IBoxx, a joint venture between Deutsche Börse and seven investment banks, is to launch its first series of 'Liquid Indices' for European fixed income securities on 23 October.
The Liquid Indices are the first of their kind in Europe, says the Börse, and are designed for institutional investors, asset managers and investment banks.
The series will initially comprise 22 indices on corporate bonds, government bonds and sub-sovereigns. They will be updated every minute and incorporate analytical values - such as yield, duration, modified duration and convexity - for the individual bonds and the indices.
Because they mirror the most liquid portion of the market in euro-denominated bonds, they are expected to offer a valuable indicator for trading and provide a basis for exchange-traded and over-the-counter derivative products as well as exchange-traded funds.
The index provider iBoxx is a joint venture between ABN Amro, Barclays Capital, BNP Paribas, Deutsche Bank, Dresdner Kleinwort Wasserstein, Morgan Stanley, UBS Warburg and Deutsche Börse. The banks transmit their bid and ask quotes on a continuous basis to Deutsche Börse, which then calculates the consolidated prices and indices from these data in real time and distributes them via its price dissemination system and the Internet.