Swiss bank Credit Suisse First Boston (CSFB) has released its Liquid Global fixed-income indexes on data vendor Bloomberg's data terminals. CSFB clients will be able to access all of CSFB's liquid bond indexes, including the Liquid US Corporate Index (LUCI), the Liquid Agency Index (LUAI) and the Mortgage Index (MTGI) through Bloomberg screens.CSFB's new index data offers time-series data on price return, total return, spread over benchmarks and spread over swaps. Market statistics such as yield-to-maturity, modified duration and excess total returns are also offered on a daily basis.
The price, yield and spread of each individual bond composing each CSFB index is reported daily by a CSFB trader, who makes a market in the given security. CSFB claims this pricing approach, as opposed to alternatives such as matrix pricing, ensures timely and reliable pricing information, allowing clients to conduct relative value and portfolio performance analysis with greater precision.
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