Apr 25 2019
    ISDA 2019 German Bank CDS Protocol - Index and Tranche Red Codes

    IHS Markit will be re-versioning iTraxx Europe and iTraxx Europe Senior Financials Index Series 22-31 to facilitate the processing of the ISDA 2019 German Bank CDS Protocol, with processing taking place over the weekend 11 May 2019. The re-versioned version 2 indices will begin trading on Monday 13 May 2019. The new index versions will include German Banks under the ISDA Transaction Type STANDARD EUROPEAN SENIOR NON PREFERRED FINANCIAL CORPORATE. Queries can be sent to MK-CreditIndices@ihsmarkit.com.


    Index REDCodes


    CURRENT INDEX RED CODE NEW INDEX NAME NEW INDEX REDCODE
    2I666VBC8 iTraxx Europe Series 22 Version 2 2I666VCK9
    2I666VBD6 iTraxx Europe Series 23 Version 2 2I666VCL7
    2I666VBE4 iTraxx Europe Series 24 Version 2 2I666VCM5
    2I666VBF1 iTraxx Europe Series 25 Version 2 2I666VCN3
    2I666VBO2 iTraxx Europe Series 26 Version 2 2I666VCO1
    2I666VBP9 iTraxx Europe Series 27 Version 2 2I666VCP8
    2I666VCA1 iTraxx Europe Series 28 Version 2 2I666VCQ6
    2I666VCI4 iTraxx Europe Series 29 Version 2 2I666VCR4
    2I666VCJ2 iTraxx Europe Series 30 Version 2 2I666VCS2
    2I666VCT0 iTraxx Europe Series 31 Version 2 2I666VCU7
    2I667DAV6 iTraxx Europe Senior Financials Series 22 Version 2 2I667DBV5
    2I667DAW4 iTraxx Europe Senior Financials Series 23 Version 2 2I667DBW3
    2I667DAX2 iTraxx Europe Senior Financials Series 24 Version 2 2I667DBX1
    2I667DAY0 iTraxx Europe Senior Financials Series 25 Version 2 2I667DBY9
    2I667DAZ7 iTraxx Europe Senior Financials Series 26 Version 2 2I667DBZ6
    2I667DBA1 iTraxx Europe Senior Financials Series 27 Version 2 2I667DCA0
    2I667DBL7 iTraxx Europe Senior Financials Series 28 Version 2 2I667DCB8
    2I667DBT0 iTraxx Europe Senior Financials Series 29 Version 2 2I667DCC6
    2I667DBU7 iTraxx Europe Senior Financials Series 30 Version 2 2I667DCD4
    2I667DCE2 iTraxx Europe Senior Financials Series 31 Version 2 2I667DCF9


    Tranche REDCodes


    CURRENT INDEX TRANCHE NAME CURRENT INDEX TRANCHE REDCode NEW INDEX TRANCHE NAME NEW INDEX TRANCHE REDCode
    iTraxx Europe Series 22 Version 1 10Y 0-3 2I666VAI9 iTraxx Europe Series 22 Version 2 10Y 0-3 2I666VAA0
    iTraxx Europe Series 22 Version 1 10Y 12-100 2I666VAJ0 iTraxx Europe Series 22 Version 2 10Y 12-100 2I666VAA1
    iTraxx Europe Series 22 Version 1 10Y 3-6 2I666VAJ1 iTraxx Europe Series 22 Version 2 10Y 3-6 2I666VAA2
    iTraxx Europe Series 22 Version 1 10Y 6-12 2I666VAJ2 iTraxx Europe Series 22 Version 2 10Y 6-12 2I666VAA4
    iTraxx Europe Series 22 Version 1 3Y 0-3 2I666VAJ3 iTraxx Europe Series 22 Version 2 3Y 0-3 2I666VAA5
    iTraxx Europe Series 22 Version 1 3Y 12-100 2I666VAJ5 iTraxx Europe Series 22 Version 2 3Y 12-100 2I666VAA6
    iTraxx Europe Series 22 Version 1 3Y 3-6 2I666VAJ6 iTraxx Europe Series 22 Version 2 3Y 3-6 2I666VAA7
    iTraxx Europe Series 22 Version 1 3Y 6-12 2I666VAJ7 iTraxx Europe Series 22 Version 2 3Y 6-12 2I666VAA8
    iTraxx Europe Series 22 Version 1 5Y 0-3 2I666VAJ8 iTraxx Europe Series 22 Version 2 5Y 0-3 2I666VAA9
    iTraxx Europe Series 22 Version 1 5Y 12-100 2I666VAJ9 iTraxx Europe Series 22 Version 2 5Y 12-100 2I666VAB0
    iTraxx Europe Series 22 Version 1 5Y 3-6 2I666VAK0 iTraxx Europe Series 22 Version 2 5Y 3-6 2I666VAB2
    iTraxx Europe Series 22 Version 1 5Y 6-12 2I666VAK2 iTraxx Europe Series 22 Version 2 5Y 6-12 2I666VAB3
    iTraxx Europe Series 22 Version 1 7Y 0-3 2I666VAK3 iTraxx Europe Series 22 Version 2 7Y 0-3 2I666VAB4
    iTraxx Europe Series 22 Version 1 7Y 12-100 2I666VAK4 iTraxx Europe Series 22 Version 2 7Y 12-100 2I666VAB5
    iTraxx Europe Series 22 Version 1 7Y 3-6 2I666VAK5 iTraxx Europe Series 22 Version 2 7Y 3-6 2I666VAB6
    iTraxx Europe Series 22 Version 1 7Y 6-12 2I666VAK6 iTraxx Europe Series 22 Version 2 7Y 6-12 2I666VAB7
    iTraxx Europe Series 24 Version 1 10Y 0-3 2I666VAK7 iTraxx Europe Series 24 Version 2 10Y 0-3 2I666VAB8
    iTraxx Europe Series 24 Version 1 10Y 12-100 2I666VAK8 iTraxx Europe Series 24 Version 2 10Y 12-100 2I666VAB9
    iTraxx Europe Series 24 Version 1 10Y 3-6 2I666VAK9 iTraxx Europe Series 24 Version 2 10Y 3-6 2I666VAC0
    iTraxx Europe Series 24 Version 1 10Y 6-12 2I666VAL0 iTraxx Europe Series 24 Version 2 10Y 6-12 2I666VAC1
    iTraxx Europe Series 24 Version 1 3Y 0-3 2I666VAL1 iTraxx Europe Series 24 Version 2 3Y 0-3 2I666VAC2
    iTraxx Europe Series 24 Version 1 3Y 12-100 2I666VAL2 iTraxx Europe Series 24 Version 2 3Y 12-100 2I666VAC3
    iTraxx Europe Series 24 Version 1 3Y 3-6 2I666VAL3 iTraxx Europe Series 24 Version 2 3Y 3-6 2I666VAC4
    iTraxx Europe Series 24 Version 1 3Y 6-12 2I666VAL4 iTraxx Europe Series 24 Version 2 3Y 6-12 2I666VAC5
    iTraxx Europe Series 24 Version 1 5Y 0-3 2I666VAL5 iTraxx Europe Series 24 Version 2 5Y 0-3 2I666VAC6
    iTraxx Europe Series 24 Version 1 5Y 12-100 2I666VAL6 iTraxx Europe Series 24 Version 2 5Y 12-100 2I666VAC7
    iTraxx Europe Series 24 Version 1 5Y 3-6 2I666VAL7 iTraxx Europe Series 24 Version 2 5Y 3-6 2I666VAC8
    iTraxx Europe Series 24 Version 1 5Y 6-12 2I666VAL8 iTraxx Europe Series 24 Version 2 5Y 6-12 2I666VAD0
    iTraxx Europe Series 24 Version 1 7Y 0-3 2I666VAM0 iTraxx Europe Series 24 Version 2 7Y 0-3 2I666VAD1
    iTraxx Europe Series 24 Version 1 7Y 12-100 2I666VAM1 iTraxx Europe Series 24 Version 2 7Y 12-100 2I666VAD2
    iTraxx Europe Series 24 Version 1 7Y 3-6 2I666VAM2 iTraxx Europe Series 24 Version 2 7Y 3-6 2I666VAD3
    iTraxx Europe Series 24 Version 1 7Y 6-12 2I666VAM3 iTraxx Europe Series 24 Version 2 7Y 6-12 2I666VAD4
    iTraxx Europe Series 26 Version 1 10Y 0-3 2I666VAM4 iTraxx Europe Series 26 Version 2 10Y 0-3 2I666VAD5
    iTraxx Europe Series 26 Version 1 10Y 12-100 2I666VAM5 iTraxx Europe Series 26 Version 2 10Y 12-100 2I666VAD6
    iTraxx Europe Series 26 Version 1 10Y 3-6 2I666VAM6 iTraxx Europe Series 26 Version 2 10Y 3-6 2I666VAD8
    iTraxx Europe Series 26 Version 1 10Y 6-12 2I666VAM8 iTraxx Europe Series 26 Version 2 10Y 6-12 2I666VAD9
    iTraxx Europe Series 26 Version 1 3Y 0-3 2I666VAM9 iTraxx Europe Series 26 Version 2 3Y 0-3 2I666VAE0
    iTraxx Europe Series 26 Version 1 3Y 12-100 2I666VAN0 iTraxx Europe Series 26 Version 2 3Y 12-100 2I666VAE1
    iTraxx Europe Series 26 Version 1 3Y 3-6 2I666VAN1 iTraxx Europe Series 26 Version 2 3Y 3-6 2I666VAE2
    iTraxx Europe Series 26 Version 1 3Y 6-12 2I666VAN2 iTraxx Europe Series 26 Version 2 3Y 6-12 2I666VAE3
    iTraxx Europe Series 26 Version 1 5Y 0-3 2I666VAN3 iTraxx Europe Series 26 Version 2 5Y 0-3 2I666VAE4
    iTraxx Europe Series 26 Version 1 5Y 12-100 2I666VAN4 iTraxx Europe Series 26 Version 2 5Y 12-100 2I666VAE6
    iTraxx Europe Series 26 Version 1 5Y 3-6 2I666VAN6 iTraxx Europe Series 26 Version 2 5Y 3-6 2I666VAE7
    iTraxx Europe Series 26 Version 1 5Y 6-12 2I666VAN7 iTraxx Europe Series 26 Version 2 5Y 6-12 2I666VAE8
    iTraxx Europe Series 26 Version 1 7Y 0-3 2I666VAN8 iTraxx Europe Series 26 Version 2 7Y 0-3 2I666VAE9
    iTraxx Europe Series 26 Version 1 7Y 12-100 2I666VAN9 iTraxx Europe Series 26 Version 2 7Y 12-100 2I666VAF0
    iTraxx Europe Series 26 Version 1 7Y 3-6 2I666VAO0 iTraxx Europe Series 26 Version 2 7Y 3-6 2I666VAF1
    iTraxx Europe Series 26 Version 1 7Y 6-12 2I666VAO1 iTraxx Europe Series 26 Version 2 7Y 6-12 2I666VAF3
    iTraxx Europe Series 28 Version 1 10Y 0-3 2I666VAO2 iTraxx Europe Series 28 Version 2 10Y 0-3 2I666VAF4
    iTraxx Europe Series 28 Version 1 10Y 12-100 2I666VAO4 iTraxx Europe Series 28 Version 2 10Y 12-100 2I666VAF5
    iTraxx Europe Series 28 Version 1 10Y 3-6 2I666VAO5 iTraxx Europe Series 28 Version 2 10Y 3-6 2I666VAF6
    iTraxx Europe Series 28 Version 1 10Y 6-12 2I666VAO6 iTraxx Europe Series 28 Version 2 10Y 6-12 2I666VAF7
    iTraxx Europe Series 28 Version 1 3Y 0-3 2I666VAO7 iTraxx Europe Series 28 Version 2 3Y 0-3 2I666VAF8
    iTraxx Europe Series 28 Version 1 3Y 12-100 2I666VAO8 iTraxx Europe Series 28 Version 2 3Y 12-100 2I666VAF9
    iTraxx Europe Series 28 Version 1 3Y 3-6 2I666VAO9 iTraxx Europe Series 28 Version 2 3Y 3-6 2I666VAG1
    iTraxx Europe Series 28 Version 1 3Y 6-12 2I666VAP1 iTraxx Europe Series 28 Version 2 3Y 6-12 2I666VAG2
    iTraxx Europe Series 28 Version 1 5Y 0-3 2I666VAP2 iTraxx Europe Series 28 Version 2 5Y 0-3 2I666VAG3
    iTraxx Europe Series 28 Version 1 5Y 12-100 2I666VAP3 iTraxx Europe Series 28 Version 2 5Y 12-100 2I666VAG4
    iTraxx Europe Series 28 Version 1 5Y 3-6 2I666VAP4 iTraxx Europe Series 28 Version 2 5Y 3-6 2I666VAG5
    iTraxx Europe Series 28 Version 1 5Y 6-12 2I666VAP5 iTraxx Europe Series 28 Version 2 5Y 6-12 2I666VAG6
    iTraxx Europe Series 28 Version 1 7Y 0-3 2I666VAP6 iTraxx Europe Series 28 Version 2 7Y 0-3 2I666VAG7
    iTraxx Europe Series 28 Version 1 7Y 12-100 2I666VAP7 iTraxx Europe Series 28 Version 2 7Y 12-100 2I666VAG8
    iTraxx Europe Series 28 Version 1 7Y 3-6 2I666VAP8 iTraxx Europe Series 28 Version 2 7Y 3-6 2I666VAG9
    iTraxx Europe Series 28 Version 1 7Y 6-12 2I666VAP9 iTraxx Europe Series 28 Version 2 7Y 6-12 2I666VAH0
    iTraxx Europe Series 30 Version 1 10Y 0-3 2I666VAQ0 iTraxx Europe Series 30 Version 2 10Y 0-3 2I666VAH1
    iTraxx Europe Series 30 Version 1 10Y 12-100 2I666VAQ1 iTraxx Europe Series 30 Version 2 10Y 12-100 2I666VAH2
    iTraxx Europe Series 30 Version 1 10Y 3-6 2I666VAQ2 iTraxx Europe Series 30 Version 2 10Y 3-6 2I666VAH3
    iTraxx Europe Series 30 Version 1 10Y 6-12 2I666VAQ3 iTraxx Europe Series 30 Version 2 10Y 6-12 2I666VAH4
    iTraxx Europe Series 30 Version 1 3Y 0-3 2I666VAQ4 iTraxx Europe Series 30 Version 2 3Y 0-3 2I666VAH5
    iTraxx Europe Series 30 Version 1 3Y 12-100 2I666VAQ5 iTraxx Europe Series 30 Version 2 3Y 12-100 2I666VAH6
    iTraxx Europe Series 30 Version 1 3Y 3-6 2I666VAQ6 iTraxx Europe Series 30 Version 2 3Y 3-6 2I666VAH7
    iTraxx Europe Series 30 Version 1 3Y 6-12 2I666VAQ7 iTraxx Europe Series 30 Version 2 3Y 6-12 2I666VAH9
    iTraxx Europe Series 30 Version 1 5Y 0-3 2I666VAQ9 iTraxx Europe Series 30 Version 2 5Y 0-3 2I666VAI0
    iTraxx Europe Series 30 Version 1 5Y 12-100 2I666VAR0 iTraxx Europe Series 30 Version 2 5Y 12-100 2I666VAI1
    iTraxx Europe Series 30 Version 1 5Y 3-6 2I666VAR1 iTraxx Europe Series 30 Version 2 5Y 3-6 2I666VAI2
    iTraxx Europe Series 30 Version 1 5Y 6-12 2I666VAR2 iTraxx Europe Series 30 Version 2 5Y 6-12 2I666VAI3
    iTraxx Europe Series 30 Version 1 7Y 0-3 2I666VAR3 iTraxx Europe Series 30 Version 2 7Y 0-3 2I666VAI4
    iTraxx Europe Series 30 Version 1 7Y 12-100 2I666VAR4 iTraxx Europe Series 30 Version 2 7Y 12-100 2I666VAI5
    iTraxx Europe Series 30 Version 1 7Y 3-6 2I666VAR5 iTraxx Europe Series 30 Version 2 7Y 3-6 2I666VAI7
    iTraxx Europe Series 30 Version 1 7Y 6-12 2I666VAR7 iTraxx Europe Series 30 Version 2 7Y 6-12 2I666VAI8

    Mar 22 2019
    iTraxx Crossover 5Y Excess Return 5-Day Rollover Indices Restated

    The below index levels for 21st March 2019 have been restated.

    Index Ticker Revised Index Level
    iTraxx Europe Crossover 5Y Long Excess Return with DRC 5-Day Rollover IX5LERD5 200.85834332081
    iTraxx Europe Crossover 5Y Short Excess Return with DRC 5-Day Rollover IX5SERD5 41.5196580711083

    Mar 21 2019
    iTraxx Europe Crossover Total & Excess Return Index Levels Restated

    The below index levels have been restated:


    Index Ticker Revised Index Level
    iTraxx Europe Crossover 5Y Excess Return Index ERIXITXO 189.975630811613
    iTraxx Europe Crossover 5Y Long Excess Return with DRC ERIXILXO 197.965060011116
    iTraxx Europe Crossover 5Y Short Excess Return with DRC ERIXISXO 41.4143187965003
    iTraxx Europe Crossover 5Y Long Excess Return with DRC 5-Day Rollover IX5LERD5 201.152562127138
    iTraxx Europe Crossover 5Y Short Excess Return with DRC 5-Day Rollover IX5SERD5 41.4811198904056
    iTraxx Europe Crossover 5Y Long Total Return Index ITRXTX5I 201.4585835771
    iTraxx Europe Crossover 5Y Short Total Return Index ITRXSX5I 42.1394235797018
    iTraxx Europe Crossover 2x Daily Leverage Long Total Return Index ITRXTX25 352.192229464113
    iTraxx Europe Crossover 2x Daily Leverage Short Total Return Index ITRXSX25 14.7944669848562

    Mar 13 2019
    iTraxx Australia Final Index Membership Series 31

    Please find below the Markit iTraxx Australia Final Index Membership List for Series 31.

    Mar 13 2019
    iTraxx Asia ex-Japan Final Index Membership Series 31

    Please find below the Markit iTraxx Asia ex-Japan Final Index Membership Lists for Series 31.

    Mar 13 2019
    iTraxx Japan Final Index Membership Series 31

    Please see find below the iTraxx Japan Final Index Membership Lists for Series 31.

    Mar 13 2019
    iTraxx Europe News Announcement


    The iTraxx Europe Series 31 Final List has been published. Please find below an explanation of revisions made by IHS Markit since publication of the iTraxx Europe Series 31 Provisional List.

    iTraxx Europe Crossover Series 31- Teva Pharmaceutical Finance Netherlands II BV (TEVAPHAF)

    Following further review IHS Markit has decided to not include TEVAPHAF in the Series 31. Notwithstanding the fact that TEVAPHAF qualifies for inclusion under the Supplementary List Criteria, IHS Markit does not view the inclusion as being in line with the primary objective of the iTraxx Europe Crossover Index - namely, to include EU and EFTA based corporate issuers. IHS Markit has taken this view because the majority of TEVAPHAF business operations reside in Israel. IHS Markit will, ahead of the September roll of the Index, review the Supplementary List Criteria and consult on any potential changes.

    iTraxx Europe Crossover Series 31 – Schaeffler Finance BV (SCHAFIN)

    Due to recent corporate events resulting in the 5YR Schaeffler Finance BV (SCHAFIN) CDS spread significantly tightening below the index spread cut-off , IHS Markit has taken the view to not include Schaeffler Finance BV (SCHAFIN) in iTraxx Europe Crossover Series 31.

    Mar 13 2019
    Markit iTraxx Europe Final Index Membership Series 31

    Please find below the iTraxx Europe Final Index Membership Lists for Series 31.

    Mar 11 2019
    iTraxx Australia Series 31 Provisional List

    Following a review of the iTraxx Australia Liquidity List and the Additional Entity List, IHS Markit has identified a number of constituents that would qualify for inclusion in the iTraxx Australia Series 31 index via the Additional Entity List in accordance with the methodology set out in the Rules. However, with the aim of maintaining index liquidity and preserving the economic intent of iTraxx Australia as an index primarily comprised of constituents with investment grade credit ratings that trade in the CDS market, which IHS Markit believes may otherwise be unduly impacted, IHS Markit has determined that it is appropriate to depart from the methodology set out in the Rules and intends to keep the index constituents unchanged for iTraxx Australia Series 31 - please refer to the iTraxx Australia Series 31 Provisional List published earlier today. IHS Markit continues to undertake a review of the Rules for iTraxx Australia and welcomes any feedback from market participants (itraxxadvisory@ihsmarkit.com.)

    Mar 08 2019
    Markit iTraxx Japan Provisional Index Membership Series 31

    Please find below the Markit iTraxx Japan Provisional Index Membership List for Series 31

    Mar 08 2019
    Revision of publication date for iTraxx Australia Series 31 Provisional List

    IHS Markit will be publishing the iTraxx Australia Series 31 Provisional List by close of business (London time) on 11 March 2019.

    Mar 08 2019
    Markit iTraxx Asia ex-Japan Provisional Index Membership Series 31

    Please find below the Markit iTraxx Asia ex-Japan Provisional Index Membership List for Series 31.

    Mar 08 2019
    Markit iTraxx Europe Provisional Index Membership Series 31

    Please find below the Markit iTraxx Europe Provisional Index Membership List for Series 31.

    Mar 05 2019
    iTraxx Asia ex-Japan Rule Announcement

    Following consultation with the iTraxx Asia ex-Japan Index Advisory Committee as well as market participants, IHS Markit has concluded to not make any amendments to the iTraxx Asia ex-Japan Index rules ahead of the roll into Series 31.In anticipation of the roll into Series 32 which is due to be launched in September 2019, IHS Markit is considering several changes to the index rules. The motivation for the rule change is to further align the iTraxx Asia ex-Japan index with the Asia ex-Japan USD investment grade bond market. For this purpose, IHS Market is proposing to introduce new entities to the iTraxx Asia ex–Japan index that are currently not liquid in the CDS space but are large bond issuers in the Asia ex-Japan USD investment grade bond market.

    IHS Markit will continue to consult with market participants and look to make an announcement in the coming months on the finalised rule change. Market participants looking to join the iTraxx Asia -ex Japan Index Advisory Committees, wishing to ask questions or provide feedback kindly contact itraxxadvisory@ihsmarkit.com.

    Mar 05 2019
    Markit iTraxx Series 31 RED Codes

    Index Name S30 INDEX REDCODE S31 INDEX REDCODE
    iTraxx Asia ex-Japan IG Series 31 Version 1 4ABCAMBA3 4ABCAMBB1
    iTraxx Australia Series 31 Version 1 2I668IBD3 2I668IBE1
    iTraxx Europe Series 31 Version 1 2I666VCJ2 2I666VCT0
    iTraxx Europe Crossover Series 31 Version 1 2I667KFP8 2I667KFO1
    iTraxx Europe Non-Financial Series 31 Version 1 2I667NBN1 2I667NBS0
    iTraxx Europe Senior Financials Series 31 Version 1 2I667DBU7 2I667DCE2
    iTraxx Europe Sub Financials Series 31 Version 1 2I667EBV3 2I667EBW1
    iTraxx Japan Series 31 Version 1 2I668HAO2 2I668HBD5

    Feb 28 2019
    Revised Date -ISDA 2019 German Bank CDS Protocol - Index and Tranche Red Codes

    Following the announcement by ISDA to extend the adherence window for the ISDA 2019 German Bank Protocol, IHS Markit is postponing the previously announced index re-version. The initial trading date on the re-versioned indices will be announced once the processing date for the ISDA 2019 German Bank Protocol has been published . Queries can be sent to MK-CreditIndices@ihsmarkit.com.