US investment houses JP Morgan Chase and Morgan Stanley are merging their Japanese credit derivatives indexes Janice and MSJ-CDS, respectively, into Trac-x Japan, a new tradable index that tracks the 50 most liquid Japanese credit default swaps (CDS).Trac-x Japan is expected to start trading later this month. The portfolio comprises investment-grade credits, with liquidity determined on the volume of CDS transactions.
The banks said in a joint statement that the portfolio “will be reviewed every six months to ensure that the index maintains appropriate liquidity, credit ratings, and industry diversification, thereby providing a new tradable index every half year.”
Trac-x Japan is part of JP Morgan Chase and Morgan Stanley’s global agreement to merge their credit derivatives indexes under the Trac-x name. The banks have already launched Trac-x Europe as well as options based on Trac-x Europe.
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