Linked

      Sep 11 2020
      CDX/iTraxx Index Tranches: Roll Date and Trading Parameter Conventions

      Following review of feedback received from market participants on standardization of tranche parameters and roll dates, the conventions as outlined in the proposal on 18th August 2020 will now be applicable for future rolls. The following are the agreed roll dates and trading parameter conventions for tranches referencing each iTraxx/CDX Index:

      Roll Dates

      iTraxx/CDX tranches will continue to roll once a year during the September roll and the tranche roll dates will be four business days following the respective index roll dates. As an illustration for Sept 2020, this would result in the following tranche roll dates:

      Index

      Index Roll Date

      Tranche Roll Date Offset

      Tranche Roll Date

      CDX.NA.IG.35

      21-Sep-2020

      +4 Bus. Days

      25-Sep-2020

      CDX.NA.HY.35

      28-Sep-2020

      +4 Bus. Days

      02-Oct-2020

      iTraxx Europe S34

      21-Sep-2020

      +4 Bus. Days

      25-Sep-2020

      iTraxx Crossover S34

      21-Sep-2020

      +4 Bus. Days

      25-Sep-2020


      Trading Parameters

      Index / Tranche

      CDX.NA.IG

      CDX.NA.HY

      iTraxx Europe

      iTraxx Crossover

      Tranche (%)

      Coupon (bps)

      Tranche (%)

      Coupon (bps)

      Tranche (%)

      Coupon (bps)

      Tranche (%)

      Coupon (bps)

      Equity

      0 - 3

      100

      0 - 15

      500

      0 - 3

      100

      0 - 10

      500

      Mezzanine

      3 - 7

      100

      15 - 25

      500

      3 - 6

      100

      10 - 20

      500

      Senior

      7 - 15

      100

      25 - 35

      500

      6 - 12

      100

      20 - 35

      500

      Super Senior

      15 - 100

      100

      35 - 100

      500

      12 - 100

      100

      35-100

      500

      For any queries, please email MK-CreditIndices@ihsmarkit.com.