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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).


  • US CMBS 2.0 index prepped

    Barclays Capital will launch a US CMBS 2.0 index on 1 January 2011. The index aims to offer investor...

    News Round-up    17 December 2010
  • CDS trader fined and banned

    The UK FSA has banned and fined Nabeel Naqui - the former head of the credit products grou...

    Job Swaps    16 December 2010
  • CDS tail scenarios touted for 2011

    Credit derivative strategists at Morgan Stanley suggest that the beginnings of a transformation in d...

    News    9 December 2010
  • UK credit card performance improves

    Fitch reports that the performance of UK credit card trusts has improved in the third quarter of 201...

    News Round-up    6 December 2010
  • Synthetic trading head named

    Maxim Group has appointed Eymen Errais as md and head of structured credit sales and trading. Errais...

    Job Swaps    6 December 2010
  • Foreclosuregate impact seen in ABX remittances

    Subprime serious delinquency and loss severity rates are both rising, according to RMBS remittance r...

    News    30 November 2010
  • Gain seen in US CRE prices

    The latest Moody's REAL Commercial Property Price Indices (CPPI) indicate that US CRE prices increas...

    News Round-up    23 November 2010
  • Loan extensions reduce CRE CDO delinquencies

    The increased incidence of loan extensions has helped precipitate a slight drop in US CRE CDO delinq...

    News Round-up    15 November 2010
  • Electronic execution offered for CDS indices

    Credit Suisse is to provide electronic trading of CDS indices for clients from any Bloomberg termina...

    News Round-up    11 November 2010
  • US subprime prices hold steady

    Fitch reports that US subprime prices held steady for the fourth month in a row, with two underperfo...

    News Round-up    11 November 2010
  • First losses seen on Euro CMBS matured loans

    Fitch says in its latest bulletin that European CMBS loan repayments fell in October, with two loans...

    News Round-up    1 November 2010
  • ABX valuations revisited

    ABS analysts at Bank of America Merrill Lynch have profiled ABX valuations in light of the ongoing f...

    News    27 October 2010
  • US credit card charge-offs fall sharply

    According to Moody's latest indices for the sector, charge-offs on US credit cards fell by over a pe...

    News Round-up    26 October 2010
  • New CDS sovereign indices launched

    S&P has launched a series of CDS Sovereign Indices that are designed to track the CDS market...

    News Round-up    25 October 2010
  • Seasonal pressures drive auto ABS delinquencies

    According to Fitch's latest indices for the sector, the prolonged stress of US consumer and seasonal...

    News Round-up    22 October 2010
  • US CRE prices fall again in August

    The latest results from Moody's REAL Commercial Property Price Indices (CPPI) show that US CRE price...

    News Round-up    20 October 2010
  • Signs of stability for subprime RMBS

    The latest results from Fitch's US subprime RMBS indices suggest that although prices remain at a cr...

    News Round-up    19 October 2010
  • Technical factors driving CMBX rally

    A number of factors are behind the rally in the Markit CMBX indices in recent months. While some of...

    News    19 October 2010
  • UK credit card ABS performance stabilising

    Fitch reports that the performance of UK credit card trusts is showing signs of stabilisation, as de...

    News Round-up    18 October 2010
  • Extended foreclosure impact analysed

    To measure the impact of extended foreclosure periods on servicing costs, Moody's ran a hypothetical...

    News    13 October 2010
  • Trading ideas: euro euphoria

    Tim Backshall, chief strategist at Credit Derivatives Research, looks at a sovereign-FX pairs trade

    The enthusiasm for euros over US dollars has been incredible over the past few months. Started by a...

    Research Notes    13 October 2010