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 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.
Sample 1
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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Examples of Credit Index in a sentence

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

  • 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.

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

  • 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.

  • 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.

  • 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.

  • Long Duration Securities: Fixed income securities with longer term maturities, designed to generate income and provide a hedge against falling interest-rate environments.Benchmark: Barclays Long Duration U.S. Government Credit Index Duration Target: +/- 25% of the benchmark durationMaximum exposure to one issue: No restrictions on U.S. Treasury and government agency securities or securities fully guaranteed by a U.S. government agency.

  • 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.

  • Note: The performance returns of the Fund are in Singapore Dollar based on a NAV-to-NAV basis with dividends and distributions reinvested, if any.The benchmark of the Fund: J.P. Morgan Asia Credit Index (JACI) Non-Investment Grade Total Return Index.

  • 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.


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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Related to Credit Index

  • CMT Index Not applicable.

  • RPIX Index shall have the meaning given to it in paragraph 5.4 of Schedule 3 (Charging Structure) of this Framework Agreement;

  • 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.

  • CPI Index is defined in Section 2.1(c) of this Agreement.

  • 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, LIBOR as of that day that would be applicable for a LIBOR Loan having a one-month Interest Period determined at approximately 10:00 a.m. Central time for such day (rather than 11:00 a.m. (London time) two Business Days prior to the first day of such Interest Period as otherwise provided in the definition of “LIBOR”), or if such day is not a Business Day, the immediately preceding Business Day. The LIBOR Market Index Rate shall be determined on a daily basis.

  • 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, with respect to any Conduit Investor, the promissory notes issued in the commercial paper market by or for the benefit of such Conduit Investor.

  • National Cost of Funds Index The National Monthly Median Cost of Funds Ratio to SAIF-Insured Institutions published by the Office of Thrift Supervision.

  • SIFMA Municipal Swap Index means the Securities Industry and Financial Markets Association Municipal Swap Index, or such other weekly, high-grade index comprised of seven-day, tax-exempt variable rate demand notes produced by Municipal Market Data, Inc. or its successor, or as otherwise designated by the Securities Industry and Financial Markets Association; provided, however, that if such index is no longer produced by Municipal Market Data, Inc. or its successor, then SIFMA Municipal Swap Index shall mean (i) the S&P Municipal Bond 7 Day High Grade Rate Index produced by Standard & Poor’s Financial Services LLC or its successors or (ii) if the S&P Municipal Bond 7 Day High Grade Rate Index is no longer produced, such other reasonably comparable index selected in good faith by the Board of Trustees of the Fund.

  • Senior Enhancement Percentage With respect to any Distribution Date, the percentage obtained by dividing (x) the sum of (i) the aggregate Class Certificate Balance of the Subordinated Certificates and (ii) the Subordinated Amount (in each case after taking into account the distributions of the Principal Distribution Amount for such Distribution Date) by (y) the aggregate Stated Principal Balance of the Mortgage Loans for such Distribution Date.

  • Adjusted EURIBO Rate means, with respect to any EURIBOR Borrowing for any Interest Period, an interest rate per annum equal to the sum of (a) the EURIBO Rate for such Interest Period and (b) the Mandatory Costs Rate.

  • 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;

  • Applicable Revolver Index Margin means the per annum interest rate margin from time to time in effect and payable in addition to the Index Rate applicable to the Revolving Loan, as determined by reference to Section 1.5(a).

  • Pricing Level refers to the determination of which of Level I, Level II, Level III, Level IV, Level V or Level VI applies at any date.

  • 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 S&P 500 Index, the MSCI EAFE Index, the MSCI Emerging Markets Index, the S&P MidCap 400 Index and the Russell 2000 Index. The “Pricing Date” shall mean October 31, 2011. 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) 35% of the Component Return of the SPDR S&P 500 ETF Trust; (B) 20% of the Component Return of the iShares MSCI EAFE Index Fund; (C) 20% of the Component Returnof the iShares MSCI Emerging Markets Index Fund; (D) 15% of the Component Return of the SPDR S&P MidCap 400 ETF Trust; and (E) 10% of the Component Return of the iShares Russell 2000 Index Fund. 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: SPDR S&P 500 ETF Trust ($125.45); iShares MSCI EAFE Index Fund ($52.37); iShares MSCI Emerging Markets Index Fund ($40.80); SPDR S&P MidCap 400 ETF Trust ($161.40); and iShares Russell 2000 Index Fund ($73.97). 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 185% of the Face Amount of this Security. The “Threshold Price” is equal to 60% of the Starting Price.The “Participation Rate” is 150%.

  • Pooled Commercial Paper means Commercial Paper notes of a Conduit subject to any particular pooling arrangement by such Conduit, but excluding Commercial Paper issued by such Conduit for a tenor and in an amount specifically requested by any Person in connection with any agreement effected by such Conduit.

  • Credit Risk Manager Fee Rate 0.0125% per annum.

  • Worst Performing Index means the Index for which the performance is the lowest in accordance with the definition of WOfinal