LONDON - Panelists at last week's Loan Syndications and Trading Association (LSTA) gathering in London said an LCDX Index product is in development and should be ready for launch in the next six to eight weeks.
The Index will consist of 100 names and be cash settled. First lien loans will be listed as deliverable obligations. Deliverable obligations will be defined as they are with the single-name product, which is by the syndicated secured list (SSL). Only references that are eligible for inclusion on the SSL could be included in the LCDX. The only credit events for these products will be a borrower's failure to pay and bankruptcy. A five-year coupon will be initially set to help focus on liquidity at that maturity, panelists at the conference said.
One of the issues still pending before the launch date is the distinction of scrubbed versus unscrubbed information for the index - 90% of candidates for inclusion have been scrubbed. But the key reference entities are not public.
"We are looking at possible solutions and believe we are closer to reaching a consensus that will be useful for Europe as well," said Ian Sandler, an executive director in senior bank debt and trading at Morgan Stanley.
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