Creditex, Markit and seven credit derivatives dealers today launched 'tradeable credit fixings' in what the backers hailed as a "milestone" in the development of the credit derivatives market.The opening week's bid/offer fixings for the Dow Jones iTraxx Series Three indexes were 37.15/38.06 for Europe, 62.63/64.46 for HiVol and 245.5/251.3 for Crossover.
“I have no doubt the credit fixings will spur the growth of the second generation credit derivatives market in the same way Libor enabled the interest rate swap market to truly take off,” said Kevin Gould, executive vice-president of Markit. There are a total of 19 official contributors to the weekly credit fixings schedule for iTraxx Europe, HiVol and Crossover.
Dealers hope constant maturity credit default swaps and range accruals can take off now the major dealers have provided support for a fixing process.
Weekly credit fixings will take place every Friday morning at 11am GMT. An additional quarterly fixing will take place on the International Money Market (IMM) roll dates. The first of these quarterly fixes also took place today. A similar launch for the North American Dow Jones CDX is expected later this year.
The seven dealers working with Creditex and Markit are ABN Amro, BNP Paribas, Citigroup, Deutsche Bank, Goldman Sachs, JP Morgan and Morgan Stanley.
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