Markit iTraxx Europe    
 

The benchmark Markit iTraxx Europe index comprises 125 equally-weighted European names. A HiVol index consisting of the 30 widest spread non-financial names, and three sector indices are also published.

The Markit iTraxx Crossover index comprises the 50 most liquid sub-investment grade entities.

The Markit iTraxx indices trade 3, 5, 7 and 10-year maturities and a new series is determined by dealer liquidity poll every 6 months.

Benchmark Indices
Markit iTraxx Europe
125 investment grade entities
Markit iTraxx Europe HiVol
30 highest spread entities
from Markit iTraxx Europe
Markit iTraxx Europe
Crossover
50 sub-investment grade entities

 
Sector Indices
Non-Financials
100 entities
Financials Senior
25 entities
Financials Sub
Same 25 entities as
Financials Senior
Derivatives
Tranched Markit iTraxx
five standardised
tranches of Markit iTraxx Europe
0-3%
3-6%
6-9%
9-12%
12-22%
Markit iTraxx Options
Markit iTraxx Futures
Markit iTraxx Europe exposure traded
as a futures contract

 

Markit iTraxx Total Return Indices
Total Return indices are calculated and published hourly for Markit iTraxx Europe, HiVol and Crossover. These indices measure the performance of holding the respective on-the-run Markit iTraxx CDS contracts. The index reflects a long credit position i.e. selling protection on the Markit iTraxx default swap indices. It therefore replicates the behaviour of a fictitious portfolio that buys one (or several if leveraged) Markit iTraxx CDS contracts and invests the remaining notional in money market instruments. This is done on a daily basis. The portfolio is always invested in the on-the-run Markit iTraxx series that it tracks: each time a new Markit iTraxx series is issued, due to the regular index roll (every March and September) or due to a default in the current series, the CDS position in the reference portfolio is rolled into the on-the-run/reduced index position.

 

Licensed Marketmakers – Markit iTraxx Europe Indices
The following are licensed marketmakers for the Markit iTraxx Europe indices:

  ABN AMRO      Banca IMI 
  Bank of America      Barclays Capital 
  BBVA      BNP Paribas 
  CALYON      Citigroup 
  Commerzbank      Credit Suisse 
  Danske Bank      Deutsche Bank 
  DZ Bank      Goldman Sachs 
  Helaba Landesbank Hessen-Thüringen      HSBC 
  HSH Nordbank      ING 
  JP Morgan      Landesbank Baden-Württemberg 
  Merrill Lynch      Mitsubishi Securities 
  Morgan Stanley      Natixis 
  Nomura      Nord LB 
  Nordea      RBS 
  Royal Bank of Scotland      Santander 
  Société Générale      UBS 
  Unicredit      WestLB