ISDA Calls for Amendment to the Single-Name CDS Roll Frequency

ISDA published a recommendation for an amendment to the single-name credit default swap ("CDS") roll frequency. ISDA recommended making "single-name CDS transactions roll to a new 'on-the-run' contract on a semiannual, rather than quarterly, basis" and consequently, "further align single-name CDS contracts with CDS index trades."

According to ISDA, scheduling the roll to occur biannually in March and September rather than quarterly will (i) "improve liquidity around the new semiannual roll dates"; (ii) "increase clearing of eligible single-name CDS transactions and encourage further buy-side participation": (iii) "improve the affordability of the product by reducing capital costs"; (iv) "increase netting fungibility; and (v) "improve current market structure by further aligning single-name CDS contracts with CDS index transactions."

Although adopting this new schedule is not mandatory for market participants, ISDA noted that its potential implementation date is December 20, 2015.

See: Press Release; Memorandum; FAQs.