In addition to the broader benchmark indices a family of liquid bond indices is calculated. This is designed to track the most liquid bonds in the market. The liquid indices contain a strictly limited number of issues, thereby making them easier to replicate and ideally suited as the underlying for a variety of replicating trading strategies or for derivative products.
EUR and GBP Liquid IG Indices. These consist of a subset of the most liquid bonds from the Markit iBoxx EUR and GBP benchmark index families and are designed for use as basis for derivatives and exchange traded funds and to reduce tracking and hedging costs.
USD Liquid IG Index. Designed to represent the corporate investment grade USD denominated bonds market using the most liquid issues available, this index is a subset of the Markit iBoxx USD benchmark corporate index.
USD Liquid HY Index. This index comprises the most liquid USD denominated sub-investment grade issues.
USD Liquid Convertible Bond Index. This index represents a benchmark of the U.S. convertible bond market with the top 50 issues. Its companion index, the Markit iBoxx Liquid USD Convertible Bond Delta Hedging Index, tracks the same 50 constituents delta-adjusted equities performance. These indices can be traded via synthetic products, Markit CVBX and Markit CVEX.
The Same High Standards...
Markit iBoxx liquid bond indices provide a transparent view of the most actively traded portion of the market. Markit iBoxx indices are strictly rules-based to ensure transparency and dependability for market participants.
The Same Quality Prices...
The liquid indices use the same prices (and go through the same quality control procedures) as the broader benchmark indices, thus ensuring they are consistent with one another.
... But Different Rules
To better reflect market conventions the Markit iBoxx EUR Liquid and Markit iBoxx GBP Liquid indices are re-balanced quarterly. Markit iBoxx USD liquid indices are re-balanced monthly. Re-balancing takes transaction costs into account.
The rules are publicly available, so managers may independently replicate the indices.