S&P to adopt Case-Shiller housing indexes for CME derivatives

Working with New Jersey-based securities firm MacroMarkets and Wisconsin-based technology firm Fiserv, S&P will produce the Case-Shiller home price indexes, with Yale professor and co-creator Robert Shiller joining the index committee. “Like a lot of the people looking at the housing market, we looked at it and thought it’s probably inefficient and needs to be brought into the modern world,” David Blitzer, New York-based managing director and chairman of the index committee at S&P told RiskNews.

Although S&P entertained the idea about three to five years ago, it was only six months ago that the credit rating and index agency began to move forward on the proposal, said Blitzer. At that point, the chief executive of MacroMarkets, Samuel Masucci, presented his ideas to S&P. And, in meetings held in late December, the CME urged S&P to become involved, arguing that it was critical for the launch of the exchange's housing futures and options planned for late April.

There will be regional indexes based on 10 major metropolitan areas: Boston, Chicago, Denver, Las Vegas, Los Angeles, Miami, New York, San Diego, San Francisco and Washington DC. The composite index will be an average weighted by market capitalisation. A modified version of the current Case-Shiller index forms the basis of government’s Housing Prices Index (HPI).
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