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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).


  • CLOIE positive returns continue

    The total amount of CLOs paid down in the JPMorgan Collateralized Loan Obligation Index (CLOIE) sinc...

    News Round-up    4 January 2017
  • New lows for prime chargeoffs

    US prime credit card ABS chargeoffs reached a new low of 2.33% in December, says Fitch. Retail credi...

    News Round-up    4 January 2017
  • Capturing the liquidity premium

    Interest rate rises could increase volatility in the structured credit market, creating opportunitie...

    News    20 December 2016
  • Post-crisis single-Bs outperform

    The total amount of CLOs paid down in JPMorgan's Collateralised Loan Obligation Index (CLOIE) since...

    News Round-up    2 December 2016
  • Charge-off record reversed

    US credit card ABS 60-plus day delinquencies and charge-offs are up slightly from previous record lo...

    News Round-up    1 December 2016
  • Six-year record for UK card ABS

    The three-month average rolling charge-off index for UK credit card ABS marked its steepest quarterl...

    News Round-up    9 November 2016
  • US property prices hit landmark

    The Moody's RCA/Commercial Property Price Indices (CPPI) US all-property composite index increased 0...

    News Round-up    8 November 2016
  • Limited upside for CLOs?

    The total amount of CLOs paid down in JPMorgan's Collateralized Loan Obligation Index (CLOIE) since...

    News Round-up    2 November 2016
  • CLO defaults slow down

    US CLO loan defaults have slowed down in Q3, though the pull-back will be short-lived, according to...

    News Round-up    26 October 2016
  • Positive returns for CLOIE

    The total amount of CLOs paid down in JPMorgan's CLOIE index since the August rebalance through 30 S...

    News Round-up    4 October 2016
  • CDS index rolls provide opportunities

    The roll to CDX IG27 may be uneventful in terms of names changes, but Morgan Stanley analysts believ...

    News    20 September 2016
  • Citadel makes CDS push

    Citadel Securities is launching a European credit derivatives business and has hired Sylvain Lebre t...

    Job Swaps    8 September 2016
  • Mall sentiment eyed

    The price of CBL & Associates Properties' stock moved higher over the course of August, whil...

    News    6 September 2016
  • CLO pay-downs slow

    CLO pay-downs in JPMorgan's CLO index (CLOIE) dropped since the July rebalance through 31 August to...

    News Round-up    2 September 2016
  • CMBS delinquencies move up again

    Trepp's US CMBS delinquency rate moved higher for the fifth straight month in July to 4.76%, an incr...

    News Round-up    3 August 2016
  • Better loan prices soften CLO blow

    Improving oil and gas loan prices last quarter helped to mitigate the impact from default and triple...

    News Round-up    2 August 2016
  • CLO pay-downs surge

    The number of CLO pay-downs in JPMorgan's CLO index (CLOIE) since the June rebalance through 31 July...

    News Round-up    2 August 2016
  • CLO rating upgrades continue

    US CLO rating movements held steady in 2Q16 despite default pressures, according to S&P. Upg...

    News Round-up    1 August 2016
  • CMBS 2.0 maturity defaults spike

    US CMBS 2.0 loans saw a substantial rise in maturity defaults during the first half of 2016...

    News Round-up    1 August 2016
  • Card ABS metrics normalising

    US credit card ABS performance is beginning to normalise from historical lows following a gradual sh...

    News Round-up    29 July 2016
  • Commerical loan originations rise

    Commercial and multifamily mortgage loan originations pushed up by 17% in 2Q16 from the previous qua...

    News Round-up    29 July 2016