Bond and credit default swaps index company iBoxx has launched a series of tradable instruments linked to single tranches of one of its credit default swap (CDS) indexes.The European iBoxx Diversified index, which tracks the performance of 100 CDSs, has been split into a number of tranches ranging from a first-loss tranche to a junior super-senior tranche. The new products come under the name of TriBoxx, and participants will receive live two-way prices in all the tranches, and will be able to trade under uniform documentation with all members of the iBoxx CDS group, said the backers in a joint statement.
The iBoxx backers involved are ABN Amro, Barclays Capital, Citigroup, Deutsche Bank, Dresdner Kleinwort Wasserstein and SG – the investment banking arm of French bank Société Générale. The group, known as the iBoxx CDS group, are a subset of the banks involved in iBoxx. They act as market makers for credit-linked notes.
“This is an extremely positive development for the CDO market, which has traditionally been perceived as being illiquid,” the backers added. “The TriBoxx will provide additional depth and breadth to the structured credit market and offers investors a standardised and innovative product range.”
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