asia Credit Index / 25% Markit iBoxx ALBI Index as the appropriate benchmark.

  • I appreciate S e n a to r C h a m b e rs ' c o o p e ration with this situation.

  • The comparison shows the returns of the ICE BofAML Global High Yield Index (HW00) and HFRX Fixed Income Credit Index (HFRXFIC) (the “Broader Market Indices”) against Sculptor Credit Opportunities Master Fund.


More Definitions of Credit Index

Credit Index means Markit CDX.NA.IG Series 27, Version 1.
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Credit Index means Markit CDX.NA.IG Series 31, Version 1.
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Credit Index means the Markit iTraxx Europe Index (“ITRX EUR”).
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Related to Credit Index

  • SIFMA Index means the Securities Industry and Financial Markets Association Municipal Swap Index, produced by Municipal Market Data, or if such index is not published, then such other index selected by the Treasurer which reflects the yield of tax-exempt seven-day variable rate demand bonds.

  • Reference Index means each of the indices comprising the Reference Portfolio.

  • Case-mix index means an arithmetical index measuring the relative average costliness of outpatient cases treated in a hospital, compared to the statewide average.

  • LIBOR Market Index Rate means, for any day, the rate for one-month U.S. dollar deposits as reported on Telerate Page 3750 as of 11:00 a.m., London time, for such day, provided, if such day is not a LIBOR Business Day, the immediately preceding LIBOR Business Day (or if not so reported, then as determined by the Swingline Lender from another recognized source or interbank quotation).

  • Inflation Index means each inflation index specified in the applicable Final Terms and related expressions shall be construed accordingly.

  • Hazard Index means the sum of two or more hazard quotients for multiple hazardous substances and/or multiple exposure pathways.

  • Commercial Paper means promissory notes of any Conduit issued by such Conduit in the commercial paper market.

  • Financial Markets means international financial markets in which currency and other financial assets exchange rates are determined in multi-party trade.

  • Index Calculation Agent means Bank Vontobel AG, Gotthardstrasse 43, 8002 Zurich, Switzerland. "Index Calculation Day" means every day from Monday to Friday.

  • credit meter means a meter where an account is issued subsequent to the consumption of electricity;

  • Exposure rate means the exposure per unit of time, such as roentgen per minute and milliroentgen per hour.

  • SOFR Index means, with respect to any U.S. Government Securities Business Day:

  • Multi-Exchange Index , if applicable, means each Reference Item specified under the heading "Underlying" in the Product Terms to be a Multi-Exchange Index.

  • Underlying Index means each of the MSCI EAFE Index and the S&P MidCap 400 Index. The “Pricing Date” shall mean August 31, 2010. The “Starting Price” is 100. The “Ending Price” will be calculated based on the weighted returns of the Basket Components and will be equal to the product of (i) 100 and (ii) an amount equal to 1 plus the sum of: (A) 75% of the Component Return of the iShares MSCI EAFE Index Fund and (B) 25% of the Component Return of the SPDR S&P MidCap 400 ETF Trust. The “Component Return” of a Basket Component will be equal to: Final Component Price – Initial Component Price Initial Component Price where, • the “Initial Component Price” is the Fund Closing Price of such Basket Component on the Pricing Date; and • the “Final Component Price” will be the Fund Closing Price of such Basket Component on the Calculation Day. The Initial Component Prices of the Basket Components are as follows: iShares MSCI EAFE Index Fund (49.95) and SPDR S&P MidCap 400 ETF Trust (131.24). The “Fund Closing Price,” with respect to a Basket Component on any Trading Day, means the product of (i) the Closing Price of one share of such Basket Component (or one unit of any other security for which a Fund Closing Price must be determined) on such Trading Day and (ii) the Adjustment Factor applicable to such Basket Component on such Trading Day. The “Closing Price” with respect to a share of a Basket Component (or one unit of any other security for which a Closing Price must be determined) on any Trading Day means the price, at the scheduled weekday closing time, without regard to after hours or any other trading outside the regular trading session hours, of the share on the principal United States securities exchange registered under the Securities Exchange Act of 1934, as amended, on which the share (or any such other security) is listed or admitted to trading. The “Adjustment Factor” means, with respect to a share of a Basket Component (or one unit of any other security for which a Fund Closing Price must be determined), 1.0, subject to adjustment in the event of certain events affecting the shares of such Basket Component. See “Anti-dilution Adjustments Relating To A Basket Component; Alternate Calculation—Anti-dilution Adjustments.” The “Capped Value” is 136% of the Face Amount of this Security. The “Threshold Price” will be equal to 90% of the Starting Price. The “Participation Rate” is 150%.

  • Leverage Factor means the leverage factor in respect of a Series of ETP Securities as specified in the relevant Final Terms.

  • Letter of Credit Fee Rate means, at any time, the percentage rate per annum applicable to Letter of Credit Fees at such time as set forth in the Pricing Schedule.