Indices
News & Information

    Jul 08 2020
    Expiry of LGIM indices

    Please be advised that the below indices contain constituent instruments that are reaching maturity, the indices will expire as per the schedule detailed in the below table.

    Ticker Index name Expiration date
    LGIM2020FS 2020 Fixed Swap Index 06-Jul-20
    LGIM2020IS 2020 Inflation Swap Index 15-Jul-20
    LGIM2020RS 2020 Real Swap Index 15-Jul-20


    Should you have any questions, please contact us at support@ihsmarkit.com.
     
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    Jul 03 2020
    Changes to methodology for LGIM GILTPLUS and LINKERPLUS indices

    Please be advised that IHS Markit Benchmark Administration Limited (IMBA UK) has made changes to the methodologies of the LGIM GILTPLUS and LINKERPLUS indices. The hedging multiple lower boundary values have been changed from a value of 1 back to the original threshold levels as detailed in the relevant index manuals. This change is further to the previous Announcement.

    Should you have any questions, please contact us at support@ihsmarkit.com.
     
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    Jul 02 2020
    Updated List of Private Placements (iBoxx Asian Indices)

    IHS Markit has identified additional Private Placement issues in the Markit iBoxx ABF / Asia indices. Please find the list attached.
    Markit iBoxx Asia List of Private Placement Bonds.pdf
     
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    Jul 02 2020
    Updated List of Retail Bonds (iBoxx Asian Indices)

    IHS Markit has identified additional Retail bond issues in the Markit iBoxx ABF / Asia indices. Please find the list attached.
    Markit iBoxx Asia List of Retail Bonds.pdf
     
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    Jul 01 2020
    Updated List of Private Placements

    • IHS Markit has identified additional Private Placement issues. The bonds have been added to the attached lists.
    • For more information please contact us at indices@ihsmarkit.com
    GBP_Private_Placements_20200630.pdf
    EUR_Private_Placements_20200630.pdf
     
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    Jun 30 2020
    New versions of Markit Indices issued due to Credit Event on Chesapeake Energy Corporation

    Following the confirmation of a Bankruptcy Credit Event on Chesapeake Energy Corporation, new versions of all affected Markit CDX indices have been issued with an annex date of 30th June 2020. Below are the new indices along with their corresponding RED Index Code:

    Index Name Index RED Code
    CDX.NA.HY.15-V21 2I65BRYI5
    CDX.NA.HY.16-V21 2I65BRYJ3
    CDX.NA.HY.17-V22 2I65BRXT2
    CDX.NA.HY.18-V19 2I65BRYK0
    CDX.NA.HY.19-V18 2I65BRYL8
    CDX.NA.HY.20-V18 2I65BRXS4
    CDX.NA.HY.21-V18 2I65BRXU9
    CDX.NA.HY.22-V18 2I65BRXV7
    CDX.NA.HY.23-V17 2I65BRXW5
    CDX.NA.HY.24-V16 2I65BRXX3
    CDX.NA.HY.25-V16 2I65BRXY1
    CDX.NA.HY.26-V15 2I65BRXZ8
    CDX.NA.HY.27-V16 2I65BRYB0
    CDX.NA.HY.28-V14 2I65BRYC8
    CDX.NA.HY.29-V14 2I65BRYA2
    CDX.NA.HY.30-V14 2I65BRYF1
    CDX.NA.HY.31-V14 2I65BRYE4
    CDX.NA.HY.32-V12 2I65BRYG9
    CDX.NA.HY.33-V11 2I65BRYH7
    CDX.NA.HY.34-V8 2I65BRYD6
    CDX.NA.HY.B.30-V9 2I65BSHB7
    CDX.NA.HY.B.31-V8 2I65BSHC5
    CDX.NA.HY.B.32-V8 2I65BSHD3
    CDX.NA.HY.B.33-V5 2I65BSHA9
    CDX.NA.HY.BB.25-V6 2I65BVDM0
    CDX.NA.HY.Ex-BB.34-V8 1D765OAH6
     
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    Jun 30 2020
    Rebalance of the UBS Europe Growth 20 Index

    Please be informed that IHS Markit Benchmark Administration Limited (“IHSMBAL”) has performed the pro forma rebalance for the UBS Europe Growth 20 Index (MBCIEG20) using the closing prices of 30 June, 2020. The pro forma rebalance is available upon request.

    The final rebalance will be performed on 01 July, 2020, to be effective at the open of 02 July, 2020 and can likewise be requested at that time.

    Should you have any questions or would like to request rebalance information, please contact us at support@ihsmarkit.com.
     
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    Jun 30 2020
    Rebalance of the AQR-UBS Style Premia Global Equity Indices

    Please be advised that IHS Markit Benchmark Administration (IMBA) is implementing the rebalance of the below AQR-UBS Style Premia Global Equity Indices based on the weight determination provided by AQR Capital Management L.L.C.

    INDEX TICKER INDEX NAME
    UISEAGLT AQR-UBS Style Premia Global Equity Index Long Only Total Return (USD)
    UISEAGLE AQR-UBS Style Premia Global Equity Index Long Only Excess Return (USD)
    UISEAGHE AQR-UBS Style Premia Global Equity Index Benchmark-hedged Excess Return (USD)

    The rebalance will be implemented over three relevant trading days on 02 July 2020, 06 July 2020 and 07 July 2020.

    Should you have any questions or would like to request rebalance information, please contact us at support@ihsmarkit.com.
     
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    Jun 29 2020
    Rebalance of the Nordea Danish Bond Indices

    Please be informed that IHS Markit Benchmark Administration (IMBA UK) has performed the rebalance for the attached Nordea Danish Bond Indices using the closing prices of 29/06/2020.

    The rebalance will be implemented on 30/06/2020.

    Should you have any questions or would like further information, please contact us at support@ihsmarkit.com.
    Nordea_Danish_Bond_Indices.xlsx
     
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    Jun 29 2020
    UPDATE - Annual Index Review 2019 - updates to indices resulting from announced changes to iBoxx classification schema

    Following the announcement on changes to the iBoxx proprietary classification schema as part of the iBoxx Annual Index Reviews 2019 (16 December 2019) and subsequent announcement on planned implementation on the 31 July 2020 rebalancing (27 May 2020), IHS Markit is pleased to announce the following updates to indices:

    1. Introduction of 59 new indices across our iBoxx EUR, GBP, USD Benchmark index families and the iBoxx EUR High Yield and GBP High Yield index families. The details of the these new indices can be found in the Excel sheet included below (New_Indices tab).

    2. Discontinuation of 16 duplicate iBoxx £ Financial and Non-Financial indices currently listed in the iboxx_gbp_eod_indices_yyyymmdd.csv files. The list of affected indices can be found in the Excel sheet included below (Discontinued_Indices tab), alongside their duplicate indices that will be remaining, where users will be able to switch to if needed.

    3. Relabeling of 13 indices. The classification schema document, which accompanied the Annual Index Review Results announcement, lists changes to the sub-sector classification for Fixed-Line and Mobile Communication sectors, and Software & Computer Services respectively. These indices will hence change their name accordingly, as detailed in the Excel sheet included below (Renamed Indices tab).

    The changes listed here will all be effective after the 31 July 2020 rebalance. The new indices and renamed indices will be available in the indices files published on Monday, 3 August 2020. Sample benchmark files containing the new and renamed indices will be available upon request 2 weeks prior to the 31 July 2020 rebalance date.

    For more information please contact us at indices@ihsmarkit.com
    Annual_Index_Review_2019_Additions_Changes_Deletions_UPDATED.xlsx
    iBoxx Global Classification Schema.pdf
    iBoxx AIR 2019 European and North American Results Announcement.pdf
     
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    Jun 26 2020
    IHS Markit Benchmark Administration Ltd. (IMBA UK): Consultation on Temporary Methodology change for the Halifax House Price Index family of Indices: decision and next steps

    Background
    On 12 June 2020, IMBA UK – the Administrator (as defined by the International Organisation of Securities Commissions Principles for Financial Benchmarks - the “IOSCO Principles” and the European Benchmark Regulation – “BMR”) of the Halifax House Price Index (“HHPI”) family – opened a consultation with users and stakeholders of HHPI regarding a proposed temporary change to the HHPI methodology. The temporary change is designed to address the impact on the performance of both Halifax House Price Index 1983 (HHPI1983) and Halifax House Price Index 2019 (HHPI2019) UK Regional models of reduced mortgage transaction volumes received in Q2 2020.

    User consultation
    We engaged with and received feedback from a significant number of stakeholders. All of them were generally supportive of our approach to the proposed temporary methodology change.

    Decision and next steps
    As Administrator of the HHPI, IMBA UK is satisfied with user acceptance of the proposed temporary methodology change for the calculation of UK Regional HHPI data for Q2 2020.

    It is the Administrator’s intention and expectation that the temporary change will only impact the calculation of UK Regional HHPI data for Q2 2020, and that the HHPI methodology would revert to normal for the calculation of UK Regional HHPI data for Q3 2020. Users will be informed in advance if this is not the case.
    UK Regional HHPI data for Q2 2020 will be released on 10 July 2020.

    Should you have any questions, please contact us at
    MK-IndexAdminConsultation@ihsmarkit.com
     
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    Jun 23 2020
    Changes to methodology for LGIM Matching Plus, Matching Core, and Leveraged Synthetic Equity indices

    Please be advised that IHS Markit Benchmark Administration Limited (IMBA UK) has made changes to the methodologies of the indices within the LGIM Matching Plus, Matching Core, and Leveraged Synthetic Equity indices. Effective 24 Jun 2020 and with the exception of the GILTPLUS and LINKERPLUS indices, the hedging multiple lower boundary values have been changed from a value of 1 back to their original threshold levels as detailed in the relevant index manuals.

    Should you have any questions, please contact us at support@ihsmarkit.com.
     
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    Jun 23 2020
    Rebalance of the AQR-UBS Style Premia Global Equity Indices

    Please be advised that IHS Markit Benchmark Administration (IMBA) is implementing the rebalance of the below AQR-UBS Style Premia Global Equity Indices based on the weight determination provided by AQR Capital Management L.L.C.

    INDEX TICKER INDEX NAME
    UISEAGLT AQR-UBS Style Premia Global Equity Index Long Only Total Return (USD)
    UISEAGLE AQR-UBS Style Premia Global Equity Index Long Only Excess Return (USD)
    UISEAGHE AQR-UBS Style Premia Global Equity Index Benchmark-hedged Excess Return (USD)

    The rebalance will be implemented over three relevant trading days on 24 June 2020, 26 June 2020 and 29 June 2020.

    Should you have any questions or would like to request rebalance information, please contact us at support@ihsmarkit.com.
     
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    Jun 17 2020
    Result of consultation on the update to the configuration of the iBoxx GBP Corporates Maturing Custom Indices

    Pursuant to the consultation announced on 3 June 2020, IHS Markit Benchmark Administration Limited (IMBA) will implement the proposed changes. Collateralized bonds will be made eligible for inclusion and indices’ constituent maturity buckets (bucketed by individual years) will be equally-weighted.

    To illustrate the change in weighting configuration, for example, the iBoxx GBP Corporates 2021-2025 weighting configuration will create this weight distribution:

    • Bonds maturing in 2021 20%
    • Bonds maturing in 2022 20%
    • Bonds maturing in 2023 20%
    • Bonds maturing in 2024 20%
    • Bonds maturing in 2025 20%

    The changes will be implemented at the 30 June 2020 month-end rebalancing. Changes to the affected indices will be reflected in the forward files accordingly.

    The feedback received was supportive of the changes.


    For more information please contact us at indices@ihsmarkit.com
     
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    Jun 17 2020
    Rebalance of the LGIM Core Indices

    Please be informed that IHS Markit Benchmark Administration (IHSM UK) has performed the pro forma rebalance for the LGIM Core indices using the closing prices of 16 June 2020.

    The final rebalance will be performed using closing prices of 23 June 2020.

    Should you have any questions or would like to request rebalance information, please contact us at support@ihsmarkit.com.
     
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    Jun 16 2020
    Restatement of the iBoxx EUR High Yield indices

    Please be advised that due to a price update for bond XS0161100515 - Telecom Italia Finance SA - TITIM - 7.75% - 01/2033 the iBoxx EUR High Yield index family and affected customs have been restated. Specifically for iBoxx EUR High Yield, the following files have been republished as part of the restatement:

    \IBOXX_EUR_HY\EUR_HY_EOD_INDICES
    iboxx_eur_hy_eod_indices_20200615.csv
    iboxx_eurhy_eod_indices_20200615.csv

    \IBOXX_EUR_HY\EUR_HY_EOD_UNDERLYINGS
    iboxx_eurhy_eod_underlyings_20200615.csv
    iboxx_eur_hy_eod_underlyings_cumcrossover_20200615.csv
    iboxx_eur_hy_eod_underlyings_excrossover_20200615.csv

    The newly published files are now available on our SFTP server.

    For more information please contact us at indices@ihsmarkit.com
     
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    Jun 12 2020
    IHS Markit Benchmark Administration Ltd. (IMBA UK): Consultation on Temporary Methodology change for the Halifax House Price Index family of Indices

    IHS Markit Benchmark Administration Ltd. (IMBA UK) is conducting a consultation with interested parties on its intention to effect a temporary change to the methodology used to calculate Q2 2020 UK Regional Halifax House Price Indices. The temporary change is designed to address the impact on the performance of both Halifax House Price Index 1983 (HHPI1983) and Halifax House Price Index 2019 (HHPI2019) UK Regional models of reduced mortgage transaction volumes received in Q2 2020.

    Full details of the proposed temporary change are outlined in more detail in the user consultation note below.

    Consultation will close on 19th June 2020.

    To participate in this consultation or for any further information please respond to IMBA UK at MK-IndexAdminConsultation@ihsmarkit.com

    Consultation HPI - June 2020 Final.pdf
     
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    Jun 12 2020
    New versions of Markit Indices issued due to Credit Event on CALIFORNIA RESOURCES CORPORATION

    Following the confirmation of a Failure To Pay Credit Event on CALIFORNIA RESOURCES CORPORATION, new versions of all affected Markit CDX indices have been issued with an annex date of 12th June 2020. Below are the new indices along with their corresponding RED Index Code:

    Index Name Index RED Code
    CDX.NA.HY.25-V15 2I65BRXI6
    CDX.NA.HY.26-V14 2I65BRXJ4
    CDX.NA.HY.27-V15 2I65BRXM7
    CDX.NA.HY.28-V13 2I65BRXK1
    CDX.NA.HY.29-V13 2I65BRXQ8
    CDX.NA.HY.30-V13 2I65BRXN5
    CDX.NA.HY.31-V13 2I65BRXR6
    CDX.NA.HY.32-V11 2I65BRXO3
    CDX.NA.HY.33-V10 2I65BRXP0
    CDX.NA.HY.34-V7 2I65BRXL9
    CDX.NA.HY.BB.25-V5 2I65BVDL2
    CDX.NA.HY.Ex-BB.34-V7 1D765OAG8
     
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    Jun 12 2020
    Markit revised the number of bonds per currency for the Markit iBoxx Global Corporates Liquid 150 Capped and the Markit iBoxx Global Developed Markets Liquid 100 High Yield Capped indices

    According to the rules for the Markit iBoxx Global Corporates Liquid 150 Capped index and the Markit iBoxx Global Developed Markets Liquid 100 High Yield Capped index, the number of bonds per currency is to be revised once a year in May. As the result of determination as of rebalancing date of 31st May 2020, the number of bonds per currency will change at the time of the next quarterly rebalancing date (31st July 2020):

    Index Valid From Valid To EUR GBP USD
    Global IG 150 31-Jul-09 31-Jul-15 45 15 90
    Global IG 150 31-Jul-15 31-Jul-16 40 10 100
    Global IG 150 31-Jul-16 31-Jul-17 35 10 105
    Global IG 150 31-Jul-17 31-Jul-18 35 10 105
    Global IG 150 31-Jul-18 31-Jul-19 40 10 100
    Global IG 150 31-Jul-19 31-Jul-20 40 10 100
    Global IG 150 31-Jul-20 31-Jul-21 40 5 105

    Index Valid From Valid To EUR GBP USD CAD
    Global HY 100 31-Jul-09 31-Dec-11 30 0 70 0
    Global HY 100 31-Jan-12 31-Jul-15 30 5 60 5
    Global HY 100 31-Jul-15 31-Jul-16 20 5 70 5
    Global HY 100 31-Jul-16 31-Jul-17 20 5 70 5
    Global HY 100 31-Jul-17 31-Jul-18 20 5 70 5
    Global HY 100 31-Jul-18 31-Jul-19 20 5 70 5
    Global HY 100 31-Jul-19 31-Jul-20 20 5 70 5
    Global HY 100 31-Jul-20 31-Jul-21 20 5 70 5
     
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    Jun 10 2020
    Restatement of the Aberdeen Standard Investments Indices

    Kindly be advised that the attached Aberdeen Standard Investments Smarter Beta Indices have been restated for 08 June 2020 due to an update in a corporate action input. Please refresh your index levels to ensure that you capture any adjustments observed.

    For more information please contact us atsupport@ihsmarkit.com
    Aberdeen_Index level update.xlsx
     
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