The basic idea for the tradeable CDS index is relatively simple. “We will create a pool of assets that is invested in liquid money market securities while simultaneously selling protection in a basket of credit default swap (CDS) names.
Every six months we’ll rollover positions and recapitalise,” Lehmann says. Credindex will be modelled on the most liquid contracts at any given time, which would currently be the iTraxx in Europe and CDX in the US.
By launching a CDS index SG plans to broaden