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iBoxx TRS Comes of Age

07 August 2019 Nicholas Godec, CFA

When the iBoxx TRS market first started in 2012 only three market makers were making markets. Today there are ten active iBoxx TRS market makers providing liquidity and pricing, and in June 2019, the iBoxx TRS monthly traded notional volumes hit a new all-time high of $23.9 billion.


IHS Markit's iBoxx Standardized Total Return Swaps provide quick exposure on an unfunded basis to key segments of the global fixed income markets, giving investors the ability to go long or to short an asset class with zero tracking error. On the long side, investors can pre-invest known cash inflows to reduce cash drag, amplify their long position or simply gain quick access to a broadly diversified portfolio. On the short side, investors can reduce market exposure without the need to sell underlying holdings, or to quickly express a bearish sentiment. iBoxx TRS is available on the major credit segments of the global bond markets, as well as emerging categories like AT1 contingent convertibles:

Table1: iBoxx TRS Index List

June Record Volumes

In recent years the iBoxx TRS market has seen significant growth in trading volumes, the number of dealers making markets, and in the indices that trade.

As referenced above, iBoxx TRS monthly traded notional volumes hit a new all-time high of $23.9 billion in June. The previous high of $19.3 billion occurred in March, the prior IMM month. This is nearly 3x the June 2015 volumes. 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 1H2019.

Figure1: Monthly iBoxx TRS Volume ($BN)

Also as noted in the intro, when the iBoxx TRS market first started in 2012, only three market makers were making markets. Today there are ten active iBoxx TRS market makers providing liquidity and pricing giving users multiple parties with which to enter or exit trades.

Table2: iBoxx TRS market makers

Tradable Ecosystem

With iBoxx TRS the exposure 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. Compared with other credit instruments, iBoxx TRS has unique characteristics that should be considered against alternative products.

Table3: Fixed Income Trading Tool Comparison

Into the future

To support the growing iBoxx TRS market, we 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 six months of constituent holdings. Users can also run charts that compare different iBoxx TRS indices for given attributes.

We've 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, we've also 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+ (Far East) Index.

In partnership with the market makers, hedge funds and asset managers who trade, we will continue to innovate iBoxx TRS with new indices and improved trading conventions. We look forward to hearing from you how we can help.

Posted 07 August 2019 by Nicholas Godec, CFA, Index Product Manager, Tradable Indices, IHS Markit

IHS Markit provides industry-leading data, software and technology platforms and managed services to tackle some of the most difficult challenges in financial markets. We help our customers better understand complicated markets, reduce risk, operate more efficiently and comply with financial regulation.

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