I've been asked to provide a CDX.NA.IG unfunded total returns timeseries, for which I've been able to use a Bloomberg ticker LX01TUUU Index. This works fine - it's called an unfunded total returns index

I also understand the difference between funded and unfunded securities in general

When I look at the unfunded returns timeseries, what exactly is this measuring? Is it the returns for some kind of 'unfunded CDX contract' (as opposed to funded one - a CLN?). Or, is it that the things underlying the CDX are 'filtered' to only included unfunded securities?

  • $\begingroup$ Maybe unfunded is based on cds? $\endgroup$ – will Feb 2 at 13:57
  • $\begingroup$ That’s one of the suggestions I was trying to describe. Does that mean there are two kinds of CDX contract though? $\endgroup$ – q100 Feb 2 at 16:37
  • $\begingroup$ So, the cdx indices (or index series) are completely standardised. You can read the documents that describe exactly how they work. There's a chance that someone here is familiar with them, but you'll learn more if you read the index specs yourself... (ie I don't know but I'm pretty sure that's where the info is) $\endgroup$ – will Feb 3 at 2:38

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