BARCELONA - Market players are coordinating to create both in-house and publicly available ABS credit default swap indices - a much needed reference point for the rapidly growing market, they said. A pricing index for CMBS could be available by September, and a more encompassing ABS CDS index may be rolled out by the second half of the year.

"The long/short structure has arrived and is here to stay for a long time," said Walter Gontarek, a managing director at RBC Capital Markets. "I think of the value of CDS and going short is really compelling."

Some said the lack of a pricing index has stopped them from executing deals because they cannot get the trade approved without more data.

"At least what our company has tried to do is develop a secondary market [for CDS of ABS] - but we have a lack of data. To find out what has taken place since issue, it is very difficult, and it is very time consuming. We can't do the trade because we don't have the information," said David Dubin, a managing director at MBIA.

According to Dean Atkins, executive director and head of European ABS trading at ABN AMRO, the establishment of an ABS index is the biggest step forward to getting a genuine CDS market started.

While Ron Miao, an executive director at CitiGroup, characterized the secondary market for ABS CDS as in a sort of stop-and-go state, "It seems like we are starting over and over again." Chantal Hegy, a director at Merrill Lynch, added, "I think the synthetic market is booming, but it is just more private."

Dino Di Costa, a vice president at Credit Suisse First Boston added that as more investment banks purchase CMBS in the whole loan market, the need to short those assets will increase, spurring the development of a more advanced CDS market for those assets. Di Costa and Miao said several institutions have been working together for the last three-to-six months in the hopes of creating a CMBS CDS index by September; at least eight institutions are helping to contribute generic pricing to the project, and that one company is hoping to roll out a pricing index by the second half of this year.

(c) 2005 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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