September roll commentary

September 2019

The iTraxx index roll into the new S32 series commenced on Friday September 20th, affecting Tabula ETFs linked to the iTraxx Europe (Main) and iTraxx Crossover indices: namely, our European Performance Credit, European Crossover Long and European Crossover Short strategies.

  • The duration of the new index series has been extended from 4.75 years to 5.25 years
  • Sector caps have been loosened with the roll, increasing the importance of liquidity as a selection factor
  • This led to greater weighting of autos in both the iTraxx Europe Main and iTraxx Europe indices
  • This contributed to spread widening in the iTraxx Europe
  • However, the significant tightening of the Crossover impacted spreads in all three related ETFs