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).


  • 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
  • Trups default drop minimal

    US bank Trups CDO combined defaults and deferrals marginally decreased to 21% at end-January, accord...

    News Round-up    16 February 2015
  • Spanish arrears declining

    The Spanish economic recovery is feeding into mortgage performance, according to Fitch's latest quar...

    News Round-up    11 February 2015
  • CMBS delinquencies down again

    The Trepp delinquency rate for US CMBS loans is now 5.66%, down by 9bp in January and 159bp from the...

    News Round-up    4 February 2015
  • Post-crisis CLO index outperforms

    JPMorgan's latest CLO index (CLOIE) monitor report shows that US$2.8bn in par outstanding of CLOs pa...

    News Round-up    3 February 2015
  • Marginal decrease in Trups defaults

    The number of combined US bank Trups CDO defaults and deferrals marginally decreased to 21.1% at end...

    News Round-up    30 January 2015
  • CLO performance stays strong

    CLO performance was positive in 2014 says S&P, with 75% of its ratings remaining stable and...

    News Round-up    27 January 2015
  • Made to measure

    Tranche investment patterns changing

    The end of 2014 was also something of an end of an era for the credit derivatives markets, as the CD...

    News Analysis    27 January 2015
  • Sale spurs CDS widening

    Portugal Telecom International Finance's five-year CDS widened 44% over the past month to price at i...

    News Round-up    16 January 2015
  • CLO index returns forecast

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

    News Round-up    9 January 2015
  • CMBS indices unveiled

    Trepp and Markit have launched of a number of CMBS indices that aim to provide independent and trans...

    News Round-up    8 January 2015
  • CMBS delinquencies down

    The delinquent unpaid balance for US CMBS fell to US$30.92bn in November, says Morningstar. This is...

    News Round-up    24 December 2014
  • SLABS defaults, delinquencies drop

    US private student loan (PSL) defaults dropped below 2.5% for the first time since 2006 and will rem...

    News Round-up    23 December 2014
  • Auto losses up but historically low

    Losses were up for both US prime and subprime auto loan ABS last month. Subprime losses were higher...

    News Round-up    19 December 2014
  • CMBX.8 credit quality examined

    Markit has released a preliminary list of constituents for the CMBX.8 index. The sub-indices for CMB...

    News Round-up    16 December 2014
  • Trups default rate unchanged

    The number of US bank Trups CDO combined defaults and deferrals remained at 22% at end-November, acc...

    News Round-up    16 December 2014
  • CMBX ratings eligibility broadened

    A rules change regarding the eligibility requirement for Markit CMBX reference obligations has been...

    News Round-up    9 December 2014
  • Bounce in loss severity

    While the disposed US CMBS loan balance continued to fall in November, a bounce in loss severity cou...

    News Round-up    8 December 2014
  • Office drives CRE price rise

    Gains in major markets drove an overall increase in US CRE property prices in October, according to...

    News Round-up    8 December 2014
  • CLO returns rebound

    JPMorgan's latest Collateralized Loan Obligation Index (CLOIE) monitor report shows that the total a...

    News Round-up    2 December 2014
  • Green bond index unveiled

    Barclays and MSCI have launched a new green bond index family measuring the global market of fixed i...

    News Round-up    14 November 2014