Markit Announces Roll of Markit iTraxx LevX
London and New York – Markit today announced that the Markit iTraxx LevX (“LevX”), a synthetic index referencing the most liquid names in the European leveraged loan market, will roll into its second series on 17 March 2008.
Markit is the owner of LevX, and a leading provider of independent data, portfolio valuations and OTC derivatives trade processing to the global financial markets.
LevX Series 2 comprises a larger basket of credits than Series 1, with a Senior Index of 75 Loan Credit Default Swaps (LCDS) referencing 1st lien leveraged loans, and a Subordinated Index of 45 LCDS referencing 2nd and 3rd lien loans.
The new series has been restructured in consultation with leading LCDS market makers and the International Swaps and Derivatives Association (ISDA) to make the index more attractive to dealers and investors. Changes include simplifying the LevX documentation and moving from cancellable to non-cancellable contracts.
In the event of a refinancing, instead of dropping out of the index, constituent loan contracts will now be replaced by their successors. The index annex will remain unchanged unless there is a cancellation or credit event in which case a new index annex version will be published. This means that trade durations will no longer be affected by refinancing events and the limited number of new index annex versions will improve operational efficiency.
The LevX move to non-cancellable contracts is supported by Markit RED (Reference Entity Database) which provides verified loan reference data to enable counterparties to document and confirm LCDS transactions. The composition of the underlying index portfolio is drawn from Markit RED, and refinancing and cancellation notifications will be made available to subscribers in accordance with the Markit RED Continuity Procedures for European LCDS.
Stephan Flagel, Managing Director and Head of Indices at Markit, said: “The Markit LevX Series 2 is more representative of the broad European leveraged loan markets and we expect this to boost liquidity in both the cash and synthetic markets. The new series also marks a milestone in its move to non-cancellable contracts which will make the index simpler to trade, and brings it closer to its North American sibling, the Markit LCDX.”
The LevX Licensed Market Maker Group includes the following: Bank of America, Barclays Capital; Bear Stearns; BNP Paribas; Calyon; Credit Suisse; Deutsche Bank; Dresdner Kleinwort, Goldman Sachs; JPMorgan; Lehman Brothers; Merrill Lynch; Morgan Stanley; RBS; and UBS.
LevX was launched in October 2006 by International Index Company which was acquired by Markit in November 2007.
- Ends -
For further information, please contact:
Teresa Chick
Managing Director, Corporate Communications
Markit
Email: teresa.chick@markit.com
Telephone: +44-20-7260-2094
Caroline Lumley
Vice President, Corporate Communications
Markit
Email: caroline.lumley@markit.com
Telephone: +44-20-7260-2047
Note to Editors
Key differences between Markit iTraxx LevX Series 1 and Series 2
| Markit iTraxx LevX Series 1 | Markit iTraxx LevX Series 2 |
| Senior Index - 35 equally-weighted LCDS for 1st Lien | Senior Index - 75 equally-weighted LCDS for 1st Lien |
| Subordinated Index - 35 equally-weighted LCDS for 2nd/3rd Lien | Subordinated Index - 45 equally-weighted LCDS for 2nd/3rd Lien |
| Cancellable contracts | Non-cancellable contracts |
| Has not rolled since launch. | Semi-annual rolls, quarterly coupon payments with a 5-year maturity. |
About Markit
Markit is the leading provider of independent data, portfolio valuations and OTC derivatives trade processing to the global financial markets. The company receives daily data contributions from 90 dealing firms, and its services are used by almost 1,000 institutions to enhance trading operations, reduce risk and manage compliance.