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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).


  • 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
  • IG22 to trade wider?

    The Markit CDX IG index is set to roll to series 22 tomorrow (20 March), with four constituents subs...

    News Round-up    19 March 2014
  • Senior financials clearing offered

    IntercontinentalExchange Group has launched clearing for Markit iTraxx Senior Financials credit defa...

    News Round-up    18 March 2014
  • Recovery in apartment prices underlined

    Apartment prices have recovered to a greater extent than single-family prices post-crisis in Boston,...

    News Round-up    14 March 2014
  • Green bond index debuts

    Solactive has launched the Solactive Green Bond Index, which is designed to provide exposure to gree...

    News Round-up    14 March 2014
  • Sentiment drives ABX prices higher

    Markit ABX triple-A index prices have climbed modestly over the last six months, due to improving in...

    News Round-up    6 March 2014
  • Seasonal trends lift timeshare delinquencies

    US timeshare ABS delinquencies increased moderately this past quarter due to seasonal trends, though...

    News Round-up    26 February 2014
  • CMBX 3 correction issued

    Markit has issued a correction in connection with a loss recoupment on the CWCI 2006-C1 D tranche th...

    News Round-up    25 February 2014
  • ILS index adds dollar hedge

    Eurekahedge and ILS Advisers have released a US dollar hedged version of their benchmark Eurekahedge...

    News Round-up    20 February 2014
  • SEF volumes low ahead of MAT

    MarketAxess estimates that less than 20% of CDS index volume is trading on SEFs, ahead of the 26 Feb...

    News Round-up    14 February 2014
  • Crossover constituents to increase

    The iTraxx Crossover Index is set to expand by 10 names to 60 during the March 2014 index roll. This...

    News Round-up    13 February 2014
  • Sovereign CDS liquidity analysed

    ISDA has published a research note examining the liquidity impact of the implementation of the EU sh...

    News Round-up    31 January 2014
  • Alstom CDS widen on negative sentiment

    CDS market sentiment towards Alstom has worsened in the last week after the company cut its profit f...

    News Round-up    29 January 2014
  • Loss reimbursements to diverge?

    The recent loss recoupment to the D tranche of CWCI 2006-C1 (SCI 20 January) appears not to have bee...

    News Round-up    23 January 2014
  • Improved fundamentals highlighted

    The Fitch Fundamentals Index (FFI) remained in neutral territory but rose to +2 in 4Q13 from zero in...

    News Round-up    17 January 2014
  • Sears CDS underperforming

    CDS on Sears Roebuck Acceptance Corporation have widened by 39% over the past month, according to Fi...

    News Round-up    17 January 2014
  • Card performance hits 'historic' levels

    Fitch reports that most of its prime credit card ABS indices touched historic levels in 2013. The Fi...

    News Round-up    9 January 2014
  • CMBX.6 lessons learnt?

    CMBX.7 is expected to launch on 27 January. While its exact composition is yet to be confirmed, the...

    News    9 January 2014
  • CMBX rally continues

    The CMBX index rallied for the sixth consecutive month in December, spurred by better than expected...

    News Round-up    3 January 2014
  • Euro card index rolled out

    DBRS has introduced 'Beyond the Plastic', a new Europe-wide index and periodical covering credit car...

    News Round-up    19 December 2013
  • Idiosyncratic risk to boost CDS volume

    The credit derivatives market is entering 2014 amid a regulation-induced transformation. While capit...

    News    12 December 2013