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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 credit cards improve against seasonal odds

    Moody's believes that US credit card performance will improve, despite the August 58bp rise in charg...

    News Round-up    6 October 2010
  • CMBS maturity repayment index rises

    Fitch reports that its European CMBS Maturity Repayment Index increased to 38.5% from 36.8% during t...

    News Round-up    6 October 2010
  • New beginning?

    Redrawn index tranches set to bring liquidity

    Tranche trading on the new Markit CDX.IG.15 index began yesterday, 28 September, following a redrawi...

    News Analysis    29 September 2010
  • LCDX, CDX.HY see constituent changes

    The Markit LCDX index will roll into its 15th series on 4 October, with the coupon and maturity expe...

    News Round-up    29 September 2010
  • Slight ABX CDR pick-up seen

    Following a downward trend over the last year and a half, the latest ABX remittance report indicates...

    News Round-up    29 September 2010
  • Bank names global credit trading head

    HSBC has appointed Niall Cameron as global head of credit trading, a role in which he will drive the...

    Job Swaps    29 September 2010
  • Positive trends for US auto ABS

    Year-over-year (YOY) US prime auto delinquencies are down by 33%, boding well for auto loan ABS, acc...

    News Round-up    29 September 2010
  • Benchmark indices to see CMBS changes

    Barclays Capital has announced that, as of 1 January 2011, US CMBS classified as an A1A tranche will...

    News Round-up    29 September 2010
  • Senior versus sub iTraxx trade touted

    Approximately half of existing bank Tier 2 bonds could disappear over the next five years if the cur...

    News Round-up    29 September 2010
  • Credit solutions

    CDS and CLN hedges for rate risk suggested

    The current interest rate environment and changes anticipated in the short- to medium-term are creat...

    News Analysis    22 September 2010
  • US CRE prices fall 3.1% in July

    The latest data from Moody's/REAL Commercial Property Price Indices (CPPI) indicate that US CRE pric...

    News Round-up    22 September 2010
  • Constituent change for CDX IG

    The Markit CDX.NA.IG, CDX.EM and CDX.EM.DIV indices rolled into their fifteenth, fourteenth and twel...

    News Round-up    22 September 2010
  • Roll-down driving tranche performance

    Implied and realised volatility, as well as credit spreads, ground tighter over the summer following...

    News Round-up    22 September 2010
  • Call for more focused TRX indices

    The need for more focused Markit TRX indices for hedging CMBS bond spreads is becoming apparent, as...

    News Round-up    22 September 2010
  • 2006/2007 subprime CDS prices drop

    Fitch Solutions reports that while US subprime CDS prices are still supported by positive momentum,...

    News Round-up    15 September 2010
  • New constituents for iTraxx, SovX indices

    The Markit iTraxx Europe indices will roll into their 14th series on 20 September. One constituent (...

    News Round-up    15 September 2010
  • Stable performance trend for Greek ABS, RMBS

    According to new indices published by Moody's, the Greek RMBS and ABS market recorded a stable perfo...

    News Round-up    15 September 2010
  • Encouraging trends for US credit cards

    According to Fitch's latest credit card index results, defaults on US credit cards touched a 15-mont...

    News Round-up    8 September 2010
  • Euro CMBS repayments remain 'flat'

    Fitch reports that its European CMBS Maturity Repayment Index remained roughly flat at 37% over the...

    News Round-up    8 September 2010
  • No new series for LevX

    The Markit iTraxx, CDX.NA.IG, CDX.EM and CDX.EM.DIV indices are scheduled to roll into their new ser...

    News Round-up    8 September 2010
  • Index skew monetisation trade touted

    Credit derivatives strategists at Barclays Capital recommend selling 1x2 payer spreads with a Decemb...

    News Round-up    8 September 2010