Linked

      Mar 18 2021
      CDS Benchmark Indices News Announcement

      Following review of feedback from market participants, IHS Markit has deemed appropriate to update the cash return rates for the benchmarks listed as per the table below. The proposed cash return rates are seen to be in line with the instruments used to replicate the index performance by products tracking them.

      Detailed index methodology documents for the below are indices are available for download via the iTraxx documentation webpage. Market participants are invited to provide further feedback on the below proposed cash return rates by 31st March 2021. In the event that no material feedback is received, the below rates will be implemented for the respective indices from 1st April 2021 onward.

      Please send us your feedback via email at mk-creditindices@ihsmarkit.com.

      Ticker Index Current cash return rate Proposed cash return rate
      ITRXPRFL iTraxx Credit Performance Index EONIA – 35bps EONIA – 15bps
      ITRXXOVL iTraxx European Crossover Long Credit Index EONIA – 25bps EONIA – 15bps
      ITRXXOVS iTraxx European Crossover Credit Short Index EONIA – 25bps EONIA – 15bps
      CDXNAHYL CDX North American High Yield Long Credit Index Federal Funds + 11bps Federal Funds
      CDXNAHYS CDX North American High Yield Credit Short Index Federal Funds + 11bps Federal Funds
      ITXCDXST iTraxx-CDX IG Global Steepener Credit Index EONIA EONIA – 15bps
      ITXCDXFL iTraxx-CDX IG Global Flattener Credit Index EONIA EONIA – 15bps