TLAC-driven CDS index change tipped for September

UK and Swiss bank Holdco CDSs likely inclusions in next iTraxx index roll, say strategists

turning point ahead
Turning point ahead: but strategists say it could be a phased approach

Credit experts say a key iTraxx credit derivatives index is likely to include bank holding company references from the September roll, after IHS Markit decided to postpone the move last week.

The iTraxx Europe Financial Senior index includes credit default swaps (CDSs) linked to banks’ operating companies (Opcos), however, new bail-in debt requirements have seen some banks shift their debt stocks to holding companies (Holdcos), which strategists say makes the existing index less useful as a hed

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