LOGIN
 

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).


  • Idiosyncratic risk to boost CDS volume

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

    News    12 December 2013
  • Credit cards outperform expectations

    US credit card ABS collateral again outperformed market expectations during the October collection p...

    News Round-up    9 December 2013
  • Funding margin index debuts

    Bloomberg Indexes has launched the Bloomberg European Banks Funding Margin Index, a new benchmark th...

    News Round-up    20 November 2013
  • Credit option analytics offered

    SuperDerivatives has launched a market data and analytics package to support the growing demand for...

    News Round-up    11 November 2013
  • Aussie ABS index rolled out

    Fitch has published its first Australian Dinkum ABS Index report. The index is designed to enable in...

    News Round-up    11 November 2013
  • Cards extend positive performance

    US credit card ABS performance extended its positive trend during the September collection period, a...

    News Round-up    6 November 2013
  • Benchmark indices tweaked

    Barclays has amended its benchmark fixed income indices, after concluding its annual index review an...

    News Round-up    6 November 2013
  • Credit swaps submitted for MAT

    Tradeweb's TW SEF has submitted to the CFTC a self-certification determination for interest rate and...

    News Round-up    30 October 2013
  • Index tranche trades compressed

    TriOptima says it has worked with industry participants to implement an advanced triReduce compressi...

    News Round-up    29 October 2013
  • Credit market changes to boost liquidity

    US institutional fixed income investors struggling with recent reductions in credit market liquidity...

    News Round-up    23 October 2013
  • SEF differentiation

    Execution protocols, product offerings discussed

    Seventeen SEFs were granted CFTC registration by the 2 October go-live date. Liquidity is eventually...

    News Analysis    18 October 2013
  • US fundamentals index launched

    Fitch has launched the Fitch Fundamentals Index (FFI) to track changes in the strength of the US eco...

    News Round-up    17 October 2013
  • Convexity packages gaining traction

    The cash-CDS basis has drifted steadily more negative over the last two months, driven largely by un...

    News    16 October 2013
  • SEF licensing agreements signed

    Markit has licensed its Markit CDX North America IG, Markit CDX North America HY and Markit iTraxx E...

    News Round-up    7 October 2013
  • Credit-checked index trade completed

    MarketAxess SEF Corp has completed the first live credit default swap (CDS) index trade using Traian...

    News Round-up    26 September 2013
  • Indices point to positive card performance

    US credit card ABS collateral performance is expected to stay positive and ratings should remain sta...

    News Round-up    28 August 2013
  • Credit futures calculator launched

    Quantifi has launched an industry price-spread calculator for credit index futures listed on ICE Fut...

    News Round-up    22 August 2013
  • Index constituent changes predicted

    Markit iTraxx Series 20 is set to begin trading on 20 September. Based on current data and Series 19...

    News Round-up    14 August 2013
  • Telecom Italia spreads surge

    Credit default swap spreads on Telecom Italia (TI) are widening as Italy's largest phone company bat...

    News Round-up    7 August 2013
  • Index trading chief added

    Citi has recruited John Mann as head of credit index trading, based in New York. He was previously a...

    Job Swaps    5 August 2013
  • Client clearing due for European roll-out

    ICE Clear Europe is set to introduce client clearing for European credit default swaps after receivi...

    News Round-up    2 August 2013