CBOT to launch CBOT CDR Liquid 50 NAIG Index futures contracts

The Chicago Board of Trade (CBOT) has announced plans to launch electronically-traded credit default swap index futures contracts.

The CBOT CDR Liquid 50 North American Investment Grade (NAIG) index futures contracts are scheduled to begin trading on June 25.

The contracts will be based on the CDR Liquid 50 NAIG Index, which includes 50 North American investment grade reference entities. The index is maintained by Credit Derivatives Research (CDR), a New-York based credit research firm, and is reconstituted every three months.

Credit Market Analysis, a credit information provider with offices in London and New York, will provide pricing information for all the underlying component issues within the index. The CBOT CDR Liquid 50 NAIG Index futures contracts will be traded on the CBOT electronic trading platform, under the ticker symbol CX.

Frankfurt-based derivatives exchange Eurex launched the world’s first credit derivatives index contracts in March, although trading volumes have proved weak. The Chicago Mercantile Exchange has approval to list single-name credit derivatives products, and is awaiting regulatory approval to list index products, although neither has a firm launch date. London-based Euronext.liffe and the Chicago Board Options Exchange also plan to list single-name credit derivatives by the end of this year.