| 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 | Series | Version | On the Run | RED Code | | CDX.NA.HY | 16 | 3 | N | 2I65BRHX1 | | CDX.NA.HY | 17 | 3 | N | 2I65BRHY9 |
|
| 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 | Series | Version | RED Index Code | | CDX NA HY | 1 | 12 | 2I65BRDW7 | | CDX NA HY | 2 | 15 | 2I65BRDX5 | | CDX NA HY | 3 | 16 | 2I65BRDY3 | | CDX NA HY | 4 | 17 | 2I65BRDZ0 | | CDX NA HY | 5 | 19 | 2I65BREW6 | | CDX NA HY | 6 | 17 | 2I65BRFF2 | | CDX NA HY | 7 | 17 | 2I65BRGX2 | | CDX NA HY | 8 | 18 | 2I65BRHN3 | | CDX NA HY | 9 | 19 | 2I65BRHO1 | | CDX NA HY | 10 | 18 | 2I65BRHP8 | | CDX NA HY | 11 | 18 | 2I65BRHQ6 | | CDX NA HY | 12 | 9 | 2I65BRHR4 | | CDX NA HY | 13 | 3 | 2I65BRHS2 | | CDX NA HY | 14 | 2 | 2I65BRHT0 | | CDX NA HY | 15 | 2 | 2I65BRHU7 | | CDX NA HY | 16 | 2 | 2I65BRHV5 | | CDX NA HY | 17 | 2 | 2I65BRHW3 | | CDX NA HY B | 6 | 10 | 2I65BSBO5 | | CDX NA HY B | 7 | 8 | 2I65BSBP2 | | CDX NA HY B | 9 | 11 | 2I65BSBQ0 | | CDX NA HY B | 10 | 9 | 2I65BSBR8 | | CDX NA HY B | 11 | 7 | 2I65BSBS6 | | CDX NA HY B | 12 | 2 | 2I65BSBT4 | | CDX NA HY B | 13 | 2 | 2I65BSBU1 | | CDX NA HY B | 14 | 2 | 2I65BSBV9 | | CDX NA HY B | 15 | 2 | 2I65BSBW7 | | CDX NA HY HB | 3 | 9 | 2I65BWDW6 | | CDX NA HY HB | 4 | 12 | 2I65BWDX4 | | CDX NA HY HB | 5 | 15 | 2I65BWDY2 |
|
Markit Publishes Final Annexes for Markit CDX.NA.HY.17 and sub-indices
| 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 Publishes Final Annex for Markit CDX.EM.16
| 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 Constituents | Markit 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 Corporation | Chesapeake Energy Corporation | | Avis Budget Group, Inc. | CMS Energy Corporation | | BRUNSWICK CORPORATION | CSC Holdings, LLC | | Community Health Systems, Inc. | Dillard's, Inc. | | Cooper Tire & Rubber Company | DISH DBS Corporation | | Dean Foods Company | El Paso Corporation | | FOREST OIL CORPORATION | Ford Motor Company | | GenOn Energy, Inc. | FRONTIER COMMUNICATIONS CORPORATION | | HCA Inc. | Gannett Co., Inc. | | Iron Mountain Incorporated | Health Management Associates, Inc. | | iStar Financial Inc. | Host Hotels & Resorts, L.P. | | KB Home | International Lease Finance Corporation | | Lennar Corporation | Kinder Morgan Kansas, Inc. | | Levi Strauss & Co. | Limited Brands, Inc. | | Liberty Media LLC | Louisiana-Pacific Corporation | | MBIA Insurance Corporation | NOVA CHEMICALS CORPORATION | | Meritor, Inc. | NRG Energy, Inc. | | Olin Corporation | Owens-Illinois, Inc. | | Parker Drilling Company | Pioneer Natural Resources Company | | Sanmina-SCI Corporation | PolyOne Corporation | | SEARS ROEBUCK ACCEPTANCE CORP. | R.R. Donnelley & Sons Company | | Smithfield Foods, Inc. | RadioShack Corporation | | Springleaf Finance Corporation | ROYAL 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 Company | Starwood Hotels & Resorts Worldwide, Inc. | | The Hertz Corporation | Sunoco, Inc. | | The Neiman Marcus Group, Inc. | Tesoro Corporation | | THE NEW YORK TIMES COMPANY | Textron 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) | 1Y | 2Y | 3Y | 5Y | 7Y | 10Y | | Markit CDX.NA.IG.17 | 100 | 100 | 100 | 100 | 100 | 100 | | Markit CDX.NA.IG.HVOL.17 | 100 | 100 | 100 | 100 | 100 | 100 | | 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 Name | Red Code | | CDX.NA.HY.17-V1 | 2I65BRHM5 | | CDX.NA.HY.B.17-V1 | 2I65BSEN4 | | CDX.NA.HY.BB.17-V1 | 2I65BVBY6 | | CDX.EM.16-V1 | 2I65BZAP7 | | CDX.NA.IG.17-V1 | 2I65BYCN3 | | CDX.NA.IG.CONS.17-V1 | 2I65B0AS8 | | CDX.NA.IG.ENRG.17-V1 | 2I65B1AS6 | | CDX.NA.IG.FIN.17-V1 | 2I65B2CJ2 | | CDX.NA.IG.HVOL.17-V1 | 2I65B3AS2 | | CDX.NA.IG.INDU.17-V1 | 2I65B4AX9 | | CDX.NA.IG.TMT.17-V1 | 2I65DJBA3 |
|
| 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 |
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| 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. | Rating | Percentage | | 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 Removals | Ratings-based Additions | | R.R. Donnelley & Sons Company | | | Toll Brothers, Inc. | | | Liquidity-based Removals | Liquidity-based Additions | | THE TJX COMPANIES, INC. | Macy's, Inc. | | | THE GAP, INC. | | | Boston Scientific Corporation | | Affiliate Removals | Affiliate Additions | | AT&T Mobility LLC | Capital One Bank (USA), National Association | | Progress Energy, Inc. | | | Capital One Financial Corporation | | | Subsequent Liquidity-based Removals | Subsequent Liquidity-based Additions | | | Nabors Industries, Inc. | | | H. J. Heinz Company |
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| 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 Removals | Liquidity-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 Removals | Affiliate Additions | | AT&T Mobility LLC | | | Duke Energy Carolinas, LLC | | | Subsequent Liquidity-based Removals | Subsequent Liquidity-based Additions | | Cisco Systems, Inc. | | | ERP Operating Limited Partnership | |
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| 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. |
| 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) | 3Y | 5Y | 7Y | 10Y |
|---|
| Markit CDX.NA.HY.16 | 500 | 500 | 500 | 500 | | 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 Constituents | CDX.NA.HY.B Constituents |
|---|
| AK Steel Corporation | ADVANCED MICRO DEVICES, INC. | | Amkor Technology, Inc. | Alcatel-Lucent USA Inc. | | BOMBARDIER INC. | Ally Financial Inc. | | Chesapeake Energy Corporation | American Axle & Manufacturing, Inc. | | CMS Energy Corporation | ARAMARK Corporation | | CSC Holdings, LLC | ArvinMeritor, Inc. | | Dillard's, Inc. | Avis Budget Car Rental, LLC | | DISH DBS Corporation | Belo Corp. | | Domtar Corporation | Community Health Systems, Inc. | | El Paso Corporation | Cooper Tire & Rubber Company | | Ford Motor Company | Dean Foods Company | | FRONTIER COMMUNICATIONS CORPORATION | FOREST OIL CORPORATION | | GEORGIA-PACIFIC LLC | Gannett Co., Inc. | | Host Hotels & Resorts, L.P. | GenOn Energy, Inc. | | International Lease Finance Corporation | Iron Mountain Incorporated | | Kinder Morgan, Inc. | KB Home | | Liberty Media LLC | Lennar Corporation | | Limited Brands, Inc. | Levi Strauss & Co. | | Louisiana-Pacific Corporation | MBIA Insurance Corporation | | Macy's, Inc. | MEDIACOM LLC | | Nalco Company | MGIC Investment Corporation | | NRG Energy, Inc. | NOVA CHEMICALS CORPORATION | | Owens-Illinois, Inc. | Olin Corporation | | Pioneer Natural Resources Company | Parker Drilling Company | | PolyOne Corporation | Sanmina-SCI Corporation | | Qwest Capital Funding, Inc. | Smithfield Foods, Inc. | | RadioShack Corporation | Standard Pacific Corp. | | ROYAL CARIBBEAN CRUISES LTD. | SunGard Data Systems Inc. | | Saks Incorporated | SUPERVALU INC. | | SPRINT NEXTEL CORPORATION | The Goodyear Tire & Rubber Company | | Starwood Hotels & Resorts Worldwide, Inc. | The Hertz Corporation | | Temple-Inland Inc. | THE NEW YORK TIMES COMPANY | | Tesoro Corporation | Unisys Corporation | | Textron Financial Corporation | United 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) | 1Y | 2Y | 3Y | 5Y | 7Y | 10Y |
|---|
| Markit CDX.NA.IG.16 | 100 | 100 | 100 | 100 | 100 | 100 | | Markit CDX.NA.IG.HVOL.16 | 100 | 100 | 100 | 100 | 100 | 100 | | 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 Name | RED-9 |
|---|
| CDX.NA.IG.16 | 2I65BYCM5 | | CDX.NA.IG.CONS.16 | 2I65B0AR0 | | CDX.NA.IG.ENRG.16 | 2I65B1AR8 | | CDX.NA.IG.FIN.16 | 2I65B2CI4 | | CDX.NA.IG.HVOL.16 | 2I65B3AR4 | | CDX.NA.IG.INDU.16 | 2I65B4AW1 | | CDX.NA.IG.TMT.16 | 2I65DJAZ9 | | CDX.NA.HY.16 | 2I65BRHL7 | | CDX.NA.HY.B.16 | 2I65BSEM6 | | CDX.NA.HY.BB.16 | 2I65BVBX8 | | CDX.EM.15 | 2I65BZAO0 |
|
| 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 Additions | Expected Removals |
|---|
| MBIA Insurance Corporation | MBIA Inc. | | The PMI Group, Inc. | Tyson Foods, Inc. | | Kinder Morgan, Inc. | FLEXTRONICS INTERNATIONAL LTD. | | Pioneer Natural Resources Company | Pride International, Inc. | | MGIC Investment Corporation | Massey Energy Company | | Universal Health Services, Inc. | Dole Food Company, Inc. | | Parker Drilling Company | AMR Corporation | | Alcatel-Lucent USA Inc. | Constellation Brands, Inc. | | Olin Corporation | BEAZER HOMES USA, INC. |
|
| Provisional List of Changes for Markit CDX.NA.HY.16 |
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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. | Additions | Removals |
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| MBIA Insurance Corporation | MBIA Inc. | | The PMI Group, Inc. | Tyson Foods, Inc. | | Kinder Morgan, Inc. | FLEXTRONICS INTERNATIONAL LTD. | | MGIC Investment Corporation | Dole Food Company, Inc. | | Boston Scientific Corporation | AMR Corporation | | Parker Drilling Company | Constellation Brands, Inc. | | Alcatel-Lucent USA Inc. | BEAZER HOMES USA, INC. |
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| Provisional Lift of Changes for Sub-Indices of Markit CDX.NA.IG.16 |
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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.
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Tyson Foods, Inc.
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| Index |
Removals |
Additions |
| Markit CDX.NA.IG.ENRG.16 |
XTO Energy Inc. |
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| Index |
Removals |
Additions |
| Markit CDX.NA.IG.FIN.16 |
Boston Properties Limited Partnership |
Berkshire Hathaway Inc.
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Capital One Bank (USA), National Association |
Capital One Financial Corporation
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XL Capital LTD |
XL Group Ltd.
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| Index |
Removals |
Additions |
| Markit CDX.NA.IG.INDU.16 |
Burlington Northern Santa Fe, LLC |
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| Index |
Removals |
Additions |
| Markit CDX.NA.IG.TMT.16 |
MOTOROLA, INC |
Motorola Solutions, Inc.
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Pitney Bowes Inc.
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| Provisional list of HVOL constituents for Markit CDX.NA.IG.16 |
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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 |
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| 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. |
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| Markit CDX.NA.IG: Markit iBoxx HY Ratings Breakdown |
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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 | % |
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| BB | 33.15 | | B | 46.41 | | CCC and below | 20.44 |
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| Updated provisional list of changes for Markit CDX.NA.IG.16 |
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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 Additions | Liquidity-based Removals |
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| Tyson Foods, Inc. | Staples, Inc. | | Pitney Bowes Inc. | XTO Energy Inc. | | Expedia, Inc. | Boston Properties Limited Partnership | | Replacement Additions | Replacement Removals |
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| Berkshire Hathaway Inc. | Burlington Northern Santa Fe, LLC | | Capital One Financial Corporation | Capital One Bank (USA), National Association | | Previous Names | Renames |
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| MOTOROLA, INC | Motorola Solutions, Inc. | | XL CAPITAL LTD | XL Group Ltd. |
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| Provisional list of changes for Markit CDX.NA.IG.16 |
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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 Additions | Liquidity-based Removals |
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| Block Financial LLC | ERP 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 Additions | Replacement Removals |
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| Berkshire Hathaway Inc. | Burlington Northern Santa Fe, LLC | | Capital One Financial Corporation | Capital One Bank (USA), National Association | | Previous Names | Renames |
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| MOTOROLA, INC | Motorola Solutions, Inc. | | XL CAPITAL LTD | XL Group Ltd. |
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| Composition of Markit CDX.EM.15 Index Determined |
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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 |
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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 |
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| Sector | % Weight as per Capped Market Value | | Basic Materials | 6.58% | | Consumer Goods | 5.59% | | Consumer Services | 16.55% | | Financials | 15.34% | | Health Care | 8.27% | | Industrials | 7.91% | | Oil & Gas | 10.91% | | Technology | 9.80% | | Telecommunications | 12.04% | | Utilities | 7.01% |
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| Markit CDX Indices: Rule changes |
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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 |
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01 March 2011 - the index roll timelines for the Markit CDX indices are available. |
| Markit CDX Roll Process |
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| 28 February, 2011 - The timelines for Markit CDX roll in March 2011 will be available soon. |
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