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).


  • 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
  • Daily returns index launched

    FTSE Group and the National Association of Real Estate Investment Trusts (NAREIT) have launched the...

    News Round-up    2 June 2015
  • CMBS delinquencies brake sharply

    The Trepp US CMBS delinquency rate dropped dramatically in May after six months of...

    News Round-up    2 June 2015
  • Strong returns continue for CLOs

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

    News Round-up    2 June 2015
  • CMBS losses shift up

    Trepp reports that 105 US CMBS loans totalling US$1.25bn were liquidated with a loss in May, followi...

    News Round-up    1 June 2015
  • Italian mortgage prepays rise

    Italian mortgages saw a sharp increase in annual prepayment rate to 3.2% in 1Q15 f...

    News Round-up    28 May 2015
  • CMBS workouts exceed transfers

    Moody's reports that a total of 122 European CMBS loans were in special servicing at the end of Apri...

    News Round-up    28 May 2015
  • Performing maturity wave projected

    The US$64.2m Watergate loan - the fourth-largest in GSMS 2006-GG6 - is among some...

    News Round-up    22 May 2015
  • Timeshare delinquencies 'stable'

    US timeshare ABS delinquencies were stable in 1Q15 and remain within historically normal levels, acc...

    News Round-up    20 May 2015
  • US CLO performance stable

    US CLO performance remained stable in 1Q15, according to Fitch's latest index resu...

    News Round-up    15 May 2015
  • Trups defaults drop marginally

    The number of US bank Trups CDO combined defaults and deferrals marginally decreased to 19.9% at end...

    News Round-up    14 May 2015
  • Hotel price growth outperforms

    Hotel price growth has surged by 33% in the last 12 months to within 1% of its 2007 pre-crisis peak,...

    News Round-up    11 May 2015
  • CMBS delinquencies fall again

    The US CMBS delinquency rate fell again last month, fuelled by strong new issuance led by hotels,&am...

    News Round-up    11 May 2015
  • Loss severities drop dramatically

    Trepp says that US CMBS loss severity came in at 18.14% during April, which is 26 percentag...

    News Round-up    11 May 2015
  • CMBS loss severities declining

    US CMBS loss severities are declining year-over year, with a sizable decline to 44.8% in 2014 from 5...

    News Round-up    7 May 2015
  • CLOs post positive returns

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

    News Round-up    5 May 2015
  • Trups defaults continue falling

    The number of US bank Trups CDO combined defaults and deferrals decreased to 20% at end-March, accor...

    News Round-up    30 April 2015
  • OTC market contracting

    The OTC derivatives markets contracted in 2H14, according to BIS statistics. The notional amount of...

    News Round-up    30 April 2015
  • Aussie housing affordability steady

    Low mortgage interest rates have helped keep Moody's Australian housing affordability measure steady...

    News Round-up    27 April 2015
  • GSE credit spectrum broadens

    Fannie Mae and Freddie Mac are continuing to expand the credit spectrum of loans included in their r...

    News Round-up    27 April 2015
  • Foreclosure timelines plateau

    The average amount of time it took to liquidate a distressed US mortgage loan rose again in 1Q15 to...

    News Round-up    22 April 2015