Sep 21 2018
    iTraxx Asia ex-Japan Announcement

    For iTraxx Asia ex-Japan Series 30, DBS Bank Ltd. is included in the index annex with the Senior reference obligation (ISIN: XS1167295630, Maturity: 14-Jan-2020, Coupon: Float). Therefore, trades on iTraxx Asia ex-Japan Series 30 will reference this Senior reference obligation.

    Sep 20 2018
    Tranche Parameters and Roll Dates for IHS Markit CDX and iTraxx Indices Confirmed

    Coupons, attachment/detachment levels and roll dates for tranches to be traded on the CDX Series 31 and iTraxx Series 30 indices have been agreed by market participants as per the below tables. Please note there is no change in attachment/detachment points or coupons.
    Index Roll Date (Tranches)
    CDX.NA.IG.31 25-Sep-18
    CDX.NA.HY.31 02-Oct-18
    iTraxx Europe Series 30 25-Sep-18
    iTraxx Europe Crossover Series 30 25-Sep-18


    Index Tranche Coupon
    CDX.NA.IG.31 0 - 3 100
    CDX.NA.IG.31 3 - 7 100
    CDX.NA.IG.31 7 - 15 100
    CDX.NA.IG.31 15 - 100 100
    CDX.NA.HY.31 0 - 15 500
    CDX.NA.HY.31 15 - 25 500
    CDX.NA.HY.31 25 - 35 500
    CDX.NA.HY.31 35 - 100 500
    iTraxx Europe Series 30 0 - 3 100
    iTraxx Europe Series 30 3 - 6 100
    iTraxx Europe Series 30 6 - 12 100
    iTraxx Europe Series 30 12 - 100 100
    iTraxx Europe Crossover Series 30 0 - 10 500
    iTraxx Europe Crossover Series 30 10 - 20 500
    iTraxx Europe Crossover Series 30 20 - 35 500
    iTraxx Europe Crossover Series 30 35 - 100 500

    Sep 18 2018
    iTraxx Europe News Announcement

    In accord with the resolution published by the ISDA DC on the 14 September and the publication of a new Deutsche Bank AG SRO with the seniority level Senior Non-Preferred, IHS Markit will be including the new Senior Non-Preferred SRO (ISIN DE000DL19TX8) in the iTraxx Europe Series 30 Annex for iTraxx Europe and iTraxx Europe Senior Financial trades provided the SRO becomes the final SRO on the 19 of September.

    A revised Annex has been published.

    Sep 14 2018
    CDX and iTraxx Tranche Standardized Model Working Group


    IHS Markit would like to establish a working group to discuss the creation of a standardized pricing model for these tranches. Market participants have brought it to the attention of IHS Markit that a standardized pricing model would help increase interest in the product, leading to further liquidity. We ask interested firms to please nominate subject matter experts who can contribute to a working group on this topic lead by IHS Markit’s Quant and Pricing teams. Please nominate experts by emailing MK-CreditIndices.Response@ihsmarkit.com

    Sep 14 2018
    CDX and iTraxx Tranche Roll Dates and Conventions

    Ahead of the September 2018 roll of the CDX and iTraxx Indices (the “Indices”), IHS Markit would like to assess the views of market participants on tranche roll dates and trading conventions to be used following the roll of the Indices. IHS Markit then intends to publish consensus tranche roll dates and trading conventions, for informational purposes, to assist market participants. IHS Markit would suggest the roll dates below and, furthermore, that tranche coupons and attachment/detachment points should remain unchanged from the previous traded series (as per the table below). Please send any feedback to MK-CreditIndices.Response@ihsmarkit.com by Tuesday September 18th, 2018.



    Index Roll Date (Tranches)
    CDX.NA.IG.31 27-Sep-18
    CDX.NA.HY.31 04-Oct-18
    iTraxx Europe Series 30 27-Sep-18
    iTraxx Europe Crossover Series 30 02-Oct-18

    Index Tranche Coupon
    CDX.NA.IG.31 0 - 3 100
    CDX.NA.IG.31 3 - 7 100
    CDX.NA.IG.31 7 - 15 100
    CDX.NA.IG.31 15 - 100 100
    CDX.NA.HY.31 0 - 15 500
    CDX.NA.HY.31 15 - 25 500
    CDX.NA.HY.31 25 - 35 500
    CDX.NA.HY.31 35 - 100 500
    iTraxx Europe Series 30 0 - 3 100
    iTraxx Europe Series 30 3 - 6 100
    iTraxx Europe Series 30 6 - 12 100
    iTraxx Europe Series 30 12 - 100 100
    iTraxx Europe Crossover Series 30 0 - 10 500
    iTraxx Europe Crossover Series 30 10 - 20 500
    iTraxx Europe Crossover Series 30 20 - 35 500
    iTraxx Europe Crossover Series 30 35 - 100 500

    Sep 13 2018
    iTraxx Europe Rule Announcement

    In the Provisional iTraxx Crossover list published on 11September 2018, Evraz Group S.A. was included as a provisional iTraxx Crossover Series 30 constituent. Following review with the Index Advisory Committee and based on feedback from market participants, IHS Markit has decided to replace Evraz Group S.A. with the next eligible constituent from the iTraxx Crossover Liquidity List, LAGARDERE SCA. The reason for the change is that whilst Evraz Group S.A is eligible for inclusion in the index, it is convention in the CDS market to trade Evraz Group S.A. under the ISDA transaction type “Standard Emerging European Corporate” which is a transaction type currently not present in the iTraxx Crossover Annex. Introducing this new transaction type to the Annex potentially could be harmful to the liquidity of the index.

    Sep 13 2018
    Markit iTraxx Asia ex-Japan Final Index Membership Series 30

    Please see below the Markit iTraxx Asia ex-Japan Final Index Membership Lists for Series 30.

    Sep 13 2018
    Markit iTraxx Japan Final Index Membership Series 30

    Please see below the Markit iTraxx Japan Final Index Membership Lists for Series 30.

    Sep 13 2018
    iTraxx Asia ex-Japan Rule Announcement

    In the Provisional iTraxx Asia ex-Japan list published on 11 September 2018, Country Garden Holding was included as a provisional iTraxx Asia ex-Japan Series 30 constituent. Following review with the Index Advisory Committee and based on feedback from market participants, IHS Markit has decided to replace Country Garden Holdings with Alibaba Group Holding Limited as an iTraxx Asia ex-Japan Series 30 constituent. Country Garden Holdings was seen as a potential risk to index liquidity on the basis that it is split rated and had an average 5Y CDS spread of 347.79 BPS, compared to an average index constituent spread of 71.52 BPS, over the last 10 days of August.

    Sep 13 2018
    Markit iTraxx Australia Final Index Membership Series 30

    Please see below the Markit iTraxx Australia Final Index Membership List for Series 30.

    Sep 13 2018
    Markit iTraxx Europe Final Index Membership Series 30

    Please see below the Markit iTraxx Europe Final Index Membership Lists for Series 30.

    Sep 11 2018
    Markit iTraxx Europe Provisional Index Membership Series 30

    Please see below the Markit iTraxx Europe Provisional Index Membership Lists for Series 30.

    Sep 11 2018
    Markit iTraxx Australia Provisional Index Membership Series 30

    Please see below the Markit iTraxx Australia Provisional Index Membership Lists for Series 30.

    Sep 11 2018
    Markit iTraxx Japan Provisional Index Membership Series 30

    Please see below the Markit iTraxx Japan Provisional Index Membership Lists for Series 30

    Sep 11 2018
    Markit iTraxx Asia ex-Japan Provisional Index Membership Series 30

    Please see below the Markit iTraxx Asia ex-Japan Provisional Index Membership Lists for Series 30.

    Sep 07 2018
    Markit iTraxx Series 30 RED Codes

    Index Name S29 Index RED S30 Index RED
    iTraxx Asia ex-Japan IG 4ABCAMAV8 4ABCAMBA3
    iTraxx Australia 2I668IBC5 2I668IBD3
    iTraxx Europe Crossover 2I667KFN3 2I667KCO4
    iTraxx Europe Non-Financial 2I667NBR2 2I667NBN1
    iTraxx Europe Senior Financials 2I667DBT0 2I667DBU7
    iTraxx Europe 2I666VCI4 2I666VCJ2
    iTraxx Europe Sub Financials 2I667EBU5 2I667EBV3
    iTraxx Japan 2I668HCC6 2I668HAO2

    Sep 07 2018
    iTraxx Asia ex-Japan Series 30 Index Rules Published

    iTraxx Asia ex-Japan Series 30 Index Rules Published

    Sep 07 2018
    iTraxx Asia ex-Japan Rule Announcement

    Following the previously announced rule review for iTraxx Asia-ex Japan, IHS Markit has decided to continue reviewing a possible amendment to the index rules that would allow for the inclusion of large debt issuers in the index that currently do not have liquid CDS traded on them. IHS Markit will continue to consult market participants on the rule change and will look to make an announcement ahead of the iTraxx Asia ex-Japan Series 31 index roll.

    For iTraxx Asia ex-Japan Series 30, IHS Markit is making one adjustment to the index rules: all entities included in the index will need to have an outstanding minimum publicly traded debt of USD 150m or guarantee USD 150m. Replacement entities included in the index will be selected from the CDS liquidity list provided that the issuer country is a country that is currently underweight in the iTraxx Asia ex-Japan index in comparison to the iBoxx Asia ex-Japan USD Investment Grade Index.

    IHS Markit would ask market participants to please contact (itraxxadvisory@ihsmarkit.com) with any queries or feedback.

    Sep 03 2018
    iTraxx Asia ex-Japan Rule Announcement

    Review of Country weighting
    For iTraxx Asia ex-Japan Series 30, IHS Markit is considering introducing country weight adjustments. The principal selection criteria under current index rules is CDS liquidity. While this will remain, IHS Markit is considering reducing/increasing country weights that are overweight/underweight in iTraxx Asia ex-Japan in comparison to iBoxx USD Asia ex-Japan Investment Grade Index. This change is being considered based on feedback from market participants that the iTraxx Asia ex-Japan country weights need to be more closely aligned with overall USD Asian Investment Grade debt outstanding.
    IHS Markit is considering removing the least liquid CDS names from overweight countries in iTraxx Asia ex-Japan and replacing them with the largest cash market issuers from underweight countries from the iBoxx USD Asia ex-Japan Investment Grade Index. A limited number of non-liquid CDS names could be introduced for iTraxx Asia ex-Japan Series 30.
    IHS Markit would ask market participants to please contact (itraxxadvisory@ihsmarkit.com) with any queries.
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