JP Morgan and Morgan Stanley launch Tracx emerging markets

Tracx EM is a tradable portfolio of five-year CDS, referencing a diversified, liquid pool of emerging sovereign credits. The credits are a subset of the countries comprising the JP Morgan emerging markets bond index global diversified (EMBI GD), with country weights derived from the EMBI GD weights.

Tracx EM incorporates the new 2003 Isda credit derivatives definitions and uses quarterly maturity dates.

A new five-year portfolio referencing an updated pool of credits is expected to launch every six months. Investors will be able to 'roll' their trade into the most recent Tracx EM, with markets continuing to be made for all previous contracts. Tracx EM replaces JP Morgan’s EMDI, which was launched on May 6, 2003, based on the 1999 Isda credit derivative definitions.

“Tracx EM is a liquid and transparent tool that provides investors with access to the broad emerging market asset class in a single transaction," said Neal Elkin, vice-president and head of emerging market credit derivatives marketing at JP Morgan.

Tracx EM follows the announcement by Mogan Stanley and JP Morgan on April 1 that they would combine their suite of globally traded CDS indexes. Since then, they have launched Tracx Europe, consisting of 100 of the most traded names in the European CDS market; Tracx North America, the 100 of the most traded names in the North American CDS market; Tracx North America High Yield, consisting a basket of 100 high yield credits; and Tracx Japan, referencing 50 of the most liquid investment grade Japanese corporate credits.

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• Topics
• Structured products
• Credit derivatives
• Credit risk