BBVA Credit Carry



The iTraxx and CDX Excess Return Indices represent the inherent market risk, default risk and illiquidity risk premium embedded in the underlying bonds.

The default and illiquidity risk premiums between High Yield and Investment Grade can be captured by adopting a carry strategy: buying the high risk and financing the position via low risk. Thus, the strategy sells protection on the High Yield and buys protection on the Investment Grade, while hedging the market risk.

BBVA Credit Trend Index aims to capture relative illiquidity and company risk premia between High Yield and Investment Grade by taking beta adjusted Spread position (HY – Beta x IG). It is an alternative source of carry returns that aims to hedge market risk; and it applies a forward looking protection mechanism to capture sharp changes in the macroeconomic conditions.

Key Metrics



Alternative Risk Premia



Asset Class





Equally risk weighted

# Constituents

iTraxx Main
iTraxx Xover

Key Facts


  • Spread credit carry investment strategy with market shocks protection
  • Investment universe: four most liquid 5Y credit default swap indices iTraxx Main, iTraxx Xover, CDX NA HY and CDX NA IG
  • Buying protection is scaled by the ratio of medium to long term beta on High Yield vs. Investment Grade
  • Shock protection mechanism based on a forward looking volatility indicator



Copyright © 2022, IHS Markit Benchmark Administration Limited.

“The BBVA Credit Carry Index (the “Index”) referenced herein is the property of Banco Bilbao Vizcaya Argentaria, S.A. (“BBVA” or “Index Owner”) and the Index is solely calculated, administered and published by IHS Markit Benchmark Administration Limited and/or its affiliates (“Index Administrator”). For the avoidance of doubt, BBVA does not act as an administrator or as a contributor of the Index. Each user and party acknowledges and agrees that the Index is not supported, endorsed or promoted by the Index Administrator or the Index Owner. Neither the Index Administrator nor the Index Owner make any representation whatsoever, whether express or implied, and hereby expressly disclaim all warranties (including, without limitation, those of merchantability or fitness for a particular purpose or use), with respect to the Index or any data included therein or relating thereto, and in particular disclaims any warranty either as to the quality, accuracy and/or completeness of the Index or any data included therein, the results obtained from the use of the Index and/or the composition of the Index at any particular time on any particular date or otherwise and/or the creditworthiness of any entity, or the likelihood of the occurrence of a credit event or similar event (however defined) with respect to an obligation, in the Index at any particular time on any particular date or otherwise. Neither the Index Administrator nor the Index Owner shall be liable (whether in negligence or otherwise) to the parties or any other person for any error in the Index, and they are under no obligation to advise the parties or any person of any error therein.

Neither the Index Administrator nor the Index Owner make any representation whatsoever, whether express or implied, as to the advisability of, the ability of the Index to track relevant markets’ performances, or otherwise relating to the Index or any transaction or product with respect thereto, or of assuming any risks in connection therewith. Neither the Index Administrator nor the Index Owner has no obligation to take the needs of any party into consideration in determining, composing or calculating the Index. Neither the Index Owner, nor the Index Administrator, shall have any liability to any party for any act or failure to act by the Index Administrator in connection with the determination, adjustment, calculation or maintenance of the Index.

For the avoidance of doubt, there is no corporate ownership relationship between the Index Administrator and the Index Owner, which are separate and independent companies.”



The BBVA Credit Carry index (the “Derived Index”) is a product of Banco Bilbao Vizcaya Argentaria, S.A. (“Licensee”) and uses as a component thereof the Cboe Volatility Index® (VIX®), which is a product of S&P Dow Jones Indices LLC, its affiliates and/or third party licensors (“S&P DJI”) under license. S&P®, S&P 500®, US 500®, The 500®, iBoxx®, iTraxx®, and CDX® are registered trademarks of S&P Global Inc. or its affiliates (“S&P”), Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”), and VIX® and CBOE® are registered trademarks of Cboe Exchange, Inc. (“CBOE”). The trademarks have been licensed to S&P Dow Jones Indices and have been sublicensed for use for certain purposes by Licensee. The Derived Index is not owned, endorsed, or approved by or associated with S&P Dow Jones Indices. The Derived Index Product is not sponsored, endorsed, sold or promoted by S&P DJI, S&P, Dow Jones, CBOE and S&P DJI, S&P, Dow Jones and CBOE does not make any representation regarding the advisability of investing in the Derived Index Product..