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Credit risk of iTraxx Asia Ex-Japan Series 7 index is broadly stable, says Fitch

Credit risk of iTraxx Asia Ex-Japan Series 7 index is broadly stable, says Fitch

Fitch Ratings said the credit risk of the overall iTraxx Asia ex-Japan Series 7 credit default swap index remains broadly stable, following the recent rollover from Series 6.
The weighted average rating has remained the same ('BBB'/'BBB-'(BBB minus) in Series 7, although the weighted average rating factor has deteriorated slightly to 5.30 from 5.06 in Series 6.
The agency said the rating migration of some individual constituents as well as the substitutions effected by the new roll, is reflected in the credit assessment of 'A+' given to the nine percent to 12 percent tranche in Series 7, compared with 'AA-' (AA minus) in Series 6.
The number of reference entities that are rated below investment-grade increased to 11 in Series 7 from six in Series 6. Apart from the nine percent to 12 percent tranche, the ratings of all the remaining tranches remain the same, compared to those of Series 6.
Comprising 50 reference entities, the iTraxx Asia ex-Japan Series 7 index allows investors to gain credit exposure to the 50 most liquid CDS in non-Japan Asia.
This roll was effective on March 20, 2007, with a 5.25 year maturity on June 20, 2012.
Fitch has provided credit assessments for each tranche of the index. The top three industry concentrations in the iTraxx Asia ex-Japan Series 7 index are: Banking and finance (24 percent), sovereigns (14 percent) and telecommunications (12 percent). There are 11 sub-investment grade reference entities on the portfolio.


Updated : 2021-07-24 16:54 GMT+08:00