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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).


  • 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
  • New agency indices prepped

    Markit is expected to launch new MBX, IOS and POS indices on 12 May. The indices will reference Ginn...

    News Round-up    9 May 2011
  • Idiosyncratic risk trades touted

    Idiosyncratic risk is emerging once again in iTraxx portfolios, driving a divergence in performance...

    News    20 April 2011
  • Third consecutive decline for CPPI

    US CRE prices as measured by Moody's/REAL National - All Property Price Index (CPPI) fell by 3.3% in...

    News Round-up    20 April 2011
  • Liquid access

    Steven Grahame, fund manager, and Toby Hayes, assistant fund manager for Pacific's Liquid Property F...

    Q: How and when did Pacific Real Estate Capital Partners become involved in the property derivatives...

    The Structured Credit Interview    18 April 2011
  • CRE CDO delinquencies drop on loan repayments

    Loan payoffs contributed to a decline in US CREL CDO delinquencies this past month, according to the...

    News Round-up    18 April 2011
  • New index shows 1Q declines for SLABS defaults

    As a way of assessing the performance of private student loan ABS, Moody's has launched a series of...

    News Round-up    12 April 2011
  • TRACE to reshape secondary CMBS?

    TRACE is set to be expanded to include ABS trade reporting from 16 May. Spread differentiation betwe...

    News    12 April 2011
  • Fifth consecutive rise for subprime CDS

    US subprime CDS prices have risen for a fifth straight month - an increase in line with th...

    News Round-up    11 April 2011
  • MiFID moves

    European CDS regulations scrutinised

    The extension of the Markets in Financial Instruments Directive (MiFID) to OTC products has sparked...

    News Analysis    11 April 2011
  • New MBX, TRX series planned

    Markit is adding five new series to its MBX, IOS and PO agency mortgage indices on 12 April. The sub...

    News Round-up    7 April 2011
  • US credit cards show mixed performance

    US credit card ABS charge-offs rose for the first time in six months while most other metrics posted...

    News Round-up    7 April 2011
  • Index options model strengthened

    Quantifi has enhanced its credit index options models in response to client demand. Increased market...

    News Round-up    6 April 2011
  • CMBS maturity repayment index rises

    Fitch reports that improving loan repayments - totalling €196m in March R...

    News Round-up    1 April 2011
  • US CRE prices slip again

    US commercial real estate prices fell by 1.2% in January, the second consecutive monthly decline, ac...

    News Round-up    23 March 2011
  • LatAm sovereign CDS index launched

    Markit has launched its iTraxx SovX Latin America index to offer investors a transparent and standar...

    News Round-up    23 March 2011
  • CDS trading platform expands

    Creditex has expanded its electronic trading capabilities and products for CDS in the North American...

    News Round-up    23 March 2011
  • Index shake-up

    Significant changes as Markit indices roll

    Markit's iTraxx and CDX indices roll onto their fifteenth and sixteenth series respectively today, i...

    News Analysis    21 March 2011
  • Mixed results for credit card ABS

    Although collateral performance was somewhat mixed this month, US consumer credit quality maintained...

    News Round-up    11 March 2011
  • Plateau for subprime CDS prices?

    Although US subprime CDS prices rose for a fourth straight month, the rate of increase has slowed, i...

    News Round-up    11 March 2011
  • Rule changes for CDS indices

    Markit has made changes to certain rules governing its iTraxx Europe and CDX North America family of...

    News Round-up    8 March 2011