| 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. |
| 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. |
| 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. |
| Index Roll Timelines Published |
|
| 28 February 2013 – The index roll timelines for Markit CDX HY and CDX IG are now available below. |
| 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. |
| 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. |
| 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. |
| 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 |
|
| 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 |
|
| 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 | |
|
| 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 |
|
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 |
|---|
| 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. |
|
| 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 |
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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 |
|---|
| 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 | % |
|---|
| 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 |
|---|
| 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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