Credit indices: The long and short of European CMBS

Despite growing volumes of ABS derivative trading in the US, repeated attempts to introduce index derivative products to more effectively express nuanced views on ABS credit spreads in Europe have had mixed results. Now the developers of the latest rules-based ABS index – ECMBX, managed and calculated by Markit – argue that its concept and transparency will drive liquidity from day one. Moreover, they claim, both the underlying market and the intended clientele will be more receptive to a tradeable index offering than previous launches.