Markit iTraxx News

iTraxx Europe Indices : Rule change proposals

• The iTraxx Crossover spread cutoff rule says that spreads at least twice the EOD 5Y mid-spreads of constituents of iTraxx Non-Financial Index (effective on the roll date) on the last business day of the month prior to roll determine eligibility

o        Observation date to be changed from last business day of month to average over last 10 London trading days in the month prior to roll 

o        The maximum cutoff level to be changed from maximum of 1250 bps or upfront of 35% (no running) to 25%/ 30% upfront + 500 bps running

• ‘Entity Rating’ for membership determination to be defined as minimum of:

o        Lowest of Issuer Rating, Senior unsecured Debt Rating, and Corporate Family Ratings for Moody’s 

o        Long-term Issuer Credit Rating for S&P

o        Lower of Issuer Default Ratings and Senior Unsecured Debt Rating for Fitch

• ‘Incorporated in Europe’ specification for inclusion in the liquidity poll to be clarified where

o        ‘Europe’ would be defined as EU and EFTA countries

• Rule for incorporating iTraxx entity name changes to be removed. This states that if the reference entity changes its legal name, the relevant index annexes containing the reference entity will be updated to the new name  (without publishing a new version of the annex)

o        Annexes will be updated only when next index annex is published (due to index roll or credit event) 

• Rating changes for entities to be included in the index need are currently to be notified by 17:00 hrs London Time on third business day preceding the roll date

o        The rating cutoff date to be moved earlier to last business day of the month preceding the roll date

• Entities with more than ‘EUR 100 million’ of publicly traded securities determine eligibility in iTraxx Crossover index

o        ‘publicly traded’ securities to be replaced by ‘publicly traded debt’ securities to clarify rule

These proposals are subject to vote by the market makers at a call on the 15th of August 2008. At least 10 market makers must participate in the call for quorum. More than 75% of the participating market makers must be in favor for final approval of the proposal. 

We plan to implement the changes in the index rules in the coming roll on the 22nd of September 2008. 

 Update (13th August 2008): The call has been postponed to 19th August 2008. 

 Update (19th August 2008): The call has been postponed to 20th August 2008. 

iTraxx Europe indices: Rule change phase

Markit has triggered a process to refine and clarify some index rules for the iTraxx indices. These proposed rule changes will be approved during August 2008 and implemented during the upcoming roll of the iTraxx Europe indices on the 22^nd of September 2008. If you would like to propose any rule changes please send your suggestions to itraxx@indexco.com .

Markit iTraxx Series 10 Index Roll - 20th September 2008

Markit iTraxx Provisional Red Codes for Roll - 20th September 2008

Markit iTraxx Series 9 Final Membership Lists - March 2008

Markit iTraxx Series 9 Provisional Membership Lists - March 2008

These are the provisional membership lists for Markit iTraxx Series 9.