Indices
News & Information

    Sep 24 2019
    New iTraxx Europe Crossover Index Versions Published: Bankruptcy Credit Event with respect to THOMAS COOK GROUP PLC (Ticker: THCP, RED code: GOGCB8)

    Following the confirmation of a Bankruptcy Credit Event with respect to THOMAS COOK GROUP PLC, new versions of all affected Markit iTraxx Europe Crossover indices have been issued with an annex date of 24th September 2019. Below are the new index versions along with their corresponding RED Index Codes:

    NEW INDEX NAME NEW RED CODE
    iTraxx Europe Crossover Series 28 Version 5 2I667KHJ0
    iTraxx Europe Crossover Series 29 Version 5 2I667KHH4
    iTraxx Europe Crossover Series 30 Version 4 2I667KHI2
    iTraxx Europe Crossover Series 31 Version 2 2I667KHK7


     
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    Sep 18 2019
    Tranche Parameters and Roll Dates for IHS Markit CDX and iTraxx Indices Confirmed

    Coupons, attachment/detachment levels and roll dates for tranches to be traded on the CDX Series 33 and iTraxx Series 32 indices have been agreed by market participants as per the below tables. Please note there is no change in attachment/detachment points or coupons.


    Index Roll Date (Tranches)
    CDX.NA.IG.33 25-Sep-19
    CDX.NA.HY.33 2-Oct-19
    iTraxx Europe Series 32 25-Sep-19
    iTraxx Europe Crossover Series 32 2-Oct-19

    Index Tranche Coupon
    CDX.NA.IG.33 0 - 3 100
    CDX.NA.IG.33 3 - 7 100
    CDX.NA.IG.33 7 - 15 100
    CDX.NA.IG.33 15 - 100 100
    CDX.NA.HY.33 0 - 15 500
    CDX.NA.HY.33 15 - 25 500
    CDX.NA.HY.33 25 - 35 500
    CDX.NA.HY.33 35 - 100 500
    iTraxx Europe Series 32 0 - 3 100
    iTraxx Europe Series 32 3 - 6 100
    iTraxx Europe Series 32 6 - 12 100
    iTraxx Europe Series 32 12 - 100 100
    iTraxx Europe Crossover Series 32 0 - 10 500
    iTraxx Europe Crossover Series 32 10 - 20 500
    iTraxx Europe Crossover Series 32 20 - 35 500
    iTraxx Europe Crossover Series 32 35 - 100 500
     
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    Sep 13 2019
    iTraxx Japan Final Index Membership Series 32

    Please find below the iTraxx Japan Final Index Membership List for Series 32.
    iTraxx Japan Final List Series 32.pdf
     
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    Sep 13 2019
    iTraxx Japan News Announcement

    The iTraxx Japan Series 32 Final List has been published. Please be informed of the below revision made by IHS Markit since publication of the iTraxx Japan Series 32 Provisional List.

    Following further review and feedback from market participants, IHS Markit has deemed appropriate to not include Credit Saison Co., Ltd. (CRDSAI). Due to the infrequent trading of the name, CRDSAI could potentially impact overall index liquidity.
     
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    Sep 12 2019
    Revision of publication date for iTraxx Japan Series 32 Final List

    IHS Markit will be publishing the iTraxx Japan Series 32 Final List by close of business (London time) on 13 September 2019.
     
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    Sep 12 2019
    iTraxx Asia ex-Japan News Announcement

    The iTraxx Asia ex-Japan Series 32 Final List has been published. Please find below an explanation of revisions made by IHS Markit since publication of the iTraxx Asia ex-Japan Series 32 Provisional List.

    AGRICULTURAL BANK OF CHINA LIMITED (AGRBLT)
    Following further review, IHS Markit has decided to not include AGRBLT in Series 32. Notwithstanding the fact that AGRBLT qualifies for inclusion via the Liquidity List Criteria, given its low CDS liquidity and debt outstanding, IHS Markit has determined it appropriate to not include AGRBLT in Series 32. IHS Markit will, ahead of the March roll of the Index, review the Liquidity List Criteria and consult on any potential changes.

    CHINA OVERSEAS LAND & INVESTMENT LIMITED (COLI)
    Following further review, to remain in spirit of the iTraxx Asia ex-Japan rule changes implemented in July to better align the Index with the cash bond market, IHS Markit has decided to not include COLI as it is the seventh new entity to be included from the currently underweight China Market. In order to balance the Market-Sector profile changes from one series to another, IHS Markit has deemed appropriate to include an entity from a different underweight Market.
     
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    Sep 12 2019
    iTraxx Europe News Announcement

    The iTraxx Europe Series 32 Final List has been published. Please find below the revisions made by IHS Markit since publication of the iTraxx Europe Series 32 Provisional List.


    1. Cable & Wireless Limited (CAWILD) has been included in Series 32 as it qualifies for index inclusion via Liquidity List.

    2. Schaeffler Finance B.V. (SCHAFIN) has been replaced with Schaeffler AG (SCHAAG) as it was deemed appropriate given larger debt outstanding for SCHAAG.
     
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    Sep 12 2019
    iTraxx Asia ex-Japan Final Index Membership Series 32

    Please find below the iTraxx Asia ex-Japan Final Index Membership List for Series 32.
    iTraxx Asia ex-Japan Final List Series 32.pdf
     
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    Sep 12 2019
    iTraxx Australia Final Index Membership List Series 32

    Please find below the iTraxx Australia Final Index Membership List for Series 32.
    Markit iTraxx Australia Final List Series 32.pdf
     
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    Sep 12 2019
    iTraxx Europe Final Index Membership Series 32

    Please find below the iTraxx Europe Final Index Membership List for Series 32.
    iTraxx Europe Final List Series 32.pdf
     
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    Sep 11 2019
    iTraxx Australia Provisional Index Membership Series 32

    To maintain index liquidity and preserve the economic intent of iTraxx Australia as an index primarily comprised of liquid investment grade constituents, IHS Markit has determined it appropriate to depart from the methodology set out in the Rules for iTraxx Australia Series 32.

    The index selection methodology has been applied with the below deviations from the Rules:

    1. Index size of iTraxx Australia has been reduced from 25 to 20 constituents;
    2.     Entities that have not traded in the last 8 weeks prior to the roll month but are included in the DTCC Index Roll Report have been deemed to still be eligible for index inclusion.
    Based on the above, IHS Markit has published the iTraxx Australia Series 32 Provisional List. IHS Markit continues to undertake a review of the Rules for iTraxx Australia and welcomes any feedback from market participants (itraxxadvisory@ihsmarkit.com).

    iTraxx Australia Provisional List Series 32.pdf
     
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    Sep 10 2019
    iTraxx Asia ex-Japan Provisional Index Membership Series 32

    Please find below the iTraxx Asia ex-Japan Provisional Index Membership List for Series 32.
    iTraxx Asia ex-Japan Provisional List Series 32.pdf
     
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    Sep 10 2019
    Revision of publication date for iTraxx Australia Series 32 Provisional List

    IHS Markit will be publishing the iTraxx Australia Series 32 Provisional List by close of business (London time) on 11 September 2019.
     
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    Sep 10 2019
    iTraxx Europe Provisional Index Membership Series 32

    Please find below the iTraxx Europe Provisional Index Membership List for Series 32.
    iTraxx Europe Provisional List Series 32.pdf
     
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    Sep 10 2019
    iTraxx Japan Provisional Index Membership Series 32

    Please find below the iTraxx Japan Provisional Index Membership List for Series 32
    iTraxx Japan Provisional List Series 32.pdf
     
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    Sep 06 2019
    New iTraxx Europe Crossover Index Versions Published: Bankruptcy Credit Event with respect to TOP GUN REALISATIONS 61 LIMITED (Ticker: TOGUN, RED code: GOHB40)

    Following the confirmation of a Bankruptcy Credit Event with respect to TOP GUN REALISATIONS 61 LIMITED (fka NEW LOOK BONDCO I LIMITED), new versions of all affected Markit iTraxx Europe Crossover indices have been issued with an annex date of 4th September 2019. Below are the new index versions along with their corresponding RED Index Codes:

    NEW INDEX NAME NEW RED CODE
    iTraxx Europe Crossover Series 20 Version 5 2I667KHG6
    iTraxx Europe Crossover Series 21 Version 7 2I667KHF8
    iTraxx Europe Crossover Series 22 Version 9 2I667KHE1
    iTraxx Europe Crossover Series 23 Version 9 2I667KHD3

     
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    Sep 03 2019
    iTraxx Series 32 RED Codes

    Index Name S31 INDEX REDCODE S32 INDEX REDCODE
    iTraxx Asia ex-Japan IG Series 32 Version 1 4ABCAMBB1 4ABCAMBC9
    iTraxx Australia Series 32 Version 1 2I668IBE1 2I668IBF8
    iTraxx Europe Series 32 Version 1 2I666VCT0 2I666VCV5
    iTraxx Europe Crossover Series 32 Version 1 2I667KFO1 2I667KHC5
    iTraxx Europe Non-Financial Series 32 Version 1 2I667NBS0 2I667NBT8
    iTraxx Europe Senior Financials Series 32 Version 1 2I667DCE2 2I667DCG7
    iTraxx Europe Sub Financials Series 32 Version 1 2I667EBW1 2I667EBX9
    iTraxx Japan Series 32 Version 1 2I668HBD5 2I668HCD4
     
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    Aug 06 2019
    New iTraxx Europe Crossover Index Versions Published: Failure to Pay Credit Event with respect to STEINHOFF EUROPE AG (Ticker: STEIEUR, RED code: AIC6AN)

    Following the confirmation of a Failure to Pay Credit Event with respect to STEINHOFF EUROPE AG, new versions of all affected Markit iTraxx Europe Crossover indices have been issued with an annex date of 22nd July 2019. Below are the new index versions along with their corresponding RED Index Codes:


    New Index Name New Index RED Code
    iTraxx Europe Crossover Series 29 Version 4 2I667KGT9
     
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    Aug 06 2019
    New iTraxx Europe Crossover Index Versions Published: Failure to Pay Credit Event with respect to Galapagos Holding S.A. (Ticker: GALAPHO, RED Code: LP533U)

    Following the confirmation of a Failure to Pay Credit Event with respect to Galapagos Holding S.A., new versions of all affected Markit iTraxx Europe Crossover indices have been issued with an annex date of 22nd July 2019. Below are the new index versions along with their corresponding RED Index Codes.


    New Index Name New Index RED Code
    iTraxx Europe Crossover Series 22 Version 8 2I667KGZ5
    iTraxx Europe Crossover Series 23 Version 8 2I667KGW2
    iTraxx Europe Crossover Series 24 Version 7 2I667KGX0
    iTraxx Europe Crossover Series 25 Version 4 2I667KHB7
    iTraxx Europe Crossover Series 26 Version 4 2I667KHA9
    iTraxx Europe Crossover Series 27 Version 4 2I667KGY8
    iTraxx Europe Crossover Series 28 Version 4 2I667KGV4
    iTraxx Europe Crossover Series 29 Version 3 2I667KFZ6
    iTraxx Europe Crossover Series 30 Version 3 2I667KGU6
     
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