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).


  • 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
  • Post-crisis returns dip

    The October monitor report for JPMorgan's Collateralized Loan Obligation Index (CLOIE) shows that re...

    News Round-up    4 November 2014
  • Sears exposure quantified

    A recent Morgan Stanley analysis identifies over 210 Sears and Kmart stores that have closed or have...

    News Round-up    30 October 2014
  • Dissemination impact examined

    The US SEC has published analyses of data on the reporting and dissemination of security-based swap...

    News Round-up    20 October 2014
  • Negative basis trades touted

    The launch of the ISDA 2014 Credit Derivatives Definitions make subordinate CDS a much better econom...

    News Round-up    17 October 2014
  • Improved outcomes

    New CDS definitions redress imbalance

    Implementation of the ISDA 2014 Credit Derivatives Definitions appears to have gone smoothly last we...

    News Analysis    17 October 2014
  • Crossover tranche trades touted

    Markit iTraxx Crossover tranches are set to begin trading on 20 October. Markit will support four tr...

    News Round-up    14 October 2014
  • CDX rolls to higher quality

    The CDX indices are set to roll to Series 23 today (6 October) in line with the delayed implementati...

    News Round-up    6 October 2014
  • PDVSA underperforms on uncertainty

    Five-year credit default swaps on Petroleos de Venezuela (PDVSA) have widened by 31% during the past...

    News Round-up    17 September 2014
  • Crossover tranche levels projected

    Markit is set to begin supporting trading in iTraxx Crossover tranches next month. The new tranches...

    News Round-up    28 August 2014
  • Call for Fed MBS exclusion

    The US fixed income indices commonly used by money managers exclude Fed Treasury holdings when calcu...

    News    20 August 2014
  • US CDS ETFs rolled out

    ProShares has launched two funds that aim to provide exposure to the credit component of the US high...

    News Round-up    11 August 2014
  • CMBX differential 'too wide'

    Markit CMBX.6.BB reference obligation spreads have tightened by 135bp since the beginning of the yea...

    News Round-up    30 July 2014
  • ABX severities to remain high

    Losses on the subprime RMBS pools backing the Markit ABX indices will not decline materially over th...

    News Round-up    29 July 2014
  • Trups CDO index improves on cures

    The number of combined US bank Trups CDO defaults and deferrals decreased to 23.4% at end-June, comp...

    News Round-up    25 July 2014
  • Loan TRS 'welcome' addition

    Total return swaps (TRS) on investment grade and high yield credit indices in Europe and the US have...

    News    23 July 2014
  • US card indices to break records

    Prime US credit card ABS collateral performance metrics are set to break records in the next reporti...

    News Round-up    18 July 2014
  • Canadian card performance improves

    The charge-off rate in S&P's Canadian credit card quality index decreased to 3.5% in May, do...

    News Round-up    18 July 2014
  • Total return CLO index introduced

    JPMorgan has launched the first rules-based daily observable pricing and total return index for US d...

    News Round-up    16 July 2014
  • Record low for card delinquencies

    US credit card ABS delinquencies closed June with another record low, while excess spread remained a...

    News Round-up    8 July 2014
  • HY single-name clearing introduced

    ICE Clear Credit has launched clearing for non-investment grade single name CDS constituents of the&...

    News Round-up    3 July 2014