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).


  • 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
  • CEEMEA index in the works

    Markit is set to launch the first credit default swap index referencing CEEMEA corporate debt &#...

    News Round-up    5 July 2012
  • Index giant created

    The McGraw-Hill Companies and CME Group have launched S&P Dow Jones Indices, the world's lar...

    Job Swaps    2 July 2012
  • CMBX fundamental value highlighted

    The CMBX indices continue to closely follow the broader market as investors remain preoccupied with...

    News Round-up    22 June 2012
  • CMBX delinquencies rising

    Delinquencies continue to rise in the 2007 vintage CMBX.4 index, driven by a raft of loans that fail...

    News Round-up    20 June 2012
  • iBoxx TRS offered

    Markit has made a number of global iBoxx corporate indices available for trading in a standardised t...

    News Round-up    14 June 2012
  • Latin American CDS index launching

    Markit will launch the first CDS index referencing Latin American corporate debt this summer. The Ma...

    News Round-up    6 June 2012
  • 'Risk-off' weighing on CMBX

    CMBX spreads remain at elevated levels but are still tight to October 2011's record wides. In additi...

    News Round-up    29 May 2012
  • CPPI returns

    Moody's and Real Capital Analytics (RCA) have launched the Moody's/RCA Commercial Property Price Ind...

    News Round-up    25 May 2012
  • Building blocks

    Credit and counterparty risk management practices surveyed

    Derivatives market participants polled by SCI, in partnership with Fitch Solutions, agree that count...

    News Analysis    22 May 2012
  • Greek deposit flight warning

    iTraxx indices are near last year's highs on concerns that Greece will exit the euro. At the same ti...

    News Round-up    18 May 2012
  • Credit-picking strategies recommended

    The current environment makes for a good credit-picker's market, according to credit derivative stra...

    News    2 May 2012
  • CMBX volatility returns

    Citi CMBS analysts report that volatility returned to the CMBX indices earlier this month, with euro...

    News Round-up    27 April 2012
  • Bank credit risk indicators launched

    Fitch Solutions has launched a new suite of bank credit risk indicators to assist credit risk manage...

    News Round-up    19 April 2012
  • Proprietary index valuation service offered

    Pricing Partners has launched what it describes as a first-to-market valuation service for proprieta...

    News Round-up    3 April 2012
  • Elpida Memory CDS settled

    The final price for Elpida Memory CDS was determined to be 21 during this morning's auction. 13 deal...

    News Round-up    22 March 2012
  • CMBX rally losing steam?

    The CMBX indices may be in a period of consolidation, according to CMBS strategists at Citi. They no...

    News Round-up    21 March 2012
  • Banking sector indices launched

    S&P Indices and ISDA have launched two new indices - the S&P/ISDA CDS US F...

    News Round-up    20 March 2012
  • Focus shifts to Portugal CDS

    The S&P/ISDA International Developed Nation and Eurozone Developed Nation Sovereign CDS indi...

    News Round-up    14 March 2012
  • 'Few major surprises' expected in iTraxx roll

    The iTraxx family of credit indices is set to roll on 20 March. While new rules introduced by Markit...

    News    12 March 2012
  • CDS recoveries scrutinised

    The difference in average CDS recoveries and average bankruptcy recoveries is four points, according...

    News    6 March 2012