CSFB debuts Cindi

Credit Suisse First Boston (CSFB) has launched a pair of credit default swap indexes called the Credit Indexed-Note Default Index (Cindi).

The two indexes, the US-Cindi and the EU-Cindi, are referenced to 100 corporate credits in the US and European credit default swap markets. The indexes will be priced by traders each trading day and will track only the liquid, tradable portion of the credit default swap market, said CSFB.

The high quality of the data set underlying the product distinguishes it from other default swap indexes such as JP Morgan Chase's Jeci and Morgan Stanley's Tracrs, claimed CSFB.

"We consider ourselves to have a comprehensive credit default swap pricing capability, which has been voted as one of the best in the market," said CSFB.

The bank is also aiming to release a set of sector-specific indexes in the next two to three weeks. Baldwin Smith, CSFB’s index group head, said the bank will launch a sovereign emerging markets index and a Japanese corporate index in the near future.

David Carlson, global head of G20 credit derivatives at CSFB, added that he believed the indexes could lend value in the future by allowing participants to trade sector baskets, rather than broad-based indexes.

"In the US, there are enough dealers trading default swap index products," said Carlson. "We think we will add value in the future by allowing participants to trade individual sectors, like retail, telecoms etc."