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).


  • 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
  • CLOs feeling commodity impact

    CLO performance is feeling an adverse effect from the ongoing struggles in the commodities sector, a...

    News Round-up    10 November 2015
  • Timeshare delinquencies push up

    Fitch reports that US timeshare ABS delinquencies moderately increased in 3Q15, rising to 2.96% from...

    News Round-up    9 November 2015
  • ABS benchmark offered

    JPMorgan has launched an ABS index that it describes as a comprehensive benchmark, which captures 70...

    News Round-up    4 November 2015
  • CMBS delinquency drop continues

    Trepp's US CMBS delinquency rate in October fell by 5bp, marking the ninth month of improvement in t...

    News Round-up    4 November 2015
  • Pre-crisis double-Bs outperform

    The total amount of CLOs paid down in JPMorgan's Collateralised Loan Obligation Index (CLOIE) since...

    News Round-up    3 November 2015
  • Population growth to support RMBS

    Population growth will support housing demand and property prices in the UK, the Netherlands and Ire...

    News Round-up    2 November 2015
  • Trups defaults drop again

    The number of combined defaults and deferrals in US bank Trups CDOs dropped to 18.1% at the...

    News Round-up    2 November 2015
  • RMBS arrears reach record low

    Australian housing loan arrears in August reached their lowest level for the prime RMBS sector since...

    News Round-up    15 October 2015
  • Cross-asset conviction

    Renaud Champion, head of credit strategies for La Française Global Investment Solutions, an...

    Q: How and when did La Française Global Investment Solutions (LFGIS) become involved in the...

    The Structured Credit Interview    12 October 2015
  • Negative returns for post-crisis CLOIE

    The total amount of CLOs paid down in JPMorgan's Collateralised Loan Obligation Index (CLOIE) since...

    News Round-up    5 October 2015
  • New index rules roll

    The Markit CDX High Yield index rolls from Series 24 to 25 today (28 September), marking the impleme...

    News    28 September 2015
  • Trups defaults unchanged

    The number of US bank Trups CDO combined defaults and deferrals remained at 18.8% for the second mon...

    News Round-up    23 September 2015
  • Italian mortgage refinancing rising

    Fitch has noted a strong refinancing trend in the Italian mortgage market from end-2014 to 2Q15, whi...

    News Round-up    22 September 2015
  • iTraxx S24 skew projected

    Markit iTraxx indices roll to Series 24 on 21 September. The new series is expected to trade wider t...

    News    17 September 2015
  • US auto concerns flagged

    A reduction in the easing of US auto loan lending underwriting terms has...

    News Round-up    17 September 2015
  • CMBS vintage delinquencies vary

    US CMBS delinquencies were nearly unchanged again in August, while rates varied widely by vintage, a...

    News Round-up    14 September 2015
  • Dutch RMBS delinquencies drop

    The Dutch RMBS market saw a continued decrease in delinquencies but a modest increase in cumulative...

    News Round-up    11 September 2015
  • UK card ABS remains strong

    The collateral performance of UK credit card ABS has remained strong in 1H15, according to S&...

    News Round-up    9 September 2015
  • Aussie auto loss rise anticipated

    Fitch expects Australian auto portfolio losses to increase over coming quarters as rising unemployme...

    News Round-up    7 September 2015
  • Subprime auto delinquencies rise

    The US subprime auto loan ABS sector showed mixed signals in June as losses remained stable on a yea...

    News Round-up    4 September 2015