Consortium Unveils Credit Default Swap Index

NEW YORK (HedgeWorld.com)--A group of 11 securities dealers created an index of credit default swaps, with the goal of building greater transparency, liquidity and acceptance of the transaction.

With the somewhat unusual name of iBoxx CDS.NA.IG, the index will contain 125 issuers chosen with the objective of creating a diversified group of U.S. investment grade borrowers. Calculations for the index were scheduled to begin Oct. 17. Options on the index are also in the works, according to a statement from the 11 firms.

The firms creating the index are: ABN AMRO, Barclays Capital, Bear Stearns & Co., Citigroup, Credit Suisse First Boston, Deutsche Bank, Goldman Sachs, HSBC Bank USA, Lehman Brothers, Merrill Lynch and UBS.

IBoxx, the administrator of the index, was formed in 2001 to create a new generation of fixed-income indexes and pricing and has garnered acceptance in Europe. IBoxx and RiskMetrics Group are planning to create U.S. dollar fixed-income prices and indexes.

A few days after the new index was announced, Dow Jones Indexes was selected to manage a competing group of indexes under the TRAC-X name, which are offered by JP Morgan Chase & Co. and Morgan Stanley.

One of the goals of bringing Dow Jones into the mix is to offer a benchmark that includes both market practitioners and an independent overseer with experience managing indexes, according to a statement from Dow Jones.

PBarr@HedgeWorld.com

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