Credit Default Index Swap(CDIS)

A portfolio of single-entity credit default swaps where the premium notional is variable. The most popular CDISs are the so-called standardized CDISs. In these standardized contracts the reference entity pool is homogeneous, that is, all the reference entities have the same notional and the same recovery rate. Typical examples of standardized CDISs are the CDX index and the ITRAXX index