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).

• 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

• ABS index plan sparks shorting fears

  Markit has announced that it plans to launch an iBoxx ABS index in Q310. The move has sparked concer...

  News    16 June 2010

• A benchmark solution

  Brian Upbin, director, index research, and David Tattan, vp, index and portfolio and risk solutions ...

  Q: How and when did Barclays Capital become involved in ABS indices? BU: Barclays Capital publish...

  Provider Profile    16 June 2010

• Relative value indicator introduced

  ABS analysts at Wells Fargo have introduced a relative value indicator (RVI), which is designed to b...

  News Round-up    16 June 2010

• US CMBS loan delinquencies keep increasing

  The US CMBS loan delinquency rate increased by 48bp to 7.5%, according to Moody's delinquency tracke...

  News Round-up    16 June 2010

• UK credit card performance 'mixed'

  The performance of UK credit card receivables was mixed in April 2010, according to Fitch, with the...

  News Round-up    16 June 2010

• Subprime prices rise to 18-month high

  Fitch Solutions reports that US subprime CDS prices have increased to levels not reached since Decem...

  News Round-up    9 June 2010

• IOS relative value analysed

  In a recent examination of valuations across the Markit IOS index stack, ABS analysts at Barclays Ca...

  News Round-up    9 June 2010

• Troubled companies index deteriorates

  The Kamakura index of troubled public companies deteriorated significantly in May after improving in...

  News Round-up    9 June 2010

• Moody's launches structured credit publication

  Moody's has launched a new quarterly newsletter called Structured Credit Perspectives. The publicati...

  News Round-up    9 June 2010

• No rating impact for Tahiti restructuring

  Tahiti Finance's restructuring proposal, published on 27 May, will not have an immediate rating impa...

  News Round-up    2 June 2010

• LCDX illiquidity drives underperformance

  Leveraged loans lost 2.63% last month (as at 26 May), albeit the asset class has been more resilient...

  News Round-up    2 June 2010

• 'Anatomy' of recent CDS sell-off analysed

  Based on a panel of more than 1000 European and US CDS names, credit strategists at Goldman Sachs ha...

  News    2 June 2010

• Macro concerns reflected in index-intrinsic basis

  Credit strategists at Barclays Capital have analysed the historical performance of both the CDX inde...

  News    2 June 2010

• US CRE price decline slows

  US CRE prices declined by 0.5% in March, according to Moody's commercial property price index. This...

  News Round-up    26 May 2010

• US prime auto loan ABS delinquencies decline

  A 30% decline in delinquencies and losses on US prime auto loan ABS through the first four months of...

  News Round-up    26 May 2010

• ABX remittances show mixed results

  May ABX remittance reports show mixed CDR performance and a drop in delinquencies. Furthermore, ABS...

  News Round-up    26 May 2010

• Sharp rise in Japanese RMBS repurchase rates

  The repurchase rate for asset classes backing Japanese RMBS has risen sharply, according to a recent...

  News Round-up    26 May 2010

• Options open

  Volatility hedges return to popularity

  Amid the climb to recovery away from the credit crisis, CDS index option plays are proving increasin...

  News Analysis    19 May 2010

• Credit index trader appointed

  Citi has hired Haider Ali to its London office to trade credit indices. He joins from BNP Paribas, w...

  Job Swaps    19 May 2010

• Prices rebound for most subprime vintages

  Fitch Solutions' latest RMBS CDS indices results show US subprime prices continuing a significant re...

  News Round-up    19 May 2010