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).


  • 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
  • RPL RMBS hitting expectations

    The early performance signals from US reperforming loan RMBS deals reveal that they have ma...

    News Round-up    5 May 2016
  • Card ABS near record levels

    US credit card ABS performance is still hovering close to record territory, according to Fitch's lat...

    News Round-up    3 May 2016
  • ISDA, Markit set CDS commitments

    The European Commission is looking for feedback on commitments put forward by ISDA and Markit to add...

    News Round-up    29 April 2016
  • Hudson loss forecast increases

    Rising store vacancies at the Hudson Valley Mall in Kingston, New York, has prompted Mornin...

    News Round-up    28 April 2016
  • European placements trending down

    Only €14.3bn of securitised product was placed in Europe in 1Q16, according to AF...

    News Round-up    28 April 2016
  • South Korean issuance up again

    South Korean ABS issuance was up by 16.8% in 1Q16 from 1Q15, according to the country's Financial Su...

    News Round-up    26 April 2016
  • Cat bond issuance hits record

    Catastrophe bond issuance set new records for issuance in 1Q16, according to Aon Benfield's quarterl...

    News    21 April 2016
  • CLO default risks amp up

    US CLOs are becoming more exposed to the rising number of defaulted issuers, according to Fitch's la...

    News Round-up    21 April 2016
  • CMBS default drop to stop

    US CMBS loan defaults fell again in 2015 but the trend is likely to stop this year, according to Fit...

    News Round-up    5 April 2016
  • CLO indices increase eligibility

    Palmer Square Capital Management has announced a methodology change to its Palmer Square CLO Senior...

    News Round-up    4 April 2016
  • Antitrust objections filed

    A number of potential claimants in the CDS antitrust lawsuit have filed objections to the preliminar...

    News    30 March 2016
  • Auto ABS ratings 'stable'

    Fitch says that growing credit enhancement and robust loss protection should help US auto lease ABS...

    News Round-up    29 March 2016
  • CMBS TRS index introduced

    Markit and Trepp have launched a new total return swap index referencing US last cashflow triple-A r...

    News    24 March 2016
  • EM CDS volumes tumble

    Emerging market CDS trading volume declined by 35% in 4Q15 from the same time a year earlier, accord...

    News Round-up    23 March 2016
  • Data heavyweights merge

    IHS and Markit have agreed to a US$13bn merger, combining their information, analytics and solutions...

    Job Swaps    21 March 2016
  • Energy weighs on CLOs

    The energy sector is driving credit deterioration within US CLOs, observes Moody's, which was a key...

    News Round-up    18 March 2016
  • Indices ready to roll

    Markit iTraxx indices roll to Series 25 on Monday 21 March. There are set to be 12 name changes for...

    News    17 March 2016
  • Aussie arrears push up

    The 30-plus day delinquency rate for Australian prime RMBS increased in from 1.14% in 3Q15 ...

    News Round-up    17 March 2016
  • German SME CLO defaults dropping

    The fall in German corporate insolvencies in 2015 will help stabilise Ger...

    News Round-up    17 March 2016
  • Subprime auto delinquencies near peak

    US subprime auto ABS delinquencies hit a six-year high last month, according to Fitch. The rise has...

    News Round-up    26 February 2016