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 firstname.lastname@example.org.
| 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 |