Loan credit default swap index
The loan credit default swap index (LCDX) is a loan-only credit default swap index created by CDS Index Company (CDSIndexCo).[1] The LCDX index is a tradeable index with 100 equally weighted underlying single-name loan-only credit default swaps (LCDS).[2]
History
[edit | edit source]16 major financial institutions, JPMorgan, Goldman Sachs, Deutsche Bank, Barclays Capital, Bank of America, BNP Paribas, Citigroup, Credit Suisse, Lehman Brothers, Merrill Lynch, RBS Greenwich, UBS and Wachovia,[1] owned the private company called the CDS Index Company (CDS IndexCo), that developed the ABX index on 17 January 2006.[3][4]
Markit Group Limited marketed the ABX index and by 2007 had acquired (CDS IndexCo). On 17 The ABX index was a credit default swap of asset-backed mortgages of 30 of the most liquid mortgage-backed bonds. Hedge funds began shorting that ABX index in early 2006 at par. The Deutsche Bank, alone, reportedly made $250 million.(Lenzner 2007)[1]
Recognition
[edit | edit source]Forbes journalist described the creation of the index as just-in-time financial engineering. The LCDX provided protection for banks and hedge fund clients from the overly leveraged loan market.(Lenzner 2007)[1]
Stephen Waugh, a vice president at Deutsche Bank, announced the launch of Markit's first tranched "long-awaited" and "highly anticipated" loan credit default swap index (LCDX). Citigroup claimed it had been quoted on the market since the summer of 2007.(Stein 2007)[5]
See also
[edit | edit source]References
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