Our Experts Comment the Times Series

See All the Comments

Credit Index, 82BUSD per Day in November

05 December 2013 by HCM

Grapple selection plus a cluster blast (), displays the Credit Derivatives Indices trading volumes (panel size) and spread variation (colour)(1) over the last month. The ITXEB20(2), iTraxx Europe Series 20 Index, has drained the biggest activity with 30BUSD average per day (move the mouse on the panel, the volume is displayed in the tooltip). The CDXIG21(2), CDX NA Investment Grade Index, is second with 20BUSD. The other liquid on-the-run indices are the US High Yield (5BUSD), Europe Xover (5BUSD) and Senior Financials (3BUSD). The roll activity is less important with only 3BUSD ITXEB19 and 1BUSD CDXIG20 trading. The off-the-run CDXIG09 is still relatively active with 2.7BUSD.

(1) The Treemap colour is set within a fixed band from -25bps to 25bps. A fix band anchors the user experience will browsing across the assets and the time.

(2) The Credit Derivatives Index tickers are the compound of a 5 character sequence with a 2 character suffix for the series:

  1. ITXEB: iTraxx Europe (125 members)
  2. ITXES: iTraxx Europe Senior Financials (25 members)
  3. ITXEU: iTraxx Europe Sub Financials (25 members)
  4. ITXHV : iTraxx Europe HiVol (30 members)
  5. ITXEX : iTraxx Europe Crossover (50 members)
  6. CDXIG : CDX.NA.IG (125 members)
  7. CDXHY : CDX.NA.HY(50 members)