Linked

      Aug 18 2020
      Request for feedback: Tranche Parameters and Roll Dates

      Ahead of the September 2020 CDX/iTraxx roll, IHS Markit would like to consult with market participants on the corresponding tranche roll dates and trading conventions. IHS Markit would like to undertake this consultation to standardize the tranche parameters and specifically the roll dates for future rolls. Below are the proposals for the roll dates and trading conventions for tranches referencing each index.

      We kindly request your feedback on the below proposals via email at MK-CreditIndices@ihsmarkit.com by Wednesday, 26th August 2020. Following review of the feedback received, we will outline future course of action.


      PROPOSAL


      1. Roll Dates
      2. IHS Markit proposes that the standardized tranche roll dates be four business days following the respective index roll dates. As an illustration for Sept 2020, this would result in the following tranche roll dates:

      Index

      Index Roll Date

      Tranche Roll Date Offset

      Tranche Roll Date

      CDX.NA.IG.35

      21-Sep-20

      +4 Bus. Days

      25-Sep-20

      CDX.NA.HY.35

      28-Sep-20

      +4 Bus. Days

      02-Oct-20

      iTraxx Europe S34

      21-Sep-20

      +4 Bus. Days

      25-Sep-20

      iTraxx Crossover S34

      21-Sep-20

      +4 Bus. Days

      25-Sep-20

      1. Trading Conventions

      Index / Tranche

      CDX.NA.IG

      CDX.NA.HY

      iTraxx Europe

      iTraxx Crossover
      Tranche (%) Coupon (bps) Tranche (%) Coupon (bps) Tranche (%) Coupon (bps) Tranche (%) Coupon (bps)

      Equity

      0 - 3

      100

      0 - 15

      500

      0 - 3

      100

      0 - 10

      500

      Mezzanine

      3 - 7

      100

      15 - 25

      500

      3 - 6

      100

      10 - 20

      500

      Senior

      7 - 15

      100

      25 - 35

      500

      6 - 12

      100

      20 - 35

      500

      Super Senior

      15 - 100

      100

      35 - 100

      500

      12 - 100

      100

      35 - 100

      500