“Over the past decade we’ve seen tremendous growth in the CDS market. Recent estimates put the current market outstanding notional of CDS close to $2 trillion,” said Dominic O’Kane, head of European quantitative credit research at Lehman Brothers. “The standard CDS format means a CDS index will provide an almost pure barometer of sector and regional credit quality, and our daily pricing will enhance transparency around this growing market.” He added that the bank would also use the index to create a range of credit products including index swaps, tranched portfolio products and index options.
Statistical data for the new benchmarks will be available from July 7, while returns will be available from August 1. Details by sector and quality will be reported for each of the main indexes on a daily basis.
Steven Berkley, global head of fixed-income indexes at Lehman Brothers, added that investors can choose from indexes that weight issuers equally or by their percentage market share in the Lehman credit indexes.
The week on Risk.net, July 7-13, 2018Receive this by email