BNP Paribas to launch multi-dealer Japanese credit index

French Bank BNP Paribas is preparing to launch a new credit index in Japan that tracks the 50 most liquid Japanese names in the country’s credit default swap market.

Called the CJ 50 Index, it will incorporate quotes from three dealers active in the Japanese credit derivatives market – BNP Paribas, Bank of Tokyo-Mitsubishi and Goldman Sachs – and consists of investment-grade names rated BBB- or above by Japanese rating agency Rating & Investment Information. “Other houses have compiled their own credit indexes before, but this is the only one to incorporate quotes from several dealers,” Go Yajima, Tokyo-based senior structurer in the credit derivatives department at BNP Paribas, told RiskNews.

The index is planned for launched in early February, and is aimed at both investors and hedgers active in the Japanese bond, loan and credit derivatives markets. “Any portfolio manager can buy or sell this index to hedge their portfolio,” said Yajima. “We can also offer products such as credit-linked notes referenced to the index, so investors can effectively invest in a basket of Japanese benchmark credits in one shot.”

The CJ 50 Index will be calculated on a weekly basis, and is open to other dealers that want to join as price contributors, Yajima added.