iTraxx roll to bring significant curve impact, says BNP

With the upcoming roll of the iTraxx Europe series 11 indices, BNP Paribas analysts expect curve impact to be significantly higher at the three and five-year point than at the 10-year point for all indices, given the steepness at the short end.

The overall change for the main index, including the six-month curve effect, could be 2.7 basis points tighter than series 11, analysts say.

Furthermore, the HiVol index should theoretically tighten by 7bp at the five-year, while the Crossover index could widen by 35bp due to the fact that the new series includes higher beta names as well as the increased number of constituents to 50.

iTraxx Europe Crossover changes from series 11 to series 12