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).

  • '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
  • SCI Start the Week - 5 March

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

    PipelineLast week saw several deals enter the pipeline and price within days, although a few new nam...

    News    5 March 2012
  • Tranche recovery metrics completed

    S&P has completed its framework for estimating recoveries on tranched corporate credit defau...

    News Round-up    20 February 2012
  • CMBS ETF launched

    Blackrock's iShares has launched an exchange-traded fund referencing the Barclays Capital US CMBS (E...

    News    17 February 2012
  • Problem solved?

    Index CCDS launch approaches

    Credit derivative dealers and CVA desks are gearing up for the introduction of index-linked continge...

    News Analysis    13 February 2012
  • Sustained CDS index rally expected

    CDS indices experienced a strong rally during the first month of the year, with credit investors add...

    News    2 February 2012
  • SCI Start the Week - 30 January

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

    PipelineA further three deals joined the pipeline last week. Two auto ABS deals (€460m FCT...

    News    30 January 2012
  • DQT edges up 5bp

    The delinquency rate on loans included in US CMBS conduit/fusion transactions increased by 5bp in De...

    News Round-up    20 January 2012
  • Competition questions

    Trade execution, fragmentation in the spotlight

    The issues of anonymity and real-time trade acceptance under Dodd-Frank appear to be splitting the O...

    News Analysis    20 January 2012
  • CatVest launches ILS, ILW tools

    CatVest Petroleum Services has launched its EnergyRisk Model and Industry Loss Index. The firm's mod...

    News Round-up    18 January 2012
  • SEAT LCDS auction due

    Markit iTraxx LevX market makers have determined that a failure to pay credit event occurred in resp...

    News Round-up    13 January 2012
  • Keep on keeping on

    Cautious outlook for the global CMBS and CRE markets in 2012

    At best, expectations for the US CMBS and CRE markets in 2012 are for more of the same - t...

    News Analysis    22 December 2011
  • Facing a watershed

    Challenges remain as CDS market prepares for central clearing

    Next year is shaping up to be a watershed for credit derivatives in terms of regulatory change. But...

    News Analysis    22 December 2011
  • Enhanced CDS statistics released

    The BIS has published in its latest Quarterly Review a report detailing enhanced credit risk transfe...

    News Round-up    12 December 2011
  • SCI Start the Week - 14 November

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

    PipelineA range of new transactions remained in the pipeline at the end of last week, including a co...

    News    14 November 2011
  • Growth market

    New supply of Aussie CLNs gaining traction

    Demand for simple Australian structured credit products is increasing - albeit from a low...

    News Analysis    26 October 2011
  • Technically driven

    PrimeX, ABX comparisons overdone

    PrimeX prices have experienced a sharp decline - of between 6%-10%, depending on the index...

    News Analysis    18 October 2011
  • Reaction needed for US CMBS

    The US CMBS market spent last week waiting on news from Europe, but the launch of a new market index...

    Market Reports    3 October 2011
  • Credit trading vet hired

    Gleacher & Company Securities has recruited Jerry Lee as md, responsible for leading and exp...

    Job Swaps    28 September 2011
  • Silo breaking

    Demand rising for diversified alternative investments

    The broad-based correlated market sell-off of recent months is playing into the hands of 'silo break...

    News Analysis    23 September 2011