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.
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