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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).


  • 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
  • CPPI inches up

    The Moody's/RCA Commercial Property Price Indices (CPPI) national all-property composite index incre...

    News Round-up    10 April 2013
  • Mexican RMBS performance data enhanced

    Moody's has rolled out two new products covering performance of Mexican RMBS - a Mexican R...

    News Round-up    9 April 2013
  • Single-name shut-out?

    CVA charge adds pressure to move to CDS indices

    Single-name CDS liquidity has been falling for the last few years as trading concentrates on an ever...

    News Analysis    22 March 2013
  • UK non-conforming arrears plummet

    S&P has published its 4Q12 UK RMBS index report, which shows that UK non-conforming mortgage...

    News Round-up    12 March 2013
  • Credit index futures prepped

    ICE is set to introduce four credit index futures contracts starting in May. The contracts will be b...

    News Round-up    11 March 2013
  • New iTraxx series to trade wider

    The provisional membership list for the new Series 19 iTraxx indices has been published ahead of its...

    News Round-up    11 March 2013
  • CDX 20 set to roll wider

    Provisional changes to the Markit CDX IG index constituents have been published ahead of the roll to...

    News Round-up    7 March 2013
  • Compliance schedule released for iTraxx swaps

    The CFTC has released a revised compliance schedule for clearing of iTraxx CDS indices. Category 1 a...

    News Round-up    27 February 2013
  • Electronic trading platform enhanced

    Tradeweb Markets has enhanced its electronic iTraxx credit default swap index platform in Europe, en...

    News Round-up    22 February 2013
  • ICE to clear iTraxx indices

    ICE Clear Credit has received regulatory approval to clear the Markit iTraxx Europe CDS indices. Cle...

    News Round-up    20 February 2013
  • New agency derivative indices debut

    Markit has launched IOS, PO and MBX indices referencing 3% and 3.5% Fannie Mae pools issued in 2012....

    News Round-up    13 February 2013
  • Equity tranche trade touted

    The credit market is currently characterised by two prominent themes - demand for yield an...

    News Round-up    12 February 2013
  • Promising start for CMBX.6

    CMBX.6 index activity appears to have had a promising start, based on DTCC figures. Total CMBX volum...

    News Round-up    11 February 2013
  • CMBX.6 credit curve flattening expected

    CMBX.6.BBB- spreads were approximately 30bp cheap versus similarly-rated cash bonds, following the l...

    News    29 January 2013
  • Mortgage market index debuts

    Fitch has begun publishing a new quarterly mortgage market index, which measures the percentage of l...

    News Round-up    23 January 2013
  • SCI Start the Week - 14 January

    A look at the major activity in structured finance over the past seven days

    PipelineNew deals have begun to be announced for the first part of the year, with seven transactions...

    News    14 January 2013
  • Apartments fuel CRE price rise

    A 1.2% rise in apartment prices drove a 0.4% increase in US CRE as a whole in November, according to...

    News Round-up    11 January 2013
  • Record low for credit card charge-offs

    US credit card ABS finished 2012 strongly. Fitch's latest index results show charge-offs reached ano...

    News Round-up    11 January 2013
  • Trading pick-up predicted for CMBX 6

    Markit CMBX Series 6 is due to launch on 25 January (SCI 8 August 2012), featuring a new sub-index....

    News    7 January 2013
  • Further prime, subprime auto divergence

    US prime auto ABS continued to perform strongly at the end of 2012, but the latest index results fro...

    News Round-up    4 January 2013