International Index Company, formerly known as iBoxx Limited, has launched the first Dow Jones iTraxx indices covering Europe are being launched.
The new rules-based indices, which are a result of the previously announced merger of the iBoxx Limited and Dow Jones TRAC-X European and Asian credit derivative index products, are comprised of the most liquid names in the European market and are the most objective and transparent CDS indices available for that region. International Index Company was created at the time of the iBoxx/TRAC-X merger to manage and administer the combined index offerings.
The new indices are as follows:
* Europe index: The Europe index is comprised of 125 equally weighted European names (see appendix) selected by a dealer poll based on volume rankings and includes sector indices for: Financials (Senior and Subordinated); Non-Financials; Autos; Consumer cyclicals; Consumer non-cyclicals; Energy; Industrials and TMT
* HiVol index: The HiVol index is comprised of 30 names in the Europe index with the widest credit default swap spreads
* Corporate index: The Corporate index is comprised of the largest, most liquid non-financial names from the iBoxx EUR Corporate bond index, including non-European names.
* Crossover index: The Crossover index is comprised of the 25 most liquid non-Financial European names rated BBB/Baa3 or lower and on “Negative Outlook”.
David Mark, CEO of International Index Company, said: “The new indices combine the best aspects of the iBoxx and TRAC-X CDS indices, and were designed to meet clients’ needs. In addition, the participation of such a large number of market makers in the new indices will ensure the requisite liquidity and transparency, facilitating the development of next-generation products in the rapidly-evolving credit index space.”
All indices and sectors will trade in an unfunded format with both 5 and 10-year maturities, with the exception of the Corporate index which will trade in a 5-year maturity only. Funded Notes will be available in due course for 5-year maturities for the DJ iTraxx Europe, Corporate and Crossover indices.
The 19 leading investment banks which are licensed to trade the indices and which contributed to the polling process to determine index constituents include:
ABN AMRO, Barclays Capital, BBVA, Bear Stearns, BNP Paribas, Citigroup, Commerzbank, CSFB, Deutsche Bank, Dresdner Kleinwort Wasserstein, HSBC, Lehman Brothers, Merrill Lynch, JP Morgan, Morgan Stanley, Nomura, Royal Bank of Scotland, Société Générale and UBS.
For fact sheets and information on each index, see the CDS link on www.intindexco.com