LOGIN
 

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).


  • Positive secondary as multi-borrower CMBS prices

    Positive momentum was witnessed in the US secondary CMBS market late last week, following the succes...

    News Round-up    14 April 2010
  • Asia Pacific index prepped

    As first reported in SCI issue 176, Markit has confirmed it is to launch an iTraxx SovX Asia Pacific...

    News Round-up    14 April 2010
  • Speculative-grade default rate declines

    Moody's says the trailing 12-month global speculative-grade default rate ended the first quarter at...

    News Round-up    14 April 2010
  • Uncertainty in non-agency MBS over HAMP 2.0

    While the recent HAMP announcement has caused uncertainty in the non-agency RMBS space, technicals c...

    News Round-up    14 April 2010
  • Vintage disparity as US subprime prices increase

    A new Fitch Solutions report on RMBS CDS shows that while US subprime prices are continuing to stren...

    News Round-up    14 April 2010
  • Multifamily delinquency rates rocket

    Fitch says US CMBS delinquencies rose by 85bp to 7.14% in March because of the expected foreclosure...

    News Round-up    14 April 2010
  • UK credit card MPR hits new low

    The performance of UK credit card receivables deteriorated in February as the monthly payment rate (...

    News Round-up    14 April 2010
  • Strength to strength

    US ABS and MBS to build on strong first quarter

    Strong performance in sectors across the US ABS space in the first quarter has resulted in positive...

    News Analysis    14 April 2010
  • BTL RMBS performance 'mixed'

    The performance of the UK buy-to-let (BTL) RMBS market in the three months to February was mixed, ac...

    News Round-up    14 April 2010
  • Spanish SME ABS delinquencies stabilising

    Moody's says adverse economic conditions continued to impact Spanish SME ABS in February. Delinquenc...

    News Round-up    14 April 2010
  • H210 US house price low projected

    ABS analysts at JPMorgan continue to project that US home prices will bottom in H210, with peak-to-t...

    News Round-up    14 April 2010
  • LCDX, MCDX roll

    The Markit LCDX.NA and MCDX.NA indices rolled into their fourteenth series on 5 April. LCDX tranche...

    News Round-up    7 April 2010
  • CMBX remittances raise concerns

    Credit deterioration within the CMBS sector remains a growing concern, according to ABS analysts at...

    News Round-up    7 April 2010
  • Canadian credit card ABS stabilising

    Canadian credit card debt performance stabilised in Q409 as the charge-off rate index pulled back to...

    News Round-up    7 April 2010
  • Euro CDS clearing launch confirmed

    LCH.Clearnet has confirmed that it successfully cleared its first CDS index contracts on 29 March, f...

    News Round-up    7 April 2010
  • Troubled companies index improves again

    The Kamakura index of troubled public companies improved in March for the eleventh time in the last...

    News Round-up    7 April 2010
  • US auto ABS delinquencies continue to improve

    Delinquency and annualised net losses (ANL) posted year-over-year improvements for the fourth consec...

    News Round-up    7 April 2010
  • Basis basics in a normalised world - part 2

    In the second of this two-part series, Morgan Stanley credit derivatives strategists Sivan Mahadevan...

    Measuring the basis: factors to consider The simplest measure of the basis (raw basis) is the diffe...

    Research Notes    7 April 2010
  • Default trend reversal in latest ABX remits

    ABX remittance reports for the March distribution date (February collection period) show a turnaroun...

    News Round-up    31 March 2010
  • New pan-European ABS indices introduced

    Barclays Capital has launched new pan-European benchmark bond indices measuring both fixed and float...

    News Round-up    31 March 2010
  • Euro CMBS loan repayments to remain low

    Repayment of matured European CMBS loans is expected to remain at low levels until at least the end...

    News Round-up    31 March 2010