Structured Credit Investor SCI’s 5th Annual Capital Relief Trades Seminar 17 October 2019, London
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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).


  • 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
  • Call for clarity around Prime index construction

    Markit's intension to launch the ABX.Prime index next year has raised a few eyebrows among industry...

    News    16 December 2009
  • Continued deterioration for Italian RMBS

    The performance of the Italian RMBS market continued to deteriorate during October 2009, according t...

    News Round-up    16 December 2009
  • Two new SF indices in the works

    Markit and the structured finance operating committee have agreed to develop two new US mortgage-foc...

    News Round-up    9 December 2009
  • EMEA auto loan ABS indices stable

    The performance of the auto loan ABS market in EMEA remained stable overall in October, according to...

    News Round-up    9 December 2009
  • Prepays drive disparity in subprime RMBS index

    Prices among recent vintage US subprime RMBS continue to fall, with 2005 showing the most substantia...

    News Round-up    9 December 2009
  • EOD cushion improves on rise in asset prices

    S&P has published its US Corporate CDO EOD Index, which tracks the performance of CLOs and o...

    News Round-up    9 December 2009
  • Dutch RMBS prepayment rates decrease

    The weighted-average Dutch RMBS prepayment index decreased to 4.57% in Q3 from 4.73% in Q209 and is...

    News Round-up    9 December 2009
  • Euro credit card index improves, charge-offs worsen

    The overall performance of S&P's European credit card index improved slightly in Q3, followi...

    News Round-up    9 December 2009
  • Delinquency ratio for Japanese RMBS rises

    Moody's has released its updated performance indices for Japanese RMBS in its latest report for the...

    News Round-up    2 December 2009
  • Wake-up call

    CDS market wobbles on Dubai credit concerns

    Sovereign default risk hit the headlines last week - but not in connection with Greece, as...

    News Analysis    2 December 2009
  • Troubled companies index jumps

    The Kamakura index of troubled public companies increased in November for the first time in the last...

    News Round-up    2 December 2009
  • Trading ideas: high octane

    Byron Douglass, senior research analyst at Credit Derivatives Research, looks at an outright long on...

    Chesapeake Energy cut its hedge book to less than 25% of planned 2010 capacity, versus more than 75%...

    Research Notes    2 December 2009
  • Update for Japanese ABS performance indices

    Moody's has updated the performance indices for Japanese ABS in its latest report for the sector. ...

    News Round-up    2 December 2009
  • Moderating default rates for ABX?

    ABX remittance reports for the November distribution date suggest moderating default rates across in...

    News Round-up    2 December 2009
  • Sovereign concerns

    Increased liquidity and spreads for emerging and developed economies

    Sovereign CDS levels have once again been on the rise as unprecedented government funding requiremen...

    News Analysis    25 November 2009
  • UK credit card indices begin stabilising

    Moody's UK aggregate credit card charge-off index declined to 11.4% in October from 11.8% one month...

    News Round-up    25 November 2009
  • CPPI points to moderating CRE deterioration

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

    News Round-up    25 November 2009
  • US credit card charge-offs to remain choppy

    Credit card charge-off rates continue to show signs of stabilising, according to the latest master t...

    News Round-up    25 November 2009
  • US CMBS delinquencies rise

    The aggregate rate of delinquencies among US CMBS rose to 4.01%, as of the end of October, according...

    News Round-up    18 November 2009
  • Australian RMBS arrears continue to decline

    Australian mortgage delinquencies have decreased across the board, representing the third consecutiv...

    News Round-up    18 November 2009