Markit, in conjunction with major broker-dealers in the credit derivative and municipal bond markets, has launched a new credit index referencing municipal CDS, Markit MCDX.
MCDX end of day price for February 09, 2012
Index
Price
Spread
MCDX.NA.17-V1 3Y
99.72
110.67
MCDX.NA.17-V1 5Y
97.74
156.33
MCDX.NA.17-V1 10Y
94.26
195.15
MCDX.NA.16-V1 3Y
100.07
96.67
MCDX.NA.16-V1 5Y
98.28
146.13
MCDX.NA.16-V1 10Y
94.64
190.29
MCDX.NA.15-V1 3Y
100.35
80.67
MCDX.NA.15-V1 5Y
98.84
134.25
MCDX.NA.15-V1 10Y
95.01
186.00
MCDX.NA.14-V1 3Y
100.46
65.67
MCDX.NA.14-V1 5Y
99.33
122.17
MCDX.NA.14-V1 10Y
95.29
183.50
MCDX.NA.13-V1 3Y
100.45
48.00
MCDX.NA.13-V1 5Y
99.72
110.67
MCDX.NA.13-V1 10Y
95.62
180.25
MCDX.NA.12-V1 3Y
100.27
26.33
MCDX.NA.12-V1 5Y
100.08
96.33
MCDX.NA.12-V1 10Y
95.91
177.75
MCDX.NA.11-V1 5Y
100.15
81.67
MCDX.NA.11-V1 10Y
96.02
173.67
MCDX.NA.10-V1 5Y
99.55
68.33
MCDX.NA.10-V1 10Y
93.82
167.67
Key Points
Reference Entities
50 - Excludes Tobacco and Healthcare issues
Reference Obligations
Revenue, General Fund Obligation, Full Faith & Credit - At least $250 million outstanding uninsured debt
Deliverable Obligations
Of equal or higher ranking in capital structure
Ratings
BBB- (S&P), Baa3 (Moody’s), or BBB- (Fitch) or above and not on negative watch
Credit Events
Failure to pay, Restructuring
Coupon Payment Date
March 20, June 20, September 20, December 20
Roll Dates
April 3, October 3
Assumed Recovery Rate for Upfront Calculation
80%
Tenor
3, 5, 10 years
Settlement
Physical - Auctions are expected to be run in case of credit events and cash settlement will be considered for future series
Name
MCDX.NA.12
RED ID
5A79DPAC1
Markit MCDX Fixed Coupons
INDEX
3 Year
5 Year
10 Year
Markit MCDX.NA.10
35
35
40
Markit MCDX.NA.11
85
90
95
Markit MCDX.NA.12
100
100
100
Markit MCDX Documentation
Included are the trading documents (Short-Form Confirmation and Standard Terms Supplement), and marketing documents (MCDX Overview, MCDX Investor Call Presentation), click here for more information.
