Sep 09 2021
    iTraxx Crossover News Announcement

    The iTraxx Crossover Series 36 Final Membership List has now been published. Please note the below change from the S36 Provisional List.

    IHO VERWALTUNGS GMBH (IHOVER)
    Upon further review, IHS Markit has decided not to include IHOVER as it is an affiliate of Schaeffler AG (SCHAAG), a higher ranked entity in the Liquidity List.

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

    Sep 02 2021
    CDX/iTraxx Index Tranches: Sept 2021 Roll Dates

    Based on the standardization of iTraxx/CDX tranche roll dates and trading parameters announced last year, the following are the Sept 2021 roll dates for tranches referencing each iTraxx/CDX Index:



    Index

    Index Roll Date

    Tranche Roll Date Offset

    Tranche Roll Date

    CDX.NA.IG.37

    20-Sep-2021

    +4 Bus. Days

    24-Sep-2021

    CDX.NA.HY.37

    27-Sep-2021

    +4 Bus. Days

    01-Oct-2021

    iTraxx Europe S36

    20-Sep-2021

    +4 Bus. Days

    24-Sep-2021

    iTraxx Crossover S36

    20-Sep-2021

    +4 Bus. Days

    24-Sep-2021


    For any queries, please email MK-CreditIndices@ihsmarkit.com.

    Sep 01 2021
    iTraxx Series 36 RED Codes

    Index Name Index RED Code
    iTraxx Europe Series 36 Version 1 2I666VCZ6
    iTraxx Europe Crossover Series 36 Version 1 2I667KJO7
    iTraxx Europe Non-Financial Series 36 Version 1 2I667NBX9
    iTraxx Europe Senior Financials Series 36 Version 1 2I667DCK8
    iTraxx Europe Sub Financials Series 36 Version 1 2I667ECB6
    iTraxx MSCI ESG Screened Europe Series 36 Version 1 4ABCBNAD5
    iTraxx Asia ex-Japan IG Series 36 Version 1 4ABCAMBG0
    iTraxx Australia Series 36 Version 1 2I668IBJ0
    iTraxx Japan Series 36 Version 1 2I668HCH5

    Sep 01 2021
    Timetables for the September 2021 iTraxx Index Roll

    Aug 26 2021
    iTraxx Crossover News Announcement

    Currently, when there are less than 75 entities available for the iTraxx Crossover index from the iTraxx Crossover Liquidity List, the iTraxx Crossover Supplementary List is used to select entities to achieve the index size of 75 constituents. The iTraxx Crossover Supplementary List consists of entities that have an aggregate minimum of EUR 750 million outstanding as per the iBoxx EUR High Yield Cum-Crossover Index and iBoxx GBP High Yield Overall Index as published on the first business day of the relevant roll month.

    Prior to the September 2021 roll, IHS Markit is amending the index rules such that the iTraxx Crossover Supplementary List will consist of entities that are ranked in descending order of their aggregate debt outstanding as per iBoxx EUR HY Cum-Crossover Index, iBoxx GBP HY Overall Index and iBoxx USD HY Developed Markets Index. In addition, entities in the iTraxx Crossover Supplementary List must have aggregate debt outstanding of at least EUR 750 million as per iBoxx EUR HY Cum-Crossover Index and iBoxx GBP HY Overall Index only, with at least one of those bonds issued within the last three years.

    IHS Markit will publish the revised iTraxx Europe & Crossover Index Rules to reflect these changes.

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

    May 27 2021
    CDS Benchmark Indices News Announcement

    Following the announcements on 18 March 2021 and 12 May 2021 and review of further feedback from market participants, the cash return rates for the benchmarks specifically listed below will be updated 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 11 June 2021. In the event that no material feedback is received, the below rates will be implemented for the respective indices from 14 June 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 European Performance Credit Index EONIA – 15bps ESTR - 7bps
    ITRXPRIG iTraxx European IG Performance Credit Index EONIA – 15bps ESTR - 7bps
    ITRXXOVL iTraxx European Crossover Long Credit Index EONIA – 15bps ESTR - 7bps
    ITRXXOVS iTraxx European Crossover Credit Short Index EONIA – 15bps ESTR - 7bps
    ITXCDXST iTraxx-CDX IG Global Steepener Credit Index EONIA – 15bps ESTR - 7bps
    ITXCDXFL iTraxx-CDX IG Global Flattener Credit Index EONIA – 15bps ESTR - 7bps

    May 12 2021
    CDS Benchmark Indices News Announcement

    On 14th June 2021, IHS Markit is planning to transition the overnight rates used in the calculation methodology of certain iTraxx/CDX benchmark indices as per below:

    1. For USD CDS benchmark indices: Switch from Effective Federal Funds Rate (EFFR) to Secured Overnight Financing Rate (SOFR)
    2. For EUR CDS benchmark indices: Switch from Euro Overnight Index Average (EONIA) to Euro Short-Term Rate (ESTR)

    The rationale for the change is driven by the broad industry adoption of SOFR/ESTR rates in derivative markets. Below is the list of iTraxx/CDX benchmarks that will be impacted by this change. Market participants are invited to provide feedback on the proposed transition by 11th June 2021. In the event that no material feedback is received, the index levels published from 14th June 2021 onward will reflect the above change.

    Detailed index methodology documents for the below are indices are available for download via the iTraxx documentation webpage.

    For any queries, please email mk-creditindices@ihsmarkit.com.

    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

    Mar 11 2021
    iTraxx Australia News Announcement

    Chorus Limited (CHORLIM)
    Upon further review and based on feedback from market participants, IHS Markit has decided not to include CHORLIM in iTraxx Australia Series 35 as New Zealand entities may not be suitable for the iTraxx Australia index. IHS Markit will review the index selection criteria in due course.

    For any queries, please contract itraxxadvisory@ihsmarkit.com.

    Mar 11 2021
    iTraxx Asia ex-Japan News Announcement

    As per the previous announcement on 9th February 2021, IHS Markit has decided to exclude entities impacted by the United States Executive Order 13959 from iTraxx Asia ex-Japan Series 35. Upon further review following the publication of the iTraxx Asia ex-Japan Series 35 Provisional List, IHS Markit has deemed appropriate to include replacement entities from the same Market and Sector as the excluded entities to maintain the Market-Sector alignment of the iTraxx Asia ex-Japan index with respect to the corresponding bond market.

    The iTraxx Asia ex-Japan Series 35 Final List is now published and reflects the above.

    For any queries, please contract itraxxadvisory@ihsmarkit.com.

    Mar 03 2021
    iTraxx Series 35 RED Codes

    Index Name Index RED Code
    iTraxx Europe Series 35 Version 1 2I666VCY9
    iTraxx Europe Crossover Series 35 Version 1 2I667KJN9
    iTraxx Europe Non-Financial Series 35 Version 1 2I667NBW1
    iTraxx Europe Senior Financials Series 35 Version 1 2I667DCJ1
    iTraxx Europe Sub Financials Series 35 Version 1 2I667ECA8
    iTraxx MSCI ESG Screened Europe Series 35 Version 1 4ABCBNAC7
    iTraxx Asia ex-Japan IG Series 35 Version 1 4ABCAMBF2
    iTraxx Australia Series 35 Version 1 2I668IBI2
    iTraxx Japan Series 35 Version 1 2I668HCG7

    Mar 01 2021
    Timetables for the March 2021 iTraxx Index Roll

    Feb 24 2021
    iTraxx Europe & Crossover News Announcement

    Kindly note the below amendments to the iTraxx Europe & Crossover Index Rules ahead of the March 2021 index roll.

    iTraxx Crossover Supplementary List
    Currently, when there are less than 75 entities available for the iTraxx Crossover index from the iTraxx Crossover Liquidity List, the iTraxx Crossover Supplementary List is used to select entities to achieve the index size of 75 constituents. The iTraxx Crossover Supplementary List consists of entities that have an aggregate minimum of EUR 750 million outstanding as per the iBoxx EUR High Yield unconstrained cum crossover Index as published on the first business day of the relevant roll month.

    Prior to the March 2021 roll, IHS Markit is amending the index rules such that the iTraxx Crossover Supplementary List will consist of entities that have an aggregate minimum of EUR 750 million equivalent outstanding as per the iBoxx EUR High Yield unconstrained cum crossover Index and iBoxx GBP High Yield Overall Index as published on the first business day of the relevant roll month. The entities in the Supplementary List will be ranked in descending order of their aggregate EUR equivalent debt outstanding.

    iTraxx Europe 1Y
    Currently, iTraxx Europe index is available for trading in 3, 5, 7, and 10 year tenors. IHS Markit is introducing a 1-year tenor starting from iTraxx Europe Series 35 onward.

    IHS Markit will publish the revised iTraxx Europe & Crossover Index Rules to reflect these changes.

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

    Feb 09 2021
    iTraxx Asia ex-Japan News Announcement

    With respect to the March 2021 index roll, IHS Markit consulted with the iTraxx Asia ex-Japan Index Advisory Committee regarding the inclusion of entities impacted by the current United States Executive Order 13959 in the upcoming iTraxx Asia ex-Japan Series 35. Following review of feedback from the iTraxx Asia ex-Japan Index Advisory Committee and other market participants, IHS Markit has determined that the inclusion of entities that may be impacted by the Executive Order can potentially be harmful for the liquidity of iTraxx Asia ex-Japan index. Therefore, IHS Markit will exclude such entities from iTraxx Asia ex-Japan Series 35 due to be launched in March 2021.

    As per the announcement on 11th January 2021, IHS Markit launched the iTraxx Asia ex-Japan (Restricted) sub-indices of iTraxx Asia ex-Japan indices that excluded the entities deemed or expected to be impacted by the sanctions. Consequent from above, IHS Markit will not publish the iTraxx Asia ex-Japan (Restricted) Series 35 sub-index.

    IHS Markit will continue to monitor for any updates in relation to these sanctions, and also look to amend the iTraxx Asia ex-Japan Index Rules in due course to account for such considerations in future.

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

    Feb 01 2021
    iTraxx Crossover News Announcement

    As noted in the announcement on 7th January 2021, IHS Markit consulted with the iTraxx Europe Index Advisory Committee regarding iTraxx Crossover index constituents that may be impacted by the United States Executive Order 13959 as it stands today. Following review of feedback from the iTraxx Europe Index Advisory Committee and other market participants, IHS Markit has determined that the inclusion of entities that may be impacted by the Executive Order can potentially be harmful for the liquidity of iTraxx Crossover index. Therefore, IHS Markit will exclude such entities from iTraxx Crossover Series 35 due to be launched in March 2021.

    IHS Markit will continue to monitor for any updates in relation to these sanctions, and also look to amend the iTraxx Crossover Index Rules in due course to account for such considerations in future.

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

    Jan 12 2021
    iTraxx Asia ex-Japan IG (Restricted) Indices Details

    Following the previous announcement relating to launch of iTraxx Asia ex-Japan IG (Restricted) indices, IHS Markit has now published RED Codes and Annexes for all new index series.

    The new index series will be available for trading from Thursday, 14th January 2021 onward.

    The updated iTraxx Asia ex-Japan Index Rulebook and the new sub-index annexes can now be downloaded via the iTraxx documentation webpage. Below are the RED Codes for the new sub-index series for reference:

    New Sub Index Series Index Red Codes
    iTraxx Asia ex-Japan IG (Restricted) Series 25 Version 1 4ABCATAA9
    iTraxx Asia ex-Japan IG (Restricted) Series 26 Version 1 4ABCATAB7
    iTraxx Asia ex-Japan IG (Restricted) Series 27 Version 1 4ABCATAC5
    iTraxx Asia ex-Japan IG (Restricted) Series 28 Version 1 4ABCATAD3
    iTraxx Asia ex-Japan IG (Restricted) Series 29 Version 1 4ABCATAE1
    iTraxx Asia ex-Japan IG (Restricted) Series 30 Version 1 4ABCATAF8
    iTraxx Asia ex-Japan IG (Restricted) Series 31 Version 1 4ABCATAG6
    iTraxx Asia ex-Japan IG (Restricted) Series 32 Version 1 4ABCATAH4
    iTraxx Asia ex-Japan IG (Restricted) Series 33 Version 1 4ABCATAI2
    iTraxx Asia ex-Japan IG (Restricted) Series 34 Version 1 4ABCATAJ0

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