The fixing for the nascent Japanese credit derivatives index, the DJ iTraxx CJ Japan, has moved to daily from weekly in a bid to boost trading and product development. "Of course it was a lengthy process to decide on the structure, but this will be good for the market," said Go Yajima, senior credit derivatives structurer at BNP Paribas in Tokyo, one of the firms involved in the initiative.
Yajima said the switch to daily fixing will boost transparency and liquidity in the index of the 50 most liquid Japanese credits. Yajima thinks, "Another benefit is that this will bring about [constant-maturity] CDS, where dealers can rely on a more accurate base for fixing." While a few initial CMCDS trades have gone through the Japanese market, he expects the product to take off next year, along with options linked to the index.
The DJ iTraxx CJ Japan index will be fixed at 4 p.m. in Tokyo from data provided by market making houses including Deutsche Bank, Goldman Sachs, JPMorgan, Mizuho Securities and Morgan Stanley. Data will be calculated by Quick Corp. and released by 5:30 p.m.