Structured Credit Investor SCI’s 5th Annual Capital Relief Trades Seminar 17 October 2019, London
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Indices

Indices can be structured on any collection of underlying structured credit and ABS instruments and traded or utilised bilaterally. Such activity is typically facilitated through the use of derivatives. A growing area of focus surrounds total return swaps or TRS (ie a swap of cashflows of both interest and capital) on an agreed index or basket of underlying credit or loan instruments. However, the greatest volume of structured credit index activity is in the standardised IHS Markit CDX and iTraxx CDS indices. Unlike, say, an equity index, the CDX and iTraxx indices are not notional indices created with reference to the underlying cash market, they are portfolios of actively traded credit default swaps or CDS. As a result, the indices are themselves tradable. The standardised index product set includes: iTraxx Europe, iTraxx Europe Crossover, iTraxx Europe HiVol, CDX.NA.IG, CDX.NA.HY, CDX.NA.IG.HVOL, CDX.EM, CDX.EM.DIVERSIFIED, iTraxx Japan and iTraxx Asia ex-Japan. In addition, there are indices covering other asset classes: ABX (ABS of US home equity loans), CMBX (commercial mortgage-backed securities), LevX Senior and LevX Subordinated (European leveraged loans) and LCDX (US leveraged loans).


  • Buy-side buy-in

    End-user use of complex credit on the increase

    The continuing need to search for yield is causing the buy-side to look beyond traditional credit. N...

    News Analysis    4 July 2019
  • Implied volatility leads the way

    Realised outpaced across European indices

    The broad-based rally in credit in recent weeks is also driving up European credit option volatility...

    News    22 May 2019
  • New fund for CDS recruit

    Company hires and sector developments

    ABL acquisition Benefit Street Partners affiliate Business Development Corporation of America has a...

    Market moves    28 February 2019
  • Surging ahead

    CDX grows while TRS is found wanting

    CDX indexes have become an integral tool for many credit fund managers in Europe and the US, both fo...

    News Analysis    22 February 2019
  • SCI Start the Week - 9 July

    A look at the major activity in structured finance over the past seven days

    Pipeline With 4 July having a typically big impact on the issuance calendar, the pipeline was ligh...

    News    9 July 2018
  • TRS see sustained uptick

    IHS Markit iBoxx TRS trading volumes have risen sharply in recent years by around US$10bn and activi...

    News Analysis    23 May 2018
  • Synthetic access welcomed

    The launch of the CRTx credit risk transfer index (SCI 11 May) has been welcomed by RMBS traders for...

    News Analysis    21 May 2018
  • Market moves - 11 May

    Acquisitions Blackstone is set to acquire all outstanding common shares of Gramercy Property Trust...

    Market moves    11 May 2018
  • Market moves - 13 April

    Aircraft ABS on watch KBRA has placed the class A, B and C notes of the US$411m Prop 2017-1 ABS o...

    Market moves    13 April 2018
  • Market moves - 23 March

    CDS clearing developments Intercontinental Exchange has transitioned index CDS open interest from...

    News    23 March 2018
  • Toys R Us impact eyed

    Toys 'R' Us is set to close 182 stores, accounting for seven million square-feet or about a fifth of...

    News    25 January 2018
  • CDS developments gather momentum

    Two developments - one under ISDA's control and the other seemingly out of it -...

    News Analysis    12 September 2017
  • Hurricane Harvey impact weighed

    While the picture is not yet clear in terms of the total damage inflicted by Hurricane Harvey, it lo...

    News    1 September 2017
  • Bespoke boost opportunity

    The search for yield is driving activity in bespoke CDS tranches, referred to as bespoke tranche opp...

    News Analysis    15 August 2017
  • CRT customisation gains traction

    The GSE credit risk transfer (CRT) market has continued to evolve since it began in 2013, with Fanni...

    News Analysis    17 May 2017
  • JCPenney exposure gauged

    JCPenney has disclosed the 138 stores that it plans to shutter in an effort to optimise retail opera...

    News    20 March 2017
  • European index exposure favoured

    The roll of the IHS Markit CDS indices next week is expected to result in a number of lower quality...

    News    17 March 2017
  • CMBX mall exposures stressed

    A new Morgan Stanley study applies stress scenarios to mall exposures across the IHS Markit CMBX.6 t...

    News    3 March 2017
  • CLOIE pay-downs pick up

    The total amount of CLOs paid down in the JPMorgan Collateralized Loan Obligation Index (CLOIE) sinc...

    News Round-up    2 February 2017
  • Weather risk platform introduced

    Speedwell Weather has launched its weatherXchange platform, which aims to help companies access inde...

    News Round-up    16 January 2017
  • CLOIE positive returns continue

    The total amount of CLOs paid down in the JPMorgan Collateralized Loan Obligation Index (CLOIE) sinc...

    News Round-up    4 January 2017