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.
More on Regulation
Heavy regulatory costs and fragile systems will be problems in 2015
FSCP proposes simplified charges for UK asset management funds
Changing corporate culture will be hard work
A fixed set of weighted criteria can help pick out systemically important banks, according to the EBA
Sign up for Risk.net email alerts
Sponsored webinar: IBM Risk Analytics
Nominated for two technology awards
Nominated for post trade technology award
Sponsored webinar: Collateral and counterparty tracking
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.