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


  • TRX.II launch date announced

    The long-awaited launch of indices referencing CMBS 2.0 (SCI 7 April) is now set. Markit has announc...

    News Round-up    20 September 2011
  • iTraxx set to roll tighter

    The Markit iTraxx Europe, Asia and SovX indices will roll into a new series tomorrow (20 September)....

    News Round-up    19 September 2011
  • Housing concerns weigh on subprime CDS

    The summer-long rally for US subprime credit default swaps (CDS) has come to a screeching halt, than...

    News Round-up    19 September 2011
  • SCI Start the Week - 19 September

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

    PipelineAmong the deals that entered the pipeline last week are: the C$535m Ford Auto Securitization...

    News    19 September 2011
  • CDS indices rebranded

    S&P's credit default swap indices are to be co-branded with ISDA and renamed the S&P...

    News Round-up    13 September 2011
  • Tackling the overhang

    The risk of accelerated de-leveraging among peripheral European banks has emerged amid the current m...

    News    8 September 2011
  • Liquidity-driven CDS indices minted

    Fitch Solutions has launched a new family of global CDS indices, which include 15 regional sovereign...

    News Round-up    8 September 2011
  • Option, tranche trade ideas touted

    Implied volatility for both European and US credit indices is currently close to the peak realised v...

    News    5 September 2011
  • iTraxx rules amended

    Markit has amended the rules governing its Markit iTraxx Europe family of credit default swap indice...

    News Round-up    25 August 2011
  • Subprime CDS prices recover

    June's sub-par Maiden Lane auction results and their adverse effect on US subprime CDS prices appear...

    News Round-up    16 August 2011
  • Structured credit may provide 'safe-haven'

    Assets that were once deemed responsible for the spread of the global financial crisis in 2007-2009...

    News    5 August 2011
  • Tranche investors buying on sovereign concerns

    As nervousness about sovereign debt concerns pushes CDS spreads on European peripheries steadily wid...

    News    4 August 2011
  • JSCC pricing agreement signed

    Markit is to produce daily settlement prices for Japan Securities Clearing Corporation (JSCC), requi...

    News Round-up    21 July 2011
  • Insurance CDS index launched

    Moody's recently launched its Global Insurance CDS Index (MDYGIX), which aims to provide a window in...

    News Round-up    20 July 2011
  • 'End-to-end' CDS index trade executed

    Goldman Sachs and BlackRock have completed a CDX investment grade index trade that was executed elec...

    News Round-up    30 June 2011
  • Mortgage REIT index launched

    Pine River Capital Management has launched the Pine River Mortgage REIT Index. The index aims to pro...

    News Round-up    23 June 2011
  • Subprime price increase doubles

    US subprime CDS prices have more than doubled their increase from last month, extending the rally to...

    News Round-up    9 June 2011
  • ABS cash bond index launched

    Markit has launched its iBoxx European ABS index, a cash bond index designed to track the performanc...

    News Round-up    8 June 2011
  • Negative tone prevails in US CMBS

    A negative tone prevails in the US CMBS sector, following the release of disappointing economic data...

    Market Reports    2 June 2011
  • CPPI hits post-2007 low

    US CRE prices as measured by Moody's/REAL National - All Property Price Index (CPPI) fell...

    News Round-up    23 May 2011
  • Subprime CDS rally continues

    US subprime CDS prices are now in the middle of the longest sustained rally since the beginning of t...

    News Round-up    11 May 2011