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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).


  • 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
  • MBX index prepped

    Markit is set to launch a new series of structured finance indices, dubbed MBX, on 12 September. The...

    News Round-up    8 September 2010
  • Investable ILS tracker fund planned

    Partners Group Holding affiliate Alternative Beta Partners is filling the gap between tracking liqui...

    News    1 September 2010
  • Credit event determinations activity spikes

    ISDA's Americas Determinations Committee has determined that a bankruptcy credit event occurred with...

    News Round-up    1 September 2010
  • CRE price consensus developing?

    Moody's latest REAL Commercial Property Price Indices show that US commercial real estate prices dec...

    News Round-up    1 September 2010
  • Euro auto ABS stays on course

    According to Fitch, the European auto ABS sector remained stable in Q210, despite slight increases i...

    News Round-up    1 September 2010
  • UK credit card performance cause for optimism

    According to Fitch, the performance of UK credit card trusts showed an improving trend in Q210. The...

    News Round-up    1 September 2010
  • Prime bucks trends in non-agency remits

    The latest non-agency RMBS remits indicate that, after surprising last month, prime prepays...

    News Round-up    1 September 2010
  • Constant relationship for SovX and Senior iTraxx

    Analysts at SocGen suggest that the Senior iTraxx index is moving in tandem with the SovX index, whi...

    News Round-up    1 September 2010
  • Summer weighs on US auto ABS

    US auto loan ABS performance is starting to exhibit negative trends - typical for the summer season...

    News Round-up    1 September 2010
  • Negative basis opportunities identified

    The reversal of CDS-bond basis trends - i.e. the basis turning more negative - o...

    News Round-up    1 September 2010
  • Trader switches to CDS indices

    Jeff Psaki, BarCap's former co-head of distressed debt trading in New York, has relocated to the fir...

    Job Swaps    1 September 2010
  • First CMBX tranche takes loss

    Barclays Capital ABS analysts note that an important CMBX trend has been broken. Although persistent...

    News Round-up    1 September 2010
  • Macro CLO hedges suggested

    The hedging of CLO risk continues to be challenging, given the absence of a specific instrument that...

    News    18 August 2010
  • ILS indices launched

    Aon Benfield Securities has launched the Aon Benfield ILS Indices, which will provide a quantitative...

    News Round-up    18 August 2010
  • Trups CDO defaults continue to escalate

    According to Fitch's latest default and deferral indices for the sector, defaults on US bank Trups C...

    News Round-up    18 August 2010
  • Repurchases lift CRE CDO delinquencies

    US CRE CDO delinquencies decreased slightly last month as asset repurchases slowed, according to Fit...

    News Round-up    18 August 2010
  • 'Seasonal effect' to hit timeshare ABS performance

    According to Fitch's latest timeshare ABS indices, US timeshare ABS delinquencies and defaults are d...

    News Round-up    18 August 2010
  • Subprime RMBS index stabilising

    Prices continue to stabilise in Fitch Solutions' Subprime RMBS Total Market Price Index, though the...

    News Round-up    18 August 2010
  • Interest shortfalls reaching higher up CMBX

    US conduit CMBS interest shortfalls rose by 60% in the first half of this year, after nearly doublin...

    News Round-up    18 August 2010