Markit
 
Markit iTraxx News
Updated Treatment of Markit Indices Following Implementation of the 2014 ISDA Credit Derivatives Definitions
29 September 2014 - The table below lists the expected treatment of the impacted Markit indices, following the implementation of the 2014 ISDA Credit Derivative Definitions. The table has been updated based on feedback from industry participants and the ISDA Credit Steering Committee regarding certain names on the list of reference entities that are excluded from the protocol. The effective date of the protocol for the new definitions will be 6 October 2014.
 
Index Legacy Series: 2003 ISDA Definitions Legacy Series: "Mixed Basket" Definitions Legacy Series: 2014 ISDA Definitions Index Series Launched after 20 September 2014 to Trade under 2014 ISDA Definitions
CDX.NA.IG Series 3-7 Series 8-22 X
CDX.NA.HY X No, upcoming new series to launch as 'Mixed Basket'
CDX.EM X X
CDX.LATAM.CORP X X
iTraxx Europe X X
iTraxx Europe Crossover Series 5-21 Series 1-4 X
iTraxx Europe Senior Financials X X
iTraxx Europe Sub Financials X X
iTraxx Europe Non-Financial Series 1-4 Series 5-21 X
iTraxx Europe HiVol Series 1-4 Series 5-20 Not being rolled
iTraxx Asia ex-Japan X X
iTraxx Australia X X
iTraxx Japan X X
iTraxx CEEMEA (Corp) X X
iTraxx SovX Asia Pacific X Not being rolled
iTraxx SovX CEEMEA X Not being rolled
iTraxx SovX CEEMEA ex-EU X X
iTraxx SovX Western Europe X Not being rolled
 
Markit Confirms Updated Roll Dates for Tranches on Markit iTraxx European Indices

19 September 2014 – Due to the publication date of all iTraxx index annexes being deferred until October 6th 2014, the roll dates for tranches on iTraxx Europe & Crossover will be delayed by two weeks as well.

The roll dates for these tranches will be Monday, October 13th 2014 for iTraxx Europe and Monday, October 20th 2014 for iTraxx Crossover.

 
Index Annex Dates Moved for Markit CDX and iTraxx

17 September 2014 – The protocol effective date for the 2014 ISDA Credit Definitions will be October 6th  2014. In order to be consistent with the protocol, and based on feedback from industry participants and the ISDA Credit Steering Committee, Markit will publish new series of the CDX and iTraxx indices with an annex date of October 6th 2014. Draft annexes will be made available in RED files and on the website at least two business days prior to the final annex date. 

The effective date for the indices will still remain as September 22nd 2014, ensuring a full first coupon. However, the first day of trading on the new series will now be October 6th 2014.

The list of Markit indices and their updated final annex publication dates are provided below. Please note that the annex for Markit CDX HY will be published on October 9th 2014. Markit MCDX will roll on the originally scheduled date of October 3rd 2014, as municipal contracts will not be impacted by the 2014 ISDA Credit Definitions. 

 
Index Annex Date
CDX.EM.22-V1 6-Oct-14
CDX.LATAM.CORP.22-V1 6-Oct-14
CDX.NA.IG.23-V1 6-Oct-14
CDX.NA.IG.TMT.23-V1 6-Oct-14
CDX.NA.IG.INDU.23-V1 6-Oct-14
CDX.NA.IG.FIN.23-V1 6-Oct-14
CDX.NA.IG.ENRG.23-V1 6-Oct-14
CDX.NA.IG.CONS.23-V1 6-Oct-14
CDX.NA.IG.HVOL.23-V1 6-Oct-14
CDX.NA.HY.23-V1 9-Oct-14
CDX.NA.HY.B.23-V1 9-Oct-14
CDX.NA.HY.BB.23-V1 9-Oct-14
MCDX.NA.23-V1 3-Oct-14
iTraxx Asia ex-Japan Series 22 6-Oct-14
iTraxx Australia Series 22 6-Oct-14
iTraxx CEEMEA series 22 6-Oct-14
iTraxx Europe Series 22 6-Oct-14
iTraxx Europe Crossover Series 22 6-Oct-14
iTraxx Europe Non-Financial Series 22 6-Oct-14
iTraxx Europe Senior Financials Series 22 6-Oct-14
iTraxx Europe Sub Financials Series 22 6-Oct-14
iTraxx Japan Series 22 6-Oct-14
iTraxx SovX CEEMEA ex-EU Series 12 6-Oct-14
 
Markit Publishes Index Membership lists for the Markit iTraxx Series 22 Indices

Markit iTraxx Asia ex-Japan Final List Series 22   Markit iTraxx Asia ex-Japan Final List Series 22
Markit iTraxx Australia Final List Series 22   Markit iTraxx Australia Final List Series 22
Markit iTraxx CEEMEA Final List Series 22   Markit iTraxx CEEMEA Final List Series 22
Markit iTraxx Europe Final List Series 22   Markit iTraxx Europe Final List Series 22
Markit iTraxx Japan Final List Series 22   Markit iTraxx Japan Final List Series 22
 
Change to Markit iTraxx Europe Index Provisional List
10 September 2014 – Following from further analysis and information provided to Markit by market participants, Markit has determined that Aktiebolaget Electrolux shown as a constituent in the iTraxx Europe Series 22 initial Provisional List published does not meet the debt outstanding criteria as specified by the iTraxx Europe Index Rules. Subsequently Aktiebolaget Electrolux has been replaced on the iTraxx Europe Series 22 Provisional list with Svenska Cellulosa Aktiebolaget SCA.
 
Markit iTraxx Series 22 RED Codes
05 September 2014 - The index RED Codes for the Markit iTraxx Series 22 indices are listed below.
 
Index Name S21 Index RED S22 Index RED
iTraxx Asia ex-Japan IG 4ABCAMAN6 4ABCAMAO4
iTraxx Australia 2I668IAU6 2I668IAV4
iTraxx CEEMEA 4ABCAQAD9 4ABCAQAE7
iTraxx Europe 2I666VBB0 2I666VBC8
iTraxx Europe Crossover 2I667KDT2 2I667KDY1
iTraxx Europe Non-Financial 2I667NBA9 2I667NBB7
iTraxx Europe Senior Financials 2I667DAU8 2I667DAV6
iTraxx Europe Sub Financials 2I667EAV4 2I667EAW2
iTraxx Japan 2I668HBU7 2I668HBV5
 
Final Redlined Drafts of All New iTraxx Trading Documentation Referencing the 2014 ISDA Credit Derivative Definitions

28 August 2014 – Final drafts of all iTraxx trading documentation referencing the ISDA 2014 Credit Derivative Definitions is published below. These drafts and are not expected to change and have been redlined against the current trading documentation referencing the ISDA 2003 Credit Derivative Definitions. Please note that trading on this documentation prior to 22 September 2014 is not possible. The publication date of the final versions of these documents will be 20 September 2014.

 
 

iTraxx Europe Legacy ("Mixed Basket") Trading Documentation - Redlined Drafts

iTraxx Europe ISDA 2014 Trading Documentation - Redlined Drafts

iTraxx Asia Legacy ("Mixed Basket") Trading Documentation - Redlined Drafts

iTraxx Asia ISDA 2014 Trading Documentation - Redlined Drafts

iTraxx SovX Legacy ("Mixed Basket") Trading Documentation - Redlined Drafts

iTraxx SovX ISDA 2014 Trading Documentation - Redlined Drafts

 
Treatment of Markit Indices Following implementation of the 2014 ISDA Credit Derivative Definitions
17 September 2014 – The table below lists the expected treatment of the impacted Markit indices, following the effective date of the ISDA 2014 Credit Derivatives Definitions Protocol on 6 October 2014. All new series of Markit iTraxx and CDX indices launched after 20 September 2014 will trade on the 2014 Definitions as the standard contract. Legacy indices launched prior to September 2014 will follow the convention of the underlying single names constituents, as there are some CDS reference entities that are being excluded from the Protocol. Legacy indices where all constituents are excluded from the protocol will remain on the ISDA 2003 Definitions, while legacy indices where all constituents are protocolled will move to the 2014 Definitions. Certain legacy indices will become “mixed baskets,” where some constituents remain on the 2003 Definitions and other constituents move to the 2014 Definitions. In all instances, the result would be only one standard contract for each index, reflecting a trade position where both counterparties have signed the protocol. Market participants are free to trade different variations other than the standard contracts as set out above and in the table below. However, such trades would be viewed as bespoke.
 
Index Legacy Series: 2003 ISDA Definitions Legacy Series: "Mixed Basket" Definitions Legacy Series: 2014 ISDA Definitions Index Series Launched after 20 September 2014 to Trade under 2014 ISDA Definitions
CDX.NA.IG Series 5-7 Series 3-4, 8-22 X
CDX.NA.HY X X
CDX.EM X X
CDX.LATAM.CORP X X
iTraxx Europe X X
iTraxx Europe Crossover Series 5-21 Series 1-4 X
iTraxx Europe Senior Financials X X
iTraxx Europe Sub Financials X X
iTraxx Europe Non-Financial Series 1-4 Series 5-21 X
iTraxx Europe HiVol Series 1-4 Series 5-20 Not being rolled
iTraxx Asia ex-Japan X X
iTraxx Australia X X
iTraxx Japan X X
iTraxx CEEMEA (Corp) X X
iTraxx SovX Asia Pacific X Not being rolled
iTraxx SovX CEEMEA X Not being rolled
iTraxx SovX CEEMEA ex-EU X X
iTraxx SovX Western Europe X Not being rolled
 
Markit Publishes Timetables for the Markit iTraxx September 2014 Index Roll

Markit iTraxx Asia ex-Japan Series 22 Roll Timetable
Markit iTraxx Australia Series 22 Roll Timetable
Markit iTraxx CEEMEA Series 22 Roll Timetable
Markit iTraxx Europe Crossover Series 22 Roll Timetable
Markit iTraxx Japan Series 22 Roll Timetable
 
Markit Announces Rule Change for the Markit iTraxx Europe Sub Financials Index
20 August 2014 – The Markit iTraxx Europe index rules to be used for the September 2014 index roll will be amended to specify that Swiss banking entities within the index will be included in the iTraxx Subordinate Financials index under the terms of the 2014 CoCo Supplement to the 2014 ISDA Credit Derivatives Definitions.
 
ABB International Finance Limited Credit Event
05 August 2014 - Following the confirmation of a failure to pay credit event for the ABB International Finance Limited by the ISDA Determinations Committee, new versions of all impacted Markit iTraxx Crossover indices have been issued with an annex date of 05 August 2014. Below are the new indices along with their corresponding RED Index Code:
 
Index Name New RED Code
iTraxx Europe Crossover Series 1 Version 5 2I667KDU9
iTraxx Europe Crossover Series 2 Version 5 2I667KDV7
iTraxx Europe Crossover Series 3 Version 7 2I667KDW5
iTraxx Europe Crossover Series 4 Version 7 2I667KDX3
 
Markit Confirms Trading Conventions and Timelines for Tranches on the Markit iTraxx European Indices

5 August 2014 – Coupons, attachment/detachment levels and quoting conventions for tranches to be traded on the Markit iTraxx European Series 22 indices have been agreed with market participants as per the below table. Tranches on both iTraxx Crossover and iTraxx Europe will roll to Series 22 following the September index roll. From 2015 onwards, tranches on iTraxx Europe & Crossover will roll annually in September/October – consistent with tranches on CDX.

The roll dates for these tranches will be Monday, 29 September 2014 for iTraxx Europe and Monday, 6 October 2014 for iTraxx Crossover. 
 
Index Tranche Coupon Quoting Convention
iTraxx Europe Series 22 0-3 100 Price
iTraxx Europe Series 22 3-6 100 Price
iTraxx Europe Series 22 6-12 100 Spread / 0% STEC Recovery
iTraxx Europe Series 22 12-100 100 Spread / 40% STEC Recovery
iTraxx Crossover Series 22 0-5 500 Price
iTraxx Crossover Series 22 5-10 500 Price
iTraxx Crossover Series 22 10-20 500 Price
iTraxx Crossover Series 22 20-100 500 Spread / 40% STEC Recovery
 
Markit iTraxx Europe Financials Indices to be Expanded during the March 2015 Index Roll

24 July 2014 – Markit would like to announce that the iTraxx Financials indices (Senior and Subordinate) will be expanded from 25 to 30 names during the March 2015 index roll. The selection of the first 25 entities will continue to be done using the DTCC Roll Report, however alternative selection criteria could be used for the additional 5 names. This would also mean that Markit iTraxx Europe Index will expand from 125 to 130 names. Please note that this change will only be implemented in March 2015 and not during the September 2014 roll.

 
Markit Announces Rule Changes for Markit iTraxx Asia ex-Japan Index

04 July 2014 - Markit will implement the following rule changes / additions to the Markit iTraxx Asia ex-Japan index rules which will be used for the September 2014 roll:

Include Logic to prevent churn in constituents due to small changes in liquidity at the lower end of the liquidity list. Inclusions and Exclusions will be based on the below logic going forward.

Liquidity Based Inclusion: New entities ranked #20 or higher on the Liquidity List are included automatically, the least liquid entity from the Liquidity List is excluded to keep the number of constituents at 40.

Liquidity Based Exclusion: Existing entities in the current index will be excluded from the new index if they are either not part of the Liquidity List or if more than 50 entities are available on the Liquidity List, and they are ranked at #51 or lower. The highest ranking entity on the Liquidity list which is not yet part of the index will replace this entity. 

Amendment to the Relevant Rating definition to align with that used in the iTraxx Japan Index Rules.

The Relevant Rating definition will be changed from:

“means the lowest of: 

1. The lowest of an entity's Issuer Rating, Senior Unsecured Debt Rating, and Corporate Family Ratings for Moody’s; 

2. The lower of an entity's Long-term Issuer Credit Rating and Senior Unsecured Debt Rating for S&P; or 

3. The lower of an entity's Issuer Default Ratings and Senior Unsecured Debt Rating for Fitch.” 

To:

“means the highest of: 

1. Higher of Issuer Rating, Senior Unsecured Debt Rating, and Corporate Family Ratings for Moody’s; 

2. Higher of Long-term Issuer Credit Rating and Senior Unsecured Debt Rating for S&P; and 

3. Higher of Issuer Default Ratings and Senior Unsecured Debt Rating for Fitch.” 

 
 
Reference Obligation change: Markit iTraxx Asia ex-Japan Series 20

04 July 2014 – Markit will change the Reference Obligation for Shinhan Bank within Series 20 of the iTraxx Asia ex-Japan index from XS0267870508 to US82460EAF79 as the current reference obligation has a tier changing provision within it. 

 
Markit Announces Rule Changes for Markit iTraxx European Indices

16 June 2014 - Markit will implement the following rule changes / additions to the Markit iTraxx European index rules which will be used for the September 2014 roll:

iTraxx Europe Rule Addition: 

To be considered for constituency entities must have issued or guaranteed an amount of outstanding publicly traded debt securities (which, for the avoidance of doubt, excludes loans, equities and privately placed debt securities) equal to or in excess of €100,000,000. This requirement was already in place for iTraxx Crossover.

 iTraxx Crossover Expansion:

iTraxx Crossover will be expanded to up to 75 names depending on the level of further issuance during the relevant 12 month observation period leading up to the September index roll. 

iTraxx Crossover Supplementary List Rule Changes / Additions: 

In addition to Senior Unsecured debt, Senior Secured debt will be used for qualifying entities to be included via the Supplementary List.

Names which are unrated and have only issued unrated debt will not be considered for inclusion via the Supplementary List.

Convertible bonds will not be considered when determining issuance size or selecting entities within a ticker when constructing the iTraxx Crossover Supplementary list.

PIK bonds will be disregarded during entity selection within a ticker, but still be considered when identifying tickers with the largest issuance.

Bonds with a maturity greater than 30 years will be excluded during the selection of names within a ticker, but still included for identifying tickers with the largest issuance.

 
Further information – Tranches on Markit iTraxx European Indices

2 April 2014 – Coupons, attachment/detachment levels and quoting conventions for tranches to be traded on the Markit iTraxx Europe Crossover Series 22 index have been preliminarily agreed with market participants as per the below table. Tranches on iTraxx Crossover did not roll in March 2014. Instead tranches on both iTraxx Crossover and iTraxx Europe will roll in September 2014. From September 2014 onwards tranches on iTraxx Europe & Crossover will roll annually in September – consistent with tranches on CDX.

 
Tranche Coupon Quoting Convention
0 - 5 500 Price
5 - 10 500 Price
10 - 20 500 Price
20 - 100 500 Spread / 40% STEC Recovery
 
Markit Confirms Trading Conventions for Tranches on iTraxx Europe Series 21

20 March 2014 – Coupons, attachment/detachment levels and quoting conventions for tranches to be traded on the Markit iTraxx Europe Series 21 index have been agreed with market participants as per the below table. The roll date for these tranches will be Thursday, 27 March 2014. Terms for tranches on iTraxx Crossover Series 21 will be agreed with market participants at a later date.

 
Tranche Coupon Quoting Convention
0 - 3 100 Price
3 - 6 100 Price
6 - 12 100 Spread / 0% STEC Recovery
12 - 100 100 Spread / 40% STEC Recovery
 
Markit iTraxx Europe Sub Financials Index Coupon Change

14 March 2014 – The Markit iTraxx Europe Sub Financials index coupon will change from 500bps to 100bps for the iTraxx Europe Sub Financials Series 21 index.

 
Changes to the Markit iTraxx Europe Index Provisional List

14 March 2014 – Due to the republication of the “Index Roll Report: Average Weekly Data by Reference Entity” report by DTCC, Markit has made 2 changes to the iTraxx Europe Series 21 Provisional list. SVENSKA CELLULOSA AKTIEBOLAGET SCA and ING BANK N.V. are no longer included in the list. These names have been replaced with ZURICH INSURANCE COMPANY LTD and SODEXO.

 
Change to Markit iTraxx Europe Crossover Index Provisional List

12 March 2014 – Following from further analysis and information provided to Markit by market participants, Markit has determined that the debt used to qualify Ziggo Bond Company B.V. for inclusion into the iTraxx Europe Crossover Series 21 Provisional list does not meet the criteria of new debt issuance as could reasonably be interpreted from the iTraxx Europe Crossover index rules. Subsequently Ziggo Bond Company B.V. has been replaced on the iTraxx Europe Crossover Series 21 Provisional list with ALTICE FINCO S.A.

 
Change to Markit iTraxx Asia ex-Japan Index Provisional List

12 March 2014 – Due to a ratings downgrade, IDBI Bank Limited is no longer ranked Investment Grade and has been removed from the iTraxx Asia ex-Japan Series 21 Provisional index membership list. IDBI Bank Limited has been replaced by Swire Pacific Limited.

 
Markit iTraxx Series 21 RED Codes
28 February 2014 - The index RED Codes for the Markit iTraxx Series 21 indices are listed below.
 
Index Name S20 Index RED S21 Index RED
iTraxx Asia ex-Japan IG 4ABCAMAM8 4ABCAMAN6
iTraxx Australia 2I668IAT9 2I668IAU6
iTraxx CEEMEA 4ABCAQAC1 4ABCAQAD9
iTraxx Europe 2I666VBA2 2I666VBB0
iTraxx Europe Crossover 2I667KDF2 2I667KDT2
iTraxx Europe HiVol 2I667LAX4 NA
iTraxx Europe Non-Financial 2I667NAZ5 2I667NBA9
iTraxx Europe Senior Financials 2I667DAT1 2I667DAU8
iTraxx Europe Sub Financials 2I667EAU6 2I667EAV4
iTraxx Japan 2I668HBT0 2I668HBU7
 
Expansion of Markit iTraxx Crossover Index

10 February 2014 – In response to the continued growth in high yield bond issuance, Markit will expand the iTraxx Crossover Index by 10 names to 60 during the March 2014 index roll. This will be done by leveraging the iTraxx Crossover Supplementary List rules. Below are the updated iTraxx Europe Index rules reflecting this change, which will be used for the March 2014 index roll.

 
Markit iTraxx Europe Product Rules - Series 21   Markit iTraxx Europe Product Rules - Series 21
 
Buy-side firms are Invited to Register Interest in Becoming iTraxx Europe Index Advisory Committee Members
03 February 2014 - Markit would like to invite applications and nominations for buy-side firms to be added as members of the Markit iTraxx Europe Index Advisory Committee. Interested parties should contact support@markit.com for more information. Up to 5 buy-side firms will be included into the iTraxx Europe Index Advisory Committee after the March 2014 index roll.   
 
Markit iTraxx Europe Index Governance Committee Structure Changed to that of an Advisory Committee
23 January 2014 - The Markit iTraxx Europe Index Governance unanimously agreed to change the structure of the iTraxx Governance Committee to that of an Advisory committee.
 
Markit iTraxx Europe HiVol
23 January 2014 - The Markit iTraxx Europe HiVol index will not roll into Series 21 in March 2014 due to low trading activity as recorded by the DTCC Section IV: Market Risk Transaction Activity data. Series 20 will remain on-the-run.
 
Markit iTraxx Crossover Annexes Updated - Substitute Reference Obligation for Assicurazioni Generali S.p.A.
06 November 2013 - Following the 30 October 2013 Determinations Committee resolution that the obligation with ISIN number XS0802638642 is a substitute reference obligation in respect of the reference obligation with ISIN number XS0114165276, for the purposes of CDS trades with Assicurazioni Generali S.p.A. as a Reference Entity, Markit has amended all index annexes (including all historical annexes) to reflect XS0802638642 as the subordinate reference obligation for Assicurazioni Generali S.p.A.
 
Markit Restates Total Return Index Levels

28 October 2013 - Markit has restated the levels for the 10Y iTraxx Europe Total Return Index. Index levels from 20 September to 25 October 2013 have been restated. The impact of this restatement can be seen in the table at the below link:

 
Total Return Index Restatement   Total Return Index Restatement
 
Markit Restates Total and Excess Return Index Levels
4 October 2013 - Markit has restated the Index levels for all 5Y spread based Total and Excess Return indices which rolled on 20 September 2013. This is due to inconsistent maturity dates being used for the mark-to-market calculation during this period. Index levels from 20 September 2013 to 3 October 2013 have been restated. The impact of this restatement can be seen in the tables at the below links:
 
Total Return Index Restatement   Total Return Index Restatement
Excess Return Index Restatement   Excess Return Index Restatement
 
CODERE FINANCE (LUXEMBOURG) S.A. Credit Event and Markit iTraxx Crossover Indices
20 September 2013 - Following the confirmation of a failure to pay credit event for CODERE FINANCE (LUXEMBOURG) S.A. by the ISDA Determinations Committee, new versions of all affected Markit iTraxx indices have been issued with an annex date of 19 September 2013. Below are the new indices along with their corresponding RED Index Code:
 
New Index Name New RED Code
iTraxx Europe Crossover Series 7 Version 8 2I667KDG0
iTraxx Europe Crossover Series 8 Version 9 2I667KDH8
iTraxx Europe Crossover Series 9 Version 9 2I667KDI6
iTraxx Europe Crossover Series 10 Version 8 2I667KDJ4
iTraxx Europe Crossover Series 11 Version 5 2I667KDK1
iTraxx Europe Crossover Series 12 Version 5 2I667KDL9
iTraxx Europe Crossover Series 13 Version 5 2I667KDM7
iTraxx Europe Crossover Series 14 Version 4 2I667KDN5
iTraxx Europe Crossover Series 15 Version 2 2I667KDO3
iTraxx Europe Crossover Series 16 Version 2 2I667KDP0
iTraxx Europe Crossover Series 17 Version 2 2I667KDQ8
iTraxx Europe Crossover Series 18 Version 2 2I667KDR6
iTraxx Europe Crossover Series 19 Version 2 2I667KDS4
 
Markit iTraxx Series 20 RED Codes
12 September 2013 - The index RED Codes for the Markit iTraxx Series 20 indices are listed below.
 
Index Name S19 Index RED S20 Index RED
iTraxx Asia ex-Japan IG 4ABCAMAL0 4ABCAMAM8
iTraxx Australia 2I668IAS1 2I668IAT9
iTraxx CEEMEA 4ABCAQAB3 4ABCAQAC1
iTraxx Europe 2I666VAZ8 2I666VBA2
iTraxx Europe Crossover 2I667KDE5 2I667KDF2
iTraxx Europe HiVol 2I667LAW6 2I667LAX4
iTraxx Europe Non-Financial 2I667NAY8 2I667NAZ5
iTraxx Europe Senior Financials 2I667DAS3 2I667DAT1
iTraxx Europe Sub Financials 2I667EAT9 2I667EAU6
iTraxx Japan 2I668HBS2 2I668HBT0
 
Markit Publishes Timetables for the Markit iTraxx September 2013 Index Roll

Markit iTraxx Asia ex-Japan   Markit iTraxx Asia ex-Japan
Markit iTraxx Australia   Markit iTraxx Australia
Markit iTraxx CEEMEA   Markit iTraxx CEEMEA
Markit iTraxx Europe   Markit iTraxx Europe
Markit iTraxx Japan   Markit iTraxx Japan
 
Markit iTraxx Europe Clarification - XSTRATA LIMITED and Glencore International AG

30 August 2013 - Please note that as XSTRATA LIMITED is not an issuer of any bonds and as all bonds issued by its subsidiaries have cross-guarantees in place with Glencore International AG, XSTRATA LIMITED and Glencore International AG will be treated as affiliates with respect to the below index rules for the September 2013 index roll. 

“The entity must not be guaranteed or controlled by (directly or indirectly), or guarantee or control (directly or indirectly) in either case, an “Affiliate”, that has a higher ranking on the Markit iTraxx® Europe Liquidity List and otherwise satisfies the relevant criteria as determined by the Administrator.  “Control” of any entity means ownership of a majority of the voting power of that entity.”

and

 

 “Corporate Events. If the Administrator determines based on publicly available information and through consultation with market participants that, due to a corporate event being announced or occurring it is no longer appropriate to include such entity taking into account the nature and components of the index, such entity will be excluded. Corporate events include mergers or other similar events that make the entity unsuitable for inclusion in the Markit iTraxx® Crossover Index.”
 
Markit Announces Rule Change for the Markit iTraxx Japan Index
25 July 2013 -  Ratings from Japan Credit Rating Agency, Ltd. (JCR) will now also be considered when determining constituent eligibility during semi-annual index rolls.

 

 
Markit iTraxx Australia Reference Entity Name Update
16 April 2013 – Please note the Reference Entity for GOODMAN LIMITED should read: GOODMAN FUNDS MANAGEMENT LIMITED AS RESPONSIBLE ENTITY OF THE GOODMAN INDUSTRIAL TRUST. All existing trades should be amended bilaterally to reflect the correct entity.
 
Markit iTraxx Australia Clarification
14 March 2013 – Please note that the ASCIANO LIMITED and not ASCIANO FINANCE LIMITED has been included as a new constituent of Markit iTraxx Australia.
 
Markit iTraxx Series 19 RED Codes
13 March 2013 - The index RED Codes for the Markit iTraxx Series 19 indices are listed below.
 
Index Name S18 Index RED S19 Index RED
iTraxx Asia ex-Japan IG 4ABCAMAK2 4ABCAMAL0
iTraxx Australia 2I668IAR3 2I668IAS1
iTraxx CEEMEA 4ABCAQAA5 4ABCAQAB3
iTraxx Europe 2I666VAY1 2I666VAZ8
iTraxx Europe Crossover 2I667KDD7 2I667KDE5
iTraxx Europe HiVol 2I667LAV8 2I667LAW6
iTraxx Europe Non-Financial 2I667NAX0 2I667NAY8
iTraxx Europe Senior Financials 2I667DAR5 2I667DAS3
iTraxx Europe Sub Financials 2I667EAS1 2I667EAT9
iTraxx Japan 2I668HBR4 2I668HBS2
 
Markit Announces Rule Changes for the Markit iTraxx Australia Index
27 February 2013
 

 

Liquidity criteria will now be determined by volumes published by DTCC, rather than a market participant liquidity poll.

 

 

Up to three entities with little or no CDS trading activity but significant issuance in the bond market can now be included as constituents replacing the 3 most illiquid names in the index.

 
Markit Announces Rule Changes for the Markit iTraxx Asia ex-Japan Index
27 February 2013
 

 

Liquidity criteria will now be determined by volumes published by DTCC, rather than a market participant liquidity poll.

 

 

Unrated entities which meet CDS spread criteria will now be eligible for inclusion. Please see new additional rule below:

“If an entity in the current index is no longer rated by Moody’s, S&P or Fitch then providing the average CDS trading spread of such entity is within 200% of the median spread of the remaining existing index constituents which are Investment Grade rated, then it will be eligible for the new Markit iTraxx® Asia ex-Japan Liquidity List.”

 
Markit Announces Rule Changes for Markit iTraxx European Indices

22 February 2013 - Markit will implement the following changes to the Markit iTraxx Crossover index rules:

iTraxx Crossover Supplementary List: The below rule will be amended requiring €250,000,000 of new debt issuance over the last 12 months to be in the 3 European currencies (CHF, EUR and GBP).

  • “Entities must have a minimum of € 500 million of ‘New Debt Issuance’ defined as the debt issued  (under the same ticker) over the last 12 months (as of the last London Business Day of the month prior to the Roll Date) in a currency which is deliverable into a European CDS contract excluding loans, guaranteed (but not issued by the entity) debt, and private placements.

o    All publicly traded debt including Senior and Subordinated, Secured and Unsecured, will be considered.”

Changed to:

  • “Included entities must have a minimum of €500,000,000 of ‘New Debt Issuance’, defined as debt issued (under the same ticker) over the last 12 months (as of the last Business Day of the month prior to the month of the Roll Date) in a currency which is deliverable into a European CDS contract.

o    For the above determination:

o     at least €250,000,000 of this ‘New Debt Issuance’ should be in the 3 European currencies: CHF, EUR and GBP;

o    include all publicly traded debt including Senior and Subordinated, Secured and Unsecured;

o    loans, debt guaranteed (but not issued) by the entity, and privately placed debt securities will be excluded.”

 

iTraxx Crossover Supplementary List: Ranking for determining the Supplementary list will now be based on issuance in the 3 European currencies (CHF, EUR and GBP) only and not all currencies deliverable into a European swap contract (including USD) as was the case in the past.

  • “The final list of names in the Supplementary List will consist of those entities which satisfy the above criteria and ranked by the largest amount of ‘New Debt Issuance’ in the 3 European currencies: CHF, EUR and GBP.”
 
Markit Announces Rule Changes to Markit iTraxx Japan

9 January 2013 - Markit has implemented the following rule changes for the Markit iTraxx Japan index:

Going forward volumes published by DTCC will be used to determine the constituents of iTraxx Japan rather than a Dealer Liquidity Poll as used previously.

The addition of a maximum spread cut-off rule to prevent distressed entities trading at very high spreads from being included as constituents.

Additional text has been added to clarify how the entity rating used for constituent determination is determined.

Inclusion of additional text to clarify what is defined as Investment Grade.

Additional rules regarding ownerships and guarantees – if a company is guaranteed by or guarantees another one only the most liquid is eligible.

Rules updated to clarify how Markit treats changes to entity names.