Markit
 
Markit CDX Index News
Argentine Republic Credit Event
11 August 2014 - Following the confirmation of a failure to pay credit event for the Argentine Republic by the ISDA Determinations Committee, new versions of all affected Markit CDX indices have been issued with an annex date of 04 August 2014. Below are the new indices along with their corresponding RED Index Code:
 
Index Name New RED Code
Dow Jones CDX.EM.4-V2 2I65BZAV4
Dow Jones CDX.EM.5-V2 2I65BZAW2
Dow Jones CDX.EM.6-V2 2I65BZAX0
CDX.EM.7-V2 2I65BZAY8
CDX.EM.8-V2 2I65BZAZ5
CDX.EM.9-V2 2I65BZBA9
CDX.EM.10-V2 2I65BZBB7
CDX.EM.11-V2 2I65BZBC5
CDX.EM.12-V2 2I65BZBD3
CDX.EM.13-V2 2I65BZBE1
CDX.EM.14-V2 2I65BZBF8
CDX.EM.15-V2 2I65BZBG6
CDX.EM.16-V2 2I65BZBH4
CDX.EM.17-V2 2I65BZBI2
CDX.EM.18-V2 2I65BZBJ0
CDX.EM.19-V2 2I65BZBK7
CDX.EM.20-V2 2I65BZBL5
CDX.EM.21-V2 2I65BZBM3
CDX.EM.DIVERSIFIED.5-V2 2165EKKC2
CDX.EM.DIVERSIFIED.6-V2 2165EKKD0
CDX.EM.DIVERSIFIED.7-V2 2165EKKE8
CDX.EM.DIVERSIFIED.8-V2 2165EKKF5
CDX.EM.DIVERSIFIED.9-V2 2165EKKG3
CDX.EM.DIVERSIFIED.10-V2 2165EKKH1
CDX.EM.DIVERSIFIED.11-V2 2165EKKI9
CDX.EM.DIVERSIFIED.12-V2 2165EKKL2
CDX.EM.ex-EU.18-V2 1D765JAB0
 
Credit Event Determined for Argentine Republic

01 August 2014 – A failure-to-pay credit event has been declared for the Argentine Republic by the ISDA Determinations Committee. The Argentine Republic is a constituent of series 4 to 21 of Markit CDX EM, series 18 of Markit CDX EM ex-EU, and series 4 to 12 of Markit CDX EM Div. The reference entity will be removed from relevant indices and new versions of the impacted series will be issued. A notification with the annex date and RED codes of the new versions will be published in the near future. It is expected that a credit auction will be held to settle trades for the entity.

 
Buy-side firms are Invited to Register Interest in Becoming CDX Index Advisory Committee Members
22 July 2014 – Markit would like to invite applications and nominations for buy-side firms to be added as members of the Markit CDX Index Advisory Committee. Interested parties should contact support@markit.com for more information.
 
New Versions of Markit CDX Issued due to Credit Events on Constituents
1 May 2014 - Following the confirmation of bankruptcy credit events by the ISDA Determinations Committee for Energy Future Holdings Corp., Texas Competitive Electric Holdings Company LLC, and related entities, new versions of all affected Markit CDX indices will be issued with the entities removed. The indices will have an annex date of 2 May 2014. The table below lists the new indices with their associated RED codes.
 
Index Name Series Version New RED Code
CDX.NA.HY 8 21 2I65BRJX9
CDX.NA.HY.BB 8 3 2I65BVAW1
CDX.NA.HY 9 23 2I65BRJY7
CDX.NA.HY.BB 9 4 2I65BVAX9
CDX.NA.HY 10 22 2I65BRJZ4
CDX.NA.HY 11 22 2I65BRKA7
CDX.NA.HY 12 13 2I65BRKB5
CDX.NA.HY 13 7 2I65BRKC3
CDX.NA.HY 14 6 2I65BRKD1
CDX.NA.HY 15 6 2I65BRKE9
CDX.NA.HY 16 6 2I65BRKF6
CDX.NA.HY 17 6 2I65BRKG4
CDX.NA.HY 18 3 2I65BRKH2
CDX.NA.HY 19 2 2I65BRKI0
CDX.NA.HY 20 2 2I65BRKJ8
CDX.NA.HY 21 2 2I65BRKK5
CDX.NA.HY 22 2 2I65BRKL3
CDX.NA.HY.HB 13 5 2I65BWFR5
CDX.NA.HY.HB 14 4 2I65BWFP9
CDX.NA.HY.HB 15 4 2I65BWFQ7
Dow Jones CDX.NA.XO 5 7 1D764IAJ6
Dow Jones CDX.NA.XO 6 4 1D764IAK3
Dow Jones CDX.NA.XO 7 4 1D764IAL1
CDX.NA.XO 8 4 1D764IAM9
CDX.NA.XO 9 4 1D764IAN7
 
Coupons for Markit CDX.HY Indices
21 March 2014 - Following are the coupons for all maturities and sub-indices of the Markit CDX.NA.HY indices that will roll on 27 March, 2014.
 
Index Fixed Coupon Rate (bps)
Markit CDX.NA.HY.22 500
Markit CDX.NA.HY.B.22 500
Markit CDX.NA.HY.BB.22 500
 
List of Constituents for Sub-indices of Markit CDX.NA.HY
21 March 2014 - Following is the expected composition of the Markit CDX.NA.HY.B.22 and Markit CDX.NA.HY.BB.22 sub-indices. Please note that these lists remain provisional till publication of the final annexes for the indices.
 
Markit CDX.NA.HY.B.22 Markit.CDX.NA.HY.BB.22
MBIA INSURANCE CORPORATION SPRINT COMMUNICATIONS, INC.
MGIC INVESTMENT CORPORATION INTERNATIONAL LEASE FINANCE CORPORATION
KATE SPADE & COMPANY LENNAR CORPORATION
ISTAR FINANCIAL INC. GANNETT CO., INC.
MGM RESORTS INTERNATIONAL THE JONES GROUP INC.
KB HOME L BRANDS, INC.
SUPERVALU INC. ALLY FINANCIAL INC.
TOYS "R" US, INC. PULTEGROUP, INC.
AVIS BUDGET GROUP, INC. DELL INC.
FIRST DATA CORPORATION LOUISIANA-PACIFIC CORPORATION
AMERICAN AXLE & MANUFACTURING, INC. H. J. HEINZ COMPANY
THE HERTZ CORPORATION FRONTIER COMMUNICATIONS CORPORATION
BEAZER HOMES USA, INC. CENTURYLINK, INC.
THE NEW YORK TIMES COMPANY R.R. DONNELLEY & SONS COMPANY
MERITOR, INC. UNITED STATES STEEL CORPORATION
HCA INC. CHESAPEAKE ENERGY CORPORATION
FREESCALE SEMICONDUCTOR, INC. D.R. HORTON, INC.
THE RYLAND GROUP, INC. UNIVERSAL HEALTH SERVICES, INC.
TENET HEALTHCARE CORPORATION WINDSTREAM CORPORATION
RITE AID CORPORATION ROYAL CARIBBEAN CRUISES LTD.
ADVANCED MICRO DEVICES, INC. DISH DBS CORPORATION
BOYD GAMING CORPORATION THE GOODYEAR TIRE & RUBBER COMPANY
AMKOR TECHNOLOGY, INC. BRUNSWICK CORPORATION
THE NEIMAN MARCUS GROUP llc BOMBARDIER INC.
AK STEEL CORPORATION OLIN CORPORATION
DEAN FOODS COMPANY TESORO CORPORATION
LEVEL 3 COMMUNICATIONS, INC. NRG ENERGY, INC.
STANDARD PACIFIC CORP. GENERAL MOTORS COMPANY
COMMUNITY HEALTH SYSTEMS, INC. DILLARD'S, INC.
SMITHFIELD FOODS, INC. KINDER MORGAN, INC.
SABRE HOLDINGS CORPORATION SANMINA CORPORATION
FOREST OIL CORPORATION NORBORD INC.
ALCATEL-LUCENT USA INC. THE AES CORPORATION
REALOGY GROUP LLC SEALED AIR CORPORATION
UNITED RENTALS (NORTH AMERICA), INC. LIBERTY INTERACTIVE LLC
COOPER TIRE & RUBBER COMPANY LEVI STRAUSS & CO.
SPRINGLEAF FINANCE CORPORATION VULCAN MATERIALS COMPANY
SUNGARD DATA SYSTEMS INC. CSC HOLDINGS, LLC
UNISYS CORPORATION NOVA CHEMICALS CORPORATION
ARAMARK CORPORATION OWENS-ILLINOIS, INC.
PARKER DRILLING COMPANY CIT GROUP INC.
CALPINE CORPORATION IRON MOUNTAIN INCORPORATED
CCO HOLDINGS, LLC POLYONE CORPORATION
SEAGATE TECHNOLOGY HDD HOLDINGS
PHH CORPORATION
DELUXE CORPORATION
 
Reference Obligations for Markit CDX.NA.HY.22
19 March 2014 – The reference obligations that will be included in the upcoming Markit CDX.NA.HY.22 index are available below. Please note that this list remains provisional until publication of the final annex for the index.
 
Markit CDX.NA.HY.22 Reference Obligations
 
List of Changes for Markit CDX.NA.HY.22
17 March 2014 – Following are the changes expected for the upcoming Markit CDX.NA.HY.22 index that will roll on 27 March, 2014. Please note that this list remains provisional until publication of the final annex for the index.
 
Removals Additions
Health Management Associates, Inc. BEAZER HOMES USA, INC.
Host Hotels & Resorts, L.P. General Motors Company
 
Renamed Entities New Entity Names
Fifth & Pacific Companies, Inc. Kate Spade & Company
SPRINT NEXTEL CORPORATION Sprint Communications, Inc.
The Neiman Marcus Group, Inc. The Neiman Marcus Group LLC
 
Coupons for Markit Emerging Markets Indices
17 March 2014 – The fixed coupons for all maturities of the Markit CDX EM and CDX LatAm Corp indices rolling on March 20, 2014, are listed below.
 
Index Fixed Coupon Rate (bps)
Markit CDX.EM 500
Markit CDX.LATAM.CORP 500
 
List of Changes for Markit CDX.NA.IG.22 Sector Sub-indices
14 March 2014 - Following is the impact of the constituent changes on the sector-based sub-indices of Markit CDX.NA.IG.22 that will roll on 20 March 2014. Please note that this list remains provisional until publication of the final annexes for the indices.
 
Sub-index Name Removals Additions
Markit CDX.NA.IG.TMT News America Incorporated 21st Century Fox America, Inc.
Markit CDX.NA.IG.INDU Goodrich Corporation Weyerhaeuser Company
Markit CDX.NA.IG.FIN CIGNA Corporation
Markit CDX.NA.IG.TMT Cisco Systems, Inc.
Markit CDX.NA.IG.INDU Newmont Mining Corporation
Markit CDX.NA.IG.CONS The Procter & Gamble Company
 
List of Changes for Markit CDX.NA.IG.HVOL.22
14 March 2014 - Following are the changes expected for the HVOL sub-index of Markit CDX.NA.IG.22 that will roll on 20 March, 2014. Please note that this list remains provisional until publication of the final annex for the index.
 
Removals Additions
Southwest Airlines Co. THE GAP, INC.
Valero Energy Corporation Newmont Mining Corporation
Whirlpool Corporation Quest Diagnostics Incorporated
 
Coupons for Markit CDX.NA.IG.22
14 March 2014 - Following are the coupons for all maturities and sub-indices of the Markit CDX.NA.IG indices that will roll on 20 March, 2014.
 
Index Fixed Coupon Rate (bps)
Markit CDX.NA.IG 100
Markit CDX.NA.IG.HVOL 100
 
Revised Changes for Markit CDX.NA.IG.22
13 March 2014 - Following an update to the ‘Index Roll Report: Average Weekly Data by Reference Entity’ report by DTCC, the changes expected for the upcoming Markit CDX.NA.IG.22 index have been revised. The index is scheduled to roll on 20 March, 2014. Please note that this list remains provisional until publication of the final annex for the index.
 
Removals Additions
News America Incorporated 21st Century Fox America, Inc.
Cisco Systems, Inc. Weyerhaeuser Company
Goodrich Corporation Newmont Mining Corporation
CIGNA Corporation The Procter & Gamble Company
 
Reference Obligations for Markit CDX.NA.IG.22
12 March 2014 – The reference obligations that will be included in the upcoming Markit CDX.NA.IG.22 index are available below. Please note that this list remains provisional until publication of the final annex for the index.
 
Markit CDX.NA.IG.22 Reference Obligations
 
Provisional RED Codes for Markit CDX Indices

11 March 2014 – The RED codes for the upcoming series of the various Markit CDX indices are listed below. Please note that these codes remain provisional until publication of the final annexes for the indices.

 
Indices Name RED Code
CDX.EM.21-V1 2I65BZAU6
CDX.LATAM.CORP.21-V1 1D764NAF3
CDX.NA.IG.22-V1 2I65BYCY9
CDX.NA.IG.TMT.22-V1 2I65DJBJ4
CDX.NA.IG.INDU.22-V1 2I65B4BC4
CDX.NA.IG.FIN.22-V1 2I65B2CQ6
CDX.NA.IG.ENRG.22-V1 2I65B1AX5
CDX.NA.IG.CONS.22-V1 2I65B0AX7
CDX.NA.IG.HVOL.22-V1 2I65B3AX1
CDX.NA.HY.22-V1 2I65BRJW1
CDX.NA.HY.B.22-V1 2I65BSKA5
CDX.NA.HY.BB.22-V1 2I65BVCE9
 
List of Changes for Markit CDX.NA.IG.22
10 March 2014 - Following are the changes expected for the upcoming Markit CDX.NA.IG.22 index that will roll on 20 March, 2014. Please note that this list remains provisional till publication of the final annex for the index.
 
Removals Additions
News America Incorporated 21st Century Fox America, Inc.
Cisco Systems, Inc. Weyerhaeuser Company
Goodrich Corporation Newmont Mining Corporation
 
Composition of Markit CDX.LATAM.CORP.21 Determined
10 March 2014 – It has been determined that there will be no changes in the Markit CDX.LATAM.CORP index as it rolls from series 20 to series 21. The index is scheduled to roll on 20 March, 2014. The composition remains provisional till publication of the final annex for the index.
 
List of Changes for Markit CDX.EM.21
07 March 2014 – Following are the changes expected for the upcoming Markit CDX.EM.21 index that will roll on 20 March, 2014. Please note that this list remains provisional till publication of the final annex for the index.
 
Removal Addition
Republic of Panama Republic of Chile
 
The weightings of the constituents will remain unchanged. Republic of Chile will be added with a weighting of 3%, which was the weighting previously assigned to Republic of Panama.
 
Index Roll Timelines Published

28 February 2014 – The index roll timelines for Markit CDX Indices are available below

 
Markit CDX EM Index Roll Timeline
Markit CDX HY Index Roll Timeline
Markit CDX IG Index Roll Timeline
Markit CDX LatAm Corp Index Roll Timeline
 
New version of Markit CDX LatAm Corp issued due to Credit Event of OGX
07 Nov 2013 – A bankruptcy credit event has been confirmed for OGX Petroleo e Gas Participacoes S.A by the ISDA Determinations Committee. A new version for the impacted series of the Markit CDX LatAm Corp index has been issued with an annex date of 07 November 2013. The new RED code is as follow
 
Index Name RED Code Annex Date
CDX.LATAM.CORP.18-V3 1D764NAE6 7-Nov-13
 
New version of Markit CDX LatAm Corp issued due to Credit Event of OGX
07 Nov 2013 – A bankruptcy credit event has been confirmed for OGX Petroleo e Gas Participacoes S.A by the ISDA Determinations Committee. A new version for the impacted series of the Markit CDX LatAm Corp index has been issued with an annex date of 07 November 2013. The new RED code is as follow
 
Index Name RED Code Annex Date
CDX.LATAM.CORP.18-V3 1D764NAE6 7-Nov-13
 
Revised Changes for Markit CDX.NA.HY.21
24 September 2013 - Following confirmation of the relevant issuer rating for Dell Inc. by a rating agency, the changes expected for the upcoming Markit CDX.NA.HY.21 index have been revised. The index is scheduled to roll on 27 September, 2013. Please note that this list remains provisional until publication of the final annex for the index.
 
Removals Additions
Bausch & Lomb Incorporated D.R. Horton, Inc.
Belo Corp. Dell Inc.
INTELSAT S.A. H. J. HEINZ COMPANY
Saks Incorporated New Albertson's, Inc
TRW Automotive Inc. The Jones Group Inc.
Weyerhaeuser Company THE RYLAND GROUP, INC.
 
Note that this revision impacts the sub-indices as well. Dell Inc. will now be added to Markit CDX.NA.HY.BB.21 while BEAZER HOMES USA, INC. will be removed from Markit CDX.NA.HY.B.21.
 
List of Constituents for Sub-indices of Markit CDX.NA.HY
20 September 2013 – Following is the expected composition of the Markit CDX.NA.HY.B.21 and Markit CDX.NA.HY.BB.21 sub-indices. Please note that these lists remain provisional till publication of the final annexes for the indices.
 
Markit CDX.NA.HY.B.21 Markit CDX.NA.HY.BB.21
ADVANCED MICRO DEVICES, INC. AMERICAN AXLE & MANUFACTURING, INC.
AK STEEL CORPORATION BOMBARDIER INC.
ALCATEL-LUCENT USA INC. BRUNSWICK CORPORATION
ALLY FINANCIAL INC. CENTURYLINK, INC.
AMKOR TECHNOLOGY, INC. CHESAPEAKE ENERGY CORPORATION
ARAMARK CORPORATION CIT GROUP INC.
AVIS BUDGET GROUP, INC. CSC HOLDINGS, LLC
BEAZER HOMES USA, INC. D.R. HORTON, INC.
BOYD GAMING CORPORATION DELUXE CORPORATION
CALPINE CORPORATION DILLARD'S, INC.
CCO HOLDINGS, LLC DISH DBS CORPORATION
COMMUNITY HEALTH SYSTEMS, INC. FRONTIER COMMUNICATIONS CORPORATION
COOPER TIRE & RUBBER COMPANY GANNETT CO., INC.
DEAN FOODS COMPANY H. J. HEINZ COMPANY
FIFTH & PACIFIC COMPANIES, INC. HOST HOTELS & RESORTS, L.P.
FIRST DATA CORPORATION INTERNATIONAL LEASE FINANCE CORPORATION
FOREST OIL CORPORATION IRON MOUNTAIN INCORPORATED
FREESCALE SEMICONDUCTOR, INC. KINDER MORGAN, INC.
HCA INC. LENNAR CORPORATION
HEALTH MANAGEMENT ASSOCIATES, INC. LIBERTY INTERACTIVE LLC
ISTAR FINANCIAL INC. L BRANDS, INC.
KB HOME LOUISIANA-PACIFIC CORPORATION
LEVEL 3 COMMUNICATIONS, INC. NORBORD INC.
LEVI STRAUSS & CO. NOVA CHEMICALS CORPORATION
MBIA INSURANCE CORPORATION NRG ENERGY, INC.
MERITOR, INC. OLIN CORPORATION
MGIC INVESTMENT CORPORATION OWENS-ILLINOIS, INC.
MGM RESORTS INTERNATIONAL PHH CORPORATION
PACTIV LLC POLYONE CORPORATION
PARKER DRILLING COMPANY PULTEGROUP, INC.
REALOGY GROUP LLC R.R. DONNELLEY & SONS COMPANY
RITE AID CORPORATION ROYAL CARIBBEAN CRUISES LTD.
SABRE HOLDINGS CORPORATION SANMINA CORPORATION
SPRINGLEAF FINANCE CORPORATION SEAGATE TECHNOLOGY HDD HOLDINGS
SPRINT NEXTEL CORPORATION SEALED AIR CORPORATION
STANDARD PACIFIC CORP. SMITHFIELD FOODS, INC.
SUNGARD DATA SYSTEMS INC. TESORO CORPORATION
SUPERVALU INC. THE AES CORPORATION
TENET HEALTHCARE CORPORATION THE GOODYEAR TIRE & RUBBER COMPANY
THE HERTZ CORPORATION THE JONES GROUP INC.
THE NEIMAN MARCUS GROUP, INC. UNITED STATES STEEL CORPORATION
THE NEW YORK TIMES COMPANY UNIVERSAL HEALTH SERVICES, INC.
THE RYLAND GROUP, INC. VULCAN MATERIALS COMPANY
TOYS "R" US, INC. WINDSTREAM CORPORATION
UNISYS CORPORATION
UNITED RENTALS (NORTH AMERICA), INC.
 
Coupons for Markit CDX.HY Indices
20 September 2013 – Following are the coupons for all maturities and sub-indices of the Markit CDX.NA.HY indices that will roll on 27 September, 2013.
 
Index Fixed Coupon Rate (bps)
Markit CDX.NA.HY.21 500
Markit CDX.NA.HY.B.21 500
Markit CDX.NA.HY.BB.21 500
 
Reference Obligations for Markit CDX.NA.HY.21

19 September 2013 – The reference obligations that will be included in the upcoming Markit CDX.NA.HY.21 index are available below. Please note that this list remains provisional until publication of the final annex for the index

Markit CDX.NA.HY.21 Reference Obligations

 
List of Changes for Markit CDX.NA.HY.21
17 September 2013 - Following are the changes expected for the upcoming Markit CDX.NA.HY.21 index that will roll on 27 September, 2013. Please note that this list remains provisional till publication of the final annex for the index.
 
Removals Additions
Bausch & Lomb Incorporated BEAZER HOMES USA, INC.
Belo Corp. D.R. Horton, Inc.
INTELSAT S.A. H. J. HEINZ COMPANY
Saks Incorporated New Albertson's, Inc
TRW Automotive Inc. The Jones Group Inc.
Weyerhaeuser Company THE RYLAND GROUP, INC.
 
Coupons for Markit Emerging Markets Indices
17 September 2013 – The fixed coupons for all maturities of the Markit CDX EM and LatAm Corp Indices rolling on 20 September, 2013, are listed below.
 
Index Fixed Coupon Rate (bps)
Markit CDX.EM 500
Markit CDX.LATAM.CORP 500
 
List of Changes for Markit CDX.NA.IG.HVOL.21
13 September 2013 – Following are the changes expected for the HVOL sub-index of Markit CDX.NA.IG.21 that will roll on 20 September, 2013. Please note that this list remains provisional until publication of the final annex for the index.
 
Removals Additions
Anadarko Petroleum Corporation ASSURED GUARANTY MUNICIPAL CORP.
Dell Inc. Genworth Holdings, Inc.
Genworth Financial, Inc. Avon Products, Inc.
Johnson Controls, Inc. Time Warner Cable Inc.
Kinder Morgan Energy Partners, L.P. FirstEnergy Corp.
MetLife, Inc. Weatherford International Ltd.
SLM Corporation Valero Energy Corporation
THE GAP, INC. Southwest Airlines Co.
The Hillshire Brands Company Whirlpool Corporation
 
List of Changes for Markit CDX.NA.IG.21 Sector Sub-indices
13 September 2013 – Following are the changes expected for the sector-based sub-indices of Markit CDX.NA.IG.21 that will roll on 20 September, 2013. Please note that this list remains provisional until publication of the final annexes for the indices.
 
Sub-index Name Removals Additions
Markit CDX.NA.IG.CONS H. J. HEINZ COMPANY Avon Products, Inc.
Markit CDX.NA.IG.ENRG Weatherford International Ltd.
Markit CDX.NA.IG.FIN SLM Corporation ASSURED GUARANTY MUNICIPAL CORP.
Markit CDX.NA.IG.FIN Genworth Financial, Inc. Genworth Holdings, Inc.
Markit CDX.NA.IG.TMT Dell Inc.
 
Coupons for Markit CDX.NA.IG.21
13 September 2013 – Following are the coupons for all maturities and sub-indices of the Markit CDX.NA.IG indices that will roll on 20 September, 2013.
 
Index Fixed Coupon Rate (bps)
Markit CDX.NA.IG 100
Markit CDX.NA.IG.HVOL 100
 
Provisional RED Codes for Markit CDX Indices
13 September 2013 - The RED codes for the upcoming series of the various Markit CDX Indices are listed below. Please note that these codes remain provisional until publication of the final annexes for the indices.
 
Indices Name Red Code
CDX.EM.20-V1 2I65BZAT9
CDX.NA.IG.21-V1 2I65BYCX1
CDX.NA.IG.CONS.21-V1 2I65B0AW9
CDX.NA.IG.ENRG.21-V1 2I65B1AW7
CDX.NA.IG.FIN.21-V1 2I65B2CP8
CDX.NA.IG.HVOL.21-V1 2I65B3AW3
CDX.NA.IG.INDU.21-V1 2I65B4BB6
CDX.NA.IG.TMT.21-V1 2I65DJBI6
CDX.NA.HY.21-V1 2I65BRJV3
CDX.NA.HY.B.21-V1 2I65BSKQ0
CDX.NA.HY.BB.21-V1 2I65BVCD1
CDX.LATAM.CORP.20-V1 1D764NAD8
 
Reference Obligations for Markit CDX.NA.IG.21

12 September 2013 – The reference obligations that will be included in the upcoming Markit CDX.NA.IG.21 index are available below. Please note that this list remains provisional until publication of the final annex for the index.

Markit CDX.NA.IG.21 Reference Obligations

 
Revised Changes for Markit CDX.NA.IG.21
11 September 2013 - Following a downgrade of Dell Inc. by a rating agency, the changes expected for the upcoming Markit CDX.NA.IG.21 index have been revised. The index is scheduled to roll on 20 September, 2013. Please note that this list remains provisional until publication of the final annex for the index.
 
Removals Additions
Genworth Financial, Inc. Genworth Holdings, Inc.
SLM Corporation ASSURED GUARANTY MUNICIPAL CORP.
H. J. HEINZ COMPANY Weatherford International Ltd.
Dell Inc. Avon Products, Inc.
 
Revised Changes for Markit CDX.NA.IG.21
10 September 2013 - Following an update to the ‘Index Roll Report: Average Weekly Data by Reference Entity’ report by DTCC, the changes expected for the upcoming Markit CDX.NA.IG.21 index have been revised. The index is scheduled to roll on 20 September, 2013. Please note that this list remains provisional until publication of the final annex for the index.
 
Removals Additions
Genworth Financial, Inc. Genworth Holdings, Inc.
H. J. HEINZ COMPANY ASSURED GUARANTY MUNICIPAL CORP.
SLM Corporation Weatherford International Ltd.
 
Composition of Markit CDX.LATAM.CORP.20 Determined
10 September 2013 – It has been determined that there will be no changes in the Markit CDX.LATAM.CORP index as it rolls from series 19 to series 20. The coupon will be finalized on 17 September, 2013. The index is scheduled to roll on 20 September, 2013. The composition remains provisional till publication of the final annex for the index.
 
List of Changes for Markit CDX.NA.IG.21
09 September 2013 - Following are the changes expected for the upcoming Markit CDX.NA.IG.21 index that will roll on 20 September, 2013. Please note that this list remains provisional till publication of the final annex for the index.
 
Removals Additions
Genworth Financial, Inc. ASSURED GUARANTY MUNICIPAL CORP.
H. J. HEINZ COMPANY Avon Products, Inc.
SLM Corporation Weatherford International Ltd.
 
Composition of Markit CDX.EM.20 Determined
09 September 2013 - It has been determined that there will be no changes in the constituents that comprise Markit CDX.EM as it rolls from series 19 to series 20. However, changes will take place in the weightings of the constituents below.
 
Name Markit CDX.EM.19 Markit CDX.EM.20
Argentine Republic 6.00% 4.00%
Bolivarian Republic of Venezuela 8.00% 9.00%
Republic of Indonesia 5.00% 6.00%
 

The coupon will be finalized on 17 September, 2013. The index is scheduled to roll on 20 September, 2013. The composition remains provisional till publication of the final annex for the index. 

 
Index Roll Timelines Published

30 August 2013 – The index roll timelines for Markit CDX are available below

Markit CDX EM Timeline

Markit CDX IG Timeline

Markit CDX HY Timeline

Markit CDX LatAm Timeline

 
New version of Markit CDX LatAm Corp issued due to Credit Event of URBI
22 May 2013 – A failure-to-pay credit event has been confirmed for URBI, DESARROLLOS URBANOS, SOCIEDAD ANONIMA BURSATIL DE CAPITAL VARIABLE, by the ISDA Determinations Committee. A new version for the impacted series of the Markit CDX LatAm Corp index has been issued with an annex date of 22 May 2013. The new RED code is as follows.
 
Index Name RED Code Annex Date
CDX.LATAM.CORP.18-V2 1D764NAC0 22-May-13
 
Coupons for Markit CDX.HY Indices
20 March 2013 – The fixed coupons for all maturities and sub-indices of Markit CDX.NA.HY rolling on 27 March, 2013, are listed below.
 
Fixed Coupon Rate (bps) 3Y 5Y 7Y 10Y
Markit CDX.NA.HY 500 500 500 500
Markit CDX.NA.HY.B 500
Markit CDX.NA.HY.BB 500
 
List of Constituents for Sub-indices of Markit CDX.NA.HY
20 March 2013 – Following is the expected composition of the Markit CDX.NA.HY.B.20 and Markit CDX.NA.HY.BB.20 sub-indices. Please note that these lists remain provisional till publication of the final annexes for the indices.
 
Markit CDX.NA.HY.B.20 Markit CDX.NA.HY.BB.20
ADVANCED MICRO DEVICES, INC. AMKOR TECHNOLOGY, INC.
AK STEEL CORPORATION BELO CORP.
ALCATEL-LUCENT USA INC. BOMBARDIER INC.
ALLY FINANCIAL INC. BRUNSWICK CORPORATION
AMERICAN AXLE & MANUFACTURING, INC. CENTURYLINK, INC.
ARAMARK CORPORATION CHESAPEAKE ENERGY CORPORATION
AVIS BUDGET GROUP, INC. CIT GROUP INC.
BAUSCH & LOMB INCORPORATED COOPER TIRE & RUBBER COMPANY
CALPINE CORPORATION CSC HOLDINGS, LLC
CCO HOLDINGS, LLC DELUXE CORPORATION
COMMUNITY HEALTH SYSTEMS, INC. DILLARD'S, INC.
DEAN FOODS COMPANY DISH DBS CORPORATION
FIFTH & PACIFIC COMPANIES, INC. FRONTIER COMMUNICATIONS CORPORATION
FOREST OIL CORPORATION GANNETT CO., INC.
HCA INC. HOST HOTELS & RESORTS, L.P.
HEALTH MANAGEMENT ASSOCIATES, INC. INTERNATIONAL LEASE FINANCE CORPORATION
ISTAR FINANCIAL INC. IRON MOUNTAIN INCORPORATED
J. C. PENNEY COMPANY, INC. KINDER MORGAN, INC.
KB HOME LENNAR CORPORATION
LEVEL 3 COMMUNICATIONS, INC. LIBERTY INTERACTIVE LLC
LEVI STRAUSS & CO. LIMITED BRANDS, INC.
MERITOR, INC. LOUISIANA-PACIFIC CORPORATION
MGM RESORTS INTERNATIONAL NORBORD INC.
PARKER DRILLING COMPANY NOVA CHEMICALS CORPORATION
REALOGY GROUP LLC NRG ENERGY, INC.
SANMINA CORPORATION OLIN CORPORATION
SPRINT NEXTEL CORPORATION OWENS-ILLINOIS, INC.
STANDARD PACIFIC CORP. PHH CORPORATION
SUNGARD DATA SYSTEMS INC. POLYONE CORPORATION
THE GOODYEAR TIRE & RUBBER COMPANY PULTEGROUP, INC.
THE HERTZ CORPORATION R.R. DONNELLEY & SONS COMPANY
THE NEIMAN MARCUS GROUP, INC. ROYAL CARIBBEAN CRUISES LTD.
THE NEW YORK TIMES COMPANY SAKS INCORPORATED
TOYS "R" US, INC. SEAGATE TECHNOLOGY HDD HOLDINGS
UNISYS CORPORATION SEALED AIR CORPORATION
UNITED RENTALS (NORTH AMERICA), INC. SMITHFIELD FOODS, INC.
UNIVERSAL HEALTH SERVICES, INC. TESORO CORPORATION
THE AES CORPORATION
TRW AUTOMOTIVE INC.
UNITED STATES STEEL CORPORATION
VULCAN MATERIALS COMPANY
WEYERHAEUSER COMPANY
WINDSTREAM CORPORATION
 
Updated List of Changes for Markit CDX.NA.HY.20
19 March 2013 – Following are the updated changes for the upcoming Markit CDX.NA.HY.20 index that will roll on 27 March, 2013. Please note that this list remains provisional till publication of the final annex for the index.
 
Removals Additions
SUNOCO, INC. J. C. PENNEY COMPANY, INC.
CMS ENERGY CORPORATION CENTURYLINK, INC.
GENON ENERGY, INC. PULTEGROUP, INC.
 
Updated List of Changes for Markit CDX.NA.HY.20
18 March 2013 – Following are the updated changes for the upcoming Markit CDX.NA.HY.20 index that will roll on 27 March, 2013. Please note that this list remains provisional till publication of the final annex for the index.
 
Removals Additions
SUNOCO, INC. J. C. PENNEY COMPANY, INC.
CMS ENERGY CORPORATION CENTURYLINK, INC.
 
Coupons for Markit Emerging Markets Indices
15 March 2013 – The fixed coupons for all maturities of the Markit CDX EM and LatAm Corp Indices rolling on 20 March, 2013, are listed below.
 
Index Fixed Coupon Rate (bps)
Markit CDX.EM 500
Markit CDX.LATAM.CORP 500
 
Reference Obligations for Markit CDX.NA.HY.20
15 March 2013 – The reference obligations that will be included in the upcoming Markit CDX.NA.HY.20 index are available below. Please note that this list remains provisional till publication of the final annex for the index.
 
Markit CDX.NA.HY.20 Reference Obligations
 
List of Changes for Markit CDX.NA.IG.HVOL.20
13 March 2013 – Following are the changes expected for the HVOL sub-index of Markit CDX.NA.IG.20 that will roll on 20 March, 2013. Please note that this list remains provisional till publication of the final annex for the index.
 
Removals Additions
American International Group, Inc. Block Financial LLC
CenturyLink, Inc. Darden Restaurants, Inc.
Ryder System, Inc. DIRECTV Holdings LLC
THE HARTFORD FINANCIAL SERVICES GROUP, INC. Genworth Financial, Inc.
Tyson Foods, Inc. MeadWestvaco Corporation
Whirlpool Corporation The Hillshire Brands Company
 
List of Changes for Sector Sub-indices of Markit CDX.NA.IG.20

13 March 2013 Following are the changes expected for the sector-based sub-indices of Markit CDX.NA.IG.20 that will roll on 20 March, 2013. Please note that this list remains provisional till publication of the final annexes for the indices.

 
Sub-index Name Removals Additions
Markit CDX.NA.IG.ENRG CANADIAN NATURAL RESOURCES LIMITED
Markit CDX.NA.IG.FIN BLOCK FINANCIAL LLC
Markit CDX.NA.IG.FIN GENWORTH FINANCIAL, INC.
Markit CDX.NA.IG.TMT CENTURYLINK, INC.
 
Coupons for Markit CDX.IG
13 March 2013 – The fixed coupons for all maturities and sub-indices of Markit CDX.NA.IG rolling on 20 March, 2013, are listed below.
 
Fixed Coupon Rate (bps) 1Y 2Y 3Y 5Y 7Y 10Y
Markit CDX.NA.IG 100 100 100 100 100 100
Markit CDX.NA.IG.HVOL 100 100 100 100 100 100
 
Provisional RED Codes for Markit CDX Indices
13 March 2013 – The RED codes for the upcoming series of the various Markit CDX Indices are listed below. Please note that these codes remain provisional till publication of the final annexes for the indices.
 
Index Name Red Code
CDX.EM.19-V1 2I65BZAS1
CDX.NA.IG.20-V1 2I65BYCW3
CDX.NA.IG.CONS.20-V1 2I65B0AV1
CDX.NA.IG.ENRG.20-V1 2I65B1AV9
CDX.NA.IG.FIN.20-V1 2I65B2CO1
CDX.NA.IG.HVOL.20-V1 2I65B3AV5
CDX.NA.IG.INDU.20-V1 2I65B4BA8
CDX.NA.IG.TMT.20-V1 2I65DJBH8
CDX.NA.HY.20-V1 2I65BRJU5
CDX.NA.HY.B.20-V1 2I65BSKP2
CDX.NA.HY.BB.20-V1 2I65BVCC3
CDX.LATAM.CORP.19-V1 1D764NAB2
 
Reference Obligations for Markit CDX.NA.IG.20
12 March 2013 – The reference obligations that will be included in the upcoming Markit CDX.NA.IG.20 index are available below. Please note that this list remains provisional till publication of the final annex for the index.
 
Markit CDX.NA.IG.20 Reference Obligations
 
List of Changes for Markit CDX.NA.HY.20
12 March 2013 - Following are the changes expected for the upcoming Markit CDX.NA.HY.20 index that will roll on 27 March 2013. Please note that the list remains provisional till publication of the final annex for the index.
 
Removals Additions
SUNOCO, INC. J. C. PENNEY COMPANY, INC.
 
Updated List of Changes for Markit CDX.LATAM.CORP.19

07 March 2013 – Listed below are the updated changes for the upcoming Markit CDX.LATAM.CORP.19 index that will roll on 20 March, 2013. Please note that this list remains provisional till publication of the final annex for the index.

Series 19 of Markit CDX LatAm Corp will be equally weighted, with each constituent weighted at 5%. Additionally, the quoting convention will change and the index will be quoted in spread.

 
Removals Additions
Digicel Group Limited Banco Nacional de Desenvolvimento Economico e Social — BNDES
OGX Petroleo BBVA Bancomer, S.A., Institucion de Banca Multiple, Grupo Financiero BBVA Bancomer
Petroleos de Venezuela Celulosa Arauco y Constitucion S.A.
URBI Odebrecht Finance Ltd.
 
List of Changes for Markit CDX.NA.IG.20
6 March 2013 – Following are the changes expected for the upcoming Markit CDX.NA.IG.20 index that will roll on 20 March, 2013. Please note that this list remains provisional till publication of the final annex for the index.
 
Removals Additions
CENTURYLINK, INC. GENWORTH FINANCIAL, INC.
CANADIAN NATURAL RESOURCES LIMITED BLOCK FINANCIAL LLC
 
Roll Changes for Markit CDX.EM.19

04 March 2013 – One name will be removed from Markit CDX EM as it rolls from series 18 to series 19. Hungary will be removed from the index and no replacement will be added. Therefore, series 19 will have a total of 14 constituents instead of 15. The weighting of the constituents in Markit CDX.EM.19 will mirror those of Markit CDX.EM.ex-EU.18. Please note that the Markit CDX.EM.ex-EU sub-index will not roll into a new series.

The index is scheduled to roll on 20 March, 2013. The composition remains provisional till publication of the final annex for the index.

 
Updated Markit CDX HY and IG Rules
01 March 2013 - Markit has published the updated rulebook for the CDX IG and HY Indices. The rulebook is available below and effective from today.
 
Markit CDX HY and IG Rules Mar 2013
 
Index Roll Timelines Published
28 February 2013 – The index roll timelines for Markit CDX HY and CDX IG are now available below.
 
Markit CDX HY Roll Timeline - Feb 2013
 
Markit CDX IG Roll Timeline - Feb 2013
 
List of Changes for Markit CDX.LATAM.CORP.19

28 February 2013 – Following are the changes expected for the upcoming Markit CDX.LATAM.CORP.19 index that will roll on 20 March, 2013. Please note that this list remains provisional till publication of the final annex for the index.

Please note that the weightings of the constituents in the index will also be changed. Series 19 of Markit CDX LatAm Corp will be equally weighted, with each constituent weighted at 5%. Additionally, the quoting convention will change and the index will be quoted in spread.

 
Removals Additions
Digicel Group Limited Celulosa Arauco
OGX Petroleo Itau UniBanco
Petroleos de Venezuela BBVA Bancomer SA
URBI Odebrecht SA
 
Index Roll Timelines Published
27 February 2013 – The index roll timelines for the Markit CDX EM and CDX LatAm Corp indices are available below. 
 
Markit CDX EM Roll Timeline - Feb 2013
 
Markit CDX LatAm Corp Roll Timeline - Feb 2013
 
Launch Date for Markit CDX EM ex-EU Confirmed
1 November 2012 – The Markit CDX EM ex-EU sub-index will launch on November 6, 2012.
 
Launch Date Delayed for Markit CDX EM ex-EU Sub-index

31 October 2012 – The launch of the Markit CDX EM ex-EU sub-index has been delayed. The launch date is currently TBD. Firms will be notified as soon as a specific date is available. Relevant annex information will be published in RED files at least two days prior to launch. Index characteristics and the relevant RED code will remain as published on 26 October, 2012.

 
Conventions for Markit CDX EM ex-EU Sub-index
October 26 2012 – The provisional RED code and other index characteristics for the Markit CDX EM ex-EU sub-index will be as listed below. The sub-index will use the existing Standard Terms and Confirms, dated January 2011, for the Markit CDX EM index.
 
Index CDX.EM.ex-EU.18
RED Code 1D765JAA2
Tenors 5Y & 10Y
Annex Date TBD
Effective Date 20-Sep-12
First Coupon 20-Dec-12
Maturity (5Y) 20-Dec-17
Maturity (10Y) 20-Dec-22
Coupon 500
 
Markit to Launch new CDX EM Sub-index
October 19 2012 - Starting Nov 1, 2012, Markit will make available a new sub index;  Markit CDX EM ex EU.  The new sub index will not include Hungary and the constituent’s three percent weight will be reallocated to South Africa, Turkey and Ukraine equally. The weights of the constituents will be adjusted as per the table below.
 
Name CDX.EM CDX.EM sub-index
South Africa 3% 4%
Turkey 11% 12%
Ukraine 3% 4%
 
Coupons for Markit CDX.HY Indices
24 September 2012 – The fixed coupon for all maturities and sub-indices of the Markit CDX HY indices rolling on 27 September, 2012, have been finalized and are listed below.
 
Fixed Coupon Rate (bps) 3Y 5Y 7Y 10Y
Markit CDX.NA.HY.19 500 500 500 500
Markit CDX.NA.HY.B.19 - 500 - -
Markit CDX.NA.HY.BB.19 - 500 - -
 
Provisional list of Constituents for Sub-indices of Markit CDX.NA.HY.19
19 September 2012 – Listed below are the expected constituents of the Markit CDX.NA.HY.B.19 and Markit CDX.NA.HY.BB.19 sub-indices. Please note that these lists remain provisional till publication of the final annexes.
 
Markit CDX.NA.HY.B.19 Constituents Markit CDX.NA.HY.BB.19 Constituents
AK STEEL CORPORATION ADVANCED MICRO DEVICES, INC.
ALLY FINANCIAL INC. AMKOR TECHNOLOGY, INC.
AMERICAN AXLE & MANUFACTURING, INC. BELO CORP.
ARAMARK CORPORATION BOMBARDIER INC.
AVIS BUDGET GROUP, INC. BRUNSWICK CORPORATION
BAUSCH & LOMB INCORPORATED CCO HOLDINGS, LLC
BOYD GAMING CORPORATION CHESAPEAKE ENERGY CORPORATION
CAESARS ENTERTAINMENT OPERATING COMPANY, INC. CMS ENERGY CORPORATION
CALPINE CORPORATION CSC HOLDINGS, LLC
CIT GROUP INC. DELUXE CORPORATION
COMMUNITY HEALTH SYSTEMS, INC. DILLARD'S, INC.
COOPER TIRE & RUBBER COMPANY DISH DBS CORPORATION
DEAN FOODS COMPANY FRONTIER COMMUNICATIONS CORPORATION
Fifth & Pacific Companies, Inc. GANNETT CO., INC.
FIRST DATA CORPORATION HOST HOTELS & RESORTS, L.P.
FOREST OIL CORPORATION INTERNATIONAL LEASE FINANCE CORPORATION
GENON ENERGY, INC. IRON MOUNTAIN INCORPORATED
HCA INC. KINDER MORGAN, INC.
HEALTH MANAGEMENT ASSOCIATES, INC. LIMITED BRANDS, INC.
ISTAR FINANCIAL INC. LOUISIANA-PACIFIC CORPORATION
KB HOME NORBORD INC.
LENNAR CORPORATION NOVA CHEMICALS CORPORATION
LEVEL 3 COMMUNICATIONS, INC. NRG ENERGY, INC.
LEVI STRAUSS & CO. OLIN CORPORATION
LIBERTY INTERACTIVE LLC OWENS-ILLINOIS, INC.
MBIA INSURANCE CORPORATION PHH CORPORATION
MERITOR, INC. POLYONE CORPORATION
MGM RESORTS INTERNATIONAL R.R. DONNELLEY & SONS COMPANY
PARKER DRILLING COMPANY ROYAL CARIBBEAN CRUISES LTD.
RADIOSHACK CORPORATION SAKS INCORPORATED
RITE AID CORPORATION SEAGATE TECHNOLOGY HDD HOLDINGS
SABRE HOLDINGS CORPORATION SEALED AIR CORPORATION
SANMINA-SCI CORPORATION SMITHFIELD FOODS, INC.
SPRINT NEXTEL CORPORATION SUNOCO, INC.
STANDARD PACIFIC CORP. TESORO CORPORATION
SUNGARD DATA SYSTEMS INC. THE AES CORPORATION
SUPERVALU INC. THE GOODYEAR TIRE & RUBBER COMPANY
TENET HEALTHCARE CORPORATION TRW AUTOMOTIVE INC.
THE HERTZ CORPORATION UNITED STATES STEEL CORPORATION
THE NEIMAN MARCUS GROUP, INC. UNIVERSAL HEALTH SERVICES, INC.
THE NEW YORK TIMES COMPANY VULCAN MATERIALS COMPANY
TOYS "R" US, INC. WEYERHAEUSER COMPANY
UNISYS CORPORATION WINDSTREAM CORPORATION
 
Indicative Composite Price and Spread for Markit CDX.LATAM.CORP.18 Index

19 September 2012 – Listed below are the indicative Composite Price and Spread for the Markit CDX.LATAM.CORP.18 5Y index.

The following prices are indicative and provided by the market participants for illustrative purposes only. The Markit CDX.LATAM.CORP index will begin trading on 20 September 2012.

 
Composite Indicative Price (in % of Par) Composite Indicative Spread (in bps) Depth
108.47 318.82 7
 
Indicative Composite Price and Spread for Markit CDX.LATAM.CORP.18 Index

18 September 2012 – Listed below are the indicative Composite Price and Spread for the Markit CDX.LATAM.CORP.18 5Y index.

The following prices are indicative and provided by the market participants for illustrative purposes only. The Markit CDX.LATAM.CORP index will begin trading on 20 September 2012.

 
Composite Indicative Price (in % of Par) Composite Indicative Spread (in bps) Depth
108.67 315.39 5
 
Coupons for Markit CDX.IG and Markit CDX Emerging Markets Indices
17 September 2012 – The fixed coupons for all maturities and sub-indices of the Markit CDX indices rolling on 20 September, 2012, have been finalized and are listed below.
 
Fixed Coupon Rate (bps) 1Y 2Y 3Y 5Y 7Y 10Y
Markit CDX.NA.IG.19 100 100 100 100 100 100
Markit CDX.NA.IG.HVOL.19 100 100 100 100 100 100
Markit CDX.EM.18 -- -- -- 500 -- 500
Markit CDX.LatAm.Corp.18 500
 
Indicative Composite Price and Spread for Markit CDX.LATAM.CORP.18 Index

17 September 2012 – Listed below are the indicative Composite Price and Spread for the Markit CDX.LATAM.CORP.18 5Y index.

The following prices are indicative and provided by the market participants for illustrative purposes only. The Markit CDX.LATAM.CORP index will begin trading on 20 September 2012.

 
Composite Indicative Price (in % of Par) Composite Indicative Spread (in bps)
108.56 317.55
 
Indicative Composite Price and Spread for Markit CDX.LATAM.CORP.18 Index

14 September 2012 – Listed below are the indicative Composite Price and Spread for the Markit CDX.LATAM.CORP.18 5Y index.

The following prices are indicative and provided by the market participants for illustrative purposes only. The Markit CDX.LATAM.CORP index will begin trading on 20 September 2012.

 
Composite Indicative Price (in % of Par) Composite Indicative Spread (in bps)
108.33 322.53
 
Provisional List of Changes for Sub-Indices of Markit CDX.NA.IG.19
14 September 2012 – Listed below are the changes expected in the sector based sub-indices with the upcoming roll of Markit CDX.NA.IG.19. Please note that these changes remain provisional till publication of the final annexes.
 
Sub-index Entities Removed Entities Added
Markit CDX.NA.IG.CONS.19 SARA LEE CORPORATION THE HILLSHIRE BRANDS COMPANY
Markit CDX.NA.IG.CONS.19 FORD MOTOR COMPANY
Markit CDX.NA.IG.CONS.19 STAPLES, INC.
Markit CDX.NA.IG.INDU.19 GATX CORPORATION MEADWESTVACO CORPORATION
Markit CDX.NA.IG.TMT.19 CA, INC.
Markit CDX.NA.IG.FIN.19 VORNADO REALTY L.P.
 
Provisional list of changes for the HVOL sub-index of Markit CDX.NA.IG.19
14 September 2012 – Following are the provisional list of changes expected in the HVOL sub-index of Markit CDX.NA.IG.19, set to roll on 20 September, 2012. The sub-index is composed of 30 names with the widest average CDS spreads over the past 90 days.
 
REMOVALS ADDITIONS
Berkshire Hathaway Inc. Anadarko Petroleum Corporation
CA, Inc. Arrow Electronics, Inc.
DIRECTV Holdings LLC BARRICK GOLD CORPORATION
GATX Corporation Dell Inc.
General Electric Capital Corporation Ford Motor Company
Reynolds American Inc. Hewlett-Packard Company
Southwest Airlines Co. Johnson Controls, Inc.
The Dow Chemical Company Ryder System, Inc.
Time Warner Cable Inc. Safeway Inc.
Valero Energy Corporation Staples, Inc.
Vornado Realty L.P. Tyson Foods, Inc.
 
Updated List of Changes for Markit CDX.NA.HY.19
14 September 2012 - Following are the changes expected for the upcoming Markit CDX.NA.HY.19 index that is set to roll on 27 September, 2012. Based on feedback received, the list has been updated to achieve the goal of selecting the most relevant high yield constituents. Please note that this list remains provisional until publication of the finalized annex for the index.
 
Removals Additions
FORD MOTOR COMPANY CIT GROUP INC.
RESIDENTIAL CAPITAL, LLC CCO HOLDINGS, LLC
PIONEER NATURAL RESOURCES COMPANY CALPINE CORPORATION
 
Provisional RED Codes for Markit CDX Indices
13 September 2012 – Listed below are the provisional RED codes for the upcoming series of the various Markit CDX indices.
 
Index Name Red Code
CDX.EM.18-V1 2I65BZAR3
CDX.NA.IG.19-V1 2I65BYCV5
CDX.NA.IG.CONS.19-V1 2I65B0AU3
CDX.NA.IG.ENRG.19-V1 2I65B1AU1
CDX.NA.IG.FIN.19-V1 2I65B2CN3
CDX.NA.IG.HVOL.19-V1 2I65B3AU7
CDX.NA.IG.INDU.19-V1 2I65B4AZ4
CDX.NA.IG.TMT.19-V1 2I65DJBG0
CDX.NA.HY.19-V1 2I65BRJT8
CDX.NA.HY.B.19-V1 2I65BSKO5
CDX.NA.HY.BB.19-V1 2I65BVCB5
 
Provisional List of Changes for Markit CDX.NA.HY.19

12 September 2012 - Following are the provisional list of changes for the Markit CDX.NA.HY.19 index, scheduled to roll on 27 September, 2012. Based on the current index methodology, there do not appear to be sufficient high yield names in the DTCC liquidity list that meet the criteria for inclusion in the upcoming index series. Markit will be holding a discussion with index participants tomorrow to discuss alternate ways of identifying suitable constituents for addition.

Please note that this list remains provisional till publication of the finalized annex for the index.

 
Removals Additions
FORD MOTOR COMPANY ALPHA APPALACHIA HOLDINGS, INC.
RESIDENTIAL CAPITAL, LLC EDISON MISSION ENERGY
PIONEER NATURAL RESOURCES COMPANY
 
Updated List of Changes for Markit CDX.NA.IG.19
12 September 2012 - Following are the list of changes for the Markit CDX.NA.IG.19 index, scheduled to roll on 20 September, 2012. Based on feedback received, the list has been updated to achieve the goal of selecting highly liquid, investment grade constituents. Please note that these changes remain provisional until publication of the finalized annex for the index.
 
Corporate Action Removal Corporate Action Addition
SARA LEE CORPORATION THE HILLSHIRE BRANDS COMPANY
 
Subsequent Liquidity-based Removals Liquidity-based Additions
CA, INC. FORD MOTOR COMPANY
VORNADO REALTY L.P. STAPLES, INC.
GATX CORPORATION MEADWESTVACO CORPORATION
 
Provisional List of Changes for Markit CDX.NA.IG.19
11 September 2012 - Following are the liquidity-based provisional list of changes for the Markit CDX.NA.IG.19 index, scheduled to roll on 20 September, 2012. Please note that this list remains provisional till publication of the finalized annex for the index.
 
Corporate Action Removal Corporate Action Addition
SARA LEE CORPORATION THE HILLSHIRE BRANDS COMPANY
 
Subsequent Liquidity-based Removals Liquidity-based Additions
CA, INC. FORD MOTOR COMPANY
VORNADO REALTY L.P. ASSURED GUARANTY CORP.
GATX CORPORATION STAPLES, INC.
ERP OPERATING LIMITED PARTNERSHIP MEADWESTVACO CORPORATION
LOEWS CORPORATION GENWORTH FINANCIAL, INC.
UNITED PARCEL SERVICE, INC. BLOCK FINANCIAL LLC
 
Composition of Markit CDX.EM.18 Index Determined
10 September 2012 - It has been determined that there will be no changes in the composition of the Markit CDX.EM as it rolls from series 17 to series 18. The coupon will be finalized on 17 September, 2012. The index is scheduled to roll on 20 September, 2012.
 
Markit iBoxx HY Breakdown by Sectors and Ratings
6 September 2012 - Below are the sector and rating weights sourced from the most recent series of the Markit iBoxx USD Liquid High Yield Index. As per the CDX rules, these are used to determine the constituent allocations for the upcoming Markit CDX.NA.HY.19 index.  Please refer to the rule book for further clarification.
 
Sectors % Weight as per Capped Market Value
Basic Materials 5.96
Consumer Goods 5.71
Consumer Services 17.10
Financials 11.54
Health Care 9.22
Industrials 12.02
Oil & Gas 13.25
Technology 7.45
Telecommunications 10.55
Utilities 7.21
 
Ratings Percentage
B 38.11
BB 48.70
CCC or lower 13.19
 
Publication of Provisional List of Changes for Markit CDX.EM.18 Delayed
6 September 2012 – The publication of any potential changes to the index is being delayed to allow for further analysis. This is being done to achieve the goal of selecting the most relevant, liquid emerging market constituents for the index,
 
Markit CDX Roll Timelines
31 August 2012 – The index roll timelines for Markit CDX are now available.
 
Markit CDX IG Roll Timeline - Aug 2012
Markit CDX HY Roll Timeline - Aug 2012
Markit CDX EM Roll Timeline - Aug 2012
 
Launch Date for Markit CDX LatAm Corp Index Confirmed
15 August 2012 – The Markit CDX LatAm Corp index will launch on September 20, 2012. The annex date and effective date of the index will also be September 20, 2012. The constituents and weights remain the same as previously announced.
 
Launch date for Markit CDX LatAm Corp Index
19 June 2012 – The launch of the Markit CDX LatAm Corp index is TBD and no specific date has been assigned as of now. Firms will be notified and relevant annex information will be published a week prior to launch.
 
Provisional RED Code for Markit CDX LatAm Corp Index
18 June 2012 – The RED code for the upcoming Markit CDX LatAm Corp index is expected to be as below. Please note that this code is provisional till the publication of the index.
 
INDEX NAME SERIES VERSION New RED Code
CDX.LATAM.CORP 18 1 1D764NAA4
 
Trading Conventions for Markit CDX LatAm Corp
8 June 2012 - The trading conventions for the upcoming Markit CDX LatAm Corp index have been decided through dealer votes and are listed below. Please note that Participating Dealers have also voted to replace Digicel Limited in the index with Digicel Group Limited.
 
Term Convention
Coupon 500 bps
Assumed Recovery Rate 25%
Quoting Convention In Price
Maturity/Tenor 5 years
 
Provisional List of Constituents for Markit CDX LatAm Corp
4 June 2012 - The provisional list of constituents for the Markit CDX LatAm Corp index, and their respective weights, are listed below.
 
Reference Entity Weight (%)
AMERICA MOVIL SOCIEDAD ANONIMA BURSATIL DE CAPITAL VARIABLE 8
BANCO BRADESCO S.A. 4
BANCO DO BRASIL S.A. 6
Bancolombia S.A. 6
BRASKEM S.A. 4
CEMEX, Sociedad Anonima Bursatil de Capital Variable 4
Corporacion Nacional del Cobre de Chile 4
Digicel Limited 6
FIBRIA CELULOSE S.A. 4
GERDAU S.A. 4
Grupo Bimbo, S.A.B. de C.V. 2
JBS S.A. 2
OGX Petroleo e Gas Participacoes SA 4
Pacific Rubiales Energy Corp 2
PETROLEO BRASILEIRO S/A PETROBRAS 10
Petroleos de Venezuela, S.A. 10
Petroleos Mexicanos 10
SOUTHERN COPPER CORPORATION 2
URBI, DESARROLLOS URBANOS, SOCIEDAD ANONIMA BURSATIL DE CAPITAL VARIABLE 2
Vale SA 6
 
Markit to launch new Emerging Markets index – Markit CDX LatAm Corp

1 June 2012 - Markit, a leading, global financial information services company, today announced that it will launch the first credit default swap (CDS) index referencing Latin American corporate debt.  The Markit CDX LatAm Corporate Index will enable investors to gain or hedge exposure to Latin American corporate bonds or CDS.

The index, which will launch in early summer, will reference corporate issuers from multiple industry sectors in Central and South America and the Caribbean.  Inclusion in the index will be based on the liquidity of a company’s CDS and the amount of its debt in the market.

 
New versions of Markit CDX issued due to Credit Event of Houghton Mifflin Harcourt Publishing Company
22 May 2012 – Following the confirmation of a bankruptcy credit event for Houghton Mifflin Harcourt Publishing Company by the ISDA Determinations Committee, new versions of all affected Markit CDX indices will be issued with Houghton Mifflin Harcourt Publishing Company removed.  The indices will have an annex date of 22 May 2012.  A credit auction will be held to settle CDS trades.  The table below lists the new indices with their associated RED codes. 
 
Index Name Series Version New RED Code
Dow Jones CDX.NA.HY 1 14 2I65BRIO0
Dow Jones CDX.NA.HY 2 17 2I65BRJN1
Dow Jones CDX.NA.HY 3 18 2I65BRJO9
Dow Jones CDX.NA.HY 4 19 2I65BRJP6
Dow Jones CDX.NA.HY 5 22 2I65BRJQ4
Dow Jones CDX.NA.HY 6 20 2I65BRJR2
Dow Jones CDX.NA.HY 7 20 2I65BRJS0
Dow Jones CDX.NA.HY.B 1 8 2I65BSAV0
Dow Jones CDX.NA.HY.B 2 8 2I65BSAW8
Dow Jones CDX.NA.HY.B 3 9 2I65BSAX6
Dow Jones CDX.NA.HY.B 4 6 2I65BSAY4
Dow Jones CDX.NA.HY.B 5 8 2I65BSAZ1
Dow Jones CDX.NA.HY.B 6 12 2I65BSBA5
Dow Jones CDX.NA.HY.B 7 10 2I65BSBB3
Dow Jones CDX.NA.HY.HB 3 11 2I65BWFO2
 
New versions of Markit CDX issued due to Credit Event of Residential Capital, LLC
15 May 2012 – Following the confirmation of a bankruptcy credit event for Residential Capital, LLC by the ISDA Determinations Committee, new versions of all affected Markit CDX indices will be issued with Residential Capital, LLC removed.  The indices will have an annex date of 15 May 2012.  A credit auction will be held to settle CDS trades.  The table below lists the new indices with their associated RED codes. 
 
INDEX NAME SERIES VERSION New RED Codes
CDX.NA.HY 9 22 2I65BRJD3
CDX.NA.HY 10 21 2I65BRJE1
CDX.NA.HY 11 21 2I65BRJF8
CDX.NA.HY 12 12 2I65BRJG6
CDX.NA.HY 13 6 2I65BRJH4
CDX.NA.HY 14 5 2I65BRJI2
CDX.NA.HY 15 5 2I65BRJJ0
CDX.NA.HY 16 5 2I65BRJK7
CDX.NA.HY 17 5 2I65BRJL5
CDX.NA.HY 18 2 2I65BRJM3
CDX.NA.HY.B 10 11 2I65BSKN7
CDX.NA.HY.BB 9 3 2I65BVCA7
CDX.NA.HY.HB 9 14 2I65BWFH7
CDX.NA.HY.HB 10 15 2I65BWFI5
CDX.NA.HY.HB 11 17 2I65BWFJ3
CDX.NA.HY.HB 12 10 2I65BWFK0
CDX.NA.HY.HB 13 4 2I65BWFL8
CDX.NA.HY.HB 14 3 2I65BWFM6
CDX.NA.HY.HB 15 3 2I65BWFN4
Dow Jones CDX.NA.IG 7 6 2I65BYCT0
CDX.NA.IG 8 5 2I65BYCU7
Dow Jones CDX.NA.IG.FIN 7 5 2I65B2CL7
CDX.NA.IG.FIN 8 5 2I65B2CM5
Dow Jones CDX.NA.IG.HVOL 7 2 2I65B3BR3
CDX.NA.IG.HVOL 8 2 2I65B3BS1
CDX.NA.XO 9 3 1D764IBA4
 
Fixed Coupons for Markit CDX.HY Indices
22 March 2012 – The fixed coupons for all maturities and sub-indices of the Markit CDX HY index rolling on 27 March, 2012, have been finalized and are listed below.
 
Fixed Coupon Rate (bps) 3Y 5Y 7Y 10Y
Markit CDX.NA.HY.18 500 500 500 500
Markit CDX.NA.HY.B.18 - 500 - -
Markit CDX.NA.HY.BB.18 - 500 - -
 
Provisional list of Constituents for Sub-indices of Markit CDX.NA.HY.18
19 March 2012 – Listed below are the expected constituents of the Markit CDX.NA.HY.B.18 and Markit CDX.NA.HY.BB.18 sub-indices. Please note that these lists remain provisional till publication of the final annexes.
 
Markit CDX.NA.HY.B.18 Constituents Markit CDX.NA.HY.BB.18 Constituents
ADVANCED MICRO DEVICES, INC. Amkor Technology, Inc.
Ak Steel Corporation Belo Corp.
Alcatel-Lucent Usa Inc. BOMBARDIER INC.
Ally Financial Inc. Chesapeake Energy Corporation
American Axle & Manufacturing, Inc. CMS Energy Corporation
ARAMARK Corporation Cooper Tire & Rubber Company
Avis Budget Group, Inc. CSC Holdings, Llc
Bausch & Lomb Incorporated Deluxe Corporation
Boyd Gaming Corporation Dillard'S, Inc.
BRUNSWICK CORPORATION DISH DBS Corporation
Community Health Systems, Inc. Ford Motor Company
Dean Foods Company FOREST OIL CORPORATION
First Data Corporation FRONTIER COMMUNICATIONS CORPORATION
Genon Energy, Inc. Gannett Co., Inc.
HCA Inc. Host Hotels & Resorts, L.P.
Health Management Associates, Inc. International Lease Finance Corporation
Intelsat S.A. Iron Mountain Incorporated
Istar Financial Inc. Kinder Morgan, Inc.
KB Home Liberty Media Llc
Lennar Corporation Limited Brands, Inc.
Level 3 Communications, Inc. Louisiana-Pacific Corporation
Levi Strauss & Co. Norbord Inc.
Fifth & Pacific Companies, Inc. NOVA CHEMICALS CORPORATION
MBIA Insurance Corporation Olin Corporation
Meritor, Inc. Owens-Illinois, Inc.
MGM Resorts International PHH Corporation
NRG Energy, Inc. Pioneer Natural Resources Company
Parker Drilling Company PolyOne Corporation
Radioshack Corporation R.R. Donnelley & Sons Company
Rite Aid Corporation ROYAL CARIBBEAN CRUISES LTD.
Sabre Holdings Corporation Saks Incorporated
Sanmina-Sci Corporation Seagate Technology Hdd Holdings
Sprint Nextel Corporation Sealed Air Corporation
Standard Pacific Corp. Smithfield Foods, Inc.
Sungard Data Systems Inc. Sunoco, Inc.
SUPERVALU INC. Tesoro Corporation
Tenet Healthcare Corporation TRW Automotive Inc.
The AES Corporation Unisys Corporation
The Goodyear Tire & Rubber Company UNITED STATES STEEL CORPORATION
The Hertz Corporation Universal Health Services, Inc.
The Neiman Marcus Group, Inc. Vulcan Materials Company
THE NEW YORK TIMES COMPANY Weyerhaeuser Company
TOYS "R" US, INC. Windstream Corporation
United Rentals (North America), Inc.
 
Fixed Coupons for Markit CDX.IG and Markit CDX.EM Indices
15 March 2012 – The fixed coupons for all maturities and sub-indices of the Markit CDX indices rolling on 20 March, 2012, have been finalized and are listed below.
 
Fixed Coupon Rate (bps) 1Y 2Y 3Y 5Y 7Y 10Y
Markit CDX.NA.IG.18 100 100 100 100 100 100
Markit CDX.NA.IG.HVOL.18 100 100 100 100 100 100
Markit CDX.EM.17 -- -- -- 500 -- 500
 
Updated List of Changes for Markit CDX.NA.HY.18
15 March 2012 – The list of removals and additions for the upcoming Markit CDX.NA.HY.18 remains the same as the provisional list. However, please note that Kinder Morgan Kansas, Inc., will be replaced by Kinder Morgan, Inc., due to corporate actions.
 
Provisional List of Changes for Markit CDX.NA.HY 18
14 March 2012 - Following are the changes expected for the upcoming Markit CDX.NA.HY.18 index that is set to roll on 27 March, 2012. Please note that this list remains provisional until publication of the finalized annex for the index.
 
Initial Removals Initial Additions
Eastman Kodak Company Sealed Air Corporation
The PMI Group, Inc. Pactiv Corporation
Dynegy Holdings LLC Norbord Inc.
Starwood Hotels & Resorts Worldwide, Inc. PHH Corporation
Textron Financial Corporation UNITED STATES STEEL CORPORATION
El Paso Corporation Deluxe Corporation
 
Provisional List of Changes for Sub-Indices of Markit CDX.NA.IG.18
13 March 2012 – Listed below are the changes expected in the sector based sub-indices with the upcoming roll of Markit CDX.NA.IG.18. Please note that these changes remain provisional till publication of the final annexes.
 
Index Entities Removed Entities Added
Markit CDX.NA.IG.CONS.18 The Black & Decker Corporation Starwood Hotels & Resorts Worldwide, Inc.
Markit CDX.NA.IG. ENRG.18 Constellation Energy Group, Inc. Exelon Corporation
 
Updated List of Changes for Markit CDX.NA.IG.18
13 March 2012 – The merger between Constellation Energy Group, Inc., and Exelon Corporation was completed on March 12, 2012. Constellation Energy was expected to remain as a constituent of the upcoming Markit CDX.NA.IG.18 index. However, Constellation Energy is being removed from the index due to the merger and is being replaced with Exelon. Below is the updated list of changes for Markit CDX.NA.IG.18.
 
Subsequent Liquidity-based Removal Liquidity-based Addition
The Black & Decker Corporation Starwood Hotels & Resorts Worldwide, Inc.
 
Corporate Action Removal Corporate Action Addition
Constellation Energy Group, Inc. Exelon Corporation
 
Provisional RED Codes for Markit CDX Indices
13 March 2012 – Listed below are the provisional RED codes for the upcoming series of the various Markit CDX indices.
 
Index Name Red Code
CDX.EM.17-V1 2I65BZAQ5
CDX.NA.IG.18-V1 2I65BYCO1
CDX.NA.IG.CONS.18-V1 2I65B0AT6
CDX.NA.IG.ENRG.18-V1 2I65B1AT4
CDX.NA.IG.FIN.18-V1 2I65B2CK9
CDX.NA.IG.HVOL.18-V1 2I65B3AT0
CDX.NA.IG.INDU.18-V1 2I65B4AY7
CDX.NA.IG.TMT.18-V1 2I65DJBF2
CDX.NA.HY.18-V1 2I65BRJC5
CDX.NA.HY.B.18-V1 2I65BSKM9
CDX.NA.HY.BB.18-V1 2I65BVBZ3
 
Markit iBoxx HY Breakdown by Sectors and Ratings
13 March 2012 - Below are the sector and rating weights sourced from the most recent series of the Markit iBoxx USD Liquid High Yield Index. As per the CDX rules, these are used to determine the constituent allocations for the upcoming Markit CDX.NA.HY.18 index.  Please refer to the rule book for further clarification.
 
Sectors % Weight as per Capped Market Value
Basic Materials 6.44
Consumer Goods 4.92
Consumer Services 15.10
Financials 10.68
Health Care 9.95
Industrials 14.07
Oil & Gas 10.38
Technology 7.76
Telecommunications 11.96
Utilities 8.74
 
Rating Percentage
B 42.42
BB 41.53
CCC and below 16.05
 
Provisional list of HVOL constituents for Markit CDX.NA.IG.18

13 March 2012 - Following are the constituents expected in the HVOL sub-index of Markit CDX.NA.IG.18, set to roll on 20 March 2012. The 30 names selected are the constituents with the widest average CDS spreads over the past 90 days.

 
Provisional List of Markit CDX.NA.IG.HVOL 18
Alcoa Inc.
American International Group, Inc.
Avnet, Inc.
Berkshire Hathaway Inc.
CA, Inc.
CenturyLink, Inc.
Computer Sciences Corporation
DIRECTV Holdings LLC
Expedia, Inc.
Freeport-McMoRan Copper & Gold Inc.
GATX Corporation
General Electric Capital Corporation
Kinder Morgan Energy Partners, L.P.
Kohl's Corporation
M.D.C. Holdings, Inc.
MetLife, Inc.
Nabors Industries, Inc.
Pitney Bowes Inc.
Reynolds American Inc.
SLM Corporation
Southwest Airlines Co.
The Dow Chemical Company
THE GAP, INC.
THE HARTFORD FINANCIAL SERVICES GROUP, INC.
TIME WARNER CABLE INC.
Transocean Inc.
Valero Energy Corporation
Vornado Realty L.P.
Whirlpool Corporation
XEROX CORPORATION
 
Updated Provisional List of Changes for Markit CDX.NA.IG.18
8 March 2012 - Following are the changes expected for the upcoming Markit CDX.NA.IG.18 index, set to roll on 20 March, 2012. Based on feedback received, the list has been updated to achieve the goal of selecting highly liquid, investment grade constituents. Please note that these changes remain provisional until publication of the finalized annex for the index.
 
Subsequent Liquidity-based Removals Liquidity-based Additions
THE BLACK & DECKER CORPORATION STARWOOD HOTELS & RESORTS WORLDWIDE, INC.
 
Provisional List of Changes for Markit CDX.NA.IG.18
7 March 2012 - Following are the changes expected for the upcoming Markit CDX.NA.IG.18 index that is set to roll on 20 March, 2012. Please note that this list remains provisional till publication of the finalized annex for the index.
 
Affiliate Removals Affiliate Additions
CAPITAL ONE BANK (USA), NATIONAL ASSOCIATION CAPITAL ONE FINANCIAL CORPORATION
 
Liquidity-based Removals Liquidity-based Additions
ASSURED GUARANTY MUNICIPAL CORP.
STARWOOD HOTELS & RESORTS WORLDWIDE, INC.
BLOCK FINANCIAL LLC
PRUDENTIAL FINANCIAL, INC.
GENWORTH FINANCIAL, INC.
 
Subsequent Liquidity-based Removals Subsequent Liquidity-based Additions
THE BLACK & DECKER CORPORATION
GATX CORPORATION
UNITED PARCEL SERVICE, INC.
ERP OPERATING LIMITED PARTNERSHIP
CA, INC.
 
Composition of Markit CDX.EM.17 Index Determined
6 March 2012 -  It has been determined that there will be no changes in the composition and weighting of the Markit CDX.EM index as it rolls from series 16 to series 17. The coupon will be decided on 16 March, 2012. The index is scheduled to roll on 20 March, 2012.
 
Markit CDX Roll Timelines
27 February 2012 – The index roll timelines for Markit CDX are now available.
 
Markit CDX IG Roll Timeline - Mar 2012
Markit CDX HY Roll Timeline - Mar 2012
Markit CDX EM Roll Timeline - Mar 2012
 
New versions of Markit CDX Indices issued due to credit event of Eastman Kodak Company

20 January 2012 – Following the confirmation of a bankruptcy credit event for Eastman Kodak Company by the ISDA Determinations Committee, new versions of all affected Markit CDX indices have been issued. The indices will have an annex date of 23 January 2012. The table below lists the new indices with their associated RED codes

 
Index Name New RED Code
Dow Jones CDX.NA.IG.1-V9 2I65BYCS2
Dow Jones CDX.NA.IG.2-V8 2I65BYCR4
Dow Jones CDX.NA.IG.3-V7 2I65BYCQ6
Dow Jones CDX.NA.IG.4-V7 2I65BYCP8
Dow Jones CDX.NA.IG.HVOL.1-V5 2I65B3BQ5
Dow Jones CDX.NA.IG.HVOL.2-V4 2I65B3BP7
Dow Jones CDX.NA.IG.HVOL.3-V3 2I65B3BN2
Dow Jones CDX.NA.IG.HVOL.4-V3 2I65B3BM4
Dow Jones CDX.NA.IG.TMT.1-V4 2I65DJBE5
Dow Jones CDX.NA.IG.TMT.2-V4 2I65DJBD7
Dow Jones CDX.NA.IG.TMT.3-V3 2I65DJBC9
Dow Jones CDX.NA.IG.TMT.4-V3 2I65DJBB1
Dow Jones CDX.NA.XO.5-V6 1D764IAZ0
Dow Jones CDX.NA.HY.5-V21 2I65BRIR3
Dow Jones CDX.NA.HY.6-V19 2I65BRIQ5
Dow Jones CDX.NA.HY.7-V19 2I65BRIP7
CDX.NA.HY.8-V20 2I65BRIT9
CDX.NA.HY.9-V21 2I65BRIS1
CDX.NA.HY.10-V20 2I65BRJB7
CDX.NA.HY.11-V20 2I65BRJA9
CDX.NA.HY.12-V11 2I65BRIZ5
CDX.NA.HY.13-V5 2I65BRIY8
CDX.NA.HY.14-V4 2I65BRIX0
CDX.NA.HY.15-V4 2I65BRIW2
CDX.NA.HY.16-V4 2I65BRIV4
CDX.NA.HY.17-V4 2I65BRIU6
Dow Jones CDX.NA.HY.B.5-V7 2I65BSER5
Dow Jones CDX.NA.HY.B.6-V11 2I65BSEQ7
Dow Jones CDX.NA.HY.B.7-V9 2I65BSEP9
CDX.NA.HY.B.8-V10 2I65BSET1
CDX.NA.HY.B.9-V12 2I65BSES3
CDX.NA.HY.B.10-V10 2I65BSEV6
CDX.NA.HY.B.11-V8 2I65BSEU8
 
New versions of Markit CDX Indices issued due to credit event of AMR Corporation

1 December 2011 - A bankruptcy credit event has been confirmed for AMR Corporation, by the ISDA Determinations Committee. An auction is expected to be held to settle CDS trades on the entity.

New Version for all affected series of the Markit CDX index have been issued with an annex date of 1 December 2011. The new RED codes are as follows:

 
Index Name Index Red Code Annex Date
Dow Jones CDX.NA.HY Series 1 Version 13 2I65BRHZ6 12/1/2011
Dow Jones CDX.NA.HY Series 2 Version 16 2I65BRIA0 12/1/2011
Dow Jones CDX.NA.HY Series 3 Version 17 2I65BRIB8 12/1/2011
Dow Jones CDX.NA.HY Series 4 Version 18 2I65BRIC6 12/1/2011
Dow Jones CDX.NA.HY Series 5 Version 20 2I65BRID4 12/1/2011
Dow Jones CDX.NA.HY Series 6 Version 18 2I65BRIE2 12/1/2011
Dow Jones CDX.NA.HY Series 7 Version 18 2I65BRIF9 12/1/2011
CDX.NA.HY Series 8 Version 19 2I65BRIG7 12/1/2011
CDX.NA.HY Series 9 Version 20 2I65BRIH5 12/1/2011
CDX.NA.HY Series 10 Version 19 2I65BRII3 12/1/2011
CDX.NA.HY Series 11 Version 19 2I65BRIJ1 12/1/2011
CDX.NA.HY Series 12 Version 10 2I65BRIK8 12/1/2011
CDX.NA.HY Series 13 Version 4 2I65BRIL6 12/1/2011
CDX.NA.HY Series 14 Version 3 2I65BRIM4 12/1/2011
CDX.NA.HY Series 15 Version 3 2I65BRIN2 12/1/2011
Dow Jones CDX.NA.HY.HB Series 3 Version 10 2I65BWDZ9 12/1/2011
Dow Jones CDX.NA.HY.HB Series 4 Version 13 2I65BWEV7 12/1/2011
Dow Jones CDX.NA.HY.HB Series 5 Version 16 2I65BWEW5 12/1/2011
Dow Jones CDX.NA.HY.HB Series 6 Version 13 2I65BWEX3 12/1/2011
Dow Jones CDX.NA.HY.HB Series 7 Version 13 2I65BWEY1 12/1/2011
CDX.NA.HY.HB Series 8 Version 13 2I65BWEZ8 12/1/2011
CDX.NA.HY.HB Series 9 Version 13 2I65BWFA2 12/1/2011
CDX.NA.HY.HB Series 10 Version 14 2I65BWFB0 12/1/2011
CDX.NA.HY.HB Series 11 Version 16 2I65BWFC8 12/1/2011
CDX.NA.HY.HB Series 12 Version 9 2I65BWFD6 12/1/2011
CDX.NA.HY.HB Series 13 Version 3 2I65BWFE4 12/1/2011
CDX.NA.HY.HB Series 14 Version 2 2I65BWFF1 12/1/2011
CDX.NA.HY.HB Series 15 Version 2 2I65BWFG9 12/1/2011
 
New versions of Markit CDX Indices issued due to credit event of The PMI Group, Inc.

30 November 2011 - A bankruptcy credit event has been confirmed for The PMI Group, Inc., by the ISDA Determinations Committee. An auction is expected to be held to settle CDS trades on the entity. New Version for all affected series of the Markit CDX index have been issued with an annex date of 29 November 2011. The new RED codes are as follows:

Index

SeriesVersionOn the RunRED Code
CDX.NA.HY163N2I65BRHX1
CDX.NA.HY173N2I65BRHY9

 

 
Markit CDX Indices set to reversion due to credit event of DYNEGY HOLDINGS, LLC

9 November 2011 - A bankruptcy credit event has been confirmed for DYNEGY HOLDINGS, LLC, by the ISDA Determinations Committee. An auction is expected to be held to settle CDS trades on the entity. New Version for all affected series of the Markit CDX index have been issued with an annex date of 9 November 2011. Details of the new versions, including RED codes and index factors, are available in the RED Index Annex XML file.

Below is the list of affected indices

Index

SeriesVersionRED Index Code
CDX NA HY1122I65BRDW7
CDX NA HY2152I65BRDX5
CDX NA HY3162I65BRDY3
CDX NA HY4172I65BRDZ0
CDX NA HY5192I65BREW6
CDX NA HY6172I65BRFF2
CDX NA HY7172I65BRGX2
CDX NA HY8182I65BRHN3
CDX NA HY9192I65BRHO1
CDX NA HY10182I65BRHP8
CDX NA HY11182I65BRHQ6
CDX NA HY1292I65BRHR4
CDX NA HY1332I65BRHS2
CDX NA HY1422I65BRHT0
CDX NA HY1522I65BRHU7
CDX NA HY1622I65BRHV5
CDX NA HY1722I65BRHW3
CDX NA HY B6102I65BSBO5
CDX NA HY B782I65BSBP2
CDX NA HY B9112I65BSBQ0
CDX NA HY B1092I65BSBR8
CDX NA HY B1172I65BSBS6
CDX NA HY B1222I65BSBT4
CDX NA HY B1322I65BSBU1
CDX NA HY B1422I65BSBV9
CDX NA HY B1522I65BSBW7
CDX NA HY HB392I65BWDW6
CDX NA HY HB4122I65BWDX4
CDX NA HY HB5152I65BWDY2
 
Markit Publishes Final Annexes for Markit CDX.NA.HY.17 and sub-indices

Markit CDX.NA.HY.17-V1 Annex
Markit CDX.NA.HY.BB.17-V1 Annex
Markit CDX.NA.HY.B.17-V1 Annex
 
Name Change for Constituent of Markit CDX.NA.HY.17
26 September 2011 – In accordance with the decision of the ISDA DC, the name of Dynegy Holdings, Inc., has been amended to Dynegy Holdings, LLC, in the final annex of Markit CDX.NA.HY.17.
 
Fixed Coupons for Markit CDX.HY Indices

22 September 2011 - The fixed coupons have been determined for the Markit CDX Indices scheduled to roll on 27 September, 2011. Below is a table of the indices with their associated fixed coupons for each maturity.

Fixed Coupon Rate (bps)

3Y

5Y

7Y

10Y

Markit CDX.NA.HY.17

500

500

500

500

Markit CDX.NA.HY.B.17

-

500

-

-

Markit CDX.NA.HY.BB.17

-

500

-

-

 
Markit Publishes Final Annexes for Markit CDX.NA.IG.17 and sub-indices

Markit CDX.NA.IG.17-V1 Annex
Markit CDX.NA.IG.CONS.17-V1 Annex
Markit CDX.NA.IG.ENRG.17-V1 Annex
Markit CDX.NA.IG.FIN.17-V1 Annex
Markit CDX.NA.IG.HVOL.17-V1 Annex
Markit CDX.NA.IG.INDU.17-V1 Annex
Markit CDX.NA.IG.TMT.17-V1 Annex
 
Markit Publishes Final Annex for Markit CDX.EM.16

Markit CDX.EM.16-V1 Annex
 
Provisional list of Constituents for Sub-indices of Markit CDX.NA.HY.17

19 September 2011 – Listed below are the expected constituents of the Markit CDX.NA.HY.B.17 and Markit CDX.NA.HY.BB.17 sub-indices. Please note that these lists remain provisional till publication of the final annexes.

CDX.NA.HY.B ConstituentsMarkit CDX.NA.HY.BB Constituents
ADVANCED MICRO DEVICES, INC.AK Steel Corporation
Alcatel-Lucent USA Inc.Amkor Technology, Inc.
Ally Financial Inc.Belo Corp.
American Axle & Manufacturing, Inc.BOMBARDIER INC.
ARAMARK CorporationChesapeake Energy Corporation
Avis Budget Group, Inc.CMS Energy Corporation
BRUNSWICK CORPORATIONCSC Holdings, LLC
Community Health Systems, Inc.Dillard's, Inc.
Cooper Tire & Rubber CompanyDISH DBS Corporation
Dean Foods CompanyEl Paso Corporation
FOREST OIL CORPORATIONFord Motor Company
GenOn Energy, Inc.FRONTIER COMMUNICATIONS CORPORATION
HCA Inc.Gannett Co., Inc.
Iron Mountain IncorporatedHealth Management Associates, Inc.
iStar Financial Inc.Host Hotels & Resorts, L.P.
KB HomeInternational Lease Finance Corporation
Lennar CorporationKinder Morgan Kansas, Inc.
Levi Strauss & Co.Limited Brands, Inc.
Liberty Media LLCLouisiana-Pacific Corporation
MBIA Insurance CorporationNOVA CHEMICALS CORPORATION
Meritor, Inc.NRG Energy, Inc.
Olin CorporationOwens-Illinois, Inc.
Parker Drilling CompanyPioneer Natural Resources Company
Sanmina-SCI CorporationPolyOne Corporation
SEARS ROEBUCK ACCEPTANCE CORP.R.R. Donnelley & Sons Company
Smithfield Foods, Inc.RadioShack Corporation
Springleaf Finance CorporationROYAL CARIBBEAN CRUISES LTD.
Standard Pacific Corp.Saks Incorporated
SunGard Data Systems Inc.Seagate Technology HDD Holdings
SUPERVALU INC.SPRINT NEXTEL CORPORATION
The Goodyear Tire & Rubber CompanyStarwood Hotels & Resorts Worldwide, Inc.
The Hertz CorporationSunoco, Inc.
The Neiman Marcus Group, Inc.Tesoro Corporation
THE NEW YORK TIMES COMPANYTextron Financial Corporation
TOYS "R" US, INC.The AES Corporation
United Rentals (North America), Inc.TRW Automotive Inc.
Universal Health Services, Inc.Unisys Corporation
 Vulcan Materials Company
 Weyerhaeuser Company
 Windstream Corporation
 
Fixed Coupons for Markit CDX.IG and CDX.EM Indices

15 September 2011 - The fixed coupons have been determined for the Markit CDX Indices scheduled to roll on 20 September, 2011. Below is a table of the indices with their associated fixed coupons for each maturity. 

Fixed Coupon Rate (bps)

1Y2Y3Y5Y7Y10Y
Markit CDX.NA.IG.17100100100100100100
Markit CDX.NA.IG.HVOL.17100100100100100100
Markit CDX.EM.16------500--500
 
Updated provisional list of changes for Markit CDX.NA.HY.17

15 September 2011 - Following are the changes expected for the upcoming Markit CDX.NA.HY.17 index that is set to roll on 27 September, 2011. Based on feedback received, the list has been updated to achieve the goal of selecting liquid, high yield constituents. Please note that these changes remain provisional till publication of the finalized annex for the index.

Initial  Removals

Initial Additions

Domtar Corporation

Health Management Associates, Inc.

Macy's, Inc.

Seagate Technology HDD Holdings

Qwest Capital Funding, Inc.

Bausch & Lomb Incorporated

Temple-Inland Inc.

Sunoco, Inc.

Nalco Company

R.R. Donnelley & Sons Company

Additional Sector-Based Removals

Additional Sector-Based Additions

GEORGIA-PACIFIC LLC

SEARS ROEBUCK ACCEPTANCE CORP.

MEDIACOM LLC

Vulcan Materials Company

Rating-Based Removals

Rating-Based Additions

UNIVISION COMMUNICATIONS INC.

Springleaf Finance Corporation

Affiliate Removals

Affiliate Additions

Energy Future Holdings Corp.

Texas Competitive Electric Holdings Company LLC

Avis Budget Car Rental, LLC

Avis Budget Group, Inc.

 
Provisional RED code for Markit CDX index set to roll in September, 2011

14 September, 2011 - Below are the new index names and provisional 9-digit RED codes.

Indices NameRed Code
CDX.NA.HY.17-V12I65BRHM5
CDX.NA.HY.B.17-V12I65BSEN4
CDX.NA.HY.BB.17-V12I65BVBY6
CDX.EM.16-V12I65BZAP7
CDX.NA.IG.17-V12I65BYCN3
CDX.NA.IG.CONS.17-V12I65B0AS8
CDX.NA.IG.ENRG.17-V12I65B1AS6
CDX.NA.IG.FIN.17-V12I65B2CJ2
CDX.NA.IG.HVOL.17-V12I65B3AS2
CDX.NA.IG.INDU.17-V12I65B4AX9
CDX.NA.IG.TMT.17-V12I65DJBA3

 
Provisional List of Changes for Markit CDX.NA.HY.17

14 September 2011 – Following are the changes expected to be implemented for the upcoming Markit CDX.NA.HY.17 index that is set to roll on 27 September, 2011. This list remains provisional till publication of the finalized annex for the index.

Initial  Removals

Initial Additions

Domtar Corporation

Health Management Associates, Inc.

Macy's, Inc.

Seagate Technology HDD Holdings

Qwest Capital Funding, Inc.

Bausch & Lomb Incorporated

Temple-Inland Inc.

Sunoco, Inc.

Additional Sector-Based Removals

Additional Sector-Based Additions

GEORGIA-PACIFIC LLC

R.R. Donnelley & Sons Company

MEDIACOM LLC

Newfield Exploration Company

Ratings-Based Removals

Ratings-Based Additions

Liz Claiborne, Inc.

SEARS ROEBUCK ACCEPTANCE CORP.

Affiliate Removals

Affiliate Additions

Energy Future Holdings Corp.

Texas Competitive Electric Holdings Company LLC

Avis Budget Car Rental, LLC

Avis Budget Group, Inc.

 
Provisional List of Changes for Sub-Indices of Markit CDX.NA.IG.17

13 September 2011 – Listed below are the changes expected in the sector based sub-indices with the upcoming roll of Markit CDX.NA.IG.17.

Index

Entities Removed

Entities Added

Markit CDX.NA.IG.ENRG.17

Progress Energy, Inc.

Nabors Industries, Inc.

 

 

 

 

 

 

Index

Entities Removed

Entities Added

Markit CDX.NA.IG.CONS.17

THE TJX COMPANIES, INC.

Boston Scientific Corporation

 

 

H. J. Heinz Company

 

 

Macy's, Inc.

 

 

THE GAP, INC.

 

 

 

Index

Entities Removed

Entities Added

Markit CDX.NA.IG.INDU.17

Toll Brothers, Inc.

 

 

 

 

Index

Entities Removed

Entities Added

Markit CDX.NA.IG.TMT.17

AT&T Mobility LLC

 

 

R.R. Donnelley & Sons Company

 

 

 

 

Index

Entities Removed

Entities Added

Markit CDX.NA.IG.FIN.17

Capital One Financial Corporation

Capital One Bank (USA), National Association

 
Provisional list of HVOL constituents for Markit CDX.NA.IG.17

13 September 2011 – Following are the constituents expected in the HVOL sub-index of Markit CDX.NA.IG.17, set to roll on 20 September 2011. The 30 names selected are the constituents with the widest average CDS spreads over the past 90 days.

 

Provisional List of Markit CDX.NA.IG.HVOL 17

Alcoa Inc.

American International Group, Inc.

Arrow Electronics, Inc.

Avnet, Inc.

Berkshire Hathaway Inc.

CA, Inc.

CenturyLink, Inc.

Computer Sciences Corporation

Expedia, Inc.

FirstEnergy Corp.

Freeport-McMoRan Copper & Gold Inc.

GATX Corporation

General Electric Capital Corporation

International Paper Company

Kinder Morgan Energy Partners, L.P.

M.D.C. Holdings, Inc.

MetLife, Inc.

National Rural Utilities Cooperative Finance Corporation

Newell Rubbermaid Inc.

Pitney Bowes Inc.

SLM Corporation

Southwest Airlines Co.

THE GAP, INC.

THE HARTFORD FINANCIAL SERVICES GROUP, INC.

Transocean Inc.

Tyson Foods, Inc.

Valero Energy Corporation

Whirlpool Corporation

XL Group Ltd.

Xerox Corporation

 
Markit iBoxx HY Ratings Breakdown for Markit CDX.NA.HY.17

12 September 2011 - As per the CDX rules, below are the rating and sector weights sourced from the most recent series of the Markit iBoxx USD Liquid High Yield Index. These will be used to determine the constituent allocations for the upcoming Markit CDX.NA.HY.17 index.  Please refer to the rule book for further clarification.

RatingPercentage
B 38.96
BB 39.19
CCC and below 20.95

Sectors% Weight as per Capped Market Value
Basic Materials  6.02
Consumer Goods  5.43
Consumer Services 15.72
Financials 13.58
Health Care 8.91
Industrials 9.90
Oil & Gas 10.76
Technology 10.41
Telecommunications 11.19
Utilities  8.09

 
Updated provisional list of changes for Markit CDX.NA.IG.17

9 September 2011 – Following are the changes expected for the upcoming Markit CDX.NA.IG.17 index that is set to roll on 20 September, 2011. Based on feedback received, the list has been updated to achieve the goal of selecting highly liquid, investment grade constituents. Please note that these changes remain provisional till publication of the finalized annex for the index.

Ratings-based RemovalsRatings-based Additions
R.R. Donnelley & Sons Company 
Toll Brothers, Inc. 
Liquidity-based RemovalsLiquidity-based Additions
THE TJX COMPANIES, INC.Macy's, Inc.
 THE GAP, INC.
 Boston Scientific Corporation
Affiliate RemovalsAffiliate Additions
AT&T Mobility LLCCapital One Bank (USA), National Association
Progress Energy, Inc. 
Capital One Financial Corporation 
Subsequent Liquidity-based RemovalsSubsequent Liquidity-based Additions
 Nabors Industries, Inc.
 H. J. Heinz Company

 

 
Provisional List of Changes for Markit CDX.NA.IG.17

8 September 2011 - Following are the changes expected to be implemented for the upcoming Markit CDX.NA.IG.17 index that is set to roll on 20 September, 2011. Please note that this list remains provisional till publication of the finalized annex for the index.

 

Ratings-based Removals

Ratings-based Additions
R.R. Donnelley & Sons Company 
Toll Brothers, Inc. 
Liquidity-based RemovalsLiquidity-based Additions
THE TJX COMPANIES, INC.Macy's, Inc.
 ASSURED GUARANTY MUNICIPAL CORP.
 THE GAP, INC.
 Temple-Inland Inc.
 Genworth Financial, Inc.
 Boston Scientific Corporation
 Block Financial LLC
Affiliate RemovalsAffiliate Additions
AT&T Mobility LLC 
Duke Energy Carolinas, LLC 
Subsequent Liquidity-based RemovalsSubsequent Liquidity-based Additions
Cisco Systems, Inc. 
ERP Operating Limited Partnership 
 
Composition of Markit CDX.EM.16 Index Determined

6 September 2011 - Following a round of voting, as per the Markit CDX rules, it has been determined that there will be no changes to the composition and weighting of the upcoming Markit CDX.EM.16 index.

Voting on coupons for this index is scheduled for 15 September, 2011. The index is set to roll on 20 September, 2011.

 
Markit CDX Roll Timeline

26 August 2011 - The index roll timelines for the Markit CDX indices are available.

 
Markit CDX IG Roll Timeline - Sep 2011
Markit CDX HY Roll Timeline - Sep 2011
Markit CDX EM Roll Timeline - Sep 2011
 
Fixed Coupons for Markit CDX.HY Indices

24 March 2011 - Fixed coupons for the Markit CDX.HY Indices scheduled to roll on 28 March, 2011, are listed in the table below.

Fixed Coupon Rate (bps)3Y5Y7Y10Y
Markit CDX.NA.HY.16500500500500
Markit CDX.NA.HY.B.16-500--
Markit CDX.NA.HY.BB.16-500--
 
Name Change for Constituent of Markit CDX.NA.HY.16
23 March 2011 - Please note that Kinder Morgan, Inc. has gone through a name change and is now known as Kinder Morgan Kansas, Inc. The new name is the one being added to the index.
 
Provisional list of Constituents for Sub-indices of Markit CDX.NA.HY.16

March 21 2011 – Listed below are the expected constituents of the Markit CDX.NA.HY.BB.16 and  Markit CDX.NA.HY.B.16 sub-indices. Please note that these lists remain provisional till publication of the final annexes.

CDX.NA.HY.BB ConstituentsCDX.NA.HY.B Constituents
AK Steel CorporationADVANCED MICRO DEVICES, INC.
Amkor Technology, Inc.Alcatel-Lucent USA Inc.
BOMBARDIER INC.Ally Financial Inc.
Chesapeake Energy CorporationAmerican Axle & Manufacturing, Inc.
CMS Energy CorporationARAMARK Corporation
CSC Holdings, LLCArvinMeritor, Inc.
Dillard's, Inc.Avis Budget Car Rental, LLC
DISH DBS CorporationBelo Corp.
Domtar CorporationCommunity Health Systems, Inc.
El Paso CorporationCooper Tire & Rubber Company
Ford Motor CompanyDean Foods Company
FRONTIER COMMUNICATIONS CORPORATIONFOREST OIL CORPORATION
GEORGIA-PACIFIC LLCGannett Co., Inc.
Host Hotels & Resorts, L.P.GenOn Energy, Inc.
International Lease Finance CorporationIron Mountain Incorporated
Kinder Morgan, Inc.KB Home
Liberty Media LLCLennar Corporation
Limited Brands, Inc.Levi Strauss & Co.
Louisiana-Pacific CorporationMBIA Insurance Corporation
Macy's, Inc.MEDIACOM LLC
Nalco CompanyMGIC Investment Corporation
NRG Energy, Inc.NOVA CHEMICALS CORPORATION
Owens-Illinois, Inc.Olin Corporation
Pioneer Natural Resources CompanyParker Drilling Company
PolyOne CorporationSanmina-SCI Corporation
Qwest Capital Funding, Inc.Smithfield Foods, Inc.
RadioShack CorporationStandard Pacific Corp.
ROYAL CARIBBEAN CRUISES LTD.SunGard Data Systems Inc.
Saks IncorporatedSUPERVALU INC.
SPRINT NEXTEL CORPORATIONThe Goodyear Tire & Rubber Company
Starwood Hotels & Resorts Worldwide, Inc.The Hertz Corporation
Temple-Inland Inc.THE NEW YORK TIMES COMPANY
Tesoro CorporationUnisys Corporation
Textron Financial CorporationUnited Rentals (North America), Inc.
The AES Corporation 
TRW Automotive Inc. 
Universal Health Services, Inc. 
Weyerhaeuser Company 
Windstream Corporation 
 
Fixed Coupons for Markit CDX Indices Scheduled to Roll on 20 March, 2011

16 March, 2011 - The fixed coupons have been determined for the Markit CDX Indices scheduled to roll on 20 March, 2011. Below is a table of the indices with their associated fixed coupons for each maturity.

Fixed Coupon Rate (bps)1Y2Y3Y5Y7Y10Y
Markit CDX.NA.IG.16100100100100100100
Markit CDX.NA.IG.HVOL.16100100100100100100
Markit CDX.EM.15------500--500
 
Provisional RED code for Markit CDX index set to roll in March, 2011

16 March, 2011 - Below are the new index names and provisional 9-digit RED codes.

Index NameRED-9
CDX.NA.IG.162I65BYCM5
CDX.NA.IG.CONS.162I65B0AR0
CDX.NA.IG.ENRG.162I65B1AR8
CDX.NA.IG.FIN.162I65B2CI4
CDX.NA.IG.HVOL.162I65B3AR4
CDX.NA.IG.INDU.162I65B4AW1
CDX.NA.IG.TMT.162I65DJAZ9
CDX.NA.HY.162I65BRHL7
CDX.NA.HY.B.162I65BSEM6
CDX.NA.HY.BB.162I65BVBX8
CDX.EM.152I65BZAO0
 
Updated provisional list of changes for Markit CDX.NA.HY.16

16 March 2011 - Following are the changes expected for the upcoming Markit CDX.NA.HY.16 index that is set to roll on 28 March, 2011. Based on feedback received, the list has been updated to achieve the goal of selecting high yield constituents that best meet the criteria specified by the rules. Please note that these changes remain provisional till publication of the finalized annex for the index. 

Expected AdditionsExpected Removals
MBIA Insurance CorporationMBIA Inc.
The PMI Group, Inc.Tyson Foods, Inc.
Kinder Morgan, Inc.FLEXTRONICS INTERNATIONAL LTD.
Pioneer Natural Resources CompanyPride International, Inc.
MGIC Investment CorporationMassey Energy Company
Universal Health Services, Inc.Dole Food Company, Inc.
Parker Drilling CompanyAMR Corporation
Alcatel-Lucent USA Inc.Constellation Brands, Inc.
Olin CorporationBEAZER HOMES USA, INC.
 
Provisional List of Changes for Markit CDX.NA.HY.16

15 March 2011 – Following are the changes expected to be implemented for the upcoming Markit CDX.NA.HY.16 index that is set to roll on 28 March, 2011. This list remains provisional till publication of the finalized annex for the index.

Please note that Pride International, Inc. and Massey Energy Company, constituents of the current Markit CDX.NA.HY.15 index, have announced impending mergers. However, since the ISDA DC has not initiated review, Markit will solicit a vote from Eligible HY Members to determine whether these names should be removed from the upcoming index.

AdditionsRemovals
MBIA Insurance CorporationMBIA Inc.
The PMI Group, Inc.Tyson Foods, Inc.
Kinder Morgan, Inc.FLEXTRONICS INTERNATIONAL LTD.
MGIC Investment CorporationDole Food Company, Inc.
Boston Scientific CorporationAMR Corporation
Parker Drilling CompanyConstellation Brands, Inc.
Alcatel-Lucent USA Inc.BEAZER HOMES USA, INC.
 
Provisional Lift of Changes for Sub-Indices of Markit CDX.NA.IG.16

14 March 2011 – Listed below are the changes expected in the sector based sub-indices with the upcoming roll of Markit CDX.NA.IG.16 on March 21, 2011.

 
Index Removals Additions
Markit CDX.NA.IG.CONS.16 Staples, Inc. Expedia, Inc.
Tyson Foods, Inc.
 
Index Removals Additions
Markit CDX.NA.IG.ENRG.16 XTO Energy Inc.
 
Index Removals Additions
Markit CDX.NA.IG.FIN.16 Boston Properties Limited Partnership Berkshire Hathaway Inc.
Capital One Bank (USA), National Association Capital One Financial Corporation
XL Capital LTD XL Group Ltd.
 
Index Removals Additions
Markit CDX.NA.IG.INDU.16 Burlington Northern Santa Fe, LLC
 
Index Removals Additions
Markit CDX.NA.IG.TMT.16 MOTOROLA, INC Motorola Solutions, Inc.
Pitney Bowes Inc.
 
Provisional list of HVOL constituents for Markit CDX.NA.IG.16

14 March 2011 – Following are the constituents expected in the HVOL sub-index of Markit CDX.NA.IG.16, set to roll on 21 March 2011. The 30 names selected are the constituents with the largest average CDS spreads over the past 90 days.

 

 

HVOL Constituents
SLM Corporation
R.R. Donnelley & Sons Company
American International Group, Inc.
Toll Brothers, Inc.
Alcoa Inc.
Tyson Foods, Inc.
Sara Lee Corporation
FirstEnergy Corp.
M.D.C. Holdings, Inc.
THE HARTFORD FINANCIAL SERVICES GROUP, INC.
Constellation Energy Group, Inc.
Whirlpool Corporation
Quest Diagnostics Incorporated
Expedia, Inc.
GATX Corporation
MetLife, Inc.
National Rural Utilities Cooperative Finance Corporation
CenturyLink, Inc.
Pitney Bowes Inc.
Computer Sciences Corporation
Anadarko Petroleum Corporation
Avnet, Inc.
Transocean Inc.
Safeway Inc.
Valero Energy Corporation
Fortune Brands, Inc.
XL Group Ltd
Arrow Electronics, Inc.
Motorola Solutions Inc
Newell Rubbermaid Inc.
 
Markit CDX.NA.IG: Markit iBoxx HY Ratings Breakdown

11 March 2011 - As per the CDX rules, below are the rating weights that will be used to determine the rating allocations for the upcoming Markit CDX.NA.IG.16 index.  Please refer to the rule book for further clarification.

 

iBoxx Ratings Breakdown%
BB33.15
B46.41
CCC and below20.44
 
Updated provisional list of changes for Markit CDX.NA.IG.16

9 March 2011 – Following are the changes expected for the upcoming Markit CDX.NA.IG.16 index that is set to roll on 21 March, 2011. Based on feedback received, the list has been updated to achieve the goal of selecting highly liquid, investment grade constituents. Please note that these changes remain provisional till publication of the finalized annex for the index.  

 

Liquidity-based AdditionsLiquidity-based Removals
Tyson Foods, Inc.Staples, Inc.
Pitney Bowes Inc.XTO Energy Inc.
Expedia, Inc.Boston Properties Limited Partnership
Replacement AdditionsReplacement Removals
Berkshire Hathaway Inc.Burlington Northern Santa Fe, LLC
Capital One Financial CorporationCapital One Bank (USA), National Association
Previous NamesRenames
MOTOROLA, INCMotorola Solutions, Inc.
XL CAPITAL LTDXL Group Ltd.
 
Provisional list of changes for Markit CDX.NA.IG.16

8 March 2011 – Following are the changes expected to be implemented for the upcoming Markit CDX.NA.IG.16 index that is set to roll on 21 March, 2011. Please note that this list remains provisional till publication of the finalized annex for the index.

 

Liquidity-based AdditionsLiquidity-based Removals
Block Financial LLCERP Operating Limited Partnership
ASSURED GUARANTY MUNICIPAL CORP.Cisco Systems, Inc.
Tyson Foods, Inc.Staples, Inc.
Pitney Bowes Inc.XTO Energy Inc.
Expedia, Inc.Boston Properties Limited Partnership
Replacement AdditionsReplacement Removals
Berkshire Hathaway Inc.Burlington Northern Santa Fe, LLC
Capital One Financial CorporationCapital One Bank (USA), National Association
Previous NamesRenames
MOTOROLA, INCMotorola Solutions, Inc.
XL CAPITAL LTDXL Group Ltd.
 
Composition of Markit CDX.EM.15 Index Determined

8 March, 2011 - Following a round of voting, as per the Markit CDX rules, it has been determined that there will be no changes to the composition and weighting of the Markit CDX.EM.15 index for this roll.

Voting on the index coupons for this index is scheduled for 16 March, 2011. The index is set to roll on 21 March, 2011.

 
Markit CDX.NA.HY Index: Markit iBoxx USD Liquid High Yield Index

4 March 2011  – The Following are sector weights of the most recent series of Markit iBoxx USD Liquid High Yield Index:

 

Markit iBoxx USD Liquid High Yield Sector Weights
Sector% Weight as per Capped Market Value
Basic Materials6.58%
Consumer Goods5.59%
Consumer Services16.55%
Financials15.34%
Health Care8.27%
Industrials7.91%
Oil & Gas10.91%
Technology9.80%
Telecommunications12.04%
Utilities7.01%
 
Markit CDX Indices: Rule changes

2 March 2011 – The Following are changes to certain rules governing its Markit CDX North America Investment Grade (IG) and High Yield (HY) credit default swap (CDS) indices.  The new rules will come into effect prior to index roll into Series 16 on 21 March 2011 for CDX Investment Grade Index and 28 March  2011 for CDX High Yield Index.


Rules Change for the Markit CDX.NA Index Series
·         Introduction of the use of CDS trade volume data from The Depository Trust & Clearing Corporation’s (DTCC) Trade Information Warehouse (TIW) for determining which entities will be included in the Markit CDX IG and HY indices at each index roll.  Liquidity rankings will use the last six months of DTCC’s market risk activity for the Top 1000 names.  The entities will be ranked by averaging the previous six month of weekly Gross Notional trade activity, starting from the last Friday of the month prior to the roll date and going six months back.  

 

Rules Change Specific to Markit CDX.NA.IG Index
·         Additions and removals will be determined using the publicly available data on CDS market activity as defined in Section IV Weekly Trading Activity (WTA) data from DTCC TIW.

 

Rules Change Specific to Markit CDX.NA.HY Index
·         The weightings in the index will be aligned more closely to the index weightings of the Markit iBoxx Liquid High Yield Index.  Trade activity data from DTCC TIW and iBoxx Liquid high Yield sector weights will be used to select new constituents of the index.

 

The complete set of rules to incorporate this data will be available next week on
www.markit.com.
 
Markit CDX Roll Timeline

01 March 2011 - the index roll timelines for the Markit CDX indices are available.

 
Markit CDX IG Roll Timeline - Mar 2011
 
Markit CDX HY Roll Timeline - Mar 2011
 
Markit CDX EM Roll Timeline - Mar 2011
 
Markit CDX Roll Process
28 February, 2011 - The timelines for Markit CDX roll in March 2011 will be available soon.