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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).


  • Commerical loan originations rise

    Commercial and multifamily mortgage loan originations pushed up by 17% in 2Q16 from the previous qua...

    News Round-up    29 July 2016
  • CDS commitments accepted

    The European Commission (EC) has accepted commitments by ISDA and IHS Markit on CDS licensing (SCI 2...

    News Round-up    21 July 2016
  • Markit merger completed

    IHS and Markit have completed their merger to form IHS Markit (SCI passim). The firm begins trading...

    Job Swaps    13 July 2016
  • CBD prices bounce back

    The Moody's/RCA Commercial Property Price Indices (CPPI) national all-property composite index incre...

    News Round-up    8 July 2016
  • Risk retention expectations surveyed

    Just over half (51%) of the respondents polled in Morgan Stanley's latest US CRE survey believe the...

    News    6 July 2016
  • CLO pay-downs drop

    The number of CLOs paid down in JPMorgan's CLO index (CLOIE) since the May rebalance through 30 June...

    News Round-up    4 July 2016
  • CMBS liquidations move up

    US CMBS liquidation volume was below the 12-month average in June, according to Trepp. Disposition a...

    News Round-up    30 June 2016
  • Brexit effects

    The immediate financial market reaction to the UK's decision to leave the EU has been pronounced, wi...

    News    24 June 2016
  • Leadership appointments unveiled

    IHS and Markit have announced senior executive leadership appointments for IHS Markit, following the...

    Job Swaps    8 June 2016
  • Index research head named

    Markit has appointed Aram Flores as md and head of index research and development, based in New York...

    Job Swaps    7 June 2016
  • CMBS delinquencies inch up again

    The US CMBS delinquency rate inched up for the third straight month at the end of May, says...

    News Round-up    3 June 2016
  • CDS liquidity moving to indices

    The buy-side's ability to source single-name CDS liquidity and form prices remains centralised aroun...

    News    2 June 2016
  • Bilateral CDS trading down

    Bilateral CDS index trading metrics saw a decline to start the year, according to ISDA's la...

    News Round-up    2 June 2016
  • Post-crisis single-A outperformed

    The total amount of CLOs paid down in JPMorgan's CLO index (CLOIE) since the April rebalance through...

    News Round-up    2 June 2016
  • European fund targets US RMBS

    BlackRock is launching Europe's first ETF investing in high quality US RMBS. The fund has been dubbe...

    News Round-up    26 May 2016
  • Subprime auto loans lengthening

    Recently rated US subprime retail auto ABS deals have been seeing an increasing amount of longer-ter...

    News Round-up    24 May 2016
  • CMBS loan quality turns corner

    Moody's has launched a new quarterly overview of the US CRE and CMBS market. The inaugural report fi...

    News Round-up    23 May 2016
  • UK prime RMBS 'stable'

    UK prime RMBS continues to perform in a stable fashion, according to Moody's latest index results on...

    News Round-up    6 May 2016
  • Subprime auto concerns surfacing

    The recent 20-year high in US subprime auto ABS delinquencies is not the main concern for investors...

    News Round-up    6 May 2016
  • Post-crisis CLO returns keep momentum

    The total amount of CLOs that paid down in JPMorgan's CLO Index (CLOIE) in April was US$3.54bn in pa...

    News Round-up    5 May 2016
  • CDS market still shrinking

    The steady reduction in the size of the global CDS market continued in 2H15, according to t...

    News Round-up    5 May 2016