ABN AMRO and Deutsche Bank plan to separately launch identical unfunded swaps referenced to the iBoxx index, a European fixed income index jointly complied by seven market makers. The two firms are going to be joint market makers in the swaps, meaning that they will both make prices for investors, to offer more transparency and liquidity, according to officials at both firms.
The swap will offer investors synthetic unleveraged exposure to the note via a credit-default swap. Aurelia Lamorre-Cargill, co-head of interest rate structuring at Deutsche Bank in London, said investors that are looking to short names in the index might prefer to use this unfunded version rather than the funded note the firms already offer.
The swaps will have a five year maturity, denominated in euros and will be launched every six months with a re-balanced underlying portfolio based on corporates' current duration-adjusted market capitalizations. Both firms independently launched iBoxx-based CLNs last year (DW, 7/1, 9/8).
