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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).


  • 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
  • ABX recovery estimates up

    Improving collateral pool performance has led to an increase in Moody's principal recovery estimates...

    News Round-up    31 July 2013
  • Second clearing phase completed

    The second phase of required clearing for iTraxx credit default swap (CDS) indices began last week f...

    News Round-up    30 July 2013
  • CDS trading chief appointed

    Alexis Serero is joining Citi as head of CDS index trading for Europe. He will be based in London an...

    Job Swaps    25 July 2013
  • Green light for European index clearing

    LCH.Clearnet has received regulatory approval to clear CDS index transactions for European clients t...

    News Round-up    22 July 2013
  • Risk and reward

    Leveraged credit investing becoming more complex?

    Risk appetite for leveraged diversified credit is rising with the hunt for yield. But, at the same t...

    News Analysis    11 July 2013
  • Broker adds derivatives indices head

    ICAP has named Jan de Smedt as global head of indices, based in London. He will report to Kevin Tayl...

    Job Swaps    1 July 2013
  • Triple-As dominate CMBX trading

    CMBX trading activity declined significantly last week, given the market's focus on the CRE Finance...

    News Round-up    19 June 2013
  • Credit index futures debut

    The first of ICE's planned credit index futures contracts - the Markit CDX Investment Grad...

    News    19 June 2013
  • Buy-side clearing begins

    Barclays reports that it cleared the industry's first single-name credit default swap client transac...

    News Round-up    11 June 2013
  • Tranche repositioning recommended

    The strong rally in MBIA credit risk in the aftermath of the company's legacy exposure settlements i...

    News    31 May 2013
  • Bail-in credit event takes shape

    Unconfirmed details have emerged regarding ISDA's proposals to update the CDS definitions (SCI 21 Ma...

    News    24 May 2013
  • Markit looks east for growth

    Singapore-based Temasek has made a significant equity investment in Markit. The addition of Temasek...

    Job Swaps    22 May 2013
  • Documentation overhaul spooks sub CDS holders

    Concern that ISDA's plan to update the CDS definitions (SCI 19 December 2012) could impact the liqui...

    News Round-up    21 May 2013
  • Asian liberalisation?

    Signs of CDS gaining ground as Asian markets open up

    The OTC derivatives market in Asia continues to be fragmented and largely weighted towards FX and in...

    News Analysis    20 May 2013
  • Markit continues Latin push

    Markit has entered into a partnership with Agência Estado, whereby Agência Estado...

    Job Swaps    1 May 2013
  • Stress index enhanced

    The Cleveland Financial Stress Index (CFSI) - a tool that allows policymakers and financia...

    News Round-up    22 April 2013
  • Cat bond momentum to continue

    Aon Benfield All Bond index investment returns for the annual period ending 31 March reached 12.69%....

    News Round-up    19 April 2013
  • CMBS late-pays inch up

    CMBS late-pays rose by 2bp in March to 7.63% from 7.61% a month earlier, according to Fitch's latest...

    News Round-up    15 April 2013
  • Cash RMBS index launched

    Markit has unveiled the Markit iBoxx US Non-Agency RMBS indices, a family of cash bond indices based...

    News Round-up    11 April 2013
  • Credit spread futures prepped

    S&P Dow Jones Indices has launched three new credit spread indices based upon the S&...

    News Round-up    11 April 2013