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IHS Markit’s iBoxx TRS sees record volumes

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iBoxx TRS notional volumes hit a new all-time high of USD23.9 billion in June, surpassing the previous record high of USD19.3 billion set in March, and nearly three-times the volumes recorded in June 2015. 

Increases in iBoxx TRS volumes on leveraged loans and investment grade corporates in both USD and EUR have been significant drivers of volume growth for H1 2019.

The exposure of iBoxx TRS is identical to a diversified bond portfolio that has credit and interest rate risk. iBoxx TRS give asset managers another tool to wield when choosing the most suitable tradable product for a given scenario. 

To support the growing iBoxx TRS market, IHS Markit created the iBoxx TRS Index Levels, Analytics and Constituents website where market participants can find key data on the iBoxx TRS indices. Users can pull trade identifiers, the latest one year of daily index levels, yields, spreads, durations and other index-level statistics, as well as the latest 6 months of constituent holdings. Users can also run charts that compare different iBoxx TRS indices for given attributes.

IHS Markit has also worked with market participants to include the fungibility of iBoxx TRS, starting with the change in 2016 to move to a Full First Coupon trading convention and most recently in July 2019 announcing the iBoxx TRS Accrual Method as the market convention for trade unwinds.

Due to rising demand from Asia, the company recently worked with market makers and asset managers in APAC to launch a new iBoxx TRS on the iBoxx USD Asia ex-Japan Large Cap Investment Grade 1+ Index (Far East).

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