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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).


  • 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
  • Trups defaults drop again

    The number of US bank Trups CDO combined defaults and deferrals marginally decreased to 19.3% at end...

    News Round-up    30 July 2015
  • CLO 2.0 overlap highlighted

    European CLO issuance levels in 2015 have surpassed end-2Q14 levels, according to S&P. So fa...

    News Round-up    29 July 2015
  • Legacy LLF risks flagged

    A review by Fitch of large loan floating-rate (LLF) CMBS deals issued between 2005 and 2007...

    News Round-up    29 July 2015
  • CLO commodity defaults growing

    The number of defaults and impacted US CLOs increased in 2Q15, with 19 of 142 CLOs affected by defau...

    News Round-up    29 July 2015
  • EMEA CMBS performance 'stable'

    The stable performance of the Fitch-rated EMEA CMBS portfolio in 2015 is largely due&nb...

    News Round-up    28 July 2015
  • Crossover tranchelet trades touted

    Investors are increasingly looking to trade slices of the 0%-10% equity tranche of the on-the-run iT...

    News    21 July 2015
  • CMBS delinquencies dip

    The European CMBS 12-month-rolling loan maturity default rate increased slightly to 25% from 24.6%,...

    News Round-up    21 July 2015
  • CMBS delinquencies climbing

    US CMBS delinquencies climbed slightly last month led by two large newly delinquent loans, according...

    News Round-up    14 July 2015
  • Jumbo RMBS on record pace

    US prime jumbo RMBS is on pace to exceed last year's issuance levels after another strong quarter, r...

    News Round-up    14 July 2015
  • CLO issuance forecast broadened

    US CLO issuance totalled US$59bn in 1H15, which is approximately 3% lower compared to 1H14, accordin...

    News Round-up    9 July 2015
  • Puerto Rico pushes MBIA wide

    CDS spreads on MBIA moved 19% wider last week as the risk around Puerto Rico's municipal bonds rose,...

    News Round-up    8 July 2015
  • End-user CDS trading grounded

    Daily end-user trading volume for single-name CDS from July 2010 to end-June 2015 has been...

    News Round-up    7 July 2015
  • Chinese auto delinquencies edge up

    Delinquency rates for Chinese auto loan ABS increased in 1Q15 from the previous quarter, Moody's rep...

    News Round-up    7 July 2015
  • CLOIE softens on volatility

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

    News Round-up    2 July 2015
  • CLO structurer brought in

    A former GreensLedge director has moved to Deutsche Bank to take up a CLO structuring role in London...

    Job Swaps    19 June 2015
  • Trups default drop continues

    The number of US bank Trups CDO combined defaults and deferrals decreased marginally to 19.7% at the...

    News Round-up    15 June 2015
  • CLO benchmark indices launched

    Palmer Square Capital Management has teamed up with the NYSE to launch two new indices designed to b...

    News Round-up    8 June 2015
  • CMBS delinquencies at year low

    US CMBS delinquencies fell by their largest margin in over a year thanks to high resolution volume a...

    News Round-up    8 June 2015
  • CRE equity cushion restored

    Moody's says that the equity cushion for pre-crisis CRE loans originated at a 75% LTV has improved t...

    News Round-up    8 June 2015
  • CLO compression trades touted

    US CLO triple-A tranches are lagging the spread compression in the CLO credit curve as the...

    News    4 June 2015