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).


  • 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
  • CLO negative returns persist

    The total amount of CLOs paid down in JPMorgan's CLO index (CLOIE) since the July rebalance through...

    News Round-up    2 September 2015
  • Auto delinquencies outpace losses

    Most US subprime auto finance securitisers have reported higher managed portfolio delinquencies sinc...

    News Round-up    1 September 2015
  • CMBS delinquencies, losses rise

    The Trepp US CMBS delinquency rate continued its summer trend of oscillation and inched up slightly...

    News Round-up    1 September 2015
  • Rate rise risks downplayed

    Fitch suggests that US credit card ABS metrics will remain in record territory near term, despite po...

    News Round-up    25 August 2015
  • CDS trading edges down

    Average daily CDS index trade counts rose by 22.2% in 2Q15 compared with the same period in 2014, ac...

    News Round-up    24 August 2015
  • CMBS property incomes improve

    The NOI of Fitch-rated US CMBS improved 3.2% year-over-year in 2014, compared to 2.5% growth in both...

    News Round-up    24 August 2015
  • Trups defaults steady

    The number of US bank Trups CDO combined defaults and deferrals remained at 18.8% at the end of July...

    News Round-up    21 August 2015
  • Liquidity boost for index rules

    Markit has updated its rules for the CDX High Yield Index, effective for the upcoming index roll in...

    News Round-up    20 August 2015
  • Housing headwinds warning

    Fitch believes it is premature for the Houston housing market to be given the 'all clear' to push on...

    News Round-up    18 August 2015
  • US housing demand shifts

    A return of significant housing demand in US city centres is elevating into a coun...

    News Round-up    13 August 2015
  • CMBS pay-offs jump up

    Trepp says that the percentage of US CMBS loans paying off on their balloon date jumped imp...

    News Round-up    13 August 2015
  • US CLO credit weakening

    US CLO credit quality weakened slightly between the first and second quarters of 2015, according to...

    News Round-up    13 August 2015
  • Hotel prices lift up

    Hotel prices have risen 37% over the past 12 months, outpacing the central business distric...

    News Round-up    11 August 2015
  • Delinquencies 'nearly unchanged'

    US CMBS delinquencies were nearly unchanged in July amid low resolution and new delinquency volume,...

    News Round-up    10 August 2015
  • Basis 'favours CDX hedging'

    The recent sharp divergence in the performance of cash and synthetic products has taken the cash-CDS...

    News    6 August 2015
  • Negative returns hit CLO index

    The total amount of CLOs that paid down in JPMorgan's CLO index (CLOIE) since the June reba...

    News Round-up    4 August 2015
  • CMBS delinquencies resume drop

    The Trepp US CMBS delinquency rate resumed its descent in July after a brief time-out in June, inchi...

    News Round-up    4 August 2015
  • BTL record issuance projected

    Moody's suggests that the restriction of mortgage interest relief for UK buy-to-let (BTL) landlords...

    News Round-up    4 August 2015
  • Card delinquencies at record low

    Prime US credit card ABS delinquencies fell to record-low levels in July for a second straight month...

    News Round-up    3 August 2015
  • CMBS 1.0 expected losses fall

    Fitch says that US CMBS expected losses for peak vintages have fallen since its last report...

    News Round-up    3 August 2015