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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).


  • Foreclosure timelines plateau

    The average amount of time it took to liquidate a distressed US mortgage loan rose again in 1Q15 to...

    News Round-up    22 April 2015
  • Conduit credit quality weakening

    The credit quality of loans in US CMBS conduits is continuing to weaken, says Moody's. Conduit loan...

    News Round-up    22 April 2015
  • EMEA CMBS stabilising

    EMEA CMBS performance stabilised in 1Q15 as CRE loans past their original maturities have remained f...

    News Round-up    22 April 2015
  • Loan terms examined

    Of the over 12,000 loans outstanding in Fitch-rated US CMBS transactions issued since 2010, approxim...

    News Round-up    20 April 2015
  • Global RMBS recovering

    Moody's notes that US economic growth has driven RMBS arrears lower, while GDP growth and servicers'...

    News Round-up    20 April 2015
  • CMBS defaults at six-year low

    Fitch says that new US CMBS defaults continued a trend of declines, with the annual default rate fal...

    News Round-up    14 April 2015
  • CMBS pay-offs fluctuating

    Trepp says the percentage of US CMBS loans paying off on their balloon date increased in March to 64...

    News Round-up    13 April 2015
  • Servicing advance rates increasing

    US RMBS servicing advance rates increased slightly in 4Q14, according to Fitch's latest index result...

    News Round-up    9 April 2015
  • Mall loss severities pose risk

    Moody's says that legacy US CMBS continue to face credit risk based on regional mall loan loss sever...

    News Round-up    9 April 2015
  • Spanish SME performance improving

    Spanish SME loan performance is improving upon a better economic outlook, less exposure to real esta...

    News Round-up    8 April 2015
  • Special servicing universe shrinking

    The US CMBS special servicing universe continues to shrink, dropping to levels not seen since 2010,...

    News Round-up    8 April 2015
  • CMBS liquidations stay low

    For the second consecutive month, Trepp reports that US CMBS liquidation volume was below US$1bn in...

    News Round-up    8 April 2015
  • CMBS delinquencies dip

    US CMBS delinquencies fell by 4bp in March to 4.73% from 4.77% a month earlier, according to Fitch's...

    News Round-up    7 April 2015
  • Chinese auto ABS performance varies

    Chinese auto loan ABS delinquency rates increased in 4Q14 compared with 3Q14, but remain low, explai...

    News Round-up    2 April 2015
  • Post-crisis CLOs still outperforming

    The total amount of CLOs paid down in JPMorgan's CLO index (CLOIE) between the February rebalance an...

    News Round-up    2 April 2015
  • CMBS delinquency rate flattens

    The Trepp US CMBS delinquency rate was unchanged in March, interrupting the recent string of falling...

    News Round-up    2 April 2015
  • US CMBS delinquencies just up

    The 60-plus day US CMBS delinquency rate for pre-2009 vintages increased slightly to 8.6% in March,...

    News Round-up    27 March 2015
  • SFR vacancies may rise

    Certificate holders of 15 single-family rental securitisations received full payment on the distribu...

    News Round-up    26 March 2015
  • Irish prime RMBS stabilising

    The Irish prime RMBS market continued to stabilise in the three-month period ended January, accordin...

    News Round-up    25 March 2015
  • Card ABS to withstand slow rate rise

    US credit card ABS performance should remain stable during a gradual interest rate rise, says Fitch....

    News Round-up    24 March 2015
  • Spanish housing to recover slowly

    Recent data suggests that Spain's protracted house price correction is coming to an end, observes Fi...

    News Round-up    23 March 2015