I tried to google it but I only get results for ISDA intruducing a new rolling convention.
closed as off-topic by LocalVolatility, amdopt, Quantuple, chollida, Matthew Gunn May 11 '17 at 3:43
This question appears to be off-topic. The users who voted to close gave this specific reason:
- "Basic financial questions are off-topic as they are assumed to be common knowledge for those studying or working in the field of quantitative finance." – LocalVolatility, amdopt, Quantuple, chollida, Matthew Gunn
For CDS indices, a new series is created every 6 months (3/20 and 9/20). With each new series, the basket of reference entities will generally change, with some names replaced by others. Rolling is the act of closing the old contract and opening the new contract. The maturity of the CDS is typically much longer, with 5Y being the most commonly traded tenor. You can still own the old series past the roll date, but it will be off-the-run and less liquid.
Single name CDS used to roll on the quarterly IMM dates (3/20, 6/20, 9/20, 12/20) but the convention now is to also roll these semiannually.