iBoxx, a joint venture between Deutsche Bourse and seven investment banks, has signed an agreement with risk analytics firm RiskMetrics to create and publish a family of US Dollar fixed income prices and indices.
The new indices will cover the US investment grade market and will offer selected multiple-contributor pricing, third party quality controls, neutrality and open access for all fixed income market participants, and will complement iboxx's established European indices.
As an independent organisation, iBoxx determines the rules for its indices. Investment banks submit bond prices to RiskMetrics, where they are subjected to quality controls before being consolidated, published and used for index construction.
The consolidated bond prices, the new indices and a range of analytical values will be made available to the market under the iBoxx brand in the first quarter of 2004.
David Mark, CEO of iBoxx, says the move to provide market participants with independent and accessible bond pricing and indices for the US market is the next step towards a series of global investment grade indices.
"Our experience in Europe demonstrates that the market is keen to adopt neutral, transparent pricing sources for indexation, valuation and risk measurement," he adds.
The index family will complement iBoxx's existing European indices with sub-indices by issuer type - including treasury, agency, ABS/MBS and corporate debt - maturity, rating and sector.