Price fixing for derivatives
A market for second-generation credit derivatives has moved a step closer with the recent testing of a system that fixes prices in such products. Derivative exchanges would certainly welcome the system
Banks have successfully tested a system that fixes pricing in credit default swaps. So far four tests have been run with 16 dealer banks as well as Creditex, an electronic inter-dealer broker, and Mark-it Partners, a provider of consensus credit default swap pricing. The tests of the Tradeable Credit Spread Fixings (TCSFs) have been conducted on the Creditex trading platform with Mark-it Partners acting as auditor of the process.
A fixed price is described by those involved as essential for the
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