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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).


  • 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
  • Considerable two-way flow for SovX CEEMEA

    The iTraxx SovX CEEMEA Series 3 index saw considerable two-way flow on its first day of trading (20...

    News Round-up    27 January 2010
  • US credit card charge-offs show modest decline

    Charge-offs on US credit cards declined modestly to 10.32% in December, down from 10.56% in November...

    News Round-up    27 January 2010
  • CRE index positive in November

    After 13 consecutive months of declining property values, the Moody's/REAL Commercial Property Price...

    News Round-up    27 January 2010
  • Balancing act

    Sovereign/corporate CDS rebalance needed, but unlikely for now

    Continued economic concern over Greece, Portugal and Spain's credit quality has resulted in the iTra...

    News Analysis    20 January 2010
  • ... and CRE CDO delinquencies

    Delinquencies for US CRE CDOs closed out 2009 with a 2bp increase to 12.3%, according to the latest...

    News Round-up    20 January 2010
  • Foreclosure paralysis 'not priced in'

    US foreclosure-to-REO roll rates (F2R) have trended lower over the past two years, due to servicer c...

    News    20 January 2010
  • Mixed bankcard ABS performance for December

    Securitisation analysts at JPMorgan report that bankcard ABS performance in December was within expe...

    News Round-up    20 January 2010
  • CDS on France up 50%

    Sovereign risk moved higher last week after briefly recovering from its spike in December, according...

    News Round-up    20 January 2010
  • US housing market 'recovering well'

    The LoanPerformance US home price index declined by -3.1% (annualised) in November, while the Octobe...

    News Round-up    20 January 2010
  • Slow CRE recovery expected in 2011

    The pace of US CMBS credit deterioration accelerated in December, with delinquencies toppin...

    News    13 January 2010
  • Homebuilders CDS index prepped

    S&P is preparing a new CDS index, the US Homebuilders Sector Index. The index provides expos...

    News Round-up    13 January 2010
  • Trend continues in ABX remittances

    Remittance reports for the December ABX.HE distribution date show a continuation in the trend of mod...

    News Round-up    13 January 2010
  • 2004/2007 subprime RMBS prices buck trend

    While US subprime RMBS prices on the whole continue to stabilise, 2004 and 2007 vintages showed nota...

    News Round-up    13 January 2010
  • iTraxx SovX CEEMEA due next week

    The iTraxx SovX CEEMEA index will start trading on 20 January. Markit says that the index will provi...

    News Round-up    13 January 2010
  • Troubled public companies index improves

    The Kamakura index of troubled public companies improved in December for the eighth time in the last...

    News Round-up    13 January 2010
  • CRE price declines moderating

    Commercial real estate prices, as measured by Moody's/REAL Commercial Property Price Indices (CPPI),...

    News Round-up    23 December 2009
  • Euro CLO O/C ratios continue to improve

    S&P has released its latest European CLO Performance Index report. The month saw an almost u...

    News Round-up    23 December 2009
  • Sovereign CDS spikes again

    After a brief respite, sovereign risk jumped this week on the heels of downgrades to Greek debt rati...

    News    16 December 2009
  • Agency discontinues rating MLNs

    S&P says it will no longer rate obligations with variable principal payments linked to commo...

    News Round-up    16 December 2009
  • US CMBS loan delinquencies jump to 4.47%

    The aggregate rate of delinquencies among US CMBS conduit and fusion loans is at 4.47%, based on dat...

    News Round-up    16 December 2009