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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 loan modifications tracked

    MBS analysts at Barclays Capital have introduced a US CMBS Loan Modification Index to track modified...

    News    4 August 2010
  • Euro CMBS repayment index rises

    Fitch reports that European CMBS loans have seen an increase in repayment, with the agency's Maturit...

    News Round-up    4 August 2010
  • Credit card ABS performance improving

    Credit card charge-offs declined during the month of June, the third consecutive month, according to...

    News Round-up    4 August 2010
  • ABX CDR decrease reverses

    The latest ABX remittance data indicates that CDR levels have increased slightly on the month, after...

    News Round-up    28 July 2010
  • US credit card charge-offs continue to fall

    According to Moody's latest credit card indices report, charge-offs on US credit cards declined for...

    News Round-up    28 July 2010
  • Consumer credit default rates decline

    Data through to June 2010 for the S&P/Experian Consumer Credit Default Indices indicate that...

    News Round-up    21 July 2010
  • US CRE prices rise for second month

    Moody's/REAL Commercial Property Price Indices indicate that US commercial real estate prices increa...

    News Round-up    21 July 2010
  • Repurchases driving CRE CDO delinquencies

    According to Fitch's latest US CREL CDOs delinquency index results, delinquencies rose last month du...

    News Round-up    21 July 2010
  • Positive momentum for subprime price index

    The latest Fitch US subprime price index results suggest that the positive momentum seen in May cont...

    News Round-up    14 July 2010
  • Long/short credit fund launched

    LBBW and Universal Investment have joined forces to launch a long/short absolute return credit fund....

    Job Swaps    14 July 2010
  • Credit head moves over to commodities

    Richard Giles, GFI Group's UK head of credit, has been appointed md and head of the firm's commoditi...

    Job Swaps    14 July 2010
  • Index growth

    Tradable sector CDS interest stirs

    A growing interest in using sector CDS indices for hedging purposes is stirring among institutional...

    News Analysis    14 July 2010
  • Long mezz risk touted as recovery trade

    Structured credit strategists at Morgan Stanley review correlation performance themes of the last si...

    News Round-up    14 July 2010
  • Credit card delinquencies reach 17-month low

    Fitch reports that US credit card ABS performance remains stable, with late stage delinquencies impr...

    News Round-up    7 July 2010
  • New CDS sector indices launched

    S&P has launched a series of CDS sector indices, which seek to track the credit default swap...

    News Round-up    30 June 2010
  • US credit card performance improvement continues

    Moody's says US credit card charge-offs declined for the second consecutive month in May, finishing...

    News Round-up    30 June 2010
  • ABX remittances show improvement

    The June ABX remittance report indicates that CDRs are generally declining as timelines extend. The...

    News Round-up    30 June 2010
  • Synthetic interest

    TRS indices billed as alternative to TBAs

    With To Be Announced (TBA) prices still relatively high, many MBS investors are looking for alternat...

    News Analysis    23 June 2010
  • Refi risk expected to drive HY CDS returns

    A factor analysis of the recent selloff undertaken by credit strategists at Goldman Sachs reveals th...

    News Round-up    23 June 2010
  • Uptick expected for US prime auto losses

    Delinquencies and losses on US prime auto loan ABS reached their lowest levels last month since the...

    News Round-up    23 June 2010
  • CRE prices back on the up

    Moody's says US CRE prices increased by 1.7% in April, according to its commercial property price in...

    News Round-up    23 June 2010