It is that time of the year again. iTraxx indices are scheduled to roll to a new series tomorrow and we are now up to series 21. Overall, the most important change is the number of constituents in iTraxx Crossover being increased from 50 to 60 and that the iTraxx HiVol index will not roll into Series 21, but stay as Series 20.
In the Nordic space, the changes are the inclusion of Metsä Board and TVN Finance Corp III AB to iTraxx Crossover, while ISS is excluded from iTraxx Crossover and Svenska Cellulosa from iTraxx Europe. ISS drops out because of its low current spread and Svenska Cellulosa due to insufficient liquidity.
Based on Moody’s WARF methodology, we have calculated that the equivalent rating of the Crossover index drops one notch from ‘B1’ to ‘B2’ (equal to from ‘B+’ to ‘B’ in S&P terminology) compared with the current equivalent rating of Series 20.
To Read the Entire Report Please Click on the pdf File Below