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).
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Trades mooted for declining correlation regime
As global economies recover and markets re-risk, credit derivatives strategists at Morgan Stanley ex...
News 10 March 2010 -
Dealers nix cancelability in LCDS docs
Both tranche and index dealers have agreed to remove the cancelability or prepayment option for comp...
News 10 March 2010 -
Continued improvement for troubled companies index
The Kamakura index of troubled public companies has improved in February for the tenth time in the l...
News Round-up 3 March 2010 -
Reversal for declining REO trend?
Remittance reports for the February distribution date indicate that the trend of declining REO stock...
News Round-up 3 March 2010 -
Upside opportunities
US HPA consensus emerging
Both ABX and subprime cash triple-As have been trading in a narrow 1-2 point range since mid-January...
News Analysis 24 February 2010 -
Sovereign risk drops amid increased protection buying
Sovereign risk dropped over the last week based on CDS market interpretations, according to Credit D...
News Round-up 24 February 2010 -
US credit card charge-offs show sharp increase
Charge-offs on US credit cards rose sharply to 11.15% in January, according to Moody's in its new cr...
News Round-up 24 February 2010 -
Dinkum Index shows mixed results
Fitch's latest Dinkum Index report indicates that Australian mortgage delinquencies showed mixed res...
News Round-up 17 February 2010 -
Index reflects heightened subprime valuation concerns
Heightened concerns about the valuation of US subprime RMBS assets manifested in an across-the-board...
News Round-up 17 February 2010 -
US bank Trups CDO defaults escalating
Bank default rates within US Trups CDOs continued their steady climb this past month and are now app...
News Round-up 17 February 2010 -
New leveraged loan index launched
Markit has launched the iBoxx USD Leveraged Loan Index (Markit LLI). The index is designed to serve...
News Round-up 17 February 2010 -
CRE CDO delinquencies continue climbing
US CRE CDO delinquencies continued their steady climb in January due in part to the ongoing troubles...
News Round-up 17 February 2010 -
Sovereign concerns raise systemic risk floors
Sovereign risk rose over 12% this week led by the European majors, according to Credit Derivatives R...
News Round-up 10 February 2010 -
CMBX given AM boost
Markit has launched a new set of AM sub-indices for all existing vintages of the CMBX indic...
News 10 February 2010 -
Mezz CLO hedges recommended
Mark-to-market investors that have already made substantial gains on mezzanine CLO tranche positions...
News 10 February 2010 -
January's cash/CDS schism explained
Credit markets underwent two distinct phases in January: the first half dominated by consistent tigh...
News Round-up 3 February 2010 -
Further improvement for troubled company index
The Kamakura index of troubled public companies improved in January for the ninth time in the last t...
News Round-up 3 February 2010 -
Telecom sector drives Euro CDS liquidity surge
22Fitch Solutions' European CDS liquidity index has now exceeded levels seen during the week of the...
News Round-up 3 February 2010 -
Technology round-up
RMBS third-party review solution launched Allonhill has released what it describes as a complete se...
News Round-up 3 February 2010 -
CMBX to get a new tranche
An AM tranche is scheduled to be added to the CMBX indices on 9 February, following a request from i...
News Round-up 27 January 2010 -
Non-agency remits remain 'benign'
Non-agency remit reports remain benign, according to RMBS analysts at JPMorgan, with no major signs...
News Round-up 27 January 2010