Indices
News & Information

    Nov 26 2021
    Preview schedule for Markit iBoxx EUR, GBP, USD, Global High Yield and Asian Benchmark Indices December 2021

    Due to the public holidays in December 2021, IHS Markit would like to announce the following preview schedule for the Markit iBoxx EUR, Markit iBoxx GBP, Markit iBoxx USD, Markit iBoxx Global High Yield and Markit iBoxx Asian indices.

    For more information please contact us at indices@ihsmarkit.com
    December_2021_Preview_Dates.xlsx
     
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    Nov 26 2021
    Restatement of the UBS Global Quality Dividend


    Kindly be advised that the below UBS Global Quality Dividend Indices have been restated for 24 November 2021 due to update in the underlying data inputs. Please refresh your index levels to ensure that you capture any adjustments observed.

    Ticker Index Name Index Family Prior Level New Level
    MBCIGQDC UBS Global Quality Dividend Payers Net Total Return (CHF) UBS Global Quality Dividend 362.83 363.55
    MBCIGQDP UBS Global Quality Dividend Payers Net Total Return (EUR) UBS Global Quality Dividend 556.96 558.06
    MBCIGQDU UBS Global Quality Dividend Payers Net Total Return (USD) UBS Global Quality Dividend 470.25 471.18
    MBCIGQEU UBS Global Quality Dividend Payers Index Long Only Excess Return USD UBS Global Quality Dividend 336.87 337.54
    MBCIGSEU UBS Global Quality Dividend Payers Index Long Short Excess Return USD UBS Global Quality Dividend 133.72 134.00

    For more information please contact us at support@ihsmarkit.com.
     
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    Nov 25 2021
    IHS Markit Global Carbon Index Component Weights for the Upcoming Rebalancing

    Following are the weights for the upcoming IHS Markit Global Carbon Index that will rebalance on 30 November 2021.

    Component Weight
    EUA 1Y 55.00%
    EUA 2Y 5.00%
    UKA 1Y 5.00%
    CCA 1Y 25.00%
    CCA 2Y 5.00%
    RGGI 1Y 5.00%

    For more information please contact us at indices@ihsmarkit.com.
     
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    Nov 24 2021
    iBoxx Standardized TRS – DS Match

    This notification is to inform market participants using DS Match to electronically confirm iBoxx Standardized TRS trades. Following the changes to the trading conventions published on 2 September 2021 (summarized below), there may be implications in the value setting for the “Floating Rate for Initial Calculation Period” field within DS Match, which is a mandatory numerical field.

    iBoxx Standardized TRS underlying index currency Funding rates prior to 20 December 2021 Funding rates from 20 December 2021 onwards
    EUR 3M EURIBOR 3M EURIBOR
    GBP 3M GBP LIBOR SONIA Compounded-in-arrears
    USD 3M USD LIBOR SOFR Compounded-in-arrears

    For Standardized TRS trades on iBoxx USD and iBoxx GBP indices from 20 December 2021 onward, we appreciate that the “Floating Rate for Initial Calculation Period” may not be known at the time of booking the trade. In this regard, we advise trade counterparties to enter “0” as the value for the “Floating Rate for Initial Calculation Period” field for trade processing purposes only. This assumes that the actual rate at the end of the Initial Calculation Period may not actually be “0” as of that date, and will be calculated according to the methodology set out in the iBoxx Standardized TRS – Trading Convention Guide.

    For more information please contact us at indices@ihsmarkit.com
     
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    Nov 23 2021
    IHS Markit IBOR Transition – iBoxx EUR – EURIBOR-based Analytics

    Following on from the IHS Markit IBOR Transition announcement dated 16 August 2021, please note that we have started publishing the new format files in the relevant IBOR_TRANSITION folders on our SFTP server.

    Furthermore, the iBoxx Annual Index Review and recent client conversations indicated that the continuous provision of analytics for the iBoxx EUR indices based on EURIBOR would be important to our stakeholders. In response to this additional feedback, iBoxx has decided to continue to support and publish analytics for the iBoxx EUR indices that are based on EURIBOR.

    From 13 December 2021 onwards, we will provide both EURIBOR- and ESTR-based analytics in all relevant files for iBoxx EUR indices. The provision of two sets of analytics (EURIBOR & ESTR) requires a change to the file format and is outlined in the attached excel file (“iBoxx EUR – File Format”). This will only affect the iBoxx EUR files that are currently published in the IBOR_TRANSITION sub-folder. We have attached the full list of affected files (“iBoxx_EUR-IBOR_TRANSITION_FOLDER_FILENAMES”).

    The additional columns for the indices and underlyings files are listed below:
    Z-Spread Over Euribor
    Asset Swap Spread (Euribor)
    Daily Excess Return over Euribor
    Month-to-date Excess Return over Euribor


    The additional columns for the components, preview, and forwards files are listed below:
    Z-Spread Over Euribor
    Asset Swap Spread (Euribor)


    Please reach out to indices@ihsmarkit.com if you have any questions and we are happy to assist with the migration.
     
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    Nov 23 2021
    Please be advised that IHS Markit Benchmark Administration Limited (“IMBA UK”) intends to cease administration and calculation of the attached indices on 24 December 2021 (last calculation date).

    IMBA UK hereby gives notice of its intention to cease administration/calculation of the Indices and invites stakeholders to raise objections or other comments as soon as possible (and in any case by 17 December 2021) via email to MK-IndexAdminConsultation@ihsmarkit.com.

    For more information please contact us at support@ihsmarkit.com
    HSBC Cessations.xlsx
     
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    Nov 23 2021
    Rebalance of the LGIM Core Indices

    Please be informed that IHS Markit Benchmark Administration (IHSM UK) has performed the pro forma rebalance for the LGIM Core indices using the closing prices of 16 November 2021.

    The final rebalance will be performed using closing prices of 23 November 2021.

    Should you have any questions or would like to request rebalance information, please contact us at support@ihsmarkit.com.
     
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    Nov 19 2021
    Consultation: iBoxx Europe / North America Annual Index Review 2021

    IHS Markit is conducting a consultation regarding potential methodology updates following from the iBoxx Europe / North America Annual Index Review 2021.

    Clients and other stakeholders are invited to review the consultation and provide feedback on the proposed changes.

    The consultation window will remain open through 17 December 2021, and a final decision will be communicated on 21 December 2021.

    For more information please contact us at indices@ihsmarkit.com.
    Consultation iBoxx Europe North America Annual Index Review 2021.pdf
     
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    Nov 18 2021
    Changes to the methodology of the UBS Beta, Gem Rada, Rada, Map, and Covered Call indices

    The consultation on the proposed methodology changes to the UBS Beta, Gem Rada, Rada, Map, and Covered Call indices has now ended.

    IHS Markit Benchmark Administration Limited (“IMBA UK”) will implement the changes (for all index families except UBS Beta) as detailed in the consultation paper (found here), which will be effective on publication date 22 November 2021.

    Should you have any questions, please contact us at support@ihsmarkit.com.
     
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    Nov 17 2021
    Result of the consultation on the Methodology Update for the iBoxx MSCI ESG USD Emerging Markets Sovereigns Quality Weighted Index

    Pursuant to the consultation issued on 18 October 2021, IHS Markit Benchmark Administration Limited (IMBA UK) will implement the proposed changes to the methodology of the iBoxx MSCI ESG USD Emerging Markets Sovereigns Quality Weighted index.

    Stakeholder feedback was supportive of the proposition outlined in the consultation.

    The changes will be implemented at the 30 November 2021 month-end rebalancing.

    For more information please contact us at indices@ihsmarkit.com.
     
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    Nov 17 2021
    Consultation – Methodology change to the RBC US Equity Dynamic VRP Cap 2x Index

    IHS Markit is conducting a consultation regarding an update to the methodology of the RBC US Equity Dynamic VRP Cap 2x Index. Stakeholders are invited to review the consultation document below and provide feedback on the proposed changes.

    The consultation will close on 30 November 2021.

    For more information please contact us at Support@ihsmarkit.com.
    Consultation - RBC Dynamic VRP Index.pdf
     
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    Nov 16 2021
    IHS Markit Quarterly Cessation of Immaterial Indices Announcement – Q4 2021

    IHS Markit Benchmark Administration Ltd. (IMBA) is performing cessations of immaterial indices on a quarterly basis. Immaterial index cessations include (but are not limited to):

    • The termination of a small number of indices (as determined by the Business), that have no notional of use at termination date and the relevant benchmark family or benchmark strategy/series (for third party benchmarks) continues to exist after cessation.

    • The demise of an index due to its life cycle coming to an end (e.g. a fixed income index terminating due to the maturity of its underlying bond inputs).

    • Cancellations of duplicate benchmarks as a result of a periodic review (e.g. a duplicate index is ceased with the user being seamlessly migrated to the surviving index).

    IHS Markit is not aware of any active use of below indices as reference in financial instruments or for performance measurement.
    Index Name ISIN (TRI) BBG Ticker (TRI) Discontinuation Date
    iBoxx EUR Overnight Rate Index GB00B63S3Z88 30/11/2021
    iBoxx USD Liquid Investment Grade Inflation Hedged GB00BF9QCM90 IBXXIILS 31/12/2021
    Markit iBoxx USD Liquid Investment Grade Interest Rate Hedged Swaps GB00BDC5PS69 IBXXIIRS 31/12/2021
    Markit iBoxx USD Liquid High Yield Interest Rate Hedged Swaps GB00BDC5PT76 IBXXHIRS 31/12/2021

    In line with IMBA Change and Cessation policy, IMBA informs the public that the mentioned indices (alongside their Cpi price return versions) will be discontinued on the above-mentioned date, unless stated otherwise.

    Clients and other stakeholders are invited to review the indices and provide feedback on the cessation. The feedback window will be open through 29 November 2021.

    Please let us know if you have any concerns regarding IMBA’s planned cessations of the above stated immaterial indices.

    For more information please contact us at indices@ihsmarkit.com.
     
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    Nov 16 2021
    Result of the Consultation on the Methodology Update for 3 iBoxx MSCI ESG Liquid Investment Grade Ultrashort Indices

    Pursuant to the consultation issued on 29 October 2021, IHS Markit Benchmark Administration Limited (IMBA UK) will implement the proposed changes to the methodology of the 3 iBoxx MSCI ESG Liquid Investment Grade Ultrashort indices.

    Stakeholder feedback was supportive of the proposition outlined in the consultation.

    The changes will be implemented at the 30 November 2021 month-end rebalancing.

    For more information please contact us at indices@ihsmarkit.com.
     
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    Nov 16 2021
    Consultation: Methodology Update for the Markit iBoxx Pfandbriefe Index

    IHS Markit is conducting a consultation regarding a potential methodology update for the Markit iBoxx Pfandbriefe Index.

    Clients and other stakeholders are invited to review the consultation and provide feedback on the proposed changes.

    The consultation window will remain open through 10 December 2021, and a final decision will be communicated on 14 December 2021.

    For more information please contact us at indices@ihsmarkit.com.
    Consultation - iBoxx Pfandbriefe - 20211115.pdf
     
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    Nov 05 2021
    Consultation Update: Methodology Update for 3 iBoxx MSCI ESG Liquid Investment Grade Ultrashort Indices

    IHS Markit is conducting a consultation regarding a potential methodology update for the following 3 indices, details included in the attachment. The timeline has been updated to allow for an orderly implementation for the next rebalance date and because the change has already been supported by the main user of the custom indices.
    Index Name ISIN (TRI) Ticker (TRI) RIC (TRI)
    iBoxx MSCI ESG EUR Liquid Investment Grade Ultrashort Index GB00BKYPJT25 IBXXEUES .IBXXEUES
    iBoxx MSCI ESG GBP Liquid Investment Grade Ultrashort Index GB00BKYPJF88 IBXXGES1 .IBXXGES1
    iBoxx MSCI ESG USD Liquid Investment Grade Ultrashort Index GB00BKYPKB14 IBXXUES1 .IBXXUES1

    Clients and other stakeholders are invited to review the consultation and provide feedback on the proposed changes.

    The consultation window will remain open through 15 November 2021, and a final decision will be communicated on 16 November 2021.
    For more information please contact us at indices@ihsmarkit.com.
    Consultation - iBoxx MSCI ESG Liquid Investment Grade Ultrashort indices - updated.pdf
     
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    Nov 05 2021
    Halifax House Price Index - November 2021 Press Release

    Halifax House Price Index - November 2021 Press Release is now available
    Press Release November-2021-Halifax-House-Price-Index.pdf
     
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    Nov 04 2021
    Restatement of the iBoxx USD Liquid Asia ex-Japan Corporates Large Cap IG Hedged indices

    Please be advised that the daily indices files for 1-3 November 2021 for the iBoxx USD Liquid Asia ex-Japan Corporates Large Cap IG Hedged indices have been restated. This is due to the incorrect forward information being used for the index calculation Please find the list of impacted files below.

    IBOXX_CUSTOM_INDICES/B170406/INDICES
    iboxx_B170406_usd_eod_indices_20211101.csv
    iboxx_B170406_usd_eod_indices_20211102.csv
    iboxx_B170406_usd_eod_indices_20211103.csv

    The newly published files are now available on our SFTP server.

    For more information, please contact us at indices@ihsmarkit.com.
     
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    Nov 04 2021
    Restatement of the iBoxx EUR Ultrashort and other custom short indices

    Please be advised that the daily indices and underlying files as of 3 November 2021 for the iBoxx EUR Ultrashort indices and other iBoxx EUR short custom indices have been restated. This is due to the incorrect treatment of a called bond (XS2078405722 - Colgate-Palmolive Co. - 0% - 11/2021) . The affected daily customs files listed in the file below have been restated for 3 November 2021.

    The newly published files are now available on our SFTP server.

    For more information please contact us at indices@ihsmarkit.com
    Restatement_Notice_iBoxx_Ultrashort_Indices_20211104_Final.xlsx
     
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    Nov 02 2021
    Restatement of iBoxx MSCI EUR Senior Corporates Investment Grade ESG Factor Weighted and iBoxx MSCI EUR Senior Corporates Investment Grade ESG Factor Weighted (version 2)

    Please be advised that month-end Components for 31 October 2021 and daily Underlyings and index data for 1 November 2021 for the iBoxx MSCI EUR Senior Corporates Investment Grade ESG Factor Weighted index and iBoxx MSCI EUR Senior Corporates Investment Grade ESG Factor Weighted (version 2) index have been restated. This is due to the missed inclusion of XS2404028230 (MS - Morgan Stanley - 1.102% - 2033) bond as a result of incomplete reference data. The components files have been adjusted and the indices restated for the impacted dates. Please find the list of impacted files below.

    IBOXX_CUSTOM_INDICES\B130403\COMPONENTS
    iboxx_B130403_ESGFactorWeightedIG_Custom_eom_components_202111.csv
    iboxx_B130403_ESGFactorWeightedIG_Custom2_eom_components_202111.csv

    IBOXX_CUSTOM_INDICES\B130403\INDICES
    iboxx_B130403_ESGFactorWeightedIG_Custom_eod_indices_20211101.csv
    iboxx_B130403_ESGFactorWeightedIG_Custom2_eod_indices_20211101.csv

    IBOXX_CUSTOM_INDICES\B130403\UNDERLYINGS
    iboxx_B130403_ESGFactorWeightedIG_Custom_eod_underlyings_20211101.csv
    iboxx_B130403_ESGFactorWeightedIG_Custom2_eod_underlyings_20211101.csv

    IBOXX_CUSTOM_INDICES\B130403\FORWARDS
    iboxx_b130403_eur_eod_cstm_forwards_20211031.csv
    iboxx_b130403_eur_eod_cstm2_forwards_20211031.csv

    IBOXX_CUSTOM_INDICES\B130403\COMPONENTS\IBOR_TRANSITION
    iboxx_B130403_ESGFactorWeightedIG_Custom_eom_components_202111.csv
    iboxx_B130403_ESGFactorWeightedIG_Custom2_eom_components_202111.csv

    IBOXX_CUSTOM_INDICES\B130403\INDICES\IBOR_TRANSITION
    iboxx_B130403_ESGFactorWeightedIG_Custom_eod_indices_20211101.csv
    iboxx_B130403_ESGFactorWeightedIG_Custom2_eod_indices_20211101.csv

    IBOXX_CUSTOM_INDICES\B130403\UNDERLYINGS\IBOR_TRANSITION
    iboxx_B130403_ESGFactorWeightedIG_Custom_eod_underlyings_20211101.csv
    iboxx_B130403_ESGFactorWeightedIG_Custom2_eod_underlyings_20211101.csv

    IBOXX_CUSTOM_INDICES\B130403\FORWARDS\IBOR_TRANSITION
    iboxx_b130403_eur_eod_cstm_forwards_20211031.csv
    iboxx_b130403_eur_eod_cstm2_forwards_20211031.csv

    The newly published files are now available on our FTP server.
    For more information, please contact us at indices@ihsmarkit.com
     
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    Nov 01 2021
    Updated List of Private Placements and Retail Bonds (iBoxx Asian Indices)

    IHS Markit has identified additional Private Placement and Retail issues in the Markit iBoxx ABF / Asia indices.

    Please find the list attached. For more information please contact us at indices@ihsmarkit.com
    Markit iBoxx Asia List of Private Placement Bonds.pdf
    Markit iBoxx Asia List of Retail Bonds.pdf
     
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