Indices
News & Information

    Sep 21 2022
    iTraxx MSCI ESG Screened Europe Total/Excess Return Indices

    As of 20th Sept 2022, due to unavailability of the London 5pm pricing snap, the index levels were calculated using London 6pm snap for the below indices:

    Ticker iTraxx / CDX Benchmark Index
    ITXEELTR iTraxx MSCI ESG Screened Europe 5Y Long Total Return Index
    ITXEESTR iTraxx MSCI ESG Screened Europe 5Y Short Total Return Index
    ITXEELER iTraxx MSCI ESG Screened Europe 5Y Long Excess Return Index
    ITXEELED iTraxx MSCI ESG Screened Europe 5Y Long Excess Return with DRC
    ITXEESED iTraxx MSCI ESG Screened Europe 5Y Short Excess Return with DRC

    For any queries, please email indices@ihsmarkit.com.
     
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    Sep 16 2022
    iTraxx/CDX Index Tranches: September 2022 Roll Dates

    Following the announcement of the iTraxx/CDX tranche roll dates for September 2022, we have received feedback that some market participants are unable to adhere to the iTraxx/CDX tranche roll date conventions. In order to accommodate preferences of all market participants, we would like to inform everyone that the tranche roll dates are advisory only, and market participants are requested to exercise their own judgement relating to trading of the new series of iTraxx/CDX tranches.

    We will continue to gather feedback on consensus roll dates for iTraxx/CDX tranches prior to September 2023 roll.

    For any queries, please email indices@ihsmarkit.com
     
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    Sep 12 2022
    CDX/iTraxx Index Tranches: September 2022 Roll Dates

    This is to inform market participants that the Sept 2022 roll dates for the tranches referencing the iTraxx/CDX indices will continue to be based on convention followed over the last two years. The iTraxx/CDX tranche roll dates will be four business days following the respective index roll dates. For clarity, the following are the September 2022 roll dates for iTraxx/CDX tranches:


    Index


    Index Roll Date
    Tranche Roll Date Offset
    Tranche Roll Date

    CDX.NA.IG.39
    20-Sep-2022
    +4 Bus. Days
    26-Sep-2022

    CDX.NA.HY.39
    27-Sep-2022
    +4 Bus. Days
    03-Oct-2022

    iTraxx Europe S38
    20-Sep-2022
    +4 Bus. Days
    26-Sep-2022

    iTraxx Crossover S38
    20-Sep-2022
    +4 Bus. Days
    26-Sep-2022


    For any queries, please email Indices@ihsmarkit.com.
     
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    Sep 08 2022
    iTraxx Asia ex-Japan Series 38 News Announcement

    The iTraxx Asia ex-Japan Series 38 Final List has now been published. Kindly note the following changes from the iTraxx Asia ex-Japan Series 38 Provisional List:

    CNOOC Limited (CNOOC)
    Following consultation with the iTraxx Asia ex-Japan Index Advisory Committee, IHS Markit has deemed appropriate not to include CNOOC in iTraxx Asia ex-Japan Series 38 due to the sanctions imposed under United States Executive Order 14032. IHS Markit has determined that the inclusion of entities impacted by the Executive Order 14032 can potentially be harmful for the liquidity of iTraxx Asia ex-Japan index.

    For any queries, please email itraxxadvisory@ihsmarkit.com.
     
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    Sep 08 2022
    iTraxx Crossover Series 38 News Announcement

    The iTraxx Crossover Series 38 Final List has now been published. Kindly note the following changes from the iTraxx Crossover Series 38 Provisional List:

    Infrastrutture Wireless Italiane S.P.A. (NFRAWIR)
    Upon further review, IHS Markit has determined not to include NFRAWIR due to a higher ranked entity available as per the iTraxx Crossover Supplementary List.


    For any queries, please email itraxxadvisory@ihsmarkit.com.
     
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    Sep 01 2022
    iTraxx Series 38 RED Codes

    Index Name Index RED Code
    iTraxx Japan Series 38 Version 1 2I668HCJ1
    iTraxx Australia Series 38 Version 1 2I668IBL5
    iTraxx Asia ex-Japan IG Series 38 Version 1 4ABCAMBI6
    iTraxx Europe Series 38 Version 1 2I666VDB8
    iTraxx Europe Crossover Series 38 Version 1 2I667KJQ2
    iTraxx Europe Non-Financial Series 38 Version 1 2I667NBZ4
    iTraxx Europe Senior Financials Series 38 Version 1 2I667DCM4
    iTraxx Europe Sub Financials Series 38 Version 1 2I667ECD2
    iTraxx MSCI ESG Screened Europe Series 38 Version 1 4ABCBNAF0
     
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    Sep 01 2022
    Timetables for the September 2022 iTraxx Index Roll

    Please see timetables for the September 2022 iTraxx index roll attached.
    The iTraxx index rulebooks are available on the iTraxx documentation - Documentation - Markit iTraxx Product Rules page.
    iTraxx Europe, Crossover & MSCI ESG Series 38 Roll Timetable.pdf
    iTraxx Australia Series 38 Roll Timetable.pdf
    iTraxx Asia ex-Japan Series 38 Roll Timetable.pdf
    iTraxx Japan Series 38 Roll Timetable.pdf
     
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    Aug 26 2022
    iTraxx Crossover News Announcement

    In order to give preference to existing index constituents which are liquid in the CDS market while also adding new names to the iTraxx Crossover index via the Supplementary List, the iTraxx Crossover index selection criteria is being amended as per below:

    Current selection criteria – order of preference

    1.Names from the Liquidity List:

    •based on CDS volumes in the last six months
    •have traded in the last eight weeks
    •satisfy other iTraxx Crossover selection criteria

    2.Names from Supplementary List:

    •based on debt outstanding
    •satisfy other iTraxx Crossover selection criteria

    New selection criteria – order of preference

    1.Names from the Liquidity List:

    •based on their CDS volumes in the last six months
    •have traded in the last eight weeks
    •satisfy other iTraxx Crossover selection criteria

    2.Top 3 names from the Supplementary List:
    •based on debt outstanding
    •satisfy other iTraxx Crossover selection criteria

    3.Current index constituents that have traded in last six months, but not in the last eight weeks and satisfy other iTraxx Crossover selection criteria.

    4.Remaining names from the Supplementary List.

    The revised iTraxx Europe & Crossover Index Rules will be published to reflect these changes, and will be applicable for the September 2022 index roll.

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

     
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    Jun 29 2022
    CORRECTION: Juneteenth Holiday – iTraxx/CDX Business Days

    Please note the updated June 2022 coupon payment dates for the respective iTraxx/CDX families. Kindly take note of the corrections for iTraxx Asia ex-Japan, iTraxx Australia and iTraxx Japan from the notification published on 10 June 2022.
    Index Family Coupon Payment Date
    CDX.EM 21 June 2022
    CDX.NA.IG / CDX.NA.HY 21 June 2022
    iTraxx Asia ex-Japan 21 June 2022
    iTraxx Australia 21 June 2022
    iTraxx Europe & iTraxx Crossover 20 June 2022
    iTraxx Japan 21 June 2022
    iTraxx MSCI ESG Screened Europe 20 June 2022

    The updated coupon payment dates for iTraxx Asia ex-Japan, iTraxx Australia and iTraxx Japan are consistent with the iTraxx Asia Pacific Standard Terms Supplement, which is available for download from the iTraxx documentation page.

    For more information, please contact us at indices@ihsmarkit.com
     
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    Jun 10 2022
    Juneteenth Holiday: iTraxx/CDX Business Days

    Due to Juneteenth being observed as a federal holiday in the United States on 20 June 2022, we would like to notify market participants of the upcoming coupon payment dates for each of the iTraxx/CDX index families. The June 2022 coupon payment dates for the respective index families are as per below:

    Index Family Coupon Payment Date
    CDX.EM 21 June 2022
    CDX.NA.IG / CDX.NA.HY 21 June 2022
    iTraxx Asia ex-Japan 20 June 2022
    iTraxx Australia 20 June 2022
    iTraxx Europe / iTraxx Crossover 20 June 2022
    iTraxx Japan 20 June 2022
    iTraxx MSCI ESG Screened Europe 20 June 2022

    The iTraxx / CDX 2022 holiday calendar is available for download via this link.


    For more information, please contact us at indices@ihsmarkit.com
     
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    Mar 11 2022
    iTraxx Crossover Series 37 Final List UPDATED

    Kindly note the below update to the iTraxx Crossover Series 37 final list published on 10 March 2022:

    Old Ticker Old Entity Long Name New Ticker New Entity Long Name
    LORCATE LORCA TELECOM BONDCO, S.A.U. KAIXBON KAIXO BONDCO TELECOM, S.A.U.

    For any queries, please email itraxxadvisory@ihsmarkit.com.
    iTraxx Europe, Crossover, MSCI ESG Screened Europe Series 37 Final List - 11Mar2022.pdf
     
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    Mar 10 2022
    iTraxx Series 37 Final Lists Publication

    Please find below the iTraxx Series 37 Final Lists Publication:
    iTraxx Australia 37 Final List.pdf
    iTraxx Europe & Crossover Series 37 Final List.pdf
    iTraxx Japan 37 Final List.pdf
    iTraxx Asia ex-Japan IG 37 Final List.pdf
     
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    Mar 10 2022
    iTraxx Crossover News Notification

    The iTraxx Crossover Series 37 Final List has now been published. Kindly note the following changes from the iTraxx Crossover Series 37 Provisional List:

    1. VEON HOLDINGS B.V. (VEONHOL)
    For an entity to be eligible for inclusion in iTraxx Crossover, it must be incorporated in one of the EU, EFTA, or UK countries. Though VEONHOL qualifies for inclusion in iTraxx Crossover due its Dutch incorporation, it has substantial revenues linked to non-EU/EFTA/UK countries, mainly Russia. In light of this, IHS Markit has deemed appropriate not to include VEONHOL in the iTraxx Crossover Series 37 Final List, as it could be harmful for the liquidity of the iTraxx Crossover index, the economic intent of which is to represent European corporate credit risk.

    1. UNILABS SUBHOLDING AB (UNILSUB)
    For an entity to be eligible for inclusion in iTraxx Crossover, it must have issued/guaranteed at least EUR 100 million equivalent outstanding in a currency deliverable into a European CDS contract as of the last business day of the month prior to the roll. While UNILSUB currently satisfies this criteria, due to the announced redemption of its debt prior to the roll date, IHS Markit has deemed appropriate not to include UNILSUB in the iTraxx Crossover Series 37 Final List.

    For any queries, please email itraxxadvisory@ihsmarkit.com.
     
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    Mar 02 2022
    iTraxx Series 37 RED Codes

    Index Name Index RED Code
    iTraxx Europe Series 37 Version 1 2I666VDA0
    iTraxx Europe Crossover Series 37 Version 1 2I667KJP4
    iTraxx Europe Non-Financial Series 37 Version 1 2I667NBY7
    iTraxx Europe Senior Financials Series 37 Version 1 2I667DCL6
    iTraxx Europe Sub Financials Series 37 Version 1 2I667ECC4
    iTraxx MSCI ESG Screened Europe Series 37 Version 1 4ABCBNAE3
    iTraxx Asia ex-Japan IG Series 37 Version 1 4ABCAMBH8
    iTraxx Australia Series 37 Version 1 2I668IBK7
    iTraxx Japan Series 37 Version 1 2I668HCI3

     
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    Mar 02 2022
    Timetables for the March 2022 iTraxx Index Roll

    Please see timetables for the March 2022 iTraxx index roll attached.
    The iTraxx index rulebooks are available on the iTraxx documentation page.
    iTraxx Europe, Crossover & MSCI ESG Series 37 Roll Timetable.pdf
    iTraxx Asia ex-Japan Series 37 Roll Timetable.pdf
    iTraxx Japan Series 37 Roll Timetable.pdf
    iTraxx Australia Series 37 Roll Timetable.pdf
     
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