Creditex UK Limited (âCreditexâ) and Markit Group Limited (âMarkitâ) today announced the successful completion of the first electronic Tradeable Tranche Fixings, providing additional transparency, liquidity and confidence in the rapidly growing credit default swap (CDS) market.
The first Tradeable Tranche Fixings took place on January 31, 2007 at 11:30 GMT. Sixteen leading credit derivatives dealers participated, an indication of the widespread market support for the newly launched Fixings. The Tradeable Tranche Fixings follow the same methodology as the weekly iTraxx Fixings and results are posted on a freely accessible website.
Tradeable Tranche Fixings will be held on the last business day of every month and will enable market participants to mark their positions to market, and will provide a benchmark reference and settlement rate for structured products.
Traxx Tranches are standardised instruments that allow institutional investors to trade correlation by referencing specific points in the capital structure of the underlying iTraxx index portfolio.
Kevin Gould, Executive Vice President and Head of Data Products and Analytics at Markit, commented: ââWe launched the Tradeable Tranche Fixings to meet the needs of CDS dealers and investors, and to build on the existing Fixings services which have consistently enjoyed strong dealer support since their launch in 2005. This first Tranche Fixing was a resounding success and, clearly, any initiative that brings greater transparency to a product will promote investor confidence and improve efficiency.â
âDealer support and feedback was very positive for the inaugural Tradeable Tranche Fixings,â said Rupert Walsh, UK Head of Structured Products at Creditex. âThis comes after a significant period of consultation and work with the dealer community to bring together a real-time electronic solution, which we will continue to enhance and improve. Good volumes were traded across all maturities, Series and Tranches, a happening which should augur well for improving the liquidity and accurately pricing the mark to market on the iTraxx Tranche Series going forward.â
The Tradeable Tranche Fixings form part of the Credit Fixings initiative launched by Creditex and Markit in 2005. Since that time, iTraxx fixings have taken place weekly to provide a standard benchmark and settlement rate. The initiative also includes Credit Event Fixings, an industry standard mechanism designed to ease the settlement of credit derivative trades following a corporate default. The process is overseen by ISDA.