Ahead of the September index roll IHS Markit invites feedback on a proposal to amend the iTraxx Europe Index rules.
IHS Markit proposes to allow index sector limits to deviate by a maximum of 20% from the current set index sector constituent count for future index series. This rule change is being considered to prioritise underlying constituent liquidity. Currently, index constituents are selected from the iTraxx Europe Liquidity List until a sector limit is met. Under the proposed new rules, the highest-ranking entities on the iTraxx Europe Liquidity List for a given sector would be included until the upper sector limit is achieved, provided all other sectors achieve their lower limit. Market participants are invited to provide feedback by emailing
itraxxadvisory@ihsmarkit.com,the feedback window is scheduled to complete by end of June following which IHS Markit will publish a further announcement.
Sectors | Current Sector Limit | Proposed Lower Sector Limit | Proposed Upper Sector Limit |
Autos & Industrials | 30 | 24 | 36 |
Consumers | 25 | 20 | 30 |
Energy | 20 | 16 | 24 |
Financials | 30 | 30 | 30 |
TMT | 20 | 16 | 24 |