Synthetic Index

Synthetic Index

The purchase of futures contracts and/or options such that one's exposure and potential payout resemble that of an index. One creates a synthetic index if one believes doing so will result in a higher return than a security tracking a real index.
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As a result, OIRA also began to emphasize CEA, which attempts to account for effects like these by assigning a number, tied to some kind of synthetic index, to the benefit side of the equation.
Then they show that, on average, the spread for a synthetic index futures contract is 8-14 times the spread for the actual index futures contract, even after adjusting for differences in trading volume and contract size.
The firm will seek to integrate alternative investment strategies with traditional active and synthetic index investments.
However, Derivative Fitch's synthetic index showed an 11.
61% (60bps: 1bp respectively) of the synthetic index have filed for Chapter 11, bankruptcy protection within six months.
NEW YORK -- CDS IndexCo LLC (CDS IndexCo), a consortium of 16 investment banks licensed as market makers in the ABX and Dow Jones CDX indexes, and Markit Group Limited, announced the launch of CMBX, a synthetic index of U.
NEW YORK -- CDS IndexCo LLC ("CDS IndexCo"), a consortium of 16 investment banks licensed as market makers in the ABX and Dow Jones CDX indexes, and Markit Group Limited ("Markit"), the leading industry source of independent mark-to-market pricing and valuations, announced today the launch of CMBX, a synthetic index of U.
The tracker forms part of the suite of SMART tools and metrics, which include Fitch's pan-European SME CLO tracker and Synthetic Index as well as access to surveillance data and opinion on Fitch-rated CDOs.
According to Fitch's synthetic index, which covers over 350 CDOs, exposure to the global automotive sector in synthetic CDOs has risen steadily to approximately 7.
The report analyses the indicative tranche ratings and portfolio credit quality of selected proxy portfolios for the main European and North American investment grade tradable CDS indices derived from Fitch's Synthetic Index.
T is the latest innovation by Fitch's global CDO group in its efforts to provide greater market transparency that began with the launch of Fitch's global synthetic index last year, to Fitch's state-of-the-art Default VECTOR model, which has been recently enhanced to include worldwide and expanded structured finance asset correlations, and most recently, the introduction of FitchCDx, which concentrates exclusively on bringing greater transparency to the credit default swaps (CDs) market.
bond market, the recently released Global Synthetic Index, Global Credit Derivatives and 2002 CDO Transition Study Reports.