I am working on maintaining the market data of iTraxx indexes in our systems and I have the following questions:

  1. What events prompt change in series and version of an iTraxx index ? Is it after one the constituent moves out of the index or would it happen periodically?

  2. When does an index move from on-the-run to off-the-run? Will the redcode of an index change, when the index makes this transition?


2 Answers 2

  1. The European iTraxx indices trade 3, 5, 7 and 10-year maturities, and a new series is determined on the basis of liquidity every six months.

For the total return index : The regular roll process from the off-the-run into the new on-the-run index is simple. At any one point only the most recently available index CDS return is included in any one index. The return of the index therefore reflects the value of exiting the long risk position in the old CDX contract and simultaneously entering the new contract at mid at 17:00 New York time on the first day of trading of the new contract. Note that transacting at mid means that transaction costs are not included. http://www.markit.com/Company/Files/DownloadFiles?CMSID=50c7eec5522a45f9bec2ac0248086378

  1. The new series has its own RED code Here is the calendar for the latest one

    Date Local Time Action

    Fri 31.Aug.2018 Cut-off date for CDS liquidity observation period in the DTCC TIW

    Tue 11.Sep.2018 EOD Markit distributes provisional membership list together with suggested Reference Obligations to iTraxx Market Participants & publishes it on website

    Wed 12.Sep.2018 EOD Market Participants submit feedback on reference entities and obligations to Markit

    Thu 13.Sep.2018 17.00 Conference call to agree reference entities, reference obligations, coupons & recovery rates

    Thu 13.Sep.2018 EOD Markit distributes final membership list and coupons to iTraxx Market Participants & publishes them on website

    Fri 14.Sep.2018 EOD Markit distributes membership lists to Market Participants which includes Reference Obligations.

    Mon 17.Sep.2018 EOD Index annexes published on www.markit.com

    Thu 20.Sep.2018 08.00 Trading - Not before


To add to Lliane's answer: the index starts out with version 1 and factor 100%. New version is published whenever a credit event removes names from the index. The new version has fewer names and smaller factor. This is done to off the run indices as well, all the way until their maturity.


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