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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).


  • 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
  • Long iTraxx positions 'vulnerable'

    Net long non-dealer positions have been cut by almost US$17bn over the past week or so across the Ma...

    News    24 February 2016
  • Trups defaults keep low

    Combined defaults and deferrals for US bank Trups CDOs remained at 17.4% at the end of January, acco...

    News Round-up    19 February 2016
  • Timeshare delinquencies push up

    US timeshare ABS delinquencies hit a three-year high last quarter, according to Fitch's latest index...

    News Round-up    15 February 2016
  • CLO concerns 'beyond commodities'

    Focus on industry-wide commodity-related stress could overshadow defaults of isolated non-commodity...

    News Round-up    2 February 2016
  • South Korean issuance surges

    South Korean securitisation issuance nearly doubled in 2015, rising by 99.8% to Won83trn from Won41....

    News Round-up    27 January 2016
  • Trups defaults drop again

    Combined defaults and deferrals for US bank Trups CDOs decreased to 17.5% at the end of December, af...

    News Round-up    26 January 2016
  • UK card performance 'strong'

    The collateral performance of transactions in S&P's UK credit card ABS index remained strong...

    News Round-up    19 January 2016
  • CMBX rule updates expected

    The Markit CMBX.9 index is expected to launch on 25 January 2016. Similar to the previous CMBX serie...

    News Round-up    23 December 2015
  • CMBS defaults edge up

    The 12-month rolling maturity default rate for European CMBS increased slightly in November to 10.5%...

    News Round-up    21 December 2015
  • Bloomberg to buy BRAIS

    Bloomberg has agreed to acquire the Barclays Risk Analytics and Index Solutions (BRAIS) business&...

    Job Swaps    17 December 2015
  • Lloyd's planning insurance index

    Lloyd's has announced plans to launch its own insurance-based index, the Lloyd's Index, in the middl...

    News Round-up    16 December 2015
  • CDS start-up beefing up

    Citadel Securities has brought in Tian Zeng as part of its push towards launching a new CDS...

    Job Swaps    4 December 2015
  • Post-crisis double-Bs keep outperforming

    The total amount of CLOs paid down in JPMorgan's CLO Index (CLOIE) in November was US$2.41bn in par...

    News Round-up    2 December 2015
  • CDS volumes rise

    Emerging markets CDS trading in 3Q15 was US$376bn, according to EMTA's latest index results for the...

    News Round-up    24 November 2015
  • Aussie arrears at record low

    Australian nonconforming RMBS arrears fell to a record low of 3.99% in September, according...

    News Round-up    19 November 2015
  • Dutch mortgage lending jumps

    New players entering the Dutch housing market are intensifying competition and prompting more lendin...

    News Round-up    16 November 2015
  • Trups defaults dip

    US bank Trups CDO combined defaults and deferrals marginally dropped to 18% at the end of October fr...

    News Round-up    16 November 2015
  • CRE momentum continues

    Positive momentum continued in all US CRE sectors in 3Q15, says Moody's. Though GDP growth will be c...

    News Round-up    13 November 2015
  • CLO credit quality drops

    In contrast to their European counterparts, the credit quality of US CLOs slipped during 3Q15, says...

    News Round-up    13 November 2015
  • Pricing source to expand

    Barclays is set to incorporate third-party pool-level prices into the pricing for MBS index generics...

    News Round-up    10 November 2015