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.