On 14
th June 2021, IHS Markit is planning to transition the overnight rates used in the calculation methodology of certain iTraxx/CDX benchmark indices as per below:
1. For USD CDS benchmark indices: Switch from Effective Federal Funds Rate (EFFR) to Secured Overnight Financing Rate (SOFR)
2. For EUR CDS benchmark indices: Switch from Euro Overnight Index Average (EONIA) to Euro Short-Term Rate (ESTR)
The rationale for the change is driven by the broad industry adoption of SOFR/ESTR rates in derivative markets. Below is the list of iTraxx/CDX benchmarks that will be impacted by this change. Market participants are invited to provide feedback on the proposed transition by 11
th June 2021. In the event that no material feedback is received, the index levels published from 14
th June 2021 onward will reflect the above change.
Detailed index methodology documents for the below are indices are available for download via the
iTraxx documentation webpage.
For any queries, please email
mk-creditindices@ihsmarkit.com.