Sep 29 2020
    Coupon Finalized for MCDX.NA.35

    The coupon for Markit MCDX.NA.35 will remain at 100 bps.

    Sep 23 2020
    Reference Obligations for Markit MCDX Series 35 Version 1

    The reference obligations that will be included in the upcoming Markit MCDX Series 35 Version 1 index are available below. Please note that this list remains provisional until publication of the final annex for the index.

    Sep 21 2020
    Provisional membership of MCDX Series 35

    Following are the changes expected for the upcoming MCDX Series 35 index that will roll on 05 October, 2020. Please note that this list remains provisional until publication of the final annex for the index.

    Removals Additions
    COUNTY OF CUYAHOGA, OHIO BUCKEYE TOBACCO SETTLEMENT FINANCING AUTHORITY

    Sep 21 2020
    List of Constituents for Sub-indices of Markit CDX.NA.HY

    Following is the expected composition of the Markit CDX.NA.HY.B.35, Markit CDX.NA.HY.BB.35 and Markit CDX.NA.HY.Ex-BB.35 sub-indices. Please note that these lists remain provisional till publication of the final annexes for the indices.


    Markit CDX.NA.HY.B.35 Markit CDX.NA.HY.BB.35 Markit CDX.NA.HY.Ex-BB.35
    AMERICAN AIRLINES GROUP INC. ADVANCED MICRO DEVICES, INC. AMERICAN AIRLINES GROUP INC.
    AMERICAN AXLE & MANUFACTURING, INC. AMKOR TECHNOLOGY, INC. AMERICAN AXLE & MANUFACTURING, INC.
    ANTERO RESOURCES CORPORATION APACHE CORPORATION ANTERO RESOURCES CORPORATION
    AVIS BUDGET GROUP, INC. ARAMARK SERVICES, INC. AVIS BUDGET GROUP, INC.
    AVON PRODUCTS, INC. ASHLAND LLC AVON PRODUCTS, INC.
    BAUSCH HEALTH COMPANIES INC. AVIENT CORPORATION BAUSCH HEALTH COMPANIES INC.
    BEAZER HOMES USA, INC. BALL CORPORATION BEAZER HOMES USA, INC.
    BOYD GAMING CORPORATION CCO HOLDINGS, LLC BOMBARDIER INC.
    CALPINE CORPORATION CENTURYLINK, INC. BOYD GAMING CORPORATION
    CARNIVAL CORPORATION CIT GROUP INC. CALPINE CORPORATION
    CLEVELAND-CLIFFS INC. DAVITA INC. CARNIVAL CORPORATION
    CSC HOLDINGS, LLC DELL INC. CLEVELAND-CLIFFS INC.
    DIAMOND SPORTS GROUP, LLC DELTA AIR LINES, INC. COMMUNITY HEALTH SYSTEMS, INC.
    DISH DBS CORPORATION FORD MOTOR COMPANY CSC HOLDINGS, LLC
    GENWORTH HOLDINGS, INC. FREEPORT-MCMORAN INC. DIAMOND SPORTS GROUP, LLC
    L BRANDS, INC. HCA INC. DISH DBS CORPORATION
    NABORS INDUSTRIES, INC. HD SUPPLY, INC. GENWORTH HOLDINGS, INC.
    NEW ALBERTSONS L.P. HOWMET AEROSPACE INC. K. HOVNANIAN ENTERPRISES, INC.
    R.R. DONNELLEY & SONS COMPANY IRON MOUNTAIN INCORPORATED L BRANDS, INC.
    REALOGY GROUP LLC ISTAR INC. NABORS INDUSTRIES, INC.
    ROYAL CARIBBEAN CRUISES LTD. KB HOME NEW ALBERTSONS L.P.
    SABRE HOLDINGS CORPORATION KRAFT HEINZ FOODS COMPANY PACTIV LLC
    SAFEWAY INC. LAMB WESTON HOLDINGS, INC. R.R. DONNELLEY & SONS COMPANY
    STAPLES, INC. LENNAR CORPORATION REALOGY GROUP LLC
    TALEN ENERGY SUPPLY, LLC LIBERTY INTERACTIVE LLC RITE AID CORPORATION
    TENET HEALTHCARE CORPORATION M.D.C. HOLDINGS, INC. ROYAL CARIBBEAN CRUISES LTD.
    TESLA, INC. MACY'S, INC. SABRE HOLDINGS CORPORATION
    THE GOODYEAR TIRE & RUBBER COMPANY MBIA INC. SAFEWAY INC.
    TRANSDIGM INC. MERITOR, INC. STAPLES, INC.
    UNITED STATES STEEL CORPORATION MGIC INVESTMENT CORPORATION TALEN ENERGY SUPPLY, LLC
    UNIVISION COMMUNICATIONS INC. MGM RESORTS INTERNATIONAL TENET HEALTHCARE CORPORATION
    MURPHY OIL CORPORATION TESLA, INC.
    NAVIENT CORPORATION THE GOODYEAR TIRE & RUBBER COMPANY
    NETFLIX, INC. TRANSDIGM INC.
    NEWELL BRANDS INC. TRANSOCEAN INC.
    NORBORD INC. UNITED STATES STEEL CORPORATION
    NORDSTROM, INC. UNITI GROUP INC.
    NOVA CHEMICALS CORPORATION UNIVISION COMMUNICATIONS INC.
    NRG ENERGY, INC.
    OCCIDENTAL PETROLEUM CORPORATION
    OLIN CORPORATION
    ONEMAIN FINANCE CORPORATION
    PG&E CORPORATION
    PITNEY BOWES INC.
    PULTEGROUP, INC.
    RADIAN GROUP INC.
    SEALED AIR CORPORATION
    SIRIUS XM RADIO INC.
    TARGA RESOURCES PARTNERS LP
    TEGNA INC.
    TEVA PHARMACEUTICAL INDUSTRIES LIMITED
    THE ADT SECURITY CORPORATION
    THE AES CORPORATION
    THE GAP, INC.
    T-MOBILE USA, INC.
    TOLL BROTHERS, INC.
    UNITED AIRLINES HOLDINGS, INC.
    UNITED RENTALS (NORTH AMERICA), INC.
    UNIVERSAL HEALTH SERVICES, INC.
    VISTRA OPERATIONS COMPANY LLC
    XEROX CORPORATION
    YUM! BRANDS, INC.

    Sep 21 2020
    Coupons for Markit CDX.HY Indices

    Following are the coupons for all maturities and sub-indices of the Markit CDX.NA.HY indices that will roll on 28 September, 2020.

    Index Fixed Coupon Rate (bps)
    Markit CDX.NA.HY.35 500
    Markit CDX.NA.HY.B.35 500
    Markit CDX.NA.HY.BB.35 500
    Markit CDX.NA.HY.Ex-BB.35 500

    Sep 18 2020
    Markit CDX HY 35 Reference Obligations

    The reference obligations that will be included in the upcoming Markit CDX.NA.HY.35 index are available below. Please note that this list remains provisional until publication of the final annex for the index.

    Sep 16 2020
    List of Changes for Markit CDX.NA.HY.35

    Following are the changes expected for the upcoming Markit CDX.NA.HY.35 index that will roll on 28 September 2020. VISTRA ENERGY CORP. was removed from the index due to not having sufficient debt outstanding, with VISTRA OPERATIONS COMPANY LLC being added to represent the same risk. Please note that this list remains provisional until publication of the final annex for the index.

    Removals Additions
    CALIFORNIA RESOURCES CORPORATION FORD MOTOR COMPANY
    CHESAPEAKE ENERGY CORPORATION MACY'S, INC.
    DIAMOND OFFSHORE DRILLING, INC. ROYAL CARIBBEAN CRUISES LTD.
    J. C. PENNEY COMPANY, INC. OCCIDENTAL PETROLEUM CORPORATION
    NOBLE CORPORATION CARNIVAL CORPORATION
    THE HERTZ CORPORATION NORDSTROM, INC.
    THE NEIMAN MARCUS GROUP LLC APACHE CORPORATION
    WHITING PETROLEUM CORPORATION DELTA AIR LINES, INC.
    HOWMET AEROSPACE INC. LAMB WESTON HOLDINGS, INC.
    UNISYS CORPORATION PG&E CORPORATION
    VISTRA ENERGY CORP. VISTRA OPERATIONS COMPANY LLC

    Sep 16 2020
    Updated List of Changes for Markit CDX.NA.HY.35

    Following are the updated changes expected for the upcoming Markit CDX.NA.HY.35 index that will roll on 28 September 2020. VISTRA ENERGY CORP. was removed from the index due to not having sufficient debt outstanding, with VISTRA OPERATIONS COMPANY LLC being added to represent the same risk. Following the AK STEEL CORPORATION succession event, CLEVELAND-CLIFFS INC. was selected as the succeeding entity for the index due to having the majority of debt outstanding and having greater CDS liquidity in the eight weeks prior to the roll. Please note that this list remains provisional until publication of the final annex for the index.

    Removals Additions
    CALIFORNIA RESOURCES CORPORATION FORD MOTOR COMPANY
    CHESAPEAKE ENERGY CORPORATION MACY'S, INC.
    DIAMOND OFFSHORE DRILLING, INC. ROYAL CARIBBEAN CRUISES LTD.
    J. C. PENNEY COMPANY, INC. OCCIDENTAL PETROLEUM CORPORATION
    NOBLE CORPORATION CARNIVAL CORPORATION
    THE HERTZ CORPORATION NORDSTROM, INC.
    THE NEIMAN MARCUS GROUP LLC APACHE CORPORATION
    WHITING PETROLEUM CORPORATION DELTA AIR LINES, INC.
    SPRINT COMMUNICATIONS, INC. LAMB WESTON HOLDINGS, INC.
    UNISYS CORPORATION PG&E CORPORATION
    VISTRA ENERGY CORP. VISTRA OPERATIONS COMPANY LLC
    AK STEEL CORPORATION CLEVELAND-CLIFFS INC.

    Sep 16 2020
    Coupon for Markit CDX.EM.34

    The fixed coupon for all maturities on the upcoming Markit CDX.EM.34 index is 100 bps.

    Sep 16 2020
    Updated Reference Obligations for Markit CDX.NA.IG.35

    The reference obligations that will be included in the upcoming Markit CDX.NA.IG.35 index are available below. Please note that this list remains provisional until publication of the final annex for the index.

    Sep 15 2020
    Reference Obligations for Markit CDX.EM.34

    The reference obligations that will be included in the upcoming Markit CDX.EM.34 index are available below. Please note that this list remains provisional until publication of the final annex for the index.

    Sep 14 2020
    Coupon for Markit CDX.NA.IG Indices

    Following are the coupons for all maturities and sub-indices of the Markit CDX.NA.IG indices that will roll on 21 September, 2020.

    Index Fixed Coupon Rate (bps)
    Markit CDX.NA.IG 100
    Markit CDX.NA.IG.HVOL 100

    Sep 14 2020
    Composition of CDX.NA.IG.BBB.35

    Following is the expected composition of the Markit CDX.NA.IG.BBB.35 index that will roll on 21 September, 2020. Please note that this list remains provisional until publication of the final annex for the index.

    Reference Entity Reference Entity
    ALLY FINANCIAL INC. HP INC.
    ALTRIA GROUP, INC. INGERSOLL-RAND COMPANY
    AMERICAN ELECTRIC POWER COMPANY, INC. INTERNATIONAL LEASE FINANCE CORPORATION
    AMERICAN INTERNATIONAL GROUP, INC. INTERNATIONAL PAPER COMPANY
    AMGEN INC. JOHNSON CONTROLS INTERNATIONAL PUBLIC LIMITED COMPANY
    ARROW ELECTRONICS, INC. KINDER MORGAN, INC.
    AT&T INC. KOHL'S CORPORATION
    AUTOZONE, INC. LOWE'S COMPANIES, INC.
    AVNET, INC. MARATHON PETROLEUM CORPORATION
    BARRICK GOLD CORPORATION MARRIOTT INTERNATIONAL, INC.
    BEST BUY CO., INC. MCDONALD'S CORPORATION
    BLOCK FINANCIAL LLC MCKESSON CORPORATION
    BORGWARNER INC. MONDELEZ INTERNATIONAL, INC.
    BOSTON SCIENTIFIC CORPORATION MOTOROLA SOLUTIONS, INC.
    CAMPBELL SOUP COMPANY NEWMONT CORPORATION
    CANADIAN NATURAL RESOURCES LIMITED NORFOLK SOUTHERN CORPORATION
    CAPITAL ONE BANK (USA), NATIONAL ASSOCIATION NORTHROP GRUMMAN CORPORATION
    CARDINAL HEALTH, INC. OMNICOM GROUP INC.
    CIGNA CORPORATION OVINTIV INC.
    CONAGRA BRANDS, INC. PACKAGING CORPORATION OF AMERICA
    COX COMMUNICATIONS, INC. PIONEER NATURAL RESOURCES COMPANY
    CSX CORPORATION QUEST DIAGNOSTICS INCORPORATED
    CVS HEALTH CORPORATION REYNOLDS AMERICAN INC.
    D.R. HORTON, INC. RYDER SYSTEM, INC.
    DANAHER CORPORATION SEMPRA ENERGY
    DARDEN RESTAURANTS, INC. SOUTHWEST AIRLINES CO.
    DEVON ENERGY CORPORATION TECK RESOURCES LIMITED
    DOMINION ENERGY, INC. THE BOEING COMPANY
    DOMTAR CORPORATION THE DOW CHEMICAL COMPANY
    DXC TECHNOLOGY COMPANY THE HARTFORD FINANCIAL SERVICES GROUP, INC.
    EASTMAN CHEMICAL COMPANY THE KROGER CO.
    ENBRIDGE INC. THE SHERWIN-WILLIAMS COMPANY
    ENERGY TRANSFER OPERATING, L.P. THE SOUTHERN COMPANY
    EXELON CORPORATION THE WILLIAMS COMPANIES, INC.
    EXPEDIA GROUP, INC. TRANSCANADA PIPELINES LIMITED
    FEDEX CORPORATION TYSON FOODS, INC.
    FIRSTENERGY CORP. UNION PACIFIC CORPORATION
    FISERV, INC. VALERO ENERGY CORPORATION
    GENERAL ELECTRIC COMPANY VERIZON COMMUNICATIONS INC.
    GENERAL MILLS, INC. VIACOMCBS INC.
    GENERAL MOTORS COMPANY WESTROCK MWV, LLC
    HALLIBURTON COMPANY WEYERHAEUSER COMPANY
    HESS CORPORATION WHIRLPOOL CORPORATION
    HOST HOTELS & RESORTS, L.P.

    Sep 14 2020
    Composition of CDX.NA.IG.HVOL.35

    Following is the expected composition of the Markit CDX.NA.IG.HVOL.35 index that will roll on 21 September, 2020. Please note that this list remains provisional until publication of the final annex for the index.

    Reference Entity Reference Entity
    ALLY FINANCIAL INC. HALLIBURTON COMPANY
    ASSURED GUARANTY MUNICIPAL CORP. HESS CORPORATION
    AT&T INC. HOST HOTELS & RESORTS, L.P.
    BLOCK FINANCIAL LLC INTERNATIONAL LEASE FINANCE CORPORATION
    BORGWARNER INC. KOHL'S CORPORATION
    CANADIAN NATURAL RESOURCES LIMITED MARRIOTT INTERNATIONAL, INC.
    DARDEN RESTAURANTS, INC. OVINTIV INC.
    DEVON ENERGY CORPORATION PIONEER NATURAL RESOURCES COMPANY
    DXC TECHNOLOGY COMPANY RYDER SYSTEM, INC.
    ENBRIDGE INC. SIMON PROPERTY GROUP, L.P.
    ENERGY TRANSFER OPERATING, L.P. SOUTHWEST AIRLINES CO.
    EXPEDIA GROUP, INC. TECK RESOURCES LIMITED
    FEDEX CORPORATION THE BOEING COMPANY
    GENERAL ELECTRIC COMPANY THE DOW CHEMICAL COMPANY
    GENERAL MOTORS COMPANY THE WILLIAMS COMPANIES, INC.

    Sep 14 2020
    List of Changes for Markit CDX.EM.34

    Following are the changes expected for the upcoming Markit CDX.EM.34 index that will roll on 21 September 2020, which remain unchanged from the prior series. The inclusion of the Argentine Republic is subject to the publication of Additional Provisions for the entity by ISDA. Please note that this list remains provisional till publication of the final annex for the index.

    Name Old Weight New Weight
    FEDERATIVE REPUBLIC OF BRAZIL 12.00% 12.00%
    PEOPLE'S REPUBLIC OF CHINA 12.00% 12.00%
    REPUBLIC OF TURKEY 12.00% 12.00%
    UNITED MEXICAN STATES 12.00% 12.00%
    REPUBLIC OF SOUTH AFRICA 9.00% 9.00%
    REPUBLIC OF INDONESIA 8.00% 8.00%
    RUSSIAN FEDERATION 6.00% 6.00%
    REPUBLIC OF COLOMBIA 5.00% 5.00%
    ARGENTINE REPUBLIC 5.00% 5.00%
    MALAYSIA 3.00% 3.00%
    KINGDOM OF SAUDI ARABIA 2.00% 2.00%
    REPUBLIC OF THE PHILIPPINES 2.00% 2.00%
    REPUBLIC OF CHILE 2.00% 2.00%
    REPUBLIC OF PERU 2.00% 2.00%
    STATE OF QATAR 2.00% 2.00%
    REPUBLIC OF PANAMA 2.00% 2.00%
    ABU DHABI 2.00% 2.00%
    UKRAINE 2.00% 2.00%

    Sep 14 2020
    List of Changes for Markit CDX.NA.IG.35 Sector Sub-indices

    Following is the impact of the constituent changes on the sector-based sub-indices of CDX.NA.IG.35 that will roll on 21 September 2020. Please note that this list remains provisional until publication of the final annexes for the indices.

    Sub-index name Removal Addition
    CDX.NA.IG.CONS FORD MOTOR COMPANY BORGWARNER INC.
    CDX.NA.IG.CONS MACY'S, INC.
    CDX.NA.IG.CONS ROYAL CARIBBEAN CRUISES LTD.
    CDX.NA.IG.CONS CARNIVAL CORPORATION
    CDX.NA.IG.CONS NORDSTROM, INC.
    CDX.NA.IG.ENRG APACHE CORPORATION TRANSCANADA PIPELINES LIMITED
    CDX.NA.IG.ENRG OCCIDENTAL PETROLEUM CORPORATION PIONEER NATURAL RESOURCES COMPANY
    CDX.NA.IG.FIN CIGNA CORPORATION
    CDX.NA.IG.INDU FEDEX CORPORATION
    CDX.NA.IG.INDU DANAHER CORPORATION
    CDX.NA.IG.TMT ORACLE CORPORATION

    Sep 11 2020
    CDX/iTraxx Index Tranches: Roll Date and Trading Parameter Conventions

    Following review of feedback received from market participants on standardization of tranche parameters and roll dates, the conventions as outlined in the proposal on 18th August 2020 will now be applicable for future rolls. The following are the agreed roll dates and trading parameter conventions for tranches referencing each iTraxx/CDX Index:

    Roll Dates

    iTraxx/CDX tranches will continue to roll once a year during the September roll and the tranche roll dates will be four business days following the respective index roll dates. As an illustration for Sept 2020, this would result in the following tranche roll dates:

    Index

    Index Roll Date

    Tranche Roll Date Offset

    Tranche Roll Date

    CDX.NA.IG.35

    21-Sep-2020

    +4 Bus. Days

    25-Sep-2020

    CDX.NA.HY.35

    28-Sep-2020

    +4 Bus. Days

    02-Oct-2020

    iTraxx Europe S34

    21-Sep-2020

    +4 Bus. Days

    25-Sep-2020

    iTraxx Crossover S34

    21-Sep-2020

    +4 Bus. Days

    25-Sep-2020


    Trading Parameters

    Index / Tranche

    CDX.NA.IG

    CDX.NA.HY

    iTraxx Europe

    iTraxx Crossover

    Tranche (%)

    Coupon (bps)

    Tranche (%)

    Coupon (bps)

    Tranche (%)

    Coupon (bps)

    Tranche (%)

    Coupon (bps)

    Equity

    0 - 3

    100

    0 - 15

    500

    0 - 3

    100

    0 - 10

    500

    Mezzanine

    3 - 7

    100

    15 - 25

    500

    3 - 6

    100

    10 - 20

    500

    Senior

    7 - 15

    100

    25 - 35

    500

    6 - 12

    100

    20 - 35

    500

    Super Senior

    15 - 100

    100

    35 - 100

    500

    12 - 100

    100

    35-100

    500

    For any queries, please email MK-CreditIndices@ihsmarkit.com.

    Sep 11 2020
    Reference Obligations for Markit CDX.NA.IG.35

    The reference obligations that will be included in the upcoming Markit CDX.NA.IG.35 index are available below. Please note that this list remains provisional until publication of the final annex for the index.

    Sep 10 2020
    Delay in CDX.EM.34 Provisional List

    The publication of the CDX EM Series 34 provisional list has been delayed. Following the restructuring of their debt, IHS Markit is currently exploring whether it is possible to include the Argentine Republic in the upcoming index and expects to publish the provisional list by end of day Monday, September 14.

    For more information please email cdxadvisory@ihsmarkit.com.

    Sep 10 2020
    Markit iBoxx USD Liquid High Yield Index sector weights for the Markit CDX HY Series 35 roll

    The sector weights of the Markit iBoxx USD Liquid High Yield Index, excluding non-US and Canada domiciled names, to be used for the upcoming CDX HY Index roll have been determined to be the following:

    iBoxx Level 5 Sector % weight
    Basic Materials 4.436%
    Consumer Goods 12.119%
    Consumer Services 25.136%
    Financials 8.008%
    Healthcare 11.042%
    Industrials 13.540%
    Energy 13.264%
    Technology 4.925%
    Telecommunications Services 4.632%
    Utilities 2.898%
    View Next 20