The ISDA CDS standard model examples document here outlines the calculation of accrued on single name CDS for defaulted entities i.e. where the Trade Date is after Event Determination Date but before Auction Date.
I am now wondering how this translates to the trading of index CDS. As an example, CDX NA HY Series 34 Version 1 started trading on 27 Mar 2020. A constituent, Whiting Petroleum Corporation, had an Event Determination Date on 1 Apr 2020 with a corresponding Auction Date on 6 May 2020. CDX NA HY Series 34 Version 1 could still be traded between these two dates up to 7 May 2020 when CDX NA HY Series 34 Version 2 started trading.
My question is, if I bought protection $1M CDX NA HY Series 34 Version 1 on 23 Apr 2020 for example, what accrued payment will I receive? Is it A = (23 Apr 2020 - 20 Mar 2020 + 1) / 360 * 1M = 97,222? Or, is it B = (23 Apr 2020 - 20 Mar 2020 + 1) / 360 * 0.99 * 1M + (1 Apr 2020 - 20 Mar 2020 + 1) / 360 * 0.01 * 1M = 96,250 + 361 = 96,611 which would account the smaller accrual on the defaulted name?
I think I have seen A in the past but I have no means of checking this now e.g. access to Bloomberg CDSW or similar. However, in the auction settlement for Whiting Petroleum Corporation, I as protection buyer will have to rebate 361 according to the document referenced above. If I get 97,222 accrual on trading the index, which includes a full accrual of 972 from 20 Mar 2020 to 23 Apr 2020 for Whiting Petroleum Corporation, I will be getting 611 for free. Does anyone know what the convention is here?