BarCap releases Quant credit strategy indexes

Mark Pengelly
25 Jan 2008

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Risk management

The Barclays Capital Credit Strategy Index Family includes indexes tracking the total return of several of the Markit iTraxx Europe and CDX North America indexes and their sub-indexes. There are also indexes linked to credit curve steepener or flattener trades, which buy and sell protection on the indexes to take advantage of a widening or narrowing of credit spreads over time.

An algorithmic index that switches dynamically between steepener and flattener trades, using the European crossover indexes, is also included.

Heikki Monkkonen, a managing director in BarCap’s European credit derivatives team in London, said the indexes would make these strategies more accessible for investors, many of which might not have the capacity to undertake them otherwise. Possible sources of demand for products linked to the index could encompass private banks, retail or institutional clients, he added.

The bank is offering index-linked notes based on the series, and hopes to make them a basis for more complex leveraged or principal-protected structured products in the future. It intends to add additional indexes to the series over the coming months, although it would not put a figure on the volume of interest it has seen in them so far.