Aug 05 2019
      iTraxx Europe Rule Announcement

      Following the close of the feedback window on 30th June 2019, IHS Markit has decided to amend the iTraxx Europe Index (the Index) rules as previously proposed.

      The rule change will allow Index sector limits to deviate by a maximum of 20% from the previous sector limit. The aim is to prioritize underlying constituent liquidity. For most sectors, the Minimum Sector Constituent Count must be achieved, and the Maximum Sector Constituent Count cannot be exceeded. The Financials sector will remain fixed at 30 constituents. Below are the new constituent limits for each sector in the Index.

      Sectors Fixed Sector Count (Prior to Rule Change) Minimum Sector Constituent Count (Post Rule Change) Maximum Sector Constituent Count (Post Rule Change)
      Autos & Industrials 30 24 36
      Consumers 25 20 30
      Energy 20 16 24
      Financials 30 30 30
      TMT 20 16 24

      The updated rulebook for iTraxx Europe is now available on the iTraxx webpage and will be applicable for the September 2019 index roll.

      In case of any queries, please contact