What is xover index?
iTraxx indices are a family of European, Asian and emerging market tradable credit default swap indices. The rules-based iTraxx indices comprise the most liquid names in the European, Asian, Middle Eastern and African markets.
What is the iTraxx xover?
Key Takeaways. iTraxx is a collection of indexes for the credit default swap market in Europe, Australia, and Asia. 1. These indexes allow market makers and active participants in the swaps market to take the other side of trades for a short period and provide liquidity in these markets.
What is CDS tranche?
CDS index tranches are synthetic collateralised debt obligations (CDOs) based on a CDS index, where each tranche references a different segment of the loss distribution of the underlying CDS index.
How do credit derivatives work?
A credit derivative allows creditors to transfer to a third party the potential risk of the debtor defaulting, in exchange for paying a fee, known as the premium. A credit derivative is a contract whose value depends on the creditworthiness or a credit event experienced by the entity referenced in the contract.
What is iTraxx Asia?
The iTraxx Asia ex-Japan index is a tradable index that allows market participants to take a view on the overall credit quality and direction of the underlying basket by trading one instrument. All iTraxx Indices are owned, managed, compiled and published by Markit Indices Limited.
What is iTraxx Main?
Trading. The most widely traded of the indices is the iTraxx Europe index, also known simply as ‘The Main’, composed of the most liquid 125 CDS referencing European investment grade credits, subject to certain sector rules as determined by the IIC and also as determined by the SEC.
What is iBoxx index?
iBoxx are independent bond indices which are based on multi-source pricing for improved accuracy. They serve as tools for passive or active portfolio management, ETFs and structured products. The indices cover major and minor currencies in all key bond segments.
What is a AA tranche?
AAA rating By the numbers. The mortgages are pooled into Mortgage-Backed Securities. Investors buy tranches of the securities. The word tranche is French for slice, section, series, or portion. A tranche is a portion of a structured product created such that each portion has the same cash low characteristics.
How does a synthetic CDO work?
A synthetic CDO, sometimes called a collateralized debt obligation, invests in noncash assets to obtain exposure to a portfolio of fixed-income assets. It is one kind of collateralized debt obligation (CDO)—a structured product that combines cash-generating assets that are repackaged into pools and sold to investors.