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).


  • 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
  • REO liquidations could rise

    While losses on REO liquidations have been declining in recent months, the trend may reverse later i...

    News Round-up    23 March 2015
  • Chinese auto defaults 'very low'

    Fitch says that the cumulative default levels of Chinese auto loan ABS transactions in January remai...

    News Round-up    20 March 2015
  • CDX rolls to higher quality

    The Markit CDX IG index is set to roll to series 24 tomorrow (20 March), with four name changes from...

    News Round-up    19 March 2015
  • Scandal spurs record widening

    Five-year CDS on Petroleo Brasileiro (Petrobras) widened by 24% last week to their widest levels eve...

    News Round-up    18 March 2015
  • IOS convexity examined

    Markit has launched two new IOS indices, referencing FN pools issued in 2014 for the 3.5 and 4 coupo...

    News Round-up    17 March 2015
  • Balloon date pay-offs dip

    The percentage of US CMBS loans paying off on their balloon date fell in February, after a sharp ris...

    News Round-up    17 March 2015
  • Slight decline for Trups defaults

    The number of US bank Trups CDO combined defaults and deferrals marginally decreased to 20.7% at end...

    News Round-up    17 March 2015
  • CLO index expands

    JPMorgan has introduced a post-crisis single-B series to its CLOIE index. The bank estimates that th...

    News Round-up    16 March 2015
  • CDS trade counts jump

    The average daily trade counts and notional volume in CDS increased during 2014, according to ISDA....

    News Round-up    16 March 2015
  • Property prices outpacing income

    Post-crisis property prices have risen considerably more than effective gross income for core commer...

    News Round-up    9 March 2015
  • CMBS delinquency rate plummeting

    The Trepp US CMBS delinquency rate has fallen for the fourth straight month and the twentieth time i...

    News Round-up    4 March 2015
  • CMBS loss severity up

    Higher liquidations and losses from large 2007 vintage loans drove US CMBS loss severity to 49.1% in...

    News Round-up    4 March 2015
  • Portuguese arrears slow

    Fitch says the volume of defaulted Portuguese residential loans has reached a new high. However, the...

    News Round-up    3 March 2015
  • Post-crisis CLOs outperform

    The total amount of CLOs paid down in JPMorgan's Collateralized Loan Obligation Index (CLOIE) since...

    News Round-up    3 March 2015
  • Delinquency decline projected

    S&P forecasts a 50bp-100bp decline in the US CMBS delinquency rate this year, after analysin...

    News Round-up    2 March 2015
  • Total return ETF debuts

    State Street Global Advisors (SSGA) and DoubleLine Capital have partnered to launch the SPDR DoubleL...

    News Round-up    25 February 2015
  • CMBS metrics diverging

    New issue and legacy US CMBS metrics continue to diverge, says Fitch. New issue metrics continued to...

    News Round-up    20 February 2015
  • CRE performance positive

    All US CRE sectors performed well in 4Q14, according to Moody's. The agency says performance was sup...

    News Round-up    20 February 2015
  • ILS valuations firm founded

    Former AIG Americas chief risk officer Kevin Huang has founded a firm specialising in risk analysis...

    Job Swaps    17 February 2015
  • CMBS credit enhancement rising

    Declining US CMBS deal metrics in 4Q14 have set the stage for higher credit enhancement levels in 20...

    News Round-up    16 February 2015