Tradeable Credit Fixings
The Tradeable Credit Fixings are calculated according to a well-defined methodology. Creditex and Markit worked closely with a panel of seven dealers - ABN AMRO, BNP Paribas, Citigroup, Deutsche Bank, Goldman Sachs, JPMorgan and Morgan Stanley - to develop and refine the Credit Fixings methodology. The Fixings are determined for the three most liquid iTraxx indices in the European marketplace, iTraxx 5yr Europe, HiVol and Crossover indices.
A North American launch is expected at a later date. The Credit Fixings take place once a week on Fridays at 11am LST, with an additional Fixing on the quarterly IMM roll dates at 4pm LST. Dealers electronically contribute executable, two-way prices on the Creditex platform and these are used to determine bid, mid and offer Fixings and any associated transactions. Markit provides verification of the Credit Fixings process and is responsible for the dissemination of the official Fixings levels via this page.
Credit Event Fixings
The Credit Event Fixings are designed to ensure a fair, efficient and transparent process for settlement of credit derivative trades following a corporate default. The Fixings were developed by Creditex and Markit in close cooperation with ISDA and major credit derivatives dealers and are an integral part of ISDA’s CDS Index protocols. Creditex and Markit have jointly acted as administrators of the Credit Event Fixings since their inception in June 2005.
During a Credit Event Fixing, dealers place executable orders on the Creditex platform for obligations of a particular company that has undergone a credit event, such as filing for bankruptcy. A market standard methodology is used to simultaneously execute these orders and generate a final cash settlement price for eligible credit derivative contracts referencing this entity. Markit verifies the integrity of the process and calculates the final price which it publishes on this website.