Markit LCDX Information
On Tuesday May 22nd, CDS IndexCo, a consortium of dealer banks active in the loan and credit default swap markets, launched in conjunction with Markit the newest arrival to the CDS Index Co family of indices - Markit LCDX.
The index consists of 100 reference entities, referencing 1st lien loans listed on the Markit Syndicated Secured List. 14 banks are making markets, ensuring strong liquidity from the start.
On the pages you will be able to find further information about the index, including the reference entities comprising the first series (called Series 8 bringing it in line with the other Markit CDX Indices), trading documentation and a presentation on the index. The official daily close is also published on these pages.
| Index | RED ID | Coupon | Maturity | First Payment Date |
|---|---|---|---|---|
| LCDX.NA.10-V1 | 5F199GAF4 | 325 | 20th June 2013 | 20th June 2008 |
| LCDX.NA.9-V1 | 5F199GAB3 | 225 | 20th December 2012 | 20th December 2007 |
| LCDX.NA.8-V5 | 5F199GAG2 | 120 | 20th June 2012 | 20th June 2007 |
| LCDX.NA.8-V4 | 5F199GAE7 | 120 | 20th June 2012 | 20th June 2007 |
| LCDX.NA.8-V3 | 5F199GAD9 | 120 | 20th June 2012 | 20th June 2007 |
| LCDX.NA.8-V2 | 5F199GAC1 | 120 | 20th June 2012 | 20th June 2007 |
| LCDX.NA.8-V1 | 5F199GAA5 | 120 | 20th June 2012 | 20th June 2007 |
Key Features
- 100 reference entities
- 1st Lien Loans only as Deliverable Obligations
- Deliverable Obligations for Markit LCDX must be "Syndicated Secured" loans, which are listed on the Syndicated Secured List (SSL) used for single name loan credit default swaps and updated by dealer polls run by Markit from time to time. Note only reference entities that are on the SSL are eligible for inclusion in the index
- If an entity previously was on the SSL and was included in any given series of Markit LCDX, but is removed due to pay down of their syndicated secured loans (without being replaced by new syndicated secured loans), the entity’s weighting in the index will be set to zero, and the index going forward from that point will trade with a factor
- The applicable credit events for the product will be failure to pay and bankruptcy
- 5yr coupon set initially to help focus liquidity at that maturity. Other maturities are expected to follow.
- The index will be quoted in price terms
- The index will roll semi-annually. Roll Dates will be 3rd April and 3rd October – 1 week after Markit CDX HY rolls
- The effective date of the first roll of the index will be index launch date + 1. Subsequent series will be roll date + 1
- Credit Event Settlement: It is expected any credit events will be settled via a credit event auction similar to those used for unsecured CDS, with some customization for loan CDS.
For a more in-depth overview, please download the 'Markit LCDX Primer'.