Loan credit default swap index

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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]

Contents

History

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]

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

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 ) [4]

See also

References

  1. 1 2 3 4 Lenzner, Robert (8 August 2007). "Profiting From The Meltdown". Forbes. Some top banks are quietly indexing credit, avoiding the credit bubble and raking in big bucks.
  2. ↑ "Assessing the Role of Credit History When Applying for a Fast Loan" . Retrieved 2023-08-07.
  3. ↑ Casey, Jerome (2023-03-15). "Improving Credit Score With a Credit Builder Loan". Oxford Wise Finance. Retrieved 2023-03-15.
  4. ↑ Stein, Gabrielle (15 October 2007). "Tranched LCDX Hits the Market". Asset Securitization Report. Archived from the original on 24 September 2015.
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