Following the announcement on changes to the iBoxx proprietary classification schema as part of the iBoxx Annual Index Reviews 2019 (16 December 2019), the subsequent announcement on planned implementation on the 31 July 2020 rebalancing (27 May 2020 and 29 June) IHS Markit is providing a further update on the implementation. 1. Implementation of Classification Schema
The changes announced to the global iBoxx classification schema and the resulting changes to the affected bonds and indices will be implemented as announced on the 31 July rebalancing. The global classification schema will be applied to all corporate bonds. The details of the new classification schema and changes are attached below.
The new classifications will be available in the respective preview and forward files for the end of July rebalancing.
These changes will go into effect with the 31 July 2020 rebalancing. 2. Implementation of Tier 2 classification
iBoxx will align subordinated bank debt classification with Basel III definitions.
Alongside the tier classification for banks, iBoxx is aligning the tier classification for subordinated insurance debt for SGD denominated subordinated insurance debt. The updated tier classification levels are as follows:
The change will not have an impact on the existing SGD index composition and selection process.
These changes will go into effect with the 31 July 2020 rebalancing. 3. Implementation of the new Hybrid Bonds definition and classification
With the 31 July rebalancing iBoxx will be showing the new hybrid classification for subordinated non-financial debt. The updated classification will provide greater granularity on subordinated debt to differentiate between ‘Hybrid’ and ‘Non-Hybrid’ bonds. The iBoxx Components/Underlyings files will reflect this information as new values in the existing fields Seniority Level 3.
Additionally, iBoxx is standardising the representation of debt and tier for senior non-financial corporate bonds denominated in USD and AUD to align the presentation for the fields across the different index families:
These changes will go into effect with the 31 July 2020 rebalancing. 4. Sample File Availability
To support the integration of the changes in classification IHS Markit will be providing sample files with the new classification structure for all benchmark products on request. Clients interested in receiving a sample file should contact email@example.com
If you have any questions, please contact us at firstname.lastname@example.org.