Linked

      Sep 12 2022
      CDX/iTraxx Index Tranches: September 2022 Roll Dates

      This is to inform market participants that the Sept 2022 roll dates for the tranches referencing the iTraxx/CDX indices will continue to be based on convention followed over the last two years. The iTraxx/CDX tranche roll dates will be four business days following the respective index roll dates. For clarity, the following are the September 2022 roll dates for iTraxx/CDX tranches:


      Index


      Index Roll Date

      Tranche Roll Date Offset

      Tranche Roll Date

      CDX.NA.IG.39

      20-Sep-2022

      +4 Bus. Days

      26-Sep-2022

      CDX.NA.HY.39

      27-Sep-2022

      +4 Bus. Days

      03-Oct-2022

      iTraxx Europe S38

      20-Sep-2022

      +4 Bus. Days

      26-Sep-2022

      iTraxx Crossover S38

      20-Sep-2022

      +4 Bus. Days

      26-Sep-2022


      For any queries, please email Indices@ihsmarkit.com.