I tried to google it but I only get results for ISDA intruducing a new rolling convention.

  • 3
    $\begingroup$ Entering into a new contract when the old one expires. $\endgroup$
    – nbbo2
    May 1, 2017 at 19:52

1 Answer 1


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.


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