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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).


  • 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
  • Index services offering expands

    Interactive Data Corporation is to provide evaluated prices to Barclays for use in the newly-added U...

    Job Swaps    20 June 2014
  • Markit IPO upsized

    Markit has upsized and priced its IPO for 53,472,353 common shares at a price of US$24 per share. Th...

    Job Swaps    19 June 2014
  • LMI claims indices rolled out

    Fitch has introduced new indices to monitor payment rates of claims submitted to lenders' mortgage i...

    News Round-up    19 June 2014
  • Tranche market transitioning

    The European credit index tranche market is transitioning from being dominated by legacy positions t...

    News    18 June 2014
  • SROs to provide CDS consistency

    The 2014 ISDA CDS definitions have been published and will be implemented in September (SCI passim)....

    News    17 June 2014
  • Indices add credit ratings data

    Fitch's structured finance ratings have been incorporated into Bloomberg's global bond indices. The...

    Job Swaps    17 June 2014
  • iTraxx Financials expansion mooted

    Markit is requesting feedback regarding the possible expansion of the iTraxx Financials index from 2...

    News Round-up    17 June 2014
  • CMBX losses projected

    KBRA has released its inaugural research publication on vintage US CMBS deals, leveraging data and i...

    News Round-up    6 June 2014
  • Markit IPO underway

    Markit has commenced its initial public offering: the firm's shareholders intend to sell 45,707,965...

    Job Swaps    4 June 2014
  • Record results for credit card indices

    After hitting a record low in April, Fitch's Prime Credit Card 60+ Day Delinquency Index decreased b...

    News Round-up    3 June 2014
  • JPC spreads outperform retail index

    JC Penney Co five-year CDS spreads have tightened by 36% over the past month, notably outperforming...

    News Round-up    21 May 2014
  • Private SLABS index launched

    Fitch has rolled out the latest of its series of structured finance index reports - a US P...

    News Round-up    15 May 2014
  • Positive credit card trends continue

    Fitch's Prime Credit Card Charge-off Index increased slightly to 3.04% for the March collection peri...

    News Round-up    7 May 2014
  • Financial data firm to float

    Markit has filed for a US IPO. The IPO is understood to be currently valued at US$750m, although tha...

    Job Swaps    6 May 2014
  • Fundamentals index remains stable

    The Fitch Fundamentals Index (FFI) remained stable for 1Q14 on trends including a bottoming-out of c...

    News Round-up    16 April 2014
  • Charge-offs hit record low

    Fitch's Prime Credit Card Charge-off Index has reached another record low and now stands at 2.89% fo...

    News Round-up    2 April 2014
  • Private SLABS poised for stability

    An improving broader economy is leading to fewer college students postponing their monthly loan paym...

    News Round-up    2 April 2014
  • Consumer weighting for HY22

    The Markit CDX HY index rolls from Series 21 to Series 22 tomorrow (27 March), with two constituent...

    News Round-up    26 March 2014
  • Positioning for basis normalisation

    The investment grade CDS-cash basis remains very negative in the US and positive in Europe. With thi...

    News    25 March 2014
  • iTraxx changes implemented

    The Markit iTraxx Crossover index expanded to 60 names in the roll to Series 21, reflecting the expa...

    News    24 March 2014