Credit Suisse First Boston (CSFB) has launched a new Eurobond index which only tracks the liquid part of the market. The liquid eurobond index (LEI) – is made up of only liquid and investable issues, which are all trader-priced each day, based on actual transaction and market-making activities, CSFB says.
The inclusion of only these issues in the index, unlike matrix pricing, was designed to ensure timely and reliable pricing information, says CSFB. The index would let investors conduct relative value and portfolio performance analysis, and could also be used as a benchmark.
A large part of the Eurobond market is rather illiquid, says David Goldman, CSFB’s global credit strategist. “The LEI’s focus on the liquid eurobond market allows a more accurate measure of market trends and conditions.” Many broad-based indices, the institution said, contained securities in which the index providers’ own trading desks did not make markets or trade. Goldman said CSFB had also launched a portfolio model to use the LEI’s data for portfolio allocation and risk management.