27 January 2012 - The Markit iTraxx Europe Index Governance Committee voted to implement the following rule changes for the iTraxx Crossover index:  

iTraxx Crossover Index - minimum EUR 100 million debt cut off rule Maximum

Maturity restriction of 30 years will be used on debt which can qualify per this criterion  

The FX rate used to convert non Euro denominated debt amounts to EUR will be the 16:00 London rate from WM Reuters for the relevant currency as on the last London Business Day of the month prior to the Roll Date 

iTraxx Crossover Index - Supplementary List  

The FX rate used to convert non Euro denominated debt amounts to EUR will be the 16:00 London rate from WM Reuters for the relevant currency as on the last London Business Day of the month prior to the Roll Date 

The Z-Spread to maturity will be used for all entities on the Supplementary List to verify the iTraxx Crossover spread / upfront based criteria. This will be the case even if the composite CDS spread levels are available from Markit for these entities. 

The Z-Spread used to verify the iTraxx Crossover spread / upfront based criteria for all entities on the Supplementary List will be calculated with reference to the benchmark zero curve based on the dirty prices of the government bonds and is calculated by Markit iBoxx 

5 December 2011 - Following the announcement of the Credit Event associated with SEAT PAGINE GIALLE S.P.A., all affected Markit iTraxx Europe indices have been re-versioned with an annex date of 1 December 2011. 

Below is the list of Markit iTraxx Europe indices that have been re-versioned along with the new Index Name and corresponding 9-digit RED code.  Within each of these new versions, the weight of  SEAT PAGINE GIALLE S.P.A. has been set to zero and notional of the index has been reduced by the weight of the defaulted entity.

23 September 2011 - Following the announcement of the Credit Event associated with Victor Company of Japan, Limited , all affected Markit iTraxx Japan indices have been re-versioned with an annex date of 22 September 2011. 

Below is the list of Markit iTraxx Japan indices that have been re-versioned along with the new Index Name and corresponding 9-digit RED code.  Within each of these new versions, the weight of Victor Company of Japan, Limited  has been set to zero and notional of the index has been reduced by the weight of the defaulted entity.

24 August 2011 - The Markit iTraxx Europe Index Governance Committee voted to implement the following rule changes: 

Markit iTraxx Europe Crossover  

Entities that do not have actively traded CDS are now eligible for inclusion in the index.  In addition to the usual eligibility criteria, these entities must also have issued a minimum of EUR 500 million of new debt over the past 12 months and have at least one bond included in the Markit iBoxx EUR Liquid HY and/or Markit iBoxx USD Liquid HY indices. 

Markit iTraxx Europe Main  

Constituents eligible for inclusion in the Markit iTraxx Europe Main will now be selected directly from a liquidity list based on trading activity data from the DTCC Trade Information Warehouse.  Previously, constituents that were no longer eligible were removed from the previous series of the index and replaced by entities from the liquidity list.  The sector specific membership criteria, which require entities from a number of specific sectors to be included in the index, remain in place. 

The test for determining liquidity in the Subordinated CDS for the Financials has been removed from the index rules. The combined Senior and Subordinated CDS volumes for the Financials available from the DTCC Trade Information Warehouse will be used for index membership determination. 

The updated version of the Markit iTraxx Europe indices rulebook is available below:

22 August 2011 - The Markit iTraxx Asia ex-Japan market makers voted to reduce the number of entities in the Markit Asia ex-Japan IG index from 50 to 40. This change is effective as of 20 September 2011 when the index will roll into Series 16.   

In addition, the Markit iTraxx Asia ex-Japan HY index will not roll into Series 16. 

The updated version of the Markit iTraxx Asia ex-Japan indices rulebook is available below:

17 August 2011 - The Markit iTraxx Europe Index Governance Committee has been established that includes the 12 Markit iTraxx Europe market makers with the largest index trading volumes in the past 12 months according to DTCC Trade Information Warehouse figures. Committee members will be reviewed once a year.  

The Governance Committee rulebook is available below:

14 June 2011 - Following the restructuring credit event on Allied Irish Banks plc all affected Markit iTraxx SDI-75 Indices have been re-versioned with an annex date of 13 June 2011.

Below is a list of all of the Markit iTraxx SDI-75 Indices which have been re-versioned along with the new index name and corresponding 9-digit RED code.  Within these new versions, the weight of Allied Irish Banks plc has been set to zero and the notional of the index has been reduced by the weight of the defaulted entity.

1 March 2011 - Markit, a leading, global financial information services company, today announced changes to certain rules governing its Markit iTraxx Europe family of credit default swap (CDS) indices.  The new rules will come into effect before the index roll into Series 15 on March 21 2011. 

The most significant rule change introduces the formal 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 iTraxx Europe indices at each index roll. 

Additional changes relate to sector specific membership criteria for the Markit iTraxx Europe index.  Any entity more liquid than 75 per cent of the number of constituents in the sector, rather than 50 per cent as before, will be included and the least liquid entities in the sector excluded.  

Furthermore, financial sector entities will no longer be eligible for the Markit iTraxx Europe Crossover index.

15 February 2011 – The Markit iTraxx Australia market makers have approved the following index rules following a majority vote:

Shortening of the liquidity observation period from 12 months to 6 months for the iTraxx Australia index rolls Removal of the mandatory ASX listing criterion Switching from Subordinated to Senior Reference Obligations for Banks

The updated rules will be implemented for the Markit iTraxx Australia index from the March 2011 roll onwards. The revised version of the Markit iTraxx Australia rule book is available below:

30 September 2010 - Following the announcement of the Credit Event associated with Takefuji Corporation, all affected Markit iTraxx Japan indices have been re-versioned with an Annex date of 30 September 2010. 

Below is the list of Markit iTraxx Japan indices that have been re-versioned along with the new Index Name and corresponding 9-digit RED code.  Within each of these new versions, the weight of Takefuji Corporation has been set to zero and notional of the index has been reduced by the weight of the defaulted entity.

Markit iTraxx Series 14 RED Codes and Coupons

2 July 2010 - Following the announcement of the Credit Event associated with Truvo Subsidiary Corp. (formerly known as WDAC Subsidiary Corp.), all affected Markit iTraxx Europe Crossover indices have been re-versioned with an annex date of 2 July 2010.

23 June 2010 - The ISDA Determinations Committee (DC) has ruled that a Succession Event has occurred with respect to CABLE AND WIRELESS PUBLIC LIMITED COMPANY, which was a constituent of the Markit iTraxx Europe Crossover Series 13 index. Following the succession event, the Markit iTraxx Europe Crossover Series 13 index has been re-versioned.  

In order to account of the roll over from Version 1 of the Markit iTraxx Europe Crossover Series 13 index to Version 2, a transaction cost of 0.6% of the coupon level will be applied to factor in the operational costs in the iTraxx Crossover Total Return Index calculations. 

Markit will update the Total Return Index rulebook shortly to incorporate the transaction costs for index version changes following Succession Events on index entities.

22 June 2010 – The ISDA EMEA Determinations Committee (DC) has ruled today that a Succession Event has occurred with respect to CABLE AND WIRELESS PUBLIC LIMITED COMPANY, which was a constituent of several Markit iTraxx Europe Crossover indices. Following the succession event, all relevant Markit iTraxx Europe Crossover indices has been re-versioned with an annex date of 22 June 2010.

Below is the list of Markit iTraxx Europe Crossover indices that have been re-versioned along with the new Index Name and corresponding 9-digit RED code.

11 June 2010 – The Markit iTraxx Europe tranche market makers have decided to trade the Markit iTraxx Europe tranches in a standardized formats going forward. Following are the trading conventions for the standardized tranches::

Full coupon accrual The recoveries of 0% for all tranche pairs until 22-100% tranche, where it becomes 40% Fixed Rates (in bps) as detailed below:

Markit iTraxx Series 13 RED Codes and Coupons

19 February 2010 - The Markit iTraxx Japan market makers decided to update the index rule regarding the CDS liquidity observation period following a majority dealer vote.  

The liquidity list for the Markit iTraxx Japan Series 13 index will be based on the CDS trading volumes over the 6 months prior to the last Tokyo Business Day of the month prior to the roll date (i.e. 26 February 2010), submitted by market makers. Previously the liquidity observation period was 12 months. Markit will aggregate the volume ranked lists from market makers to compute final liquidity ranking for each entity.

21 January 2010 - Following the announcement of the Credit Event associated with Japan Airlines Corporation, all affected Markit iTraxx Japan indices have been re-versioned with an Annex date of 21 January 2010.

Below is the list of Markit iTraxx Japan indices that have been re-versioned along with the new Index Name and corresponding 9-digit RED code.  Within each of these new versions, the weight of Japan Airlines Corporation has been set to zero and notional of the index has been reduced by the weight of the defaulted entity.

30 December 2009 - Following the announcement of the Credit Event associated with AIFUL CORPORATION, all affected Markit iTraxx Japan indices have been re-versioned with an Annex date of 30 December 2009. 

Below is the list of Markit iTraxx Japan indices that have been re-versioned along with the new Index Name and corresponding 9-digit RED code.  Within each of these new versions, the weight of AIFUL CORPORATION has been set to zero and notional of the index has been reduced by the weight of the defaulted entity.

19 November 2009 - Following the announcement of the Credit Event associated with Hellas Telecommunications (Luxembourg) II, all affected Markit iTraxx Europe Crossover indices have been re-versioned with an Annex date of 19 November 2009.

3 November 2009 - Following the credit event of CIT Group Inc all affected Markit iTraxx Indices have been reversioned with an annex date of 3 November 2009.

18 September 2009 - The Markit iTraxx Japan market makers decided to update the index rule regarding the rating cut-off following a majority dealer vote.

The initial rating observation date for the index membership is 5:00 pm Tokyo time on the last Tokyo Business Day of the month prior to the roll date. However, a rating change that occurs till the last Tokyo business day before the first trading day of a new series will be taken into account.

The Index RED code for iTraxx Europe Series 12 Version 1 was incorrect in our previous message. The correct RED code is 2I666VAS4.

Markit iTraxx Series 12 RED Codes and Coupons

3 September 2009 – The Reference Entities in the Markit iTraxx Asia ex-Japan Series 12 IG and HY indices will remain unchanged from the Markit iTraxx Asia ex-Japan Series 11 IG and HY indices since no entity secured absolute majority of votes from the dealers for exclusion and there have been no exclusions due to rating changes.

13 August 2009 – The Markit iTraxx Total Return Index rules have been amended with regard to calculation of the roll costs following publication of a new series of the iTraxx Europe index on a roll date or publication of a new version of the iTraxx Europe index following a credit event. If the End-of-Day fixing level is not available for the old series / version of the index, Markit will use a model price for roll cost calculation.

10 July 2009 - Following the credit event of Bradford & Bingley PLC all affected Markit iTraxx Indices have been reversioned with an annex date of 9 July 2009.

Below is a list of all of the Markit iTraxx Indices which have been re-versioned along with the new index name and corresponding 9-digit RED code.  For these new versions, the weight of Bradford & Bingley PLC has been set to zero and the notional of the index has been reduced by the weight of the defaulted entities.

19 March 2009 – Following  agreement by participating Dealers, effective 3rd July 2008 Yorkshire Water Services Finance PLC and KELDA GROUP LIMITED are each equal Successors to KELDA GROUP PLC (now know as KELDA GROUP LIMITED). KELDA GROUP PLC is a constituent of the  Markit iTraxx SDI-75 Series 3, Markit iTraxx SDI-75 Series 2, and Markit iTraxx SDI-75 Series 1 indices.

Markit will not publish new versions of the annexes for the Markit iTraxx indices affected by the succession events. This news message serves as a notification to all parties. 

Markit iTraxx Series 11 RED Codes and Coupons

17 March 2009 - The Markit iTraxx Japan market makers decided to update the index rule regarding the maximum spread cutoff  level following a majority dealer vote. The maximum spread cutoff level of 2000 bps will not be applicable for membership determination of the Markit iTraxx Japan index.

16 March 2009 - The Markit iTraxx Europe market makers decided to reduce the number of constituents of the iTraxx Crossover index from 50 to 45. This was to ensure that only the most liquid eligible entities are included in the index.

11 March 2009 - Markit Today announced that the proposed amendments to the iTraxx Europe Total Return Indices Guide have been made.