Credit Suisse First Boston is readying two credit-default swap indices, one for the U.S. and one for Europe. The move comes hot on the heels of JPMorgan's and Morgan Stanley's recent announcement that both will make markets in the same synthetic default swap indices. CSFB's indices are being developed to improve the firm's credit derivatives research abilities, according to Krishna Memani, global credit strategist in New York. As part of the effort CSFB is hunting for its first dedicated credit derivatives strategist in New York.
The indices, to be dubbed the U.S. CDS Index and Europe CDS Index, will comprise around 100 default swaps selected for their liquidity as well as their ability to represent a diverse universe from both an industry and ratings standpoint, explained Memani. Although products linked to the indices are not the prime objective of the project, the firm wants to provide an investable universe for products such as synthetic collateralized debt obligations, he noted.
Through creation of the indices, CSFB will be able to compare the cash and derivatives markets from all levels, including by sector, issuer and ratings, Memani explained.
