New York – Credit Suisse has launched two new Emerging Market (EM) fixed income indices that can help global investors gain enhanced exposure to EM sovereign credit and broad access to local currency debt markets.

The two new indices take distinct, yet complimentary, approaches to investing in Emerging Market sovereign debt. The Credit Suisse Emerging Markets Credit Opportunity (EMCROP) index aims to generate superior risk-adjusted performance by systematically identifying mispricing in EM sovereign credit spreads and tactically adjusting overall market exposure, while the Credit Suisse Emerging Market Local Currency Sovereign Bond Index (CSEMLC) provides broad benchmark exposure to EM sovereign debt.

The Credit Suisse Emerging Markets Credit Opportunity Index (EMCROP) is an investment strategy designed to benefit from mispricing in EM sovereign credit spreads relative to their macroeconomic and credit fundamentals. The strategy sells credit default swap (CDS) protection on up to six EM sovereign credits and rebalances its exposure quarterly. Selection of sovereign credits is based on country-level fundamentals and credit exposure is adjusted according to the Credit Suisse Extreme Flow Indicator, a proprietary medium-term timing indicator. For “risk-on” periods, the strategy invests in the selected CDS contracts, in “risk-off’ periods, the strategy stays neutral.

Mike Hodgson, Head of Fixed Income for the Emerging Markets Group at Credit Suisse, said, “These new indices reinforce our position as a leading franchise in Emerging Markets and exemplify our cutting-edge research in developing transparent, liquid strategies. With EMCROP, we now offer investors convenient alpha exposure to EM sovereign credit, while CSEMLC provides a benchmark for EM local currency bond markets.”