The floating-rate Europe and HiVol notes priced at a yield of three-month Libor plus 42¾ basis points, and 85 bp, respectively, at issue. The Crossover note was issued at a fixed rate of 6.44%.
The Europe and HiVol notes are collateralised with Pfandbriefe - German secondary market mortgage products; the Crossover note is collaterlaised with repos. David Mark, chief executive of International Index Company said he expects the notes to attract new investors and market participants to the credit derivative asset class.
The notes mature on June 20 2010.