Structured Credit Investor SCI’s 5th Annual Capital Relief Trades Seminar 17 October 2019, London


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).

  • 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
  • ABX hits post-crisis high

    The ABX 2006-2 AAA sub-index passed a milestone last week, reaching the highest price since October...

    News Round-up    17 December 2012
  • Rally seen in ABX

    The ABX index has rallied impressively in 2012. Year-to-date price appreciation for the triple-A sub...

    News Round-up    30 November 2012
  • Sell-off seen in CMBX

    After fluctuating widely in early October, the CMBX index has sold off as poor corporate earnings an...

    News Round-up    22 November 2012
  • Ex-EU CDS index in the works

    Markit is set to make available for trading on 1 November a new sub-index - Markit iTraxx...

    News Round-up    26 October 2012
  • New CDS indices launch

    The Markit iTraxx CEEMEA and Markit CDX LatAm Corporate indices - the first CDS indices re...

    News Round-up    20 September 2012
  • Auto ABS performance stabilising

    US auto ABS performance stabilised in August, with losses improving after the previous month's dip,...

    News Round-up    18 September 2012
  • Favourable news sparks CMBX rally

    After trading in the same range all summer, favourable news from Europe and the US Fed last week was...

    News Round-up    17 September 2012
  • Index constituent changes anticipated

    The Markit iTraxx Main and Crossover indices are scheduled to roll on 20 September. Adjusting for cu...

    News Round-up    11 September 2012
  • Card delinquencies hit all-time low

    Delinquencies for US credit card ABS have plunged to an all-time low, according to Fitch's latest in...

    News Round-up    11 September 2012
  • Slice of the action

    Dynamic tranche market entices investors

    The European tranche market has seen a significant shift over the last two months, with Markit iTrax...

    News Analysis    11 September 2012
  • CMBX rally overdone?

    With CMBX total returns increasing by an average of 3.4% over the last three months, CMBS analysts a...

    News    24 August 2012
  • Technical bump for charge-offs

    US securitised credit card charge-offs increased to 4.56% in July from 4.27% in June, according to M...

    News Round-up    23 August 2012
  • CMBX.6 prepped

    Markit is believed to be readying CMBX.6, which will reference post-crisis CMBS transactions. The ne...

    News Round-up    8 August 2012
  • Risk transfer

    Counterparty risk securitisations gaining traction

    Index-linked contingent CDS contracts have yet to gain traction, despite the introduction of standar...

    News Analysis    2 August 2012
  • SCI Start the Week - 30 July

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

    PipelineOne new deal remained in the pipeline at the end of last week. It is an auto ABS: the ZAR891...

    News    30 July 2012
  • CMBX 'poised to appreciate'

    With CMBX levels remaining fairly high, spread widening is being seen as an opportunity to add expos...

    News Round-up    27 July 2012
  • ICE to clear EM CDS

    ICE Clear Credit has launched real-time, trade-date clearing of the Markit CDX.EM index for buy-side...

    News Round-up    25 July 2012
  • US CRE prices back up

    US CRE prices were up by 1.4% in May, according to the Moody's/RCA Commercial Property Price Indices...

    News Round-up    13 July 2012
  • Increase seen in CDS liquidity

    Fitch Solutions reports that CDS liquidity in the three major regions is higher than it was one mont...

    News Round-up    11 July 2012
  • Equity tranche trades recommended

    Short-dated equity tranches have emerged as a popular way of locking in strong credit fundamentals w...

    News    6 July 2012