18 March 2014 by HCM
The new series of CDX and iTraxx indices will be issued on Thursday. We will move to series 22 in the US and series 21 in Europe for “on-the-run”. One of the significant changes is the expansion of iTraxx Xover to 60 constituents going forward as opposed to 50 in the previous series. To do so, Markit had to go down in the liquidity spectrum and some names which were hardly trading in CDS (but which have issued at least €500mln indebt over the last 12 months) have been included. They appear for the first time in Datagrapple today, and you can see that the market is still trying to find out what their correct risk premia should be. Most of these names can be found in the top 5 and bottom 5 performers of the day. Volumes going through on those names are not big at the moment, dealers have another couple of days to make up their mind before the action really start on them.