I would like to understand what the main differences between LCDX and CDXHY are.
Also, can anyone explain what the cancellable feature for LCDS, which is not there for CDS's, is and what it means for investors?
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Broadly speaking, CDX HY is a credit index on companies that are risky according to some credit metrics. Whereas LCDX is a credit index on loans. I remember that loans are syndicated and are backed by assets.
Documentation can be found on the Markit website.
Look for the Rules document.