Indices
News & Information

    Sep 26 2023
    New iTraxx Europe Crossover Index Versions Published: Failure To Pay Credit Event with respect to CASINO GUICHARD-PERRACHON (Ticker: GROUPE)

    New Index Name New RED Code
    iTraxx Europe Crossover Series 25 Version 10 2I667KKE7
    iTraxx Europe Crossover Series 26 Version 10 2I667KKD9
    iTraxx Europe Crossover Series 27 Version 10 2I667KKP2
    iTraxx Europe Crossover Series 28 Version 11 2I667KKJ6
    iTraxx Europe Crossover Series 29 Version 12 2I667KKF4
    iTraxx Europe Crossover Series 30 Version 10 2I667KKH0
    iTraxx Europe Crossover Series 31 Version 8 2I667KKK3
    iTraxx Europe Crossover Series 32 Version 6 2I667KKN7
    iTraxx Europe Crossover Series 33 Version 6 2I667KKL1
    iTraxx Europe Crossover Series 34 Version 3 2I667KKQ0
    iTraxx Europe Crossover Series 35 Version 2 2I667KKR8
    iTraxx Europe Crossover Series 36 Version 2 2I667KKO5
    iTraxx Europe Crossover Series 37 Version 2 2I667KKM9
    iTraxx Europe Crossover Series 38 Version 2 2I667KKI8
    iTraxx Europe Crossover Series 39 Version 2 2I667KKG2
    iTraxx Europe HiVol Series 20 Version 2 2I667LBE5
    iTraxx Europe Non-Financial Series 20 Version 2 2I667NCD2
    iTraxx Europe Non-Financial Series 21 Version 2 2I667NCE0
    iTraxx Europe Non-Financial Series 22 Version 2 2I667NCB6
    iTraxx Europe Non-Financial Series 23 Version 2 2I667NCC4
    iTraxx Europe Non-Financial Series 24 Version 2 2I667NCF7
    iTraxx Europe Series 20 Version 2 2I666VDG7
    iTraxx Europe Series 21 Version 2 2I666VDH5
    iTraxx Europe Series 22 Version 3 2I666VDD4
    iTraxx Europe Series 23 Version 3 2I666VDE2
    iTraxx Europe Series 24 Version 3 2I666VDF9


    For more information please contact indices@ihsmarkit.com
     
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    Sep 18 2023
    CDX/iTraxx Tranches: September 2023 Roll Dates

    This is to inform market participants that the Sept 2023 roll dates for the tranches referencing the iTraxx/CDX indices will continue to be based on the T+4 convention i.e. the iTraxx/CDX tranche roll dates will be four business days following the respective index roll dates. For clarity, the following are the September 2023 roll dates for iTraxx/CDX tranches.

    Index
    Index Roll Date
    Tranche Roll Date Offset
    Tranche Roll Date
    CDX.NA.IG.41 20-Sep-2023 +4 Bus. Days 26-Sep-2023
    CDX.NA.HY.41 27-Sep-2023 +4 Bus. Days 03-Oct-2023
    iTraxx Europe S40 20-Sep-2023 +4 Bus. Days 26-Sep-2023
    iTraxx Crossover S40 20-Sep-2023 +4 Bus. Days 26-Sep-2023

    The above tranche roll dates conventions are advisory only, and market participants are requested to exercise their own judgement relating to trading of the new series of the iTraxx/CDX tranches.

    For any queries, please email Indices@ihsmarkit.com.
     
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    Sep 08 2023
    iTraxx Europe News Announcement

    The iTraxx Europe Series 40 Final List has now been published. Kindly note the below change from the Provisional List.

    M&G PLC (RED ticker: MGPLC)
    Upon further review, S&P DJI has decided not to include MGPLC in iTraxx Europe Series 40 due to lack of significant debt outstanding at the Senior level.


     
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    Sep 08 2023
    iTraxx European Indices S40 Final Lists publication

    Please find below the iTraxx European Indices S40 Final Lists publication:
    iTraxx Europe Series 40 Final List.pdf
    iTraxx MSCI ESG Screened Europe Series 40 Final List.pdf
     
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    Sep 07 2023
    iTraxx Japan News Announcement

    The iTraxx Japan Series 40 Final List has now been published. Kindly note the below changes from the Provisional List.

    SHIMIZU CORPORATION (RED ticker: SHIMIZ)
    SHIMIZ has been excluded from the index as it does not qualify due to not demonstrating trading activity greater than zero during the last eight weeks as measured in the latest DTCC Roll Report.

    For more information, please email itraxxadvisory@ihsmarkit.com.

     
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    Sep 07 2023
    iTraxx Australia News Announcement

    The iTraxx Australia Series 40 Final List has now been published. Kindly note the below changes from the Provisional List.

    CSL Limited (RED Ticker: CSLLIM)
    Upon further review, S&P DJI has deemed appropriate to include CSLLIM in iTraxx Australia Series 40 based on the significant amount of debt guaranteed by it.

    For more information, please email itraxxadvisory@ihsmarkit.com.

     
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    Sep 07 2023
    iTraxx Europe News Announcement

    Kindly note that the publication of the iTraxx Europe, iTraxx Crossover and iTraxx MSCI ESG Screened Europe Series 40 Final Lists has been delayed. Further update will be provided by 8th September COB.

    For more information, please email itraxxadvisory@ihsmarkit.com.
     
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    Sep 07 2023
    iTraxx Asia ex-Japan News Announcement

    The iTraxx Asia ex-Japan Series 40 Final List has now been published. Kindly note the below changes from the Provisional List.

    LG CHEM, LTD. (RED ticker: LGCHEM)
    Upon further review, S&P DJI has decided not to include LGCHEM in the index in order to ensure that the weighting of South Korea in the iTraxx Asia ex-Japan index closely aligns with that of the corresponding bond market.


    For more information, please email itraxxadvisory@ihsmarkit.com.
     
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    Sep 01 2023
    Timetables for the September 2023 iTraxx Index Roll

    Please see timetables for the September 2023 iTraxx index roll attached.

    The iTraxx index rulebooks are available on the iTraxx documentation - Documentation - Markit iTraxx Product Rules page.
    iTraxx Australia Series 40 Roll Timetable.pdf
    iTraxx Europe, Crossover & MSCI ESG Series 40 Roll Timetable.pdf
    iTraxx Asia ex-Japan Series 40 Roll Timetable.pdf
    iTraxx Japan Series 40 Roll Timetable.pdf
     
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    Sep 01 2023
    iTraxx Series 40 RED Codes

    Index Name Index RED Code
    iTraxx Asia ex-Japan IG Series 40 Version 1 4ABCAMBK1
    iTraxx Australia Series 40 Version 1 2I668IBN1
    iTraxx Japan Series 40 Version 1 2I668HCL6
    iTraxx Europe Series 40 Version 1 2I666VDI3
    iTraxx Europe Crossover Series 40 Version 1 2I667KKS6
    iTraxx Europe Non-Financial Series 40 Version 1 2I667NCG5
    iTraxx Europe Senior Financials Series 40 Version 1 2I667DCO0
    iTraxx Europe Sub Financials Series 40 Version 1 2I667ECF7
    iTraxx MSCI ESG Screened Europe Series 40 Version 1 4ABCBNAH6


    For more information please contact indices@ihsmarkit.com
     
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    Sep 01 2023
    iTraxx MSCI ESG Screened Europe – News Announcement

    Kindly note that the below exclusion criteria has been added to the ESG screening criteria of the iTraxx MSCI ESG Screened Europe index:

    Companies are excluded if they are deriving combined revenues of 5% or more from:
    • Unconventional oil and gas extraction such as revenues from oil sands, oil shale (kerogen-rich deposits), shale gas, shale oil, coal seam gas, and coal bed methane; or
    • Arctic Oil and Arctic Gas production

    The iTraxx MSCI ESG Screened Europe index rules will be updated to reflect this above change, and will be applicable for the September 2023 roll.
     
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    Jul 12 2023
    Markit M10CDITX Total Return Index - temporary suspension of the Leverage Resetting Trigger

    IHS Market Benchmark Administration Limited ("IMBA UK") announces the suspension of 4.3 Leverage Resetting trigger clause, part of the Markit M10CDITX Total Return Index Index Methodology.

    The rule, standing current market conditions, might cause erratic moves in the value of the Index, affecting its representativeness.

    To prevent the index becoming non-representative, the clause is suspended as of 29 June 2023, while close analysis is conducted on the methodology calculation rules.

    For more information, please contact us at indices@ihsmarkit.com
     
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    May 30 2023
    Restatement of CDS Benchmark Index Levels

    Kindly note that the 25th May 2023 index levels for the below indices have been restated due to a restatement of underlying pricing input.


    Ticker Name
    ERIXTLIG iTraxx Europe 10Y Long Excess Return with DRC
    ERIXTSIG iTraxx Europe 10Y Short Excess Return with DRC
    IM1LERD5 iTraxx Europe 10Y Long Excess Return with DRC 5-Day Rollover
    IM1SERD5 iTraxx Europe 10Y Short Excess Return with DRC 5-Day Rollover
    IM1LMER5 iTraxx Europe 10Y Long Mid Excess Return 5-Day Rollover
    IM1SMER5 iTraxx Europe 10Y Short Mid Excess Return 5-Day Rollover
    ITRXTEXM iTraxx Europe 10Y Long Mid Total Return Index
    ITRXSEXM iTraxx Europe 10Y Short Mid Total Return Index
    ITRXSL10 iTraxx Europe 10Y Long Total Return Index
    ITRXSE10 iTraxx Europe 10Y Short Total Return Index
    ITXIGB10 iTraxx Europe 10Y Beta Excess Return Index
    ERITEU10 iTraxx Europe 10Y Long Excess Return Index
    ITXCDXFL iTraxx-CDX IG Global Credit Flattener
    ITXCDXST iTraxx-CDX IG Global Credit Steepener
    IC10GBER iTraxx-CDX IG 10Y GBP Hedged Beta Excess Return Index
    M10CDITX Markit 10Y CDX and iTraxx GBP Hedged TRI
    IIEUR125 IHS Markit EUR Liquid Corporate 12.5 Index



    For more information, please contact us at indices@ihsmarkit.com
     
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    Apr 24 2023
    IHS Markit Benchmark Administration Limited (IMBA UK) is now conducting all index consultations via the S&P Dow Jones Indices website

    As of 15 July 2022, IHS Markit Benchmark Administration Limited (IMBA UK) is conducting all index consultations via the S&P Dow Jones Indices website. IHS Markit Benchmark Administration Limited (IMBA UK) will announce any methodology updates via Consultations - Governance | S&P Dow Jones Indices (spglobal.com).
     
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    Mar 23 2023
    New iTraxx Europe Crossover Index Versions Published: Restructuring Credit Event with respect to VUE INTERNATIONAL BIDCO PLC (Ticker: VUEINT)


    NEW INDEX NAME NEW RED CODE
    iTraxx Europe Crossover Series 21 Version 8 2I667KJW9
    iTraxx Europe Crossover Series 22 Version 14 2I667KJR0
    iTraxx Europe Crossover Series 23 Version 14 2I667KKB3
    iTraxx Europe Crossover Series 24 Version 12 2I667KJS8
    iTraxx Europe Crossover Series 25 Version 9 2I667KJV1
    iTraxx Europe Crossover Series 26 Version 9 2I667KJU3
    iTraxx Europe Crossover Series 27 Version 9 2I667KJT6
    iTraxx Europe Crossover Series 28 Version 10 2I667KJZ2
    iTraxx Europe Crossover Series 29 Version 11 2I667KJX7
    iTraxx Europe Crossover Series 30 Version 9 2I667KJY5
    iTraxx Europe Crossover Series 31 Version 7 2I667KKA5
     
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    Mar 09 2023
    iTraxx Asia ex-Japan News Announcement

    The iTraxx Asia ex-Japan Series 39 Final List has now been published. Please note the following change from the iTraxx Asia ex-Japan Series 39 Provisional List:

    Upon further review, in order to ensure that all the market and sector weights of the iTraxx Asia ex-Japan Index align closely with those of the iBoxx USD Asia ex-Japan Investment Grade Index, S&P DJI has deemed appropriate:

    • -Not to include The Korea Development Bank (RED ticker: KDB) in the index so that its Sovereigns/Sub-sovereigns sector weight closely aligns with that of the corresponding bond market; and
    • -Not to exclude BOC Aviation Limited (RED ticker: BOCAV) from the index so that its Financials sector weight closely aligns with that of the corresponding bond market.
     
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    Mar 09 2023
    iTraxx Europe & Crossover News Announcement

    The iTraxx Europe Series 39 and iTraxx Crossover Series 39 Final Lists have now been published. Kindly note the below changes from the Provisional Lists.

    iTraxx Europe

    Louis Dreyfus Company B.V. (RED ticker: LODREY)
    Upon further review, S&P DJI has decided not to include LODREY due to a higher ranking entity being eligible in the iTraxx Europe Liquidity List.


    iTraxx Crossover

    S&P DJI has deemed appropriate to update the below reference entities to those entities within the corporate structure that can have active bonds as reference obligations issued from the same entity.

    Current reference entity in iTraxx Crossover Series 38 Reference entity to be included in iTraxx Crossover Series 39
    CABLE & WIRELESS LIMITED (CAWILD) C&W SENIOR FINANCE LIMITED (CWSE)
    INEOS GROUP HOLDINGS S.A. (INEOGRO) INEOS FINANCE PLC (INEOFIN)
    MATTERHORN TELECOM HOLDING S.A. (MATTETE) MATTERHORN TELECOM S.A. (MATTTEL)
     
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