International Index Company, the Frankfurt-based firm that administers the European and Asian iTraxx credit derivative indexes, has launched three five-year iTraxx credit-linked notes.The three issues have the same compositions as the series 3 iTraxx Europe, HiVol and Crossover credit derivative indexes, and each is offered with a minimum nominal amount of €500 million.
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.
More on Structured Products
Five dealers to launch Asia-focused platform in drive to boost margins
Taiwan insurers shun structured products amid low volatility and rates
Reflecting on a decade of highs, lows and changing focus within the industry
The highs and the lows of structured products over the past decade
Sign up for Risk.net email alerts
Nominated for two technology awards
Nominated for post trade technology award
Sponsored webinar: Collateral and counterparty tracking
Isda directors warn on fragmentation, access and liquidity - but expect problems to pass
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.